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May 2016 Market Commentary 02 Commodity Performance BCOM 08 Roll Select 09 Historical 10 Contribution to Return & Weights 11 Commodity Volatility Realized 12 Implied 13 Historical Realized 14 Commodity Correlation Composites 15 Singles 16 US CPI Indices 17 Country CPI 18 Country GDP 19 Commitment of Traders Report Monthly Notional Change & Correlation 20 Historical Net Positions 21 Commodity Inventories & Sales Monthly Change & Correlation 23 Historical Levels 24 Commodity ETP Flows 26 Term Structures 27 Research Dashboards (BI) 29 Bloomberg Cheat Sheet 30 Contact us: <Help> <Help> on the Bloomberg Professional service 1-212-617-5020 [email protected] TABLES & CHARTS (BCOM) BLOOMBERG COMMODITY INDEX

Transcript of BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM)...

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May 2016Market Commentary 02Commodity Performance BCOM 08 Roll Select 09 Historical 10Contribution to Return & Weights 11Commodity Volatility Realized 12 Implied 13 Historical Realized 14Commodity Correlation Composites 15 Singles 16 US CPI Indices 17 Country CPI 18 Country GDP 19Commitment of Traders Report Monthly Notional Change & Correlation 20 Historical Net Positions 21Commodity Inventories & Sales Monthly Change & Correlation 23 Historical Levels 24Commodity ETP Flows 26Term Structures 27Research Dashboards (BI) 29Bloomberg Cheat Sheet 30

Contact us:<Help> <Help> on the Bloomberg Professional [email protected]

TABLES & CHARTS(BCOM)BLOOMBERG COMMODITY INDEX

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Energy (34.3 % of BCOM; May performance +3.08%)

Oil had the longest run of monthly gains in five years - rising for four consecutive months - as militant attacks cut Nigerian supply to the lowest level in more than two decades while Canadian output fell amid wildfires, reducing supply. Oil has surged more than 87% since slumping to a 12-year low in February on signs the worldwide surplus is easing amid declining production.

With intraday prices reaching $50 a barrel, a long-anticipated barrier, the question for the oil industry is what comes next? It may take a rise to at least the mid-$50s with signs the rally has staying power before oil explorers start feeling secure again. The world’s 50 biggest publicly traded oil companies need an average price of $53 a barrel to stop bleeding cash, according to industry consultant Wood Mackenzie. For U.S. shale producers, oil may need to rise into the mid-$50s before drillers respond with a significant ramp-up in well completions, Bloomberg Intelligence analysts said. After shaving billions of dollars off capital budgets this year, those companies have a backlog of thousands of wells that have been partially completed but not yet tapped.

Low crude prices may finally be taking their toll on U.S. production. For the first four months of the year, U.S. output has fallen almost 5%. The latest Department of Energy figures show output at 8.8 million barrels a day compared with 9.2 million at the beginning of January. Saudi Arabia and Russia meanwhile have managed to keep output relatively unchanged.

Senior people in the industry including Patrick Pouyanne, chief executive officer of French giant Total SA, and Fatih Birol, the executive director of the International Energy Agency, have warned repeatedly that investment cuts triggered by the current slump could lead to a production shortfall in the future. Wood Mackenzie estimated that explorers have canceled or delayed investments worth nearly $400 billion since prices started their slide in late 2014. Price movements don’t suggest investors are heeding these calls though as the market is still pricing the "lower-for-longer" mantra. While front-month futures for WTI have risen 32% this year, the recovery looks very different if you focus on the longer term. The five-year-forward WTI contract is only up 4% over the same period reflecting the view that shale oil production could rebound as prices recover, capping any rally.

Oil discoveries have fallen to a six-decade low as explorers cut billions of dollars of spending to ride out the biggest market slump in a generation. About 12.1 billion barrels of oil reserves were found in 2015, marking a fifth consecutive year of decline and the smallest volume since 1952, according to Rystad Energy. Still, global climate targets are likely to curb oil consumption, and, according to Morgan Stanley, citing the IEA's base-case scenario, the gap between demand and supply would remain “small” and for the next two decades “further exploration is required but only modestly so”.

The world’s biggest oil companies are borrowing record amounts of money to cope with a slump in crude prices. Exxon Mobil Corp., Royal Dutch Shell Plc, Chevron Corp., Total SA, BP Plc and Eni SpA have together sold the equivalent of $37 billion of bonds this year, about double the amount issued in the period before oil prices plunged, according to data compiled by Bloomberg. While this is stretching their balance sheets and even resulting in credit-rating downgrades, the lowest debt costs in a year are softening the blow.

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Since the start of 2015, 130 North American oil and gas producers and service companies have filed for bankruptcy owing almost $44 billion, according to law firm Haynes & Boone. The tally doesn’t include Chaparral Energy Inc., Penn Virginia Corp. and Linn Energy LLC, which filed for bankruptcy earlier this month owing more than $11 billion combined.

Oil producers took advantage of the rebound in crude markets to lock in protection against another slump. They increased their bets on falling prices to the highest level in 4 1/2 years. Speculators reduced bets on falling prices to the lowest level in 11 months. Money managers’ short position in U.S. benchmark crude reached the least since June, according to data from the Commodity Futures Trading Commission.

Federally mandated ethanol blending is adding extra pressure to the U.S. refiners' profits. The worst crude oil downturn in a generation, which at first helped profits, has now passed through to the fuel prices. Now, gasoline is cheaper than the ethanol that refiners have no choice but to use under the Renewable Fuel Standard program introduced in 2005 under the Energy Policy Act. Ethanol futures on the Chicago Board of Trade averaged 21.5 cents above gasoline contracts on the New York Mercantile Exchange in the quarter, compared with an average 48-cent discount in the same period during the previous five years.

American motorists will consume a record amount of gasoline this year as growing employment and low prices spur demand. Consumption will top the previous record reached in 2007 before the Great Recession, according to the EIA. Gasoline demand will average 9.32 million barrels a day in 2016, up from 9.29 million barrels projected in April. Consumption is then forecast to slip 0.1% to 9.31 million barrels in 2017. Pump prices tumbled to the lowest level in seven years in February, and while they’re up from their lows, they still trail the average for this time of year, encouraging vehicle use.

U.S. natural gas futures capped the longest monthly winning streak in three years as forecasts showed hot weather making a comeback. The third straight monthly increase was gas’s best bullish run since the period from late 2013. Gas bulls are betting on hot weather to erode a stockpile surplus that’s the biggest since 2006 for this time of year. Without a scorching summer and a decline in gas production from shale formations, inventories will reach a record before the winter, capping price gains. Gas demand for power plants has advanced 26% from this time last year, data from PointLogic Energy show. Drillers, however, are beating production estimates as the price collapse forced them to become leaner, producing more fuel with the fewest rigs since at least the 1980s. Improved drilling technology has made explorers more efficient, boosting output even as they reduce costs. While the number of rigs has fallen dramatically, producers are drilling several wells from the same site, cutting longer horizontal segments through shale rock to yield more gas.

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Grains (23.3% of BCOM; May performance +1.76%)

Bad weather across South America is shrinking global supplies of soybeans, helping prices extend a rally to a 2-year high. Flooding destroyed plants, hurt crop quality and delayed harvesting and impeded shipments in Argentina. Rains also hampered output in Uruguay. Dry weather hurt production in Brazil, the world’s largest exporter of the oilseed. South African grain and oilseed prices surged to records making the country a net buyer of the commodities after a drought damaged local harvests. The supply woes sent soybean prices into a bull market last month. Hedge funds are expecting more gains, with their bets on a rally rising to the highest since April 2014. The inventories provide a cushion though as they stand to be second-biggest ever even.

China is so hungry for soybeans it has taken a major foray into expanding its control over supplies from Brazil, the world’s top exporter. A unit of China’s Shanghai Pengxin Group Co. bought a controlling stake in Brazil’s soybean trader and biodiesel maker Fiagril Ltda for $286 million. The deal would be the first major Chinese acquisition of an agricultural company in Brazil. Almost 78% of Brazil’s soybean shipments went to the China in 2015.

The best rally for corn prices in 10 months meant U.S. farmers were frantic to sell from the mountain of grain they’d been hoarding. Growers have been stockpiling supplies following a string of bumper harvests, waiting patiently for a rebound in prices. Their hopes have finally been answered after dry weather threatened crops in Brazil, sending futures traded in Chicago to their highest in almost a year. South Africa, the continent’s biggest producer of corn, became a net importer of the grain for the first time since 2008 this year as the worst drought in more than a century hurt local output. South Africa last year had the least rainfall since records started in 1904, damaging crops and raising prices. The nation imported 1.96 million metric tons of corn in the marketing year ended April 29, that’s the most since 1993.

Wheat supplies are forecast to remain ample next season. U.S. reserves will rise to 1.029 billion bushels by May 2017, while world inventories at the end of the 2016-17 season are estimated to a reach an all-time high. The wheat harvest in Kansas will rebound 19% this year, according to findings from a crop tour organized by the Wheat Quality Council, meaning favorable weather in the largest U.S. grower of the grain will likely exacerbate a global glut. Showers in April revived crop prospects across the state and helped farmers avoid a developing drought, while above-normal temperatures warmed soil in February and March to prevent three separate freezes from damaging immature plants. Wheat prices are near the lowest since June 2010 after bumper harvests in the European Union, Russia, Ukraine and India pushed global reserves to a five-year high.

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Industrial Metals (15.3% of BCOM; May performance -7.27%)

For iron ore, if April was a party then May’s been the aftermath. Benchmark prices capped the biggest monthly loss since August 2012 as a rally driven by a speculative frenzy in China reversed into a back-to-reality slump when the fervor faded. Ore with 62% content has lost 24% in May to unwind April’s 23% rally, when prices posted a third monthly gain. The raw material has collapsed 29% since peaking at more than $70 on April 21, and last week dipped below the $50 level. The commodity’s boom turned to a bust as regulators in China moved to prevent the frenzy from getting out of hand and signs emerged of increased supply, including higher port stockpiles. Steel-product prices have also retraced, denting iron ore demand.

Metals slumped in May as Federal Reserve officials hinted at higher U.S. interest rates as soon as June, strengthening the dollar and making materials more expensive in other currencies. The U.S. currency was lifted to its highest level since March after Fed Chair Janet Yellen said that a rate increase may be in order in coming months. China’s central bank, meanwhile, cut the value of the yuan by the biggest monthly amount since August’s surprise devaluation. Money managers raised their bearish copper bets in the week ended May 24 by 38% to the most in four months, U.S. government data show.

Renewable energy and China’s economic shift toward consumer-led growth will be major catalysts for a new wave of copper demand that’ll accelerate a shortage forecast to develop from 2019, according to BHP Billiton Ltd., the world’s largest mining company. By 2040, the share of global electricity generated from renewable energy sources, including solar and wind, will double to 46%; and renewable sources will account for two-thirds of an estimated $12.2 trillion of investment in energy over the next 25 years, Bloomberg New Energy forecasts. Wind, solar and hydro-electricity systems need as much as 12 times more copper than traditional power generation, according to the Copper Development Association. In China, power generation accounts for almost half of the metal’s usage.

China, maker of about half the world’s aluminum, will export less in 2016 as output expands at the slowest pace in five years and a price rebound fails to spur substantial smelter restarts, according to United Co. Rusal, the biggest producer outside the Asian country. The major part of idled capacity is still unprofitable at current levels. China’s aluminum production fell 2% in the first three months of the year, while overseas shipments shrank 10% through April, government data show. Demand will grow faster than production this year in China, curbing overseas shipments as smelters find better prices at home, Rusal said. Domestic use already increased 6% in the first quarter on year, Standard Chartered Plc analysts show. In a sign of tighter supplies, inventories monitored by the Shanghai Futures Exchange have tumbled about 12% since the middle of March.

China is shipping in record volumes of nickel as demand for the metal used in stainless steel surges amid tight domestic supplies. Imports of refined nickel jumped 167% from a year earlier to an all-time high of 48,592 tons, while purchases of the lower-grade ferronickel expanded 43% to 107,161 tons, also the most ever. Demand is rising faster than expected in China and may tip the global market into a shortage this year, pushing nickel toward $10,000 a ton by the end of 2016, according to Macquarie Group Ltd.

Demand is set to exceed supply of industrial metals - led by zinc - after supply gluts and three years of declining prices deterred production, Glencore Plc said. Refined zinc production will trail consumption by 352,000 tons this year, the International Lead and Zinc Study Group said in April, widening its deficit forecast from 152,000 tons in October. BHP Billiton said separately that it isn’t waiting for prices to recover as it boosts investments in copper and oil. The shortfall in refined copper will reach 56,000 tons in 2016, the International Copper Study Group said in March, reversing previously predicted surplus of 175,000 tons.

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Precious Metals (15.0% of BCOM; May performance -7.07%)

After a roaring start to the year, the excitement over bullion dissipated in May on increasing expectations that the Fed is getting ready to raise U.S. interest rates again as the economy improves. The net-long position in gold futures and options fell 26% to 169,491 contracts in the week ended May 24, according to CFTC data. Prices in May capped the first monthly decline this year. Improving U.S. growth is adding to the negative outlook for the metal, which some investors buy to guard against economic malaise.

According to the largest lender in the United Arab Emirates - which is advising clients to hold up to 10% of portfolios in bullion and buy recent dips - gold may rally to $1,400 an ounce in the near term and go on to hit $1,800 by the end of next year. A premature hike by the Fed may lead to a slide in inflation, a pullback in growth and greater volatility, causing investors to shun risky assets, according to Emirates NBD PJSC.

A major Japanese electronics maker approached First Majestic Silver Corp. for the first time last month seeking to lock in future stock, a sign of supply concerns that could boost the metal’s price nine-fold to $140 an ounce by as early as 2019, according to the best-performing producer of the metal. That’s a bold forecast. While silver has rallied 16% this year to leapfrog gold as the best-performing precious metal, it settled at $15.994 at the end of May and reached a record of just under $50 in 2011. The highest projection among analysts surveyed by Bloomberg is $57 an ounce in 2019.

Softs (7.1% of BCOM; May performance +3.78%)

El Nino has ended. The tropical Pacific Ocean is in a neutral state and outlooks suggest little chance of indicators returning to El Nino levels, Australia’s Bureau of Meteorology said. Mid-May marked the end of the event that reduced Indian rainfall, parched farmland in Asia and curbed cocoa production in parts of Africa. The 2015-16 El Nino was one of the three strongest on record, generating the hottest global temperatures in more than 130 years, according to the U.S. National Centers for Environmental Information. El Nino boosted palm oil prices to a two-year high in March, while declining coffee production in Indonesia and Vietnam helped spur the longest rally in two decades for arabica coffee futures. Weather watchers are now waiting for La Nina, a cooling of the tropical Pacific sometimes thought of as El Nino’s opposite. The U.S. Climate Prediction Center says there’s a 75% chance it will develop by year’s end, while Australia’s weather bureau says the majority of climate models suggest La Nina is likely to form between June and August. La Nina can also roil agricultural markets as it changes weather, with the pattern typically contributing to more hurricanes in the Atlantic and heavy rain in Indonesia and India. The previous La Nina began in 2010 and endured into 2012.

A record sugar crop in Brazil’s center south, the main growing region of the world’s largest producer, means this season’s global shortage will be 29% smaller than previously thought, according to Kingsman. World production will fall short of demand by 5.48 million tons in the season started last October, down from an earlier estimate of 7.67 million tons. Output in the Brazilian region will climb to 36.4 million tons, 3.7% more than an earlier forecast. That would be a record, data from industry group Unica showed. Surplus stockpiles accumulated in the previous five seasons will disappear next year, the International Sugar Organization said. While Brazil is boosting supplies for now, global shortages will widen to 7.3 million tons in the 12 months starting October as dry weather hurts crops in Thailand, according to Kingsman. Output in the Asian nation, the second-biggest exporter, will be 9.6 million tons in 2016-17, 18% less than an earlier forecast. Barely a year after ordering sugar mills to compulsorily export from a mountain of stockpiles, India is struggling to cope with spiraling prices and a potential shortage. After the strongest El Nino in two decades shriveled crops, India’s production is set to decline for a second year to the smallest in seven years. That’s alarmed the federal government, which may lower the import duty may and scrap exports to prevent any further jump in prices. India’s likely transition from an exporter to importer comes amid a rally in global prices to a 26-month high, driven by prospects of the first world deficit in sugar in five years.

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Recent heavy rainfall in Brazil will disrupt sugar shipments in the largest producer, potentially increasing congestion at ports struggling to deal with an early start to the harvest. Raw sugar rallied to the highest in almost two years as vessel queues lengthened at Brazilian ports and rain was forecast to slow loadings.

Heavy rains in Brazil are also slowing this year’s coffee harvest and threatening to reduce bean quality in the world’s largest producer. Coffee areas of southern and southeastern Minas Gerais, which account for 29% of arabica production, got 21% more rainfall than normal in the past month, Somar data compiled by Bloomberg show. Precipitation in the Zona da Mata region of Minas Gerais state, which makes up 11% of output, was a quarter more than usual. Rainfall at the start of the harvest can break down mature beans and harm bean drying. Robusta coffee climbed to the highest level in almost nine months as the worst drought in three decades in top grower Vietnam threatens next season’s crop. Dry weather remains fairly widespread in Vietnam, the world’s largest producer of the robusta variety used to make instant coffee. That’s threatening the development of the crop that starts there in October. Production in the 2016-17 season will probably fall to the lowest since 2012-13, according to a Bloomberg survey of traders. Global supply is shrinking as El Nino weather conditions cause crop losses in Southeast Asia and South America. Coffee production in Indonesia will probably drop 10% this year after dry weather caused by the strongest El Nino since 1997-98 which damaged some crops and delayed the harvest. Farmers in the world’s third-largest grower of robusta may reap 570,000 tons of beans in the season that started April 1, down from a record 636,300 tons a year earlier, according to the median of five traders estimates compiled by Bloomberg. That would be the steepest decline since 2011-12, data from the U.S. Department of Agriculture showed.

Soaring demand for China’s state cotton reserves may curb imports by the world’s biggest consumer, according to the U.S. Department of Agriculture. About 120,350 tons were sold in the first week of auctions that began May 3 compared with a total of 63,413 tons during 2015, the USDA said. The purchase rate of more than 99% compares with 3.4% for all of 2015. Reserve sales climbed to 240,266 tons by May 12, according to Cncotton.com, an industry website owned by state-run China National Cotton Information Center. China will sell as much as 2 million tons through August to reduce its inventories to a reasonable level, the National Development and Reform Commission and Ministry of Finance said last month. China’s cotton stockpiles have climbed almost six-fold in the past five years and it now has about 60% of world reserves. U.S. and Australian cotton were most popular in the auctions and were purchased at a higher price, the USDA said.

Livestock (5.0% of BCOM; May performance +2.42%)

Americans celebrating Memorial Day - the unofficial kick-off to summer and the bbq/grilling season - had a windfall with the cheapest retail prices for ground beef in two years. Bumper grains crops have reduced costs to feed animals and cattle ranchers have been expanding their herds. That’s good news for consumers who will see beef prices drop as much as 2% this year as annual production increases for the first time since 2010, the U.S. Department of Agriculture predicts. Hedge funds are betting that the lure of low-cost meat will help stimulate demand and help cattle futures to rebound.

CME Lean Hogs Managed Money Net Total

Bullish bets for soybeans, soybean meal and the hogs that eat the animal feed rose to the highest since 2014, after floods spurred crop and quality concerns in Argentina, the world’s biggest exporter of the feed product.

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Composite Indices * Click hyperlinks to open in Bloomberg

2015May Apr Q1 Q4 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Bloomberg Commodity ER BCOM -0.21% 8.49% 0.34% -10.55% 8.63% -15.46% -34.67% -48.76% -51.70% -25.74%Bloomberg Commodity TR BCOMTR -0.19% 8.51% 0.42% -10.52% 8.76% -15.32% -34.52% -48.57% -46.81% 17.78%

Bloomberg Commodity Spot BCOMSP -0.07% 10.17% 3.58% -7.16% 14.03% -6.85% -26.03% -36.48% 12.36% 158.46%Bloomberg Roll Select BCOMRST -0.23% 7.87% 1.64% -9.39% 9.39% -12.87% -31.41% -44.50% -22.29% 169.45%

1 Month Forward BCOMF1T -0.33% 8.43% 1.09% -9.53% 9.26% -13.73% -31.63% -44.96% -33.58% 121.62% 2 Month Forward BCOMF2T -0.20% 8.07% 1.28% -9.47% 9.24% -13.71% -32.04% -46.45% -32.00% 154.61% 3 Month Forward BCOMF3T -0.31% 7.93% 1.50% -8.70% 9.20% -12.89% -30.85% -44.81% -24.15% 171.71% 4 Month Forward BCOMF4T -0.15% 7.83% 1.72% -8.06% 9.53% -11.60% -29.17% -42.80% -16.25% 5 Month Forward BCOMF5T -0.30% 7.78% 1.80% -7.85% 9.40% -11.38% -29.51% -42.76% -13.31% 6 Month Forward BCOMF6T -0.34% 7.61% 1.98% -7.70% 9.36% -11.09% -29.16% -42.32% -9.34%

Energy BCOMENTR 3.08% 13.43% -9.31% -22.70% 6.04% -36.63% -58.88% -70.00% -88.25% -46.93%Petroleum BCOMPETR 4.35% 14.82% -5.69% -23.12% 13.00% -35.85% -57.17% -61.37% -72.22% 72.14%Agriculture BCOMAGTR 3.43% 7.03% 0.71% -2.17% 11.48% 7.50% -24.15% -35.54% 9.31% -29.85%

Grains BCOMGRTR 1.76% 8.57% 0.12% -7.71% 10.62% 4.39% -31.96% -33.59% 10.72% -46.70%Industrial Metals BCOMINTR -7.27% 7.18% 2.29% -8.25% 1.67% -21.10% -32.74% -52.96% -51.14% 55.73%Precious Metals BCOMPRTR -7.07% 7.26% 15.29% -5.02% 14.91% 0.00% -18.18% -34.47% 61.70% 207.58%

Softs BCOMSOTR 3.78% 2.21% -0.98% 11.18% 5.04% 10.57% -20.02% -52.30% -30.07% -34.61%Livestock BCOMLITR 2.42% -3.47% 1.15% -3.45% 0.01% -13.58% -5.83% -10.70% -46.77% -53.63%Ex-Energy BCOMXETR -1.81% 6.27% 4.54% -4.35% 9.08% -3.39% -23.04% -37.60% -4.74% 22.96%

Ex-Petroleum BCOMXPET -1.78% 6.49% 1.55% -6.52% 6.22% -8.40% -29.47% -46.95% -42.59%Ex-Natural Gas BCOMXNGT -0.09% 8.50% 2.51% -9.35% 11.13% -12.57% -30.42% -41.96% -22.22%Ex-Agriculture BCOMXAGT -1.69% 9.14% 0.14% -14.12% 7.45% -23.59% -39.33% -54.06% -62.98%

Ex-Grains BCOMXGRT -0.58% 8.50% 0.40% -11.12% 8.30% -18.84% -35.37% -51.87% -56.96%Ex-Industrial Metals BCOMXIMT 1.21% 8.79% 0.00% -10.92% 10.10% -14.20% -35.10% -47.83% -48.93%Ex-Precious Metals BCOMXPMT 1.13% 8.75% -2.40% -11.60% 7.35% -18.25% -37.80% -51.50% -55.29%

Ex-Softs BCOMXSOT -0.48% 9.00% 0.56% -12.22% 9.09% -17.20% -35.81% -48.48% -48.84%Ex-Livestock BCOMXLIT -0.33% 9.22% 0.38% -10.87% 9.28% -15.37% -35.94% -50.26% -47.20%

Ex-Agriculture & Livestock BCOMXALT -2.00% 10.23% 0.06% -14.90% 8.09% -24.26% -41.70% -56.72% -65.03%S&P 500 Total Return SPXT 1.80% 0.39% 1.35% 7.04% 3.57% 1.72% 36.98% 73.62% 104.40% 355.62%

Bloomberg US Treasury Bond BUSY 0.01% -0.11% 3.18% -0.96% 3.08% 3.21% 7.83% 16.54%Bloomberg USD IG Corporate Bond BUSC -0.10% 1.36% 3.93% -0.56% 5.24% 3.61% 11.24% 26.27%Bloomberg USD HY Corporate Bond BUHY 0.58% 3.90% 3.69% -1.51% 8.36% -0.20% 8.71% 29.03%

Bloomberg Dollar Spot BBDXY 3.70% -1.93% -4.08% 1.55% -2.46% 0.87% 15.86% 29.30% 16.56%

Single Commodity Indices

2015May Apr Q1 Q4 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas BCOMNGTR -1.45% 8.68% -21.75% -22.00% -16.18% -41.15% -67.14% -86.42% -98.89% -99.26%WTI Crude BCOMCLTR 5.19% 15.58% -11.51% -23.40% 7.58% -41.40% -61.94% -69.16% -81.34% 19.40%

Brent Crude BCOMCOT 4.08% 16.21% -0.38% -26.46% 20.49% -37.10% -60.59% -62.66% -59.91% 321.80%ULS Diesel BCOMHOTR 7.40% 15.14% 0.61% -31.09% 24.41% -34.23% -52.36% -56.92% -61.08% 86.74%

Unleaded Gasoline BCOMRBTR 0.34% 10.45% -11.75% -8.67% -2.20% -27.61% -48.19% -40.88% -41.84% 297.70%Corn BCOMCNTR 3.34% 10.59% -3.26% -9.55% 10.57% 5.10% -44.47% -44.06% -17.15% -83.72%

Soybeans BCOMSYTR 4.76% 12.07% 4.96% -3.92% 23.22% 16.37% -0.12% 18.12% 170.80% 280.72%Wheat BCOMWHTR -4.89% 1.70% -0.11% -8.88% -3.38% -7.42% -44.40% -60.54% -64.03% -93.21%

Soybean Oil BCOMBOTR -3.96% -3.91% 10.52% 10.62% 1.99% -8.08% -39.68% -54.83% -22.92% -41.58%Soybean Meal BCOMSMT 18.49% 22.80% 1.10% -14.35% 47.10% 34.32% 50.79% 112.83% 506.99% 1392.89%HRW Wheat BCOMKWT -6.51% -1.82% -0.43% -9.51% -8.61% -21.82% -50.92% -66.21% -58.78% -79.18%

Copper BCOMHGTR -8.21% 4.22% 2.18% -9.17% -2.25% -24.16% -37.59% -52.64% -44.01% 168.51%Alumnium BCOMALTR -7.86% 10.59% -0.13% -5.45% 1.77% -14.81% -32.36% -57.46% -65.03% -40.06%

Zinc BCOMZSTR -0.89% 6.59% 12.40% -5.77% 18.74% -14.27% -9.00% -28.75% -59.02% 30.34%Nickel BCOMNITR -10.87% 11.17% -4.12% -15.53% -5.00% -34.13% -45.83% -66.85% -58.81% 82.80%Gold BCOMGCTR -5.82% 4.46% 16.49% -4.97% 14.61% 1.90% -13.58% -22.76% 74.50% 195.98%Silver BCOMSITR -10.22% 14.97% 11.95% -5.18% 15.56% -5.31% -30.61% -60.42% 15.27% 172.18%Sugar BCOMSBTR 7.19% 4.64% 1.36% 18.36% 13.69% 29.96% -29.38% -42.72% -46.41% 6.26%Coffee BCOMKCTR 0.07% -6.15% -1.11% 1.46% -7.13% -12.94% -28.43% -70.74% -50.07% -69.88%Cotton BCOMCTTR 0.29% 10.01% -8.39% 4.46% 1.07% -1.94% -12.28% -49.00% -12.72% -78.40%

Live Cattle BCOMLCTR 5.72% -7.32% -2.43% 2.90% -4.41% -17.75% 3.70% -1.68% -25.36% -1.18%Lean Hogs BCOMLHTR -1.15% 1.07% 7.38% -13.73% 7.28% -5.85% -21.19% -25.76% -71.13% -88.12%

Index Name Ticker

Index Name Ticker

PERFORMANCE: Bloomberg Commodity Indices

2016

2016

8

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Composite Roll Select Indices * Click hyperlinks to open in Bloomberg

2015May Apr Q1 Q4 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

BCOM Roll Select BCOMRST -0.23% 7.87% 1.64% -9.39% 9.39% -12.87% -31.41% -44.50% -22.29% 169.45%Roll Select Agriculture BCOMRAGT 2.58% 6.25% 0.87% -2.51% 9.94% 5.68% -26.27% -35.26% 41.56% 24.99%

Roll Select Ex-Ags & Livestock BBURXALT -1.65% 9.53% 2.10% -13.04% 9.98% -19.99% -36.83% -51.41% -47.94%Roll Select Grains BCOMRGRT 1.72% 7.51% -0.08% -7.88% 9.28% 3.60% -35.34% -34.54% 45.81% -2.04%Roll Select Softs BCOMRSOT 3.35% 2.73% 0.19% 10.35% 6.36% 8.97% -17.57% -49.23% -5.86% 18.25%

Roll Select Livestock BCOMRLIT 2.25% -3.76% -0.82% -3.73% -2.40% -15.31% 0.34% -6.55% -0.41% 82.06%Roll Select Energy BCOMRENT 3.47% 12.03% -4.19% -18.93% 11.06% -28.16% -50.83% -61.82% -74.86% 173.93%

Roll Select Ex-Energy BCOMRXET -2.11% 5.90% 4.37% -4.47% 8.19% -4.15% -23.28% -36.82% 22.18% 113.21%Roll Select Petroleum BCOMRPET 4.74% 12.70% -2.32% -18.48% 15.30% -28.66% -50.87% -54.56% -45.75% 503.14%

Roll Select Industrial Metals BCOMRINT -6.92% 6.82% 2.05% -8.17% 1.47% -20.87% -31.69% -51.55% -38.73% 139.15%Roll Select Precious Metals BCOMRPRT -6.92% 7.35% 15.27% -5.03% 15.18% 0.24% -17.90% -34.03% 62.95% 216.66%

Single Commodity Roll Select Indices

2015May Apr Q1 Q4 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas RS BCOMRNGT -0.75% 9.86% -11.20% -20.56% -3.18% -29.17% -54.25% -76.90% -96.14% -82.59%WTI Crude RS BCOMRCLT 5.59% 12.13% -2.46% -15.36% 15.48% -25.91% -51.85% -57.89% -49.46% 548.19%

Brent Crude RS BCOMRCOT 3.19% 13.51% -2.81% -21.74% 13.83% -33.43% -54.35% -58.02% -42.95% 637.89%ULS Diesel RS BCOMRHOT 8.01% 12.30% -0.31% -27.49% 20.92% -31.65% -50.95% -56.71% -49.67% 275.09%

Unleaded Gasoline RS BCOMRRBT 2.77% 12.58% -2.85% -10.74% 12.41% -23.38% -42.25% -36.52% -25.98% 675.22%Corn RS BCOMRCNT 3.24% 10.59% -3.81% -10.32% 9.83% 4.55% -47.36% -45.39% 5.60% -69.91%

Soybeans RS BCOMRSYT 4.79% 9.00% 5.22% -3.90% 20.18% 14.30% -4.52% 19.41% 199.70% 346.44%Wheat RS BCOMRWHT -4.79% 1.63% -0.50% -7.82% -3.73% -7.09% -46.45% -62.17% -32.31% -69.93%

Soybean Oil RS BCOMRBOT -4.12% -3.18% 10.46% 10.56% 2.54% -6.83% -37.61% -51.98% -7.19% -3.67%Soybean Meal RS BCOMRSMT 11.62% 18.53% 1.21% -14.38% 33.91% 22.62% 32.89% 106.98% 540.75% 1450.75%HRW Wheat RS BCOMRKWT -6.51% -1.73% -0.28% -9.23% -8.38% -20.37% -51.33% -64.83% -32.21% -51.81%

Copper RS BCOMRHGT -7.98% 4.08% 1.76% -9.34% -2.54% -24.44% -38.15% -52.70% -33.20% 301.57%Alumnium RS BCOMRALT -6.88% 9.48% -0.13% -5.34% 1.81% -13.71% -28.65% -54.05% -56.26% -6.94%

Zinc RS BCOMRZST -1.03% 6.64% 11.68% -5.26% 17.86% -14.38% -8.26% -27.17% -45.40% 99.78%Nickel RS BCOMRNIT -10.77% 11.06% -3.92% -14.97% -4.79% -33.62% -44.72% -65.75% -44.00% 208.35%Gold RS BCOMRGCT -5.62% 4.56% 16.53% -4.98% 14.99% 2.22% -13.36% -22.44% 74.25% 197.81%Silver RS BCOMRSIT -10.18% 15.03% 11.81% -5.15% 15.52% -5.29% -30.14% -59.77% 19.63% 200.87%Sugar RS BCOMRSBT 6.48% 5.61% 4.10% 16.60% 17.06% 27.46% -22.74% -36.21% -16.64% 131.05%Coffee RS BCOMRKCT -0.18% -5.81% -1.08% 1.65% -7.00% -12.99% -26.69% -69.52% -41.41% -49.08%Cotton RS BCOMRCTT -0.02% 10.01% -8.92% 5.29% 0.17% -2.23% -15.14% -46.85% 9.80% -66.02%

Live Cattle RS BCOMRLCT 5.72% -7.32% -2.88% 2.24% -4.84% -16.88% 2.19% -4.26% 7.62% 94.83%Lean Hogs RS BCOMRLHT -2.13% 1.18% 1.77% -13.68% 0.78% -13.79% -6.06% -13.40% -20.61% 20.41%

PERFORMANCE: Bloomberg Commodity Roll Select Indices

Index Name Ticker

Index Name Ticker

2016

2016

9

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PERFORMANCE: Historical Return * Click hyperlinks to open in Bloomberg

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

Bloomberg Commodity Composite Indices

Commodities vs. Equities vs. Bonds vs. USD

Bloomberg Commodity Energy Subindices

Bloomberg Commodity Forward Indices

Bloomberg Commodity Group Subindices

Bloomberg Commodity Grains Subindices

-100%0%

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BloombergCommodity Index ER

BloombergCommodity Index TR

BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select

-50%0%

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00 02 04 06 08 10 12 14

Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

-60%-40%-20%

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BloombergCommodity Index TR

S&P 500 Total ReturnIndex

Bloomberg USTreasury Bond Index

Bloomberg USCorporate Bond Index

Bloomberg USD HYCorporate Bond Index

Bloomberg U.S. DollarSpot Index

-200%

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BCOM Constituent Weights BCOM Index MEMB <GO> * Click hyperlinks to open in Bloomberg

Group Commodity Ticker May 2016 Contrib to Return %

May 31 2016 Weight

Apr 29 2016 Weight

May 2016 Weight Change

2016 Target Weight

Natural Gas NG -0.11 7.23% 7.33% -0.10% 8.45% WTI Crude CL 0.45 8.91% 8.47% 0.44% 7.47%

Brent Crude CO 0.38 9.36% 8.81% 0.55% 7.53% ULS Diesel HO 0.31 4.47% 4.16% 0.31% 3.83% Gasoline XB 0.01 4.34% 4.32% 0.02% 3.75%Subtotal 1.04 34.31% 33.09% 1.22% 31.03%

Corn C 0.23 7.21% 6.98% 0.23% 7.36% Soybeans S 0.28 6.09% 5.81% 0.28% 5.70%

Wheat W -0.15 2.86% 3.00% -0.14% 3.33% Soybean Oil BO -0.11 2.59% 2.70% -0.11% 2.84%

Soybean Meal SM 0.57 3.59% 3.03% 0.56% 2.84% HRW Wheat KW -0.07 0.96% 1.02% -0.06% 1.15%

Subtotal 0.76 23.30% 22.54% 0.76% 23.22% Copper HG -0.60 6.55% 7.13% -0.58% 7.63%

Aluminum LA -0.36 4.14% 4.49% -0.35% 4.60% Zinc LX -0.03 2.69% 2.71% -0.02% 2.53%

Nickel LN -0.25 1.97% 2.21% -0.24% 2.36%Subtotal -1.24 15.35% 16.54% -1.19% 17.11%

Gold GC -0.68 10.86% 11.50% -0.64% 11.38% Silver SI -0.48 4.12% 4.59% -0.47% 4.21%

Subtotal -1.16 14.98% 16.09% -1.11% 15.59% Sugar SB 0.25 3.76% 3.51% 0.25% 3.63% Coffee KC 0.01 1.99% 1.99% 0.00% 2.29% Cotton CT 0.00 1.32% 1.31% 0.01% 1.49%

Subtotal 0.26 7.07% 6.81% 0.26% 7.41% Live Cattle LC 0.15 2.64% 2.57% 0.07% 3.57% Lean Hogs LH -0.03 2.36% 2.37% -0.01% 2.06%

Subtotal 0.12 5.00% 4.94% 0.06% 5.63%Total -0.21 100% 100% 100%

Commodity Price ForecastsCPFC <GO>

Group Commodity Q2 16 Q3 16 Q4 16 Q1 17Forward 2.09 2.37 2.92 2.99Forecast 2.10 2.35 2.50 2.90Forward 45.85 50.24 51.13 51.54Forecast 40.00 44.00 47.00 49.00Forward 47.17 51.03 51.93 52.56Forecast 41.00 45.00 48.50 50.25Forward 139.20 152.24 139.27 139.27Forecast 130.00 131.00 129.00 129.00Forward 157.02 157.42 142.43 151.87Forecast 145.15 150.00 154.00 157.00Forward 392.07 413.90 414.63 420.79Forecast 378.00 375.00 380.00 375.00Forward 1,036.50 1,073.15 1,055.11 1,033.07Forecast 925.00 920.00 930.00 920.00Forward 472.93 493.40 510.91 525.65Forecast 476.00 480.00 496.50 470.00Forward 4,755 4,697 4,693 4,691Forecast 4,764 4,900 5,000 5,025Forward 1,559 1,556 1,565 1,573Forecast 1,550 1,579 1,602 1,618Forward 1,875 1,901 1,904 1,904Forecast 1,834 1,850 1,900 1,950Forward 8,645 8,422 8,459 8,495Forecast 8,950 9,250 9,777 9,625Forward 1,239 1,218 1,221 1,225Forecast 1,230 1,200 1,200 1,186Forward 16.50 16.31 16.39 16.45Forecast 15.50 15.50 15.50 15.25Forward 16.42 17.68 17.95 17.80Forecast 15.08 14.85 15.13 15.27Forward 122.83 123.23 126.34 128.93Forecast 122.90 125.00 129.00 132.00Forward 62.72 64.36 63.96 64.19Forecast 62.35 61.70 62.65 62.35

Softs

Bloomberg survey of commodity analysts

Energy

Grains

Industrial Metals

Precious Metals

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

Corn

Soybeans

Wheat

Copper

Aluminum

Coffee

Cotton

Zinc

Nickel

Gold

Silver

Sugar

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains

11

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Composite Indices

Bloomberg Commodity ER BCOM 15.23% 15.84% 15.91% 13.07% 13.76% 17.91% 16.08%Bloomberg Commodity TR BCOMTR 15.23% 15.84% 15.91% 13.07% 13.76% 17.90% 16.08%

Bloomberg Commodity Spot BCOMSP 15.27% 16.16% 16.04% 13.17% 13.83% 17.98% 16.18%Bloomberg Roll Select BCOMRST 14.34% 14.81% 14.72% 12.20% 12.95% 16.87% 14.68%

1 Month Forward BCOMF1T 14.88% 15.53% 15.58% 12.72% 13.45% 17.56% 15.53% 2 Month Forward BCOMF2T 14.51% 15.10% 15.22% 12.43% 13.18% 17.26% 15.01% 3 Month Forward BCOMF3T 14.21% 14.84% 14.92% 12.14% 12.96% 16.98% 14.59% 4 Month Forward BCOMF4T 13.65% 14.41% 14.61% 11.88% 12.72% 16.71% 5 Month Forward BCOMF5T 13.01% 13.91% 14.17% 11.48% 12.34% 16.23% 6 Month Forward BCOMF6T 13.01% 13.91% 14.17% 11.48% 12.34% 16.23%

Energy BCOMENTR 25.32% 30.40% 35.04% 27.90% 25.62% 29.22% 30.79%Petroleum BCOMPETR 29.43% 36.85% 43.54% 32.82% 29.63% 33.63% 33.31%Agriculture BCOMAGTR 19.01% 16.39% 16.10% 14.88% 16.72% 20.91% 18.36%

Grains BCOMGRTR 22.66% 19.41% 19.93% 18.60% 20.78% 25.17% 22.55%Industrial Metals BCOMINTR 15.80% 18.74% 19.85% 16.95% 19.18% 25.58% 22.38%Precious Metals BCOMPRTR 14.23% 17.58% 17.24% 18.84% 20.80% 22.94% 19.81%

Softs BCOMSOTR 20.00% 21.16% 20.63% 20.17% 20.00% 22.48% 20.72%Livestock BCOMLITR 13.94% 12.94% 16.76% 14.11% 13.47% 14.20% 14.49%Ex-Energy BCOMXETR 13.17% 12.77% 11.62% 10.82% 12.63% 16.55% 13.83%

Ex-Petroleum BCOMXPET 12.34% 12.51% 11.60% 10.88% 12.37% 16.34%Ex-Agriculture BCOMXAGT 16.06% 18.97% 19.77% 15.81% 15.91% 19.68%

Ex-Grains BCOMXGRT 13.17% 12.77% 11.62% 10.82% 12.63% 16.55%Ex-Industrial Metals BCOMXIMT 15.35% 17.29% 17.77% 14.33% 14.65% 18.53%Ex-Precious Metals BCOMXPMT 16.00% 16.39% 16.72% 14.01% 14.38% 18.20%

Ex-Softs BCOMXSOT 16.65% 17.01% 18.11% 14.47% 14.72% 18.92%Ex-Livestock BCOMXLIT 15.54% 16.39% 16.58% 13.63% 14.24% 18.44%

Ex-Agriculture & Livestock BCOMXALT 16.06% 18.97% 19.77% 15.81% 15.91% 19.68%S&P 500 Total Return Index SPXT 11.03% 10.90% 16.63% 13.42% 15.72% 20.89% 19.65%

Bloomberg US Treasury Bond Index BUSY 3.72% 3.59% 4.13% 3.94% 4.09%Bloomberg USD IG Corporate Bond Index BUSC 3.39% 3.29% 3.98% 4.10% 4.35%Bloomberg USD HY Corporate Bond Index BUHY 2.50% 3.90% 4.72% 3.68% 3.45%

Bloomberg U.S. Dollar Spot Index BBDXY 5.39% 6.72% 6.58% 6.21% 6.39% 7.09%

Single Commodity Indices

Natural Gas BCOMNGTR 37.45% 38.52% 38.22% 38.97% 39.04% 43.18% 46.94%WTI Crude BCOMCLTR 28.36% 40.03% 47.12% 36.28% 33.03% 36.06% 34.94%

Brent Crude BCOMCOT 31.67% 38.72% 46.03% 34.27% 30.31% 33.56% 32.47%ULS Diesel BCOMHOTR 29.49% 38.52% 41.82% 30.34% 26.99% 31.17% 32.75%

Unleaded Gasoline BCOMRBTR 33.45% 32.82% 41.88% 32.31% 29.47% 34.55% 34.38%Corn BCOMCNTR 26.42% 23.05% 22.97% 22.82% 25.80% 30.87% 26.86%

Soybeans BCOMSYTR 27.40% 20.43% 20.06% 19.75% 20.29% 24.71% 23.81%Wheat BCOMWHTR 26.70% 27.25% 26.91% 25.28% 28.38% 34.04% 29.61%

Soybean Oil BCOMBOTR 21.00% 18.59% 21.69% 19.96% 19.50% 23.90% 23.45%Soybean Meal BCOMSMT 35.56% 28.44% 23.70% 24.76% 24.73% 28.08% 26.66%HRW Wheat BCOMKWT 23.76% 26.09% 25.35% 23.70% 26.13% 30.85% 26.85%

Copper BCOMHGTR 15.54% 19.82% 22.61% 19.53% 22.30% 30.67% 27.74%Alumnium BCOMALTR 15.39% 16.37% 17.19% 16.99% 18.90% 23.34% 20.59%

Zinc BCOMZSTR 23.74% 27.80% 28.22% 21.37% 22.81% 33.84% 28.42%Nickel BCOMNITR 29.19% 33.17% 33.74% 28.54% 29.05% 38.99% 35.70%Gold BCOMGCTR 13.74% 15.86% 15.84% 16.85% 18.31% 20.09% 17.69%Silver BCOMSITR 18.81% 25.73% 25.34% 27.93% 32.12% 35.42% 30.67%Sugar BCOMSBTR 31.52% 32.26% 32.32% 25.95% 26.68% 33.36% 31.97%Coffee BCOMKCTR 26.57% 27.06% 29.24% 36.02% 33.56% 31.25% 36.62%Cotton BCOMCTTR 19.13% 17.46% 17.70% 18.69% 22.71% 27.07% 25.93%

Live Cattle BCOMLCTR 17.79% 17.45% 18.56% 14.92% 14.23% 14.31% 14.38%Lean Hogs BCOMLHTR 17.59% 17.91% 26.18% 22.67% 20.92% 22.58% 24.15%

5-Year 10-Year

5-Year 10-Year 20-Year

20-Year

VOLATILITY: Realized

Index Name Ticker

Index Name Ticker

3-Mon 1-Year 3-Year1-Mon

1-Mon 3-Mon 1-Year 3-Year

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VOLATILITY: ImpliedVCA <GO> OVDV <GO>

TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%End of May 0% 43% 1% 1% 41% 0% 0% 35% 0%End of Apr 4% 45% -1% 2% 39% 0% 1% 35% 0%End of May 3% 36% 0% 2% 36% -1% 2% 37% -1%End of Apr 3% 40% 0% 2% 39% -2% 2% 39% -1%End of May 4% 34% 2% 1% 37% -1% 1% 39% -1%End of Apr 3% 40% 1% 1% 40% 0% 2% 40% 0%End of May 1% 32% -1% 0% 32% 0% 0% 33% 0%End of Apr 1% 39% -1% 1% 37% 0% 0% 35% 0%End of May 1% 35% 0% 0% 36% 0% 0% 39% 0%End of Apr 1% 39% -1% 0% 37% 0% -3% 42% 0%End of May 2% 24% 4% -1% 29% 2% -1% 27% 1%End of Apr -2% 25% 6% -2% 29% 3% -2% 27% 2%End of May 0% 22% 6% -3% 25% 4% -3% 21% 3%End of Apr 0% 26% 5% -3% 24% 4% -3% 20% 3%End of May 1% 20% 4% -3% 23% 3% -2% 23% 2%End of Apr -3% 27% 6% -3% 27% 3% -2% 26% 2%End of May 4% 22% 5% 0% 24% 2% 0% 21% 1%End of Apr 7% 22% 3% 0% 20% 1% 0% 19% 1%End of May 1% 38% 3% -2% 31% 3% -2% 26% 2%End of Apr -1% 32% 6% -2% 29% 4% -1% 25% 2%End of May 0% 20% 5% -3% 23% 3% -2% 23% 2%End of Apr -2% 22% 6% -3% 26% 3% -2% 25% 2%End of May 3% 21% -1% 1% 22% -1% 1% 23% -1%End of Apr 2% 21% -1% 1% 22% -2% 3% 22% -1%End of May 0% 18% 0% 0% 17% 1% 0% 17% 1%End of Apr 0% 19% -2% 0% 18% -1% 0% 18% 0%End of May 0% 26% 0% 0% 26% 0% 0% 26% 0%End of Apr 0% 26% 0% 0% 26% 0% 0% 26% 0%End of May 0% 31% 0% 0% 31% 0% 0% 31% 0%End of Apr 0% 15% 0% 0% 13% 0% 0% 32% 0%End of May 0% 14% 1% 0% 15% 1% 0% 16% 0%End of Apr 0% 16% 1% 0% 17% 1% 0% 17% 0%End of May 1% 23% 4% 0% 25% 2% 0% 26% 1%End of Apr 1% 29% 4% 0% 28% 2% 0% 28% 2%End of May 4% 34% 1% -1% 33% 1% -1% 30% 1%End of Apr 1% 31% 1% -1% 29% 1% -1% 28% 1%End of May -1% 29% 5% -2% 30% 3% -2% 29% 2%End of Apr -1% 28% 4% -2% 29% 3% -2% 29% 2%End of May 7% 22% 6% 1% 21% 3% 1% 20% 0%End of Apr 2% 20% 2% 1% 19% 1% 1% 18% 0%End of May 1% 19% 1% 2% 18% -1% 2% 16% -1%End of Apr 6% 23% -1% 2% 20% -1% 2% 17% -1%End of May 6% 18% 3% 3% 20% -1% 3% 20% -2%End of Apr 7% 17% 5% 1% 18% 0% 2% 19% -1%

Aluminum

Zinc

Nickel

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Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

Live

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Lean Hogs

Gra

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Prec

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M

etal

s Gold

Silver

Soft

s

Sugar

Coffee

Cotton

Soybean Oil

Soybean Meal

HRW Wheat

Indu

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als Copper

3M 6M

Corn

Soybeans

Wheat

1M

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Bloomberg Commodity Energy Subindices Bloomberg Commodity Grains Subindices

VOLATILITY: Historical 1-Year RealizedBloomberg Commodity Composite Indices Bloomberg Commodity Forward Indices

Commodities vs. Equities vs. Bonds vs. USD Bloomberg Commodity Group Subindices

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

5%

10%

15%

20%

25%

30%

35%

92 94 96 98 00 02 04 06 08 10 12 14 16

BloombergCommodity Index ER

BloombergCommodity Index TR

BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select

5%

10%

15%

20%

25%

30%

35%

02 03 04 05 06 07 08 09 10 11 12 13 14 15 16

Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

0%

5%

10%

15%

20%

25%

11 12 13 14 15 16

BloombergCommodity Index TRS&P 500 Total ReturnIndexBloomberg USTreasury Bond IndexBloomberg USCorporate Bond IndexBloomberg USD HYCorporate Bond IndexBloomberg U.S. DollarSpot Index

5%10%15%20%25%30%35%40%45%50%

92 94 96 98 00 02 04 06 08 10 12 14 16

Energy

Grains

Industrial Metals

Precious Metals

Softs

Livestock

10%

20%

30%

40%

50%

60%

70%

92 94 96 98 00 02 04 06 08 10 12 14 16

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Unleaded Gasoline10%

15%

20%

25%

30%

35%

40%

45%

50%

92 94 96 98 00 02 04 06 08 10 12 14 16

Corn

Soybeans

Wheat

Soybean Oil

Soybean Meal

HRW Wheat

10%

20%

30%

40%

50%

60%

70%

92 94 96 98 00 02 04 06 08 10 12 14 16

Copper

Alumnium

Zinc

Nickel0%

10%

20%

30%

40%

50%

60%

92 94 96 98 00 02 04 06 08 10 12 14 16

Gold

Silver

10%

20%

30%

40%

50%

60%

92 94 96 98 00 02 04 06 08 10 12 14 16

Sugar

Coffee

Cotton

5%

10%

15%

20%

25%

30%

35%

40%

92 94 96 98 00 02 04 06 08 10 12 14 16

Live Cattle

Lean Hogs

14

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Bloo

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Bloomberg Commodity 99% 100% 100% 99% 89% 86% 56% 45% 64% 36% 39% 28% 77% 95%Roll Select 99% 100% 100% 100% 87% 85% 57% 46% 65% 37% 39% 26% 78% 95%

1 Month Forward 100% 100% 100% 99% 88% 85% 57% 46% 65% 36% 39% 27% 77% 95%3 Month Forward 100% 100% 100% 100% 87% 85% 57% 46% 65% 36% 39% 26% 78% 95%6 Month Forward 99% 100% 99% 100% 87% 85% 57% 46% 66% 37% 39% 26% 78% 94%

Energy 89% 87% 88% 87% 87% 96% 24% 16% 42% 13% 21% 19% 39% 94%Petroleum 86% 85% 85% 85% 85% 96% 25% 16% 41% 11% 24% 20% 39% 90%Agriculture 56% 57% 57% 57% 57% 24% 25% 94% 32% 9% 53% 17% 80% 29%

Grains 45% 46% 46% 46% 46% 16% 16% 94% 21% 4% 24% 13% 69% 19%Industrial Metals 64% 65% 65% 65% 66% 42% 41% 32% 21% 27% 26% 18% 71% 63%Precious Metals 36% 37% 36% 36% 37% 13% 11% 9% 4% 27% 9% 2% 53% 39%

Softs 39% 39% 39% 39% 39% 21% 24% 53% 24% 26% 9% 15% 49% 26%Livestock 28% 26% 27% 26% 26% 19% 20% 17% 13% 18% 2% 15% 29% 20%Ex-Energy 77% 78% 77% 78% 78% 39% 39% 80% 69% 71% 53% 49% 29% 60%

Ex-Agriculture & Livestock 95% 95% 95% 95% 94% 94% 90% 29% 19% 63% 39% 26% 20% 60%S&P 500 Total Return Index 39% 40% 39% 40% 41% 39% 43% 18% 12% 34% -7% 21% 20% 25% 38%

S&P Energy 65% 64% 65% 64% 65% 70% 72% 20% 11% 40% 7% 25% 19% 33% 68%S&P Financial 37% 38% 37% 38% 39% 38% 42% 20% 14% 33% -12% 21% 17% 23% 36%

S&P Health Care 19% 20% 19% 20% 21% 19% 23% 8% 5% 25% -12% 9% 11% 12% 19%S&P Consumer Discretionary 30% 31% 30% 31% 32% 28% 33% 20% 13% 27% -11% 22% 20% 21% 27%

S&P IT 32% 33% 32% 32% 34% 31% 35% 17% 13% 29% -9% 13% 17% 21% 30%S&P Utilities 13% 13% 12% 13% 13% 14% 15% -1% -9% 9% 7% 21% 12% 7% 15%

S&P Consumers Staples 23% 24% 23% 24% 24% 24% 26% 8% 2% 19% -3% 17% 19% 14% 23%S&P Industrials 41% 42% 41% 41% 42% 39% 42% 20% 12% 39% -3% 24% 22% 29% 40%

S&P Telecommunication 33% 34% 33% 34% 34% 32% 35% 14% 9% 25% 4% 18% 20% 23% 33%S&P Materials 55% 56% 55% 56% 57% 53% 55% 25% 16% 45% 6% 25% 20% 38% 55%

Bloomberg US Treasury -34% -33% -33% -33% -34% -34% -37% -23% -20% -30% 20% -12% -7% -20% -31%Bloomberg USD IG Corporate -26% -25% -26% -25% -26% -27% -30% -17% -17% -22% 17% -6% -3% -14% -24%Bloomberg USD HY Corporate 36% 37% 36% 37% 38% 34% 35% 21% 14% 33% -4% 23% 16% 27% 34%

Bloomberg U.S. Dollar Spot -32% -32% -32% -32% -31% -22% -20% -13% -7% -22% -44% -20% -6% -33% -33%EURUSD 6% 6% 6% 6% 6% -4% -7% 2% -1% 3% 45% 10% -5% 18% 7%JPYUSD -12% -13% -12% -13% -14% -19% -21% -12% -8% -11% 42% -10% -9% 2% -9%CADUSD 59% 58% 58% 58% 58% 54% 54% 18% 8% 44% 33% 27% 16% 43% 61%MXNUSD 55% 55% 55% 55% 56% 51% 52% 24% 12% 45% 16% 35% 16% 41% 55%GBPUSD 27% 27% 27% 27% 27% 18% 18% 9% 5% 23% 36% 11% 7% 29% 28%AUDUSD 48% 49% 48% 49% 49% 35% 36% 24% 13% 48% 31% 29% 17% 48% 47%CHFUSD -2% -2% -2% -2% -3% -9% -12% -6% -8% -4% 42% 7% -10% 9% 1%KRWUSD 41% 41% 41% 41% 42% 26% 25% 23% 12% 38% 40% 31% 11% 45% 39%CNYUSD 25% 25% 25% 25% 25% 13% 14% 27% 24% 25% 9% 11% 8% 31% 19%

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Bloomberg Commodity 99% 100% 99% 99% 81% 77% 65% 57% 64% 51% 43% 24% 83% 93%Roll Select 99% 99% 99% 99% 79% 76% 65% 56% 65% 53% 44% 23% 84% 93%

1 Month Forward 100% 99% 100% 99% 80% 77% 66% 57% 65% 52% 44% 23% 84% 93%3 Month Forward 99% 99% 100% 100% 78% 77% 66% 57% 65% 53% 44% 23% 85% 92%6 Month Forward 99% 99% 99% 100% 77% 76% 65% 56% 67% 55% 44% 22% 85% 92%

Energy 81% 79% 80% 78% 77% 89% 26% 21% 33% 17% 20% 16% 36% 89%Petroleum 77% 76% 77% 77% 76% 89% 27% 19% 40% 21% 24% 16% 40% 83%Agriculture 65% 65% 66% 66% 65% 26% 27% 94% 30% 23% 54% 14% 80% 35%

Grains 57% 56% 57% 57% 56% 21% 19% 94% 21% 18% 26% 11% 71% 27%Industrial Metals 64% 65% 65% 65% 67% 33% 40% 30% 21% 42% 29% 13% 71% 65%Precious Metals 51% 53% 52% 53% 55% 17% 21% 23% 18% 42% 18% 5% 66% 53%

Softs 43% 44% 44% 44% 44% 20% 24% 54% 26% 29% 18% 13% 50% 29%Livestock 24% 23% 23% 23% 22% 16% 16% 14% 11% 13% 5% 13% 23% 17%Ex-Energy 83% 84% 84% 85% 85% 36% 40% 80% 71% 71% 66% 50% 23% 66%

Ex-Agriculture & Livestock 93% 93% 93% 92% 92% 89% 83% 35% 27% 65% 53% 29% 17% 66%S&P 500 Total Return Index 36% 37% 37% 38% 38% 32% 39% 20% 14% 39% 5% 20% 11% 28% 36%

S&P Energy 56% 55% 56% 56% 56% 57% 63% 24% 17% 42% 15% 25% 12% 36% 58%S&P Financial 31% 32% 32% 33% 33% 27% 34% 18% 12% 37% 1% 20% 8% 25% 30%

S&P Health Care 23% 23% 23% 24% 24% 19% 25% 13% 10% 28% 0% 13% 9% 18% 22%S&P Consumer Discretionary 28% 29% 29% 29% 30% 24% 31% 17% 13% 34% -1% 16% 11% 23% 27%

S&P IT 31% 32% 32% 33% 33% 26% 33% 18% 13% 36% 5% 16% 11% 26% 30%S&P Utilities 16% 17% 17% 17% 18% 15% 18% 8% 5% 15% 4% 13% 3% 12% 16%

S&P Consumers Staples 23% 24% 24% 24% 25% 19% 24% 12% 9% 26% 4% 14% 10% 19% 23%S&P Industrials 35% 35% 35% 36% 37% 29% 36% 19% 14% 40% 5% 19% 10% 28% 34%

S&P Telecommunication 23% 24% 23% 24% 25% 21% 26% 11% 8% 23% 4% 13% 9% 17% 23%S&P Materials 46% 47% 47% 47% 48% 39% 46% 24% 18% 46% 16% 23% 12% 38% 46%

Bloomberg US Treasury -22% -22% -22% -22% -22% -24% -28% -13% -11% -25% 13% -9% -5% -12% -21%Bloomberg USD IG Corporate -14% -13% -14% -14% -14% -18% -21% -8% -7% -16% 16% -4% -4% -4% -13%Bloomberg USD HY Corporate 27% 28% 28% 28% 29% 22% 27% 16% 12% 28% 6% 15% 9% 23% 26%

Bloomberg U.S. Dollar Spot -41% -42% -42% -42% -43% -27% -30% -24% -17% -33% -37% -28% -8% -40% -40%EURUSD 34% 34% 34% 34% 35% 18% 19% 19% 13% 33% 37% 23% 3% 37% 33%JPYUSD 3% 4% 3% 3% 3% -6% -6% 4% 4% -5% 29% 5% -3% 11% 2%CADUSD 54% 55% 55% 55% 56% 43% 49% 25% 17% 46% 36% 28% 14% 46% 55%MXNUSD 48% 50% 49% 50% 51% 36% 42% 26% 17% 47% 30% 31% 10% 44% 48%GBPUSD 33% 34% 34% 34% 35% 20% 23% 17% 12% 32% 34% 19% 8% 35% 33%AUDUSD 49% 50% 49% 50% 51% 31% 37% 28% 19% 46% 39% 31% 13% 49% 47%CHFUSD 20% 20% 20% 20% 21% 5% 5% 11% 7% 22% 33% 15% -2% 27% 20%KRWUSD 35% 36% 35% 36% 37% 20% 24% 21% 15% 35% 29% 23% 8% 37% 33%CNYUSD 12% 12% 12% 12% 12% 7% 7% 10% 9% 11% 5% 4% 2% 12% 10%

Bond

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CORRELATION: BCOM Composites vs. Equities vs. Bond vs. Currency Cu

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Natural Gas 16% 16% 15% 9% 2% 7% 0% 13% 3% -1% 11% 13% 10% 11% 11% 10% 1% -2% -4% 4% 6%WTI Crude 16% 97% 93% 83% 14% 22% 3% 37% 11% 7% 42% 31% 24% 37% 2% 23% 14% 32% 15% 18% 14%

Brent Crude 16% 97% 96% 86% 16% 22% 4% 35% 12% 7% 41% 29% 24% 36% 1% 22% 10% 31% 15% 15% 13%ULS Diesel 15% 93% 96% 81% 17% 24% 5% 33% 15% 8% 39% 29% 24% 33% 5% 24% 11% 30% 15% 14% 15%

Unleaded Gasoline 9% 83% 86% 81% 11% 18% 1% 32% 8% 5% 38% 27% 21% 29% 3% 21% 5% 21% 17% 8% 11%Corn 2% 14% 16% 17% 11% 67% 69% 32% 61% 66% 16% 9% 7% 15% -3% 5% 12% 19% 17% 5% 11%

Soybeans 7% 22% 22% 24% 18% 67% 46% 56% 86% 45% 32% 24% 23% 30% 2% 23% 10% 31% 24% 15% 12%Wheat 0% 3% 4% 5% 1% 69% 46% 20% 42% 94% 11% 6% 5% 7% 2% 5% 8% 22% 23% 3% 5%

Soybean Oil 13% 37% 35% 33% 32% 32% 56% 20% 17% 19% 38% 31% 30% 32% 10% 33% 4% 39% 23% 22% 11%Soybean Meal 3% 11% 12% 15% 8% 61% 86% 42% 17% 40% 24% 18% 17% 18% 0% 13% 11% 16% 19% 4% 8%HRW Wheat -1% 7% 7% 8% 5% 66% 45% 94% 19% 40% 12% 7% 4% 7% -1% 2% 7% 18% 20% 4% 7%

Copper 11% 42% 41% 39% 38% 16% 32% 11% 38% 24% 12% 62% 65% 67% 15% 39% 17% 26% 24% 14% 16%Alumnium 13% 31% 29% 29% 27% 9% 24% 6% 31% 18% 7% 62% 61% 54% 10% 29% 5% 14% 21% 9% 12%

Zinc 10% 24% 24% 24% 21% 7% 23% 5% 30% 17% 4% 65% 61% 53% 24% 36% 12% 20% 15% 7% 12%Nickel 11% 37% 36% 33% 29% 15% 30% 7% 32% 18% 7% 67% 54% 53% 9% 29% 10% 18% 23% 4% 6%Gold 11% 2% 1% 5% 3% -3% 2% 2% 10% 0% -1% 15% 10% 24% 9% 75% 2% 1% 0% -6% 3%Silver 10% 23% 22% 24% 21% 5% 23% 5% 33% 13% 2% 39% 29% 36% 29% 75% 13% 19% 16% 4% 4%Sugar 1% 14% 10% 11% 5% 12% 10% 8% 4% 11% 7% 17% 5% 12% 10% 2% 13% 22% 6% 5% 11%Coffee -2% 32% 31% 30% 21% 19% 31% 22% 39% 16% 18% 26% 14% 20% 18% 1% 19% 22% 18% 13% 10%Cotton -4% 15% 15% 15% 17% 17% 24% 23% 23% 19% 20% 24% 21% 15% 23% 0% 16% 6% 18% 4% 4%

Live Cattle 4% 18% 15% 14% 8% 5% 15% 3% 22% 4% 4% 14% 9% 7% 4% -6% 4% 5% 13% 4% 25%Lean Hogs 6% 14% 13% 15% 11% 11% 12% 5% 11% 8% 7% 16% 12% 12% 6% 3% 4% 11% 10% 4% 25%

S&P 500 Total Return Index 0% 43% 44% 41% 36% 13% 17% -2% 22% 7% 1% 32% 26% 23% 34% -15% 8% 7% 28% 20% 23% 6%S&P Energy 16% 73% 72% 70% 61% 11% 16% 0% 29% 3% 6% 39% 31% 23% 36% -2% 21% 12% 29% 18% 18% 9%

S&P Financial 0% 42% 42% 40% 35% 15% 19% 0% 20% 10% 3% 31% 26% 20% 34% -21% 5% 7% 27% 20% 22% 3%S&P Health Care -5% 23% 24% 23% 18% 6% 11% -6% 13% 4% -5% 21% 23% 17% 25% -18% 0% 0% 14% 14% 14% 2%

S&P Consumer Discretionary -5% 33% 34% 31% 27% 14% 17% 2% 17% 8% 3% 25% 22% 17% 28% -18% 2% 9% 27% 20% 21% 9%S&P IT -3% 35% 36% 33% 31% 13% 17% 1% 23% 7% 3% 26% 21% 22% 31% -15% 3% 1% 24% 16% 21% 5%

S&P Utilities 2% 14% 16% 15% 9% -8% -5% -10% 0% -10% -11% 10% 1% 9% 9% 4% 11% 11% 21% 17% 14% 4%S&P Consumers Staples 3% 26% 27% 24% 19% 4% 9% -8% 11% 0% -6% 18% 12% 12% 20% -8% 7% 8% 20% 17% 23% 5%

S&P Industrials 2% 43% 42% 39% 35% 13% 18% 0% 20% 8% 2% 38% 26% 26% 36% -12% 13% 11% 30% 17% 23% 10%S&P Telecommunication 3% 34% 36% 34% 26% 11% 12% 0% 15% 1% 2% 25% 16% 17% 24% -1% 13% 4% 26% 22% 24% 6%

S&P Materials 10% 56% 55% 53% 46% 17% 23% 1% 29% 11% 4% 44% 33% 29% 39% -3% 22% 11% 32% 19% 20% 10%Bloomberg US Treasury 1% -39% -37% -35% -30% -20% -22% -9% -17% -19% -10% -31% -25% -10% -28% 25% 6% -1% -21% -17% -10% -1%

Bloomberg USD IG Corporate 3% -32% -29% -28% -23% -18% -16% -8% -12% -15% -8% -24% -20% -4% -22% 20% 9% 3% -16% -12% -5% -1%Bloomberg USD HY Corporate 5% 35% 37% 35% 26% 11% 18% 6% 13% 17% 8% 31% 28% 25% 25% -13% 12% 13% 25% 17% 22% 1%

Bloomberg U.S. Dollar Spot -12% -22% -18% -20% -14% -3% -6% -11% -6% -6% -6% -25% -12% -19% -9% -44% -38% -11% -20% -12% 3% -13%EURUSD 9% -5% -9% -6% -9% -5% -3% 8% 0% -2% 4% 6% -3% 4% -4% 49% 32% 5% 7% 11% -10% 3%JPYUSD -2% -21% -22% -20% -16% -7% -16% 4% -22% -7% 2% -9% -9% -4% -16% 51% 19% -3% -13% -11% -19% 6%CADUSD 15% 55% 53% 52% 43% 6% 11% 7% 21% 5% 7% 42% 33% 36% 34% 25% 42% 14% 32% 16% 12% 12%MXNUSD 12% 53% 52% 49% 43% 10% 18% 5% 21% 12% 5% 43% 32% 34% 36% 7% 29% 24% 34% 10% 13% 10%GBPUSD 6% 21% 15% 15% 14% 3% 9% 5% 6% 8% -2% 27% 14% 18% 8% 33% 36% 2% 14% 15% 6% 4%AUDUSD 7% 36% 35% 35% 32% 9% 20% 8% 26% 13% 6% 47% 34% 44% 32% 24% 39% 15% 36% 16% 15% 10%CHFUSD 5% -9% -14% -12% -14% -10% -13% 3% -3% -11% 0% -2% -8% 1% -9% 47% 27% 8% 0% 7% -15% 1%KRWUSD 9% 27% 24% 24% 21% 9% 17% 7% 20% 14% 4% 38% 23% 36% 28% 32% 46% 22% 29% 9% 7% 11%CNYUSD 1% 17% 15% 14% 6% 21% 27% 16% 22% 25% 13% 22% 18% 21% 22% 5% 14% 5% 17% 6% 5% 6%

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on

Live

Cat

tle

Lean

Hog

s

Natural Gas 14% 13% 14% 11% 11% 5% 9% 8% 4% 9% 1% 5% 0% 1% 0% 2% 2% 2% -1% 4% 5%WTI Crude 14% 92% 88% 82% 16% 22% 11% 35% 12% 13% 41% 33% 30% 31% 17% 27% 17% 19% 20% 15% 12%

Brent Crude 13% 92% 96% 89% 15% 21% 11% 34% 12% 13% 37% 28% 26% 28% 14% 25% 14% 17% 19% 13% 10%ULS Diesel 14% 88% 96% 85% 15% 22% 11% 33% 14% 13% 35% 27% 25% 27% 15% 25% 15% 16% 19% 11% 11%

Unleaded Gasoline 11% 82% 89% 85% 13% 19% 10% 32% 10% 12% 34% 27% 24% 25% 15% 26% 11% 13% 18% 11% 8%Corn 11% 16% 15% 15% 13% 60% 70% 40% 54% 65% 14% 13% 10% 15% 12% 16% 16% 13% 16% 11% 5%

Soybeans 5% 22% 21% 22% 19% 60% 47% 64% 91% 45% 25% 20% 20% 19% 15% 23% 18% 13% 18% 9% 5%Wheat 9% 11% 11% 11% 10% 70% 47% 32% 41% 94% 13% 11% 9% 13% 12% 14% 17% 15% 18% 9% 3%

Soybean Oil 8% 35% 34% 33% 32% 40% 64% 32% 35% 31% 31% 27% 28% 25% 20% 30% 14% 19% 23% 15% 7%Soybean Meal 4% 12% 12% 14% 10% 54% 91% 41% 35% 39% 17% 13% 13% 11% 11% 16% 15% 8% 12% 4% 3%HRW Wheat 9% 13% 13% 13% 12% 65% 45% 94% 31% 39% 13% 10% 8% 13% 11% 13% 15% 13% 17% 9% 3%

Copper 1% 41% 37% 35% 34% 14% 25% 13% 31% 17% 13% 66% 71% 59% 36% 50% 19% 19% 23% 11% 10%Alumnium 5% 33% 28% 27% 27% 13% 20% 11% 27% 13% 10% 66% 69% 55% 29% 39% 17% 14% 19% 8% 8%

Zinc 0% 30% 26% 25% 24% 10% 20% 9% 28% 13% 8% 71% 69% 56% 30% 40% 18% 17% 16% 8% 9%Nickel 1% 31% 28% 27% 25% 15% 19% 13% 25% 11% 13% 59% 55% 56% 20% 31% 19% 14% 21% 5% 6%Gold 0% 17% 14% 15% 15% 12% 15% 12% 20% 11% 11% 36% 29% 30% 20% 83% 8% 14% 10% 4% 2%Silver 2% 27% 25% 25% 26% 16% 23% 14% 30% 16% 13% 50% 39% 40% 31% 83% 13% 20% 15% 7% 4%Sugar 2% 17% 14% 15% 11% 16% 18% 17% 14% 15% 15% 19% 17% 18% 19% 8% 13% 24% 13% 8% 9%Coffee 2% 19% 17% 16% 13% 13% 13% 15% 19% 8% 13% 19% 14% 17% 14% 14% 20% 24% 11% 7% 7%Cotton -1% 20% 19% 19% 18% 16% 18% 18% 23% 12% 17% 23% 19% 16% 21% 10% 15% 13% 11% 7% 5%

Live Cattle 4% 15% 13% 11% 11% 11% 9% 9% 15% 4% 9% 11% 8% 8% 5% 4% 7% 8% 7% 7% 30%Lean Hogs 5% 12% 10% 11% 8% 5% 5% 3% 7% 3% 3% 10% 8% 9% 6% 2% 4% 9% 7% 5% 30%

S&P 500 Total Return Index 1% 39% 37% 34% 33% 11% 17% 9% 21% 10% 12% 40% 30% 30% 29% 0% 13% 14% 11% 22% 13% 5%S&P Energy 12% 64% 61% 58% 54% 14% 18% 12% 27% 10% 15% 43% 33% 32% 31% 9% 22% 19% 15% 22% 12% 7%

S&P Financial 0% 34% 32% 30% 28% 9% 15% 8% 19% 9% 10% 38% 28% 28% 28% -5% 10% 14% 11% 20% 9% 3%S&P Health Care -2% 25% 24% 21% 20% 7% 12% 5% 15% 8% 7% 28% 22% 21% 21% -4% 7% 9% 8% 16% 11% 3%

S&P Consumer Discretionary -2% 31% 29% 27% 26% 10% 15% 9% 18% 9% 11% 35% 26% 25% 27% -5% 7% 11% 9% 19% 13% 4%S&P IT -2% 33% 31% 29% 29% 11% 16% 8% 20% 9% 10% 35% 28% 28% 26% 1% 12% 10% 10% 20% 13% 4%

S&P Utilities 3% 18% 17% 14% 13% 4% 5% 6% 7% 1% 8% 17% 9% 12% 10% 3% 5% 12% 5% 15% 6% 0%S&P Consumers Staples 0% 25% 24% 22% 19% 7% 10% 6% 13% 5% 8% 27% 18% 19% 19% 1% 9% 11% 6% 17% 11% 5%

S&P Industrials 0% 37% 34% 31% 30% 10% 17% 9% 20% 11% 11% 41% 30% 30% 29% 0% 13% 14% 11% 20% 11% 5%S&P Telecommunication 1% 25% 25% 24% 21% 6% 9% 6% 11% 5% 7% 23% 18% 18% 16% 1% 8% 10% 7% 15% 10% 3%

S&P Materials 3% 47% 44% 41% 39% 15% 19% 11% 25% 12% 14% 47% 35% 35% 33% 12% 23% 17% 14% 22% 12% 5%Bloomberg US Treasury -3% -29% -27% -25% -24% -8% -13% -7% -16% -8% -9% -26% -20% -16% -16% 18% 2% -5% -6% -10% -5% -4%

Bloomberg USD IG Corporate -2% -22% -20% -18% -18% -5% -8% -5% -11% -4% -6% -17% -13% -9% -9% 20% 8% -1% -3% -5% -2% -4%Bloomberg USD HY Corporate 0% 26% 27% 26% 21% 10% 15% 5% 17% 12% 6% 27% 22% 24% 21% 2% 13% 11% 10% 15% 10% 4%

Bloomberg U.S. Dollar Spot -6% -32% -28% -27% -25% -12% -16% -15% -18% -13% -15% -34% -26% -25% -20% -36% -34% -18% -21% -23% -4% -9%EURUSD 6% 21% 16% 16% 15% 8% 13% 14% 15% 9% 15% 34% 27% 25% 20% 36% 35% 14% 16% 20% -2% 6%JPYUSD -3% -6% -7% -5% -4% 4% 0% 6% -7% 5% 5% -5% -2% -3% -6% 33% 20% 3% 6% 1% -5% 0%CADUSD 5% 50% 47% 45% 41% 12% 21% 13% 28% 14% 13% 45% 36% 37% 32% 32% 38% 16% 23% 22% 10% 12%MXNUSD 4% 42% 39% 37% 35% 12% 20% 12% 25% 15% 13% 46% 37% 37% 34% 26% 33% 22% 21% 24% 9% 8%GBPUSD 2% 25% 21% 20% 18% 7% 14% 11% 15% 10% 11% 32% 26% 24% 19% 32% 33% 11% 15% 16% 7% 6%AUDUSD 1% 37% 35% 33% 31% 13% 23% 14% 27% 17% 15% 46% 35% 40% 33% 36% 41% 20% 23% 24% 11% 10%CHFUSD 2% 7% 4% 4% 4% 5% 4% 10% 9% 2% 9% 23% 20% 16% 13% 34% 28% 12% 8% 10% -6% 4%KRWUSD 2% 25% 22% 22% 20% 10% 17% 11% 21% 14% 11% 34% 26% 30% 26% 26% 29% 14% 18% 18% 5% 7%CNYUSD 3% 8% 7% 7% 3% 8% 8% 7% 9% 6% 9% 9% 8% 8% 12% 4% 5% -1% 8% 5% 2% 1%

Curr

ency

CORRELATION: BCOM Singles vs. Equities vs. Bond vs. Currency

5-Year

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Bloomberg Commodity 59% -9% 10% 11% 0% 63% 60% 63% 60% 19% -2% 34% -16% 4% -9% 6% 21%Energy 64% -17% 5% 8% -8% 74% 74% 74% 73% 17% 0% 28% -9% -14% -17% -6% 3%

Petroleum 70% -7% -2% 0% -8% 77% 78% 79% 77% 2% -1% 5% -4% -3% -19% -1% 10%Agriculture 21% -9% 9% 8% 6% 22% 20% 12% 20% 13% -13% 35% -27% 13% -2% 10% 28%

Grains 13% -7% 9% 8% 6% 13% 11% 5% 11% 8% -16% 30% -21% 10% -6% 14% 22%Industrial Metals 42% 8% -4% -3% -5% 40% 39% 45% 38% -4% 2% -7% -3% 15% 6% 9% 17%Precious Metals 23% 20% 22% 20% 16% 13% 7% 22% 7% 14% 10% 13% 11% 18% 3% 17% 12%

Softs 21% -11% 10% 8% 8% 24% 21% 15% 22% 23% 1% 35% -31% 13% 11% -3% 31%Livestock 16% 2% 18% 17% 7% 15% 12% 11% 12% 20% 1% 33% -1% 5% -2% 16% 6%

Natural Gas 11% -24% 21% 24% -4% 19% 17% 13% 17% 38% 3% 58% -12% -23% 0% -13% -9%WTI Crude 64% -7% 0% 1% -5% 72% 73% 72% 72% 4% 1% 7% -7% -1% -19% 4% 10%

Brent Crude 71% -6% 0% 2% -9% 78% 78% 81% 77% 3% 0% 6% 2% -7% -22% -4% 9%ULS Diesel 68% -11% 3% 4% -4% 75% 74% 83% 74% 4% 1% 6% -2% -11% -20% -7% 7%

Unleaded Gasoline 79% 1% -3% 0% -10% 84% 85% 77% 85% -6% -8% 0% 2% 3% -15% -6% 18%Corn 9% -5% 11% 10% 8% 8% 6% 4% 6% 7% -17% 30% -15% 7% -7% 12% 21%

Soybeans 24% -4% 1% 2% -4% 25% 23% 17% 24% 6% -9% 20% -20% 13% -4% 14% 25%Wheat 2% -14% 9% 8% 11% 4% 2% -8% 3% 7% -18% 32% -29% 7% -5% 11% 14%

Soybean Oil 29% 11% -14% -14% -3% 27% 25% 15% 26% 0% -14% 16% -9% 25% 3% 1% 37%Soybean Meal 21% -10% 12% 13% -1% 23% 22% 18% 22% 6% -5% 16% -24% 8% -3% 12% 18%HRW Wheat 9% -12% 12% 11% 10% 10% 7% 0% 8% 18% -11% 42% -22% 4% -12% 8% 15%

Copper 43% 10% -12% -12% -5% 42% 41% 51% 41% -6% 4% -13% 2% 14% 3% 11% 13%Alumnium 33% 0% 0% -1% 1% 31% 30% 29% 31% -13% -11% -8% -3% 2% 8% 0% 8%

Zinc 32% 9% -10% -8% -14% 31% 29% 38% 29% 2% 10% -6% -4% 16% 8% 10% 19%Nickel 32% 5% 22% 25% -4% 30% 27% 33% 28% 14% 8% 15% -13% 20% 4% 7% 24%Gold 18% 22% 28% 25% 20% 6% 1% 17% 1% 14% 8% 15% 18% 14% -1% 18% 10%Silver 31% 14% 9% 8% 5% 24% 18% 28% 18% 12% 11% 8% -3% 22% 9% 14% 14%Sugar 11% 4% 2% 0% 9% 12% 12% 7% 13% 6% 2% 6% -7% 13% -1% 5% 30%Coffee 17% -12% 33% 32% 14% 16% 12% 6% 12% 37% 9% 51% -24% 3% 16% -9% 8%Cotton 15% -20% -24% -22% -17% 21% 20% 22% 21% 2% -12% 16% -40% 10% 11% -3% 20%

Live Cattle 19% -8% 7% 7% 3% 22% 20% 24% 20% 11% 11% 7% -6% -3% 0% 11% 0%Lean Hogs 8% 9% 21% 21% 9% 4% 2% -2% 2% 22% -6% 43% 5% 10% -2% 15% 7%

S&P 500 Total Return Index 30% -40% -33% -30% -23% 45% 45% 40% 45% 5% 7% 0% -33% -24% -11% -11% -13%Bloomberg US Treasury -37% 12% 35% 30% 31% -44% -45% -37% -45% 11% 9% 8% 27% -10% -12% 7% -8%

Bloomberg USD IG Corporate -1% -6% 16% 12% 21% 0% -1% 7% -1% 15% 7% 17% 12% -19% -14% -7% -8%Bloomberg USD HY Corporate 40% -20% -17% -17% -7% 52% 54% 58% 54% 5% -2% 11% -6% -19% -21% -15% -2%

Bloomberg U.S. Dollar Spot -50% -9% -5% -5% 0% -49% -46% -42% -46% -11% -1% -18% -3% -9% 5% 9% -20%

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Bloomberg Commodity 68% 6% 4% 8% -12% 69% 67% 66% 66% 31% -2% 41% 1% 9% 1% 8% 20%Energy 68% 1% 10% 14% -9% 72% 70% 69% 69% 38% -2% 48% -1% 5% -1% 2% 14%

Petroleum 72% 4% 9% 11% -7% 75% 76% 71% 75% 23% 1% 29% 2% 7% -2% 4% 17%Agriculture 29% 8% -2% -1% -7% 27% 26% 24% 26% 5% -4% 10% 1% 10% 6% 8% 15%

Grains 23% 8% 1% 2% -2% 20% 20% 19% 20% 2% -4% 6% -1% 11% 9% 8% 10%Industrial Metals 43% 6% -10% -7% -14% 44% 44% 43% 44% 11% 1% 14% 4% 6% -1% 8% 11%Precious Metals 30% 4% 0% 0% 1% 28% 26% 28% 26% 11% 7% 10% 4% 4% -6% 14% 15%

Softs 27% 3% -7% -5% -13% 28% 27% 21% 27% 11% -2% 15% 3% 0% -5% 4% 20%Livestock 15% -3% 17% 21% -9% 12% 9% 8% 9% 16% 8% 17% -12% 8% 5% 9% 3%

Natural Gas 36% -6% 9% 14% -12% 39% 33% 37% 32% 47% -5% 61% -3% -2% -2% -7% 3%WTI Crude 67% 5% 10% 12% -5% 70% 71% 68% 70% 21% 2% 27% 1% 9% 0% 7% 17%

Brent Crude 70% 6% 10% 12% -7% 72% 74% 70% 73% 18% 2% 23% 4% 7% -1% 4% 16%ULS Diesel 70% 2% 12% 14% -4% 73% 72% 76% 71% 27% 2% 33% 2% 3% -5% 2% 18%

Unleaded Gasoline 79% 4% 4% 7% -11% 82% 84% 67% 83% 21% -3% 28% 5% 2% -4% 0% 15%Corn 22% 6% 4% 5% -3% 19% 18% 18% 18% 4% -5% 10% 3% 5% 5% 1% 8%

Soybeans 22% 7% -3% -1% -8% 20% 20% 20% 20% 0% 1% 2% -1% 11% 8% 7% 15%Wheat 15% 7% -1% -2% 5% 13% 13% 9% 13% 0% -6% 5% -5% 12% 12% 14% 2%

Soybean Oil 30% 15% -4% -3% -6% 25% 24% 23% 24% 4% -4% 8% 4% 17% 11% 10% 16%Soybean Meal 17% 3% 0% 2% -6% 17% 17% 16% 17% 1% 6% -1% -2% 6% 4% 4% 14%HRW Wheat 22% 8% -1% -3% 3% 21% 20% 15% 20% 6% -3% 10% 1% 9% 9% 15% 2%

Copper 43% 9% -13% -11% -11% 43% 43% 41% 43% 9% 0% 10% 9% 5% -4% 9% 13%Alumnium 41% 4% 0% 3% -9% 41% 40% 45% 39% 19% 3% 23% 1% 5% 3% 3% 8%

Zinc 24% 6% -20% -18% -15% 26% 27% 22% 27% 0% 0% 1% 8% 2% 0% 2% 2%Nickel 32% -4% -4% 0% -18% 36% 37% 31% 37% 4% -2% 8% -10% 3% -3% 11% 8%Gold 27% 3% 5% 4% 5% 25% 23% 25% 23% 12% 10% 10% 3% 5% -6% 13% 15%Silver 29% 5% -7% -5% -7% 27% 26% 27% 25% 9% 2% 10% 6% 2% -5% 12% 12%Sugar 18% 7% -8% -7% -5% 18% 16% 12% 16% 11% 4% 13% 12% 0% -5% 4% 14%Coffee 13% 5% 0% 2% -8% 13% 13% 8% 13% 3% 1% 6% 3% -1% 1% -4% 4%Cotton 27% -7% -5% -2% -18% 30% 30% 32% 29% 7% -6% 12% 0% -7% -11% 1% 19%

Live Cattle 21% -6% 20% 24% -9% 19% 17% 13% 17% 16% 11% 13% -15% 8% 8% 9% 1%Lean Hogs 4% -2% 10% 12% -6% 3% 0% 2% 0% 11% 3% 14% -7% 3% -1% 7% 2%

CORRELATION: US CPI vs. BCOM Indices & Other Benchmarks

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CORRELATION: World CPI vs. BCOM Indices & Other Benchmarks

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Bloomberg Commodity 59% 66% 6% 64% 75% 55% 41% -55% 44% 56% 66% 83% 47% 62% -48% -15% -16% 56% 85%Energy 64% 43% 22% 64% 68% 46% 52% -73% 33% 31% 41% 77% 67% 49% -68% 3% 5% 57% 84%

Petroleum 70% 56% 4% 83% 83% 70% 63% -81% 61% 38% 59% 70% 66% 68% -80% -16% 17% 71% 75%Agriculture 21% 60% -24% 49% 59% 47% 33% -26% 45% 48% 60% 55% 22% 63% -28% -30% -35% 44% 60%

Grains 13% 43% -44% 51% 53% 50% 43% -28% 54% 23% 48% 32% 28% 71% -26% -39% -37% 53% 38%Industrial Metals 42% 42% 34% 26% 38% 17% 13% -34% 7% 43% 38% 62% 29% 28% -7% 5% -24% 23% 77%Precious Metals 23% 72% -32% 45% 59% 59% 4% -1% 57% 72% 84% 46% -8% 56% -12% -56% -8% 35% 21%

Softs 21% 71% 17% 27% 50% 28% 0% -10% 16% 78% 64% 75% 2% 25% -20% -8% -15% 12% 71%Livestock 16% 18% 65% 20% 29% 14% -2% -53% 0% 39% 21% 59% 50% -1% -42% 17% 25% 2% 69%

Natural Gas 11% 2% 50% -5% 10% -24% 7% -21% -37% 6% -12% 59% 33% -16% -16% 41% -14% 3% 63%WTI Crude 64% 48% 17% 75% 75% 61% 57% -82% 50% 35% 50% 69% 68% 56% -78% -4% 22% 61% 77%

Brent Crude 71% 67% -2% 86% 89% 76% 62% -77% 66% 47% 69% 75% 60% 72% -78% -21% 13% 73% 74%ULS Diesel 68% 70% -7% 90% 92% 81% 61% -75% 71% 50% 74% 77% 58% 78% -70% -20% 8% 77% 72%

Unleaded Gasoline 79% 67% -21% 90% 91% 81% 68% -68% 75% 45% 72% 67% 54% 84% -78% -39% 8% 82% 64%Corn 9% 56% -61% 55% 60% 58% 38% -14% 63% 32% 61% 32% 15% 77% -18% -49% -36% 60% 24%

Soybeans 24% 39% -11% 55% 54% 45% 53% -53% 45% 21% 39% 43% 46% 61% -48% -17% -26% 49% 64%Wheat 2% -4% -35% 7% 5% 4% 23% -1% 13% -14% 0% -5% 12% 35% 5% -22% -46% 19% 14%

Soybean Oil 29% 75% -51% 46% 59% 51% 27% 2% 51% 55% 72% 40% -12% 62% -20% -44% -34% 43% 35%Soybean Meal 21% 3% 7% 36% 27% 27% 40% -57% 29% -3% 9% 19% 54% 41% -34% -4% -19% 31% 48%HRW Wheat 9% 35% -14% 37% 45% 31% 34% -32% 31% 25% 37% 46% 34% 54% -18% -19% -39% 39% 58%

Copper 43% 59% 5% 49% 56% 39% 32% -39% 31% 44% 54% 64% 29% 53% -21% -6% -31% 46% 75%Alumnium 33% 41% 29% 10% 27% 6% -5% -12% -3% 46% 34% 53% 8% 15% 14% 6% -26% 9% 61%

Zinc 32% 8% 54% 2% 8% -10% 0% -33% -19% 17% 5% 40% 33% 1% 3% 22% -18% 2% 65%Nickel 32% 20% 60% 18% 29% 8% 12% -47% -3% 36% 23% 61% 46% 12% -18% 11% -3% 11% 77%Gold 18% 66% -33% 45% 57% 62% 2% -5% 61% 69% 82% 37% -4% 54% -17% -62% 4% 34% 11%Silver 31% 75% -28% 39% 56% 47% 6% 6% 44% 70% 79% 55% -14% 53% -3% -43% -25% 33% 35%Sugar 11% 83% -20% 53% 68% 57% 27% -21% 52% 68% 81% 58% 0% 50% -44% -37% -8% 37% 49%Coffee 17% 37% 52% 4% 25% 8% -29% -14% -7% 71% 40% 65% 17% -1% -5% 4% 6% -13% 64%Cotton 15% 48% -9% 6% 25% -4% 11% 21% -12% 32% 25% 55% -22% 15% 13% 30% -52% 12% 55%

Live Cattle 19% -1% 70% -8% -1% -5% -35% -27% -17% 35% 4% 32% 33% -19% 11% 23% 19% -24% 39%Lean Hogs 8% 28% 35% 36% 45% 25% 29% -56% 15% 28% 28% 58% 46% 16% -73% 2% 22% 24% 68%

S&P 500 Total Return Index 30% -1% 36% 23% 17% 1% 38% -56% -7% -15% -11% 33% 53% 14% -16% 46% -21% 24% 65%Bloomberg US Treasury -37% 42% 2% 3% 21% 16% -16% 5% 15% 47% 40% 26% -4% 3% -1% -21% -19% -14% 19%

Bloomberg USD IG Corporate -1% 22% 5% 18% 21% 27% -2% -29% 26% 29% 30% 15% 25% 11% -28% -31% 2% -7% 20%Bloomberg USD HY Corporate 40% 0% -10% 29% 18% 26% 21% -44% 25% -11% 6% -1% 33% 21% -37% -19% 11% 18% 8%

Bloomberg U.S. Dollar Spot -50% -75% 6% -60% -74% -54% -38% 39% -44% -61% -72% -80% -26% -56% 61% 27% 7% -50% -76%

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Bloomberg Commodity 78% 47% 1% 53% 17% 69% -33% 26% 65% 21% 35% 10% -12% 7% 67%Energy 75% 33% 7% 47% 2% 62% -41% 39% 65% 20% 37% 25% 2% 23% 67%

Petroleum 80% 43% 4% 55% 15% 71% -36% 31% 64% 16% 35% 18% -2% 12% 70%Agriculture 48% 65% 9% 50% 40% 57% 1% 14% 37% 31% 15% 0% -28% -9% 35%

Grains 43% 64% 6% 52% 34% 56% -2% 13% 31% 22% 15% -1% -21% -10% 28%Industrial Metals 49% 17% -5% 22% 8% 32% -23% -10% 32% -9% 13% -13% -12% -13% 41%Precious Metals 41% 30% -31% 28% 41% 51% 0% -10% 30% 19% 23% -29% -20% -31% 36%

Softs 34% 35% 8% 22% 34% 33% 6% 14% 37% 37% 7% 10% -24% 3% 31%Livestock 38% 36% 21% 29% -2% 27% -35% 24% 35% 0% 15% 11% -18% 8% 18%

Natural Gas 53% 18% 26% 24% -14% 32% -35% 41% 52% 25% 26% 33% 6% 29% 45%WTI Crude 78% 42% 8% 53% 13% 69% -37% 31% 62% 16% 34% 21% 3% 15% 71%

Brent Crude 81% 40% -1% 57% 21% 71% -34% 22% 64% 15% 34% 15% 0% 12% 72%ULS Diesel 81% 49% 2% 58% 20% 74% -36% 33% 67% 18% 40% 12% -8% 5% 69%

Unleaded Gasoline 77% 40% -7% 53% 16% 68% -30% 28% 63% 16% 30% 11% -9% 9% 60%Corn 40% 62% 6% 48% 48% 49% 7% 11% 30% 24% 19% 7% -13% -5% 18%

Soybeans 35% 57% 9% 45% 26% 53% -2% 17% 24% 24% 7% -7% -30% -13% 26%Wheat 38% 54% 2% 45% 15% 46% -17% 10% 28% 2% 20% -11% -15% -16% 29%

Soybean Oil 48% 53% 1% 49% 29% 61% -1% 2% 34% 36% 16% -18% -28% -15% 36%Soybean Meal 23% 45% 2% 38% 14% 42% -16% 16% 19% 2% 16% -12% -32% -17% 23%HRW Wheat 53% 56% 11% 52% 27% 54% -14% 6% 40% 15% 25% 1% -10% -9% 43%

Copper 53% 24% -6% 28% 14% 40% -18% -11% 29% -5% 14% -15% -16% -19% 44%Alumnium 61% 19% 5% 33% 8% 42% -30% -5% 47% 2% 19% -12% -7% -3% 53%

Zinc 23% -1% -1% -3% -3% -1% -12% -15% 5% -20% -8% -2% -9% -8% 10%Nickel 28% 0% -18% 3% -4% 18% -30% 0% 27% -23% 10% -12% -1% -8% 28%Gold 40% 30% -33% 28% 40% 55% -4% -3% 33% 8% 32% -36% -20% -39% 37%Silver 39% 26% -21% 24% 36% 39% 2% -17% 25% 29% 9% -16% -15% -14% 31%Sugar 43% 18% -17% 22% 20% 41% -10% 29% 42% 28% 36% 4% -24% 1% 38%Coffee 21% 31% 41% 13% 28% 8% 6% -3% 16% 28% -30% 27% -10% 12% 19%Cotton 19% 36% -1% 4% 30% 15% 19% 11% 26% 5% 7% -5% -10% -17% 11%

Live Cattle 30% 29% 24% 19% -12% 24% -43% 27% 38% -3% 7% 1% -12% -1% 15%Lean Hogs 34% 34% 11% 32% 8% 24% -21% 20% 24% 2% 22% 12% -27% 10% 16%

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CORRELATION: World GDP vs. BCOM Indices & Other Benchmarks

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Bloomberg Commodity 8% 85% -27% 17% 26% 12% 79% 62% -17% 69% 12% -4% 12% -54% 71% 17% 12% -73% 19%Energy 22% 51% -10% 0% 34% -11% 49% 68% -32% 62% 12% -3% -9% -49% 64% 11% -8% -74% 35%

Petroleum 23% 64% -24% -2% 31% -18% 67% 76% -47% 61% -2% -2% 8% -72% 79% 13% -15% -90% 27%Agriculture -17% 84% -38% 25% 18% 31% 78% 53% -4% 60% 14% -7% 14% -52% 63% 13% 25% -57% 11%

Grains -24% 74% -38% 10% 15% 24% 69% 57% -16% 51% 10% -7% 5% -63% 59% 13% 22% -59% 9%Industrial Metals 10% 70% -21% 23% 19% 18% 58% 34% 15% 48% 5% -21% 17% -20% 32% 17% 21% -43% 8%Precious Metals 2% 81% -21% 15% -3% 13% 77% 26% -23% 35% -14% 12% 42% -50% 58% 12% 11% -46% -15%

Softs -2% 83% -31% 44% 17% 36% 78% 35% 14% 58% 15% -3% 28% -23% 55% 10% 24% -42% 10%Livestock 21% 31% -11% 17% 32% 0% 29% 32% -8% 44% -3% -16% 11% -7% 29% 8% -6% -37% 24%

Natural Gas 15% 1% 24% 9% 22% 8% -8% 17% 14% 35% 38% 0% -37% 22% 6% 2% 11% -6% 30%WTI Crude 25% 57% -20% 2% 34% -18% 60% 73% -39% 57% -1% -4% 5% -61% 72% 12% -16% -84% 30%

Brent Crude 23% 73% -24% 0% 27% -15% 76% 74% -49% 64% 0% 3% 15% -75% 85% 12% -11% -92% 22%ULS Diesel 23% 81% -25% 2% 28% -14% 82% 74% -48% 67% 4% 5% 16% -77% 87% 16% -5% -93% 19%

Unleaded Gasoline 17% 74% -26% -8% 23% -15% 76% 75% -56% 62% -6% 3% 14% -85% 88% 12% -13% -92% 21%Corn -21% 78% -29% 11% 7% 24% 73% 53% -22% 43% 7% 6% 7% -66% 62% 12% 25% -57% 4%

Soybeans -16% 67% -38% 8% 27% 14% 65% 64% -17% 61% 15% -15% 8% -60% 63% 16% 13% -67% 13%Wheat -37% 44% -44% 12% 15% 36% 36% 37% 13% 34% 13% -27% -14% -34% 19% 7% 27% -25% 17%

Soybean Oil -15% 88% -37% 32% 9% 32% 85% 41% -3% 51% 7% 2% 29% -52% 65% 13% 28% -50% 0%Soybean Meal -18% 38% -35% -6% 25% 3% 35% 53% -16% 45% 11% -27% 2% -46% 37% 16% 8% -51% 10%HRW Wheat -18% 75% -41% 21% 24% 32% 66% 54% 3% 56% 17% -19% -2% -46% 48% 11% 25% -54% 19%

Copper 4% 85% -33% 25% 22% 17% 76% 45% 5% 61% 9% -19% 25% -42% 52% 19% 25% -57% 8%Alumnium 11% 64% -7% 25% 7% 21% 51% 20% 25% 30% 1% -7% 16% -5% 18% 14% 21% -26% 2%

Zinc 19% 25% 1% 2% 10% -3% 11% 14% 21% 24% -5% -27% 3% 10% -6% 20% 11% -15% 9%Nickel 11% 49% -19% 16% 29% 18% 40% 36% 7% 42% 5% -30% 6% -13% 25% 11% 9% -42% 13%Gold 2% 72% -15% 8% -7% 6% 70% 23% -36% 25% -24% 15% 43% -53% 56% 11% 5% -46% -18%Silver 0% 87% -27% 24% 3% 24% 81% 26% -3% 46% 1% 5% 36% -41% 56% 12% 19% -43% -8%Sugar 2% 84% -28% 23% 2% 14% 86% 44% -19% 51% 2% 17% 40% -54% 79% 12% 4% -60% 1%Coffee 7% 59% -18% 36% 13% 26% 51% 21% 17% 41% 3% -6% 20% 0% 28% 10% 16% -25% 11%Cotton -12% 74% -36% 54% 32% 51% 68% 26% 42% 62% 44% -14% 9% -8% 40% 8% 44% -25% 13%

Live Cattle 18% 19% -7% 22% 12% 5% 11% 3% 17% 11% -12% -17% 11% 21% -12% 13% 9% -5% 8%Lean Hogs 14% 29% -10% 5% 36% -4% 33% 47% -28% 55% 4% -9% 7% -31% 54% -2% -18% -52% 30%

S&P 500 Total Return Index 13% 21% -12% 8% 34% -1% 16% 45% 18% 32% 31% -18% -31% -9% 12% 16% 6% -39% 30%Bloomberg US Treasury -1% 11% 30% -18% -49% 0% 15% -5% -16% -16% -21% 60% 22% -3% 20% 2% -16% 2% -14%

Bloomberg USD IG Corporate -1% 18% 3% -21% -25% -13% 25% 25% -35% -11% -19% 42% 4% -36% 33% -5% -40% -37% -9%Bloomberg USD HY Corporate 18% 27% -37% -5% 26% -23% 31% 44% -39% 20% -5% -19% -24% -54% 32% 1% -12% -63% 9%

Bloomberg U.S. Dollar Spot -18% -78% 23% -6% -16% 0% -77% -56% 27% -69% -6% -11% -22% 57% -81% -11% 9% 70% -20%

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Bloomberg Commodity 41% 48% 15% 29% 36% 34% 52% 5% 2% 39% 33% 35%Energy 36% 15% 8% 10% 26% 21% 37% 4% -4% 23% 34% 19%

Petroleum 38% 27% 9% 14% 27% 20% 43% 7% -3% 27% 26% 26%Agriculture 12% 51% 4% 21% 20% 17% 37% -12% 4% 32% -2% 15%

Grains 6% 44% 2% 13% 15% 12% 30% -10% 6% 24% -6% 7%Industrial Metals 47% 66% 28% 50% 41% 50% 51% 14% 6% 45% 42% 59%Precious Metals 11% 66% 1% 22% 11% 12% 31% 6% 3% 22% -9% 21%

Softs 19% 37% 4% 29% 22% 23% 35% -10% -2% 35% 4% 21%Livestock 44% 14% 22% 27% 33% 32% 23% 6% 13% 31% 33% 35%

Natural Gas 29% -5% 6% 1% 16% 18% 17% -11% -7% 14% 39% 5%WTI Crude 38% 26% 9% 14% 26% 20% 42% 9% -1% 25% 29% 25%

Brent Crude 38% 31% 8% 16% 28% 22% 48% 11% 0% 28% 23% 31%ULS Diesel 34% 28% 8% 12% 24% 14% 40% 3% -6% 25% 20% 23%

Unleaded Gasoline 40% 27% 12% 19% 32% 27% 49% 4% -4% 34% 20% 30%Corn 1% 29% -2% 7% 2% 5% 16% -15% 5% 19% -17% -4%

Soybeans 10% 41% 3% 8% 19% 11% 36% -9% 6% 27% -6% 10%Wheat 6% 50% 8% 23% 22% 14% 29% -1% -1% 19% 10% 15%

Soybean Oil 11% 58% -1% 14% 16% 13% 32% -14% 9% 18% 8% 13%Soybean Meal -1% 26% 4% 6% 12% 7% 29% -1% -4% 23% -13% 12%HRW Wheat 12% 55% 5% 26% 25% 17% 33% -2% -3% 25% 12% 17%

Copper 41% 67% 24% 46% 36% 42% 49% 13% 3% 45% 32% 53%Alumnium 45% 51% 19% 43% 33% 46% 43% 5% 5% 35% 47% 52%

Zinc 46% 52% 36% 54% 39% 51% 40% 12% 5% 50% 41% 60%Nickel 45% 55% 30% 44% 46% 50% 53% 28% 11% 38% 43% 54%Gold 2% 65% 2% 14% 6% -2% 23% 13% -2% 13% -16% 12%Silver 24% 59% 1% 32% 20% 34% 40% -3% 9% 33% 6% 32%Sugar 9% 26% 1% 15% 10% 6% 18% -10% -16% 20% -1% 7%Coffee 24% 26% 4% 19% 12% 24% 26% -11% 11% 34% 11% 31%Cotton 16% 27% 11% 34% 25% 29% 38% 3% -6% 32% 0% 21%

Live Cattle 45% 19% 19% 28% 31% 37% 27% 8% 15% 31% 39% 37%Lean Hogs 32% 9% 21% 20% 28% 18% 12% 3% 7% 23% 17% 25%

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COMMITMENT OF TRADERS: Commodity Futures & Options, Money ManagersCOT <GO> * Click hyperlinks to open in Bloomberg

Group Commodity End-May Net Position

End-Apr Net Position

Notional Change ($m) using end-

May price

End-May Notional ($m)

Natural Gas -112,842 -54,843 -1,324 -2,575 WTI Crude 241,928 249,123 -352 11,835

Brent Crude 381,116 418,076 -1,844 19,014 ULS Diesel 13,378 -529 872 839 Gasoline 21,263 25,964 -316 1,428

Total -2,963 30,541 Corn 64,696 79,781 -305 1,309

Soybeans 202,173 160,125 2,267 10,902 Wheat -89,636 -60,805 -670 -2,082

Soybean Oil 46,409 94,401 -916 886 Soybean Meal 70,657 31,174 1,566 2,802 HRW Wheat -18,964 -639 -410 -424

Total 1,532 13,394 Copper -33,469 15,824 -2,571 -1,745

Aluminum 98,920 79,137 764 3,823 Zinc 51,934 51,916 1 2,493

Nickel 40,682 35,918 240 2,050 Total -1,565 6,620 Gold 169,491 184,087 -1,774 20,595 Silver 58,874 70,220 -909 4,716 Total -2,682 25,311 Sugar 212,193 155,008 1,120 4,157 Coffee 5,525 6,790 -58 252 Cotton 28,169 32,258 -131 901 Total 932 5,309

Live Cattle 30,972 22,150 427 1,500Lean Hogs 48,637 37,065 373 1,568

Total 800 3,068Total -3,946 84,242

HISTORICAL CORRELATION: BCOM Indices vs. Money Manager Positions

1-Year 5-Year 1-Year 5-Year 1-Year 5-Year Natural Gas 17% 21% -30% -36% 36% 44% WTI Crude 7% 30% -63% -49% 58% 52%

Brent Crude 21% 34% -50% -43% 41% 43% ULS Diesel -9% 25% -65% -37% 54% 44% Gasoline 33% 35% -52% -18% 56% 42%

Corn 54% 58% -37% -50% 55% 64% Soybeans 57% 64% -68% -57% 74% 71%

Wheat 69% 52% -69% -62% 72% 67% Soybean Oil 44% 53% -68% -62% 75% 68%

Soybean Meal 63% 55% -67% -47% 79% 63% HRW Wheat 2% 24% -35% 41% 53%

Copper 34% 49% -56% -54% 55% 59% Aluminum 14% -24% 38%

Zinc 30% -39% 61% Nickel 29% -30% 51% Gold 81% 64% -64% -53% 82% 68% Silver 64% 58% -58% -48% 70% 62% Sugar 52% 50% -73% -59% 75% 64% Coffee 65% 49% -74% -66% 80% 68% Cotton 62% 54% -54% -53% 71% 61%

Live Cattle 40% 26% -16% -7% 39% 22%Lean Hogs 7% 18% -10% -14% 5% 14%

CommodityLong Position Short Position Net Position

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Gasoline Corn

COMMITMENT OF TRADERS: Money Manager Net Positions vs. BCOM LevelsNatural Gas WTI Crude

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Sugar Coffee

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COMMITMENT OF TRADERS: Money Manager Net Positions vs. BCOM Levels

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COMMODITY INVENTORY & SALESECO17 <GO> * Click hyperlinks to open in Bloomberg

Group Inventory/Sales Ticker Unit End-May End-Apr Change (%)

DOE Natural Gas Total Inventory DOENUST1 bcf 2,825 2,557 10%DOE Crude Oil Total Inventory DOESCRUD mm barrels 537 541 -1%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK mm barrels 68 66 2%DOE Distillate Fuel Oil Total Inventory DOESDIST mm barrels 151 158 -5%DOE Motor Gasoline Total Inventory DOESTMGS mm barrels 240 241 0%USDA Corn Total Export Sales SALECNUM thousand MT 1,627 2,601 -37%USDA Soybeans Total Export Sales SALESYBN thousand MT 607 946 -36%USDA All Wheat Total Export Sales SALEWEAL thousand MT 345 807 -57%USDA Soybean Oil Total Export Sales SALESYOL thousand MT 35 10 259%USDA Soybean Cake Meal Total Export Sales SALESCML thousand MT 187 273 -32%Comex Copper Total Inventory COMXCOPR thousand short ton 61 65 -7%LME Copper Total Inventory NLSCA thousand MT 152 151 1%LME Primary Aluminum Total Inventory NLSAH thousand MT 2,529 2,652 -5%LME Zinc Total Inventory NLSZS thousand MT 381 407 -6%LME Nickel Total Inventory NLSNI thousand MT 402 416 -3%Comex Gold Total Inventory COMXGOLD mm ounces 8 7 17%Comex Silver Total Inventory COMXSILV mm ounces 154 152 1%

Softs USDA All Upland Cotton Total Export Sales SALECNUA thousand bales 248 53 364%USDA Cattle Slaughter Estimates Daily SLGTCATT thousand heads 112 106 6%USDA Hogs Slaughter Estimates Daily SLGTHOGS thousand heads 434 438 -1%

HISTORICAL CORRELATION: Inventory & Sales vs. BCOM Indices

Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory 7% -3%DOE Crude Oil Total Inventory -67% -91%DOE Cushing Oklahoma Crude Oil Total Stocks -73% -74%DOE Distillate Fuel Oil Total Inventory -89% -59%DOE Motor Gasoline Total Inventory -80% -46%USDA Corn Total Export Sales -25% -35%USDA Soybeans Total Export Sales -28% -5%USDA All Wheat Total Export Sales -4% 18%USDA Soybean Oil Total Export Sales -28% -11%USDA Soybean Cake Meal Total Export Sales 6% 15%Comex Copper Total Inventory -89% 38%LME Copper Total Inventory 63% 34%LME Primary Aluminum Total Inventory 81% 54%LME Zinc Total Inventory -36% 36%LME Nickel Total Inventory 67% -76%Comex Gold Total Inventory 30% 90%Comex Silver Total Inventory -1% -82%

Softs USDA All Upland Cotton Total Export Sales -40% -20%USDA Cattle Slaughter Estimates Daily -2% -24%USDA Hogs Slaughter Estimates Daily 19% -18%

Livestock

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BCOM Cotton IndexBCOM Live Cattle IndexBCOM Lean Hogs Index

BCOM Natural Gas Index

BCOM Unleaded Gasoline Index

BCOM Copper IndexBCOM Copper IndexBCOM Alumnium IndexBCOM Zinc IndexBCOM Nickel Index

BCOM Corn IndexBCOM Soybeans IndexBCOM Wheat IndexBCOM Soybean Oil IndexBCOM Soybean Meal Index

BCOM Index

BCOM WTI Crude IndexBCOM WTI Crude IndexBCOM ULS Diesel Index

BCOM Silver IndexBCOM Gold Index

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150

200

250

300

-500

0

500

1000

1500

2000

91 93 95 97 99 01 03 05 07 09 11 13 15

USDA All Wheat Total Export Sales BCOM Wheat Index

0

50

100

150

200

250

300

-50

0

50

100

150

200

250

07 08 09 10 11 12 13 14 15

USDA Soybean Oil Total Export Sales BCOM Soybean Oil Index

0

500

1000

1500

2000

0

100

200

300

400

500

07 08 09 10 11 12 13 14 15

USDA Soybean Cake Meal Total Export Sales BCOM Soybean Meal Index

24

Page 25: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

Silver Cotton

Live Cattle Lean Hogs

COMMODITY INVENTORY & SALES vs. BCOM INDICESCopper Copper

Aluminum Zinc

Nickel Gold

0

200

400

600

800

1000

1200

0

100000

200000

300000

400000

500000

92 94 96 98 00 02 04 06 08 10 12 14

Comex Copper Total Inventory BCOM Copper Index

0

200

400

600

800

1000

1200

0

200000

400000

600000

800000

1000000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Copper Total Inventory BCOM Copper Index

0

50

100

150

200

0

1000000

2000000

3000000

4000000

5000000

6000000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Primary Aluminum Total Inventory BCOM Alumnium Index

050100150200250300350400

0

200000

400000

600000

800000

1000000

1200000

1400000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Zinc Total Inventory BCOM Zinc Index

0

200

400

600

800

1000

1200

0

100000

200000

300000

400000

500000

91 93 95 97 99 01 03 05 07 09 11 13 15

LME Nickel Total Inventory BCOM Nickel Index

0

100

200

300

400

500

0

2000000

4000000

6000000

8000000

10000000

12000000

14000000

92 94 96 98 00 02 04 06 08 10 12 14

Comex Gold Total Inventory BCOM Gold Index

0

200

400

600

800

1000

0

50000

100000

150000

200000

250000

300000

92 94 96 98 00 02 04 06 08 10 12 14

Comex Silver Total Inventory BCOM Silver Index

0

20

40

60

80

100

120

-200

0

200

400

600

800

1000

07 08 09 10 11 12 13 14 15

USDA All Upland Cotton Total Export Sales BCOM Cotton Index

0

50

100

150

200

250

0

20000

40000

60000

80000

100000

120000

140000

99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15

USDA Cattle Slaughter Estimates Daily BCOM Live Cattle Index

0

20

40

60

80

100

0

100000

200000

300000

400000

500000

99 00 01 02 03 04 05 06 07 08 09 10 11 12 13 14 15

USDA Hogs Slaughter Estimates Daily BCOM Lean Hogs Index

25

Page 26: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

COMMODITY FUND FLOWS FOR US-LISTED ETPsXLTP XETFM <GO>

Report Period: 29 Apr 2016 - 31 May 2016

Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

57.14 5,635.89 1.0%53.81 7,821.30 0.7%-0.40 1,295.30 0.0%-0.08 24.56 -0.3%0.36 195.49 0.2%

-125.35 34,625.81 -0.4%-14.51 49,598.35 0.0%

Top 10 Creations * Click hyperlinks to open in Bloomberg

Name TickerNet Flows

($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

VelocityShares 3x Long Crude ETN UWTI US 113.99 874.97 13.0%iShares S&P GSCI Commodity Indexed Trust GSG US 27.98 661.05 4.2%

iPath Bloomberg Commodity Index Total Return ETN DJP US 18.76 999.83 1.9%ProShares UltraShort Bloomberg Crude Oil SCO US 14.02 97.91 14.3%

iPath GSCI Total Return Index ETN GSP US 12.59 53.91 23.4%United States Oil Fund LP USO US 11.55 3,093.19 0.4%

PowerShares DB Optimum Yield Diversified Commodity PDBC US 7.48 212.27 3.5%PowerShares DB Oil Fund DBO US 3.53 406.35 0.9%

ETFS Physical Precious Metal Basket Shares GLTR US 2.65 161.57 1.6%ProShares Ultra Bloomberg Crude Oil UCO US 2.54 764.79 0.3%

Top 10 Redemptions

Name Ticker Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

SPDR Gold Shares GLD US -82.41 21,927.00 -0.4%VelocityShares 3x Inverse Crude ETN DWTI US -62.29 264.13 -23.6%

United States Natural Gas Fund LP UNG US -23.43 519.90 -4.5%iShares Gold Trust IAU US -21.53 5,219.35 -0.4%iShares Silver Trust SLV US -13.17 4,419.41 -0.3%

PowerShares DB Gold Fund DGL US -7.14 138.52 -5.2%VelocityShares 3x Long Natural Gas ETN UGAZ US -6.96 292.52 -2.4%

First Trust Global Tactical Commodity Strategy Fund FTGC US -4.03 182.88 -2.2%ProShares UltraShort Silver ZSL US -3.14 55.73 -5.6%

iShares Commodities Select Strategy ETF COMT US -2.81 206.88 -1.4%

Sector

LivestockIndustrial MetalsPrecious Metals

Total

Broad BasedEnergy

Agriculture

26

Page 27: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

COMMODITY FUTURES TERM STRUCTUREENERGY GROUP

GRAINS GROUP

1.5

2.5

3.5

4.5

5.5

JUN

16

MAR

17

DEC

17SE

P 18

JUN

19

MAR

20

DEC

20SE

P 21

JUN

22

MAR

23

DEC

23SE

P 24

JUN

25

MAR

26

DEC

26SE

P 27

JUN

28

Natural Gas

29-Apr-2016

31-May-2016

010203040506070

JUN

16

OCT

16

FEB

17JU

N 1

7O

CT 1

7FE

B 18

JUN

18

OCT

18

FEB

19JU

N 1

9O

CT 1

9FE

B 20

JUN

20

OCT

20

FEB

21JU

N 2

1O

CT 2

1

WTI Crude

29-Apr-2016

31-May-2016

3035404550556065

JUN

16

NO

V 16

APR

17SE

P 17

FEB

18JU

L 18

DEC

18M

AY 1

9O

CT 1

9M

AR 2

0AU

G 20

JAN

21

JUN

21

NO

V 21

APR

22SE

P 22

FEB

23Brent Crude

29-Apr-2016

31-May-20160

50

100

150

200

MAY

16

AUG

16

NO

V 16

FEB

17

MAY

17

AUG

17

NO

V 17

FEB

18

MAY

18

AUG

18

NO

V 18

FEB

19

MAY

19

AUG

19

ULS Diesel

29-Apr-2016

31-May-2016

100

120

140

160

180

200

MAY

16

JUL

16SE

P 16

NO

V 16

JAN

17

MAR

17

MAY

17

JUL

17SE

P 17

NO

V 17

JAN

18

MAR

18

MAY

18

JUL

18SE

P 18

NO

V 18

JAN

19

MAR

19

Unleaded Gasoline

29-Apr-2016

31-May-2016

0

100

200

300

400

500

MAY

16

AUG

16

OCT

16

JAN

17

MAY

17

AUG

17

OCT

17

JAN

18

MAY

18

AUG

18

OCT

18

Soybean Meal

29-Apr-2016

31-May-2016400

450

500

550

600

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

HRW Wheat

29-Apr-2016

31-May-2016

350

370

390

410

430

450

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

SEP

18

Corn

29-Apr-2016

31-May-2016800

900

1000

1100

1200

MAY

16

JUL

16AU

G 16

SEP

16N

OV

16JA

N 1

7M

AR 1

7M

AY 1

7JU

L 17

AUG

17SE

P 17

NO

V 17

JAN

18

MAR

18

MAY

18

JUL

18AU

G 18

Soybeans

29-Apr-2016

31-May-2016

400

450

500

550

600

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

Wheat

29-Apr-2016

31-May-201630

31

32

33

34

35

MAY

16

AUG

16

OCT

16

JAN

17

MAY

17

AUG

17

OCT

17

JAN

18

MAY

18

AUG

18

OCT

18

Soybean Oil

29-Apr-2016

31-May-2016

27

Page 28: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

INDUSTRIAL METALS GROUP

PRECIOUS METALS GROUP

SOFTS GROUP

LIVESTOCK GROUP

195200205210215220225230235

MAY

16

AUG

16

NO

V 16

FEB

17

MAY

17

AUG

17

NO

V 17

FEB

18

MAY

18

DEC

18

JUL

19

MAR

20

SEP

20

Copper

29-Apr-2016

31-May-20161300

1500

1700

1900

2100

2300

MAY

16

DEC

16JU

L 17

FEB

18SE

P 18

APR

19N

OV

19JU

N 2

0JA

N 2

1O

CT 2

1M

AY 2

2DE

C 22

JUL

23FE

B 24

SEP

24AP

R 25

NO

V 25

JUN

26

Aluminum

29-Apr-2016

31-May-2016

1100115012001250130013501400

MAY

16

JUL

16

OCT

16

FEB

17

JUN

17

OCT

17

FEB

18

DEC

18

DEC

19

DEC

20

DEC

21

Gold

29-Apr-2016

31-May-201614151617181920

MAY

16

JUL

16

DEC

16

MAR

17

JUL

17

DEC

17

MAR

18

DEC

18

DEC

19

DEC

20

Silver

29-Apr-2016

31-May-2016

10

12

14

16

18

20

MAY

16

JUL

16

OCT

16

MAR

17

MAY

17

JUL

17

OCT

17

MAR

18

MAY

18

JUL

18

OCT

18

Sugar

29-Apr-2016

31-May-2016110115120125130135140145

MAY

16

JUL

16SE

P 16

DEC

16M

AR 1

7M

AY 1

7JU

L 17

SEP

17DE

C 17

MAR

18

MAY

18

JUL

18SE

P 18

DEC

18M

AR 1

9

Coffee

29-Apr-2016

31-May-2016

5055606570758085

MAY

16

JUN

16

JUL

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

MAY

17

JUN

17

JUL

17

Lean Hogs

29-Apr-2016

31-May-2016

95100105110115120125

APR

16

JUN

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

JUN

17

AUG

17

Live Cattle

29-Apr-2016

31-May-2016

1750

1800

1850

1900

1950

2000

MAY

16

SEP

16JA

N 1

7M

AY 1

7SE

P 17

JAN

18

MAY

18

SEP

18JA

N 1

9M

AY 1

9SE

P 19

JAN

20

MAY

20

SEP

20JA

N 2

1M

AY 2

1

Zinc

29-Apr-2016

31-May-201675008000850090009500

1000010500

MAY

16

SEP

16JA

N 1

7M

AY 1

7SE

P 17

JAN

18

MAY

18

SEP

18JA

N 1

9M

AY 1

9SE

P 19

JAN

20

MAY

20

SEP

20JA

N 2

1M

AY 2

1

Nickel

29-Apr-2016

31-May-2016

61.562

62.563

63.564

64.565

65.5

MAY

16

JUL

16

OCT

16

DEC

16

MAR

17

MAY

17

JUL

17

OCT

17

DEC

17

MAR

18

MAY

18

JUL

18

OCT

18

DEC

18

Cotton

29-Apr-2016

31-May-2016

28

Page 29: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

BLOOMBERG INTELLIGENCE: COMMODITY DASHBOARDS BI <GO> * Click hyperlinks to open in Bloomberg

Crude Oil Production: BI OILS <GO> Natural Gas Production: BI NGAS <GO>

Precious Metal Mining: BI PMET <GO> Agricultural Chemicals: BI AGCH <GO>

Copper: BI COPP <GO> Aluminum: BI ALUM <GO>

BI provides analysis on several key drivers of BCOM performance; industrial and precious metals mining, oil and natural gas production, and agricultural chemicals. The dashboards include key macro data libraries and interactive charting and commentary from analysts with an average of seventeen years of experience.

29

Page 30: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

COMMODITY CHEAT SHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE

* Click hyperlinks to open in Bloomberg

Broad Commodities EnergyTop commodity news CTOP Top energy news ETOPGlobal commodity prices GLCO Top oil news OTOP Commodity playbook CPLY Crude Oil Production Dashboard BI OILSCommitments of traders report COT First Word oil NI BFWOIL Calendar of commodity events ECO17 News on oil inventories TNI OIL INV Commodity arbitrage calculator CARC Oil Buyer's Guide newsletter NI OBGBRIEFCommodity fundamental data explorer FDM Pipes & Wires newsletter NI PAWSBRIEFCommodity futures overview CMBQ Oil market analysis BOILSecurity finder SECF Nat gas spot prices BGASCommodity data contributors & broker CDAT Forward European utility markets EUMContract table menu CTM News on oil markets NI OILMARKET Seasonality chart SEAG News on OPEC NI OPEC Commodity curve analysis CCRV OPEC production and prices OPECCommodity fair values CFVL Oil markets menu OIL Commodity price forecasts CPFC Crude stored in tankers NOONCommitments of Traders Report COT Refinery outages REFOCommodity maps BMAP Oil’s decline EXT5 Commodity options monitor OMON Oil versus inflation expectations SWIFCommodities charts COSYCommodity Investors menu CMNV MetalsUS exchange traded product fund flows ETF Top metal news METT

Precious metal dashboard BI PMETGBase metals dashboard BI BMET

Commodity Indices Metals prices and data MINE Index description BCOM Index DES Precious metals prices and rates MTL Index constituent weights BCOM Index MEMB Metals Bulletin MB Listed index futures BCOM Index CT COMEX inventories COMX Option volatility surface BCOM Index OVDV LME monitor LME Seasonality chart BCOMNG Index SEAG LME implied volatilities LMIV Commodity index futures movers FMV LME warehouse inventories LMEI Commodity index ranked returns CRR

AgricultureWeather Top agriculture news YTOP Global weather database WETR Agriculture calendar AGRI US snow monitor SNOW Agriculture spot prices AGGPEU weather & utility models EUMM Agriculture supply & demand AGSD

Crop calendar CCAL

BCOM QUICK FACTS Index Methodology

Weighting Bias 2/3 market liquidity and 1/3 world production No. of Commodities 20 Re-balancing Frequency Annual Roll Schedule Monthly (5 day roll) Caps/Limits Single commodity: max 15%

Single commodity and its derivatives: max 25%Related commodity groups: max 33%

First Value Date 30 December 1990

The data provided in this report can be easily accessed on the Bloomberg Professional® service along with numerous news and analytical tools to help you stay on top of the commodity markets.

30

Page 31: BLOOMBERG COMMODITY INDEX (BCOM) TABLES & …€¦ · Bloomberg Cheat Sheet. 30. ... (BCOM) BLOOMBERG COMMODITY INDEX. Energy (34.3 % of BCOM; ... Bloomberg Intelligence analysts

BLOOMBERG, BLOOMBERG INDICES and BCOM are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG INDICES or BCOM. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG INDICES or BCOM. Bloomberg makes no warranty, express or implied, as to the BLOOMBERG INDICES or BCOM or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with BLOOMBERG INDICES or BCOM or any data or values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDICES or BCOM shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the BLOOMBERG INDICES or BCOM should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG INDICES or BCOM is impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtaining independent advice before making any financial decisions. © 2016 Bloomberg Finance L.P. All rights reserved. This document and its contents may not be forwarded or redistributed without the prior consent of Bloomberg.

31