Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition

Commodities on Sound Footing for 4Q - Commodities marked time in September as energy gains offset metals losses - Outlook is positive for 4Q with energy on board and potential peak greenback - Unless the dollar decline reverses sharply, commodities may have nowhere to go but up - Energy is likely to shift ranges higher on demand exceeding supply and backwardation - Overdue for a pause, favorable fundamentals should prevail in metals by year-end - Ags are ripe, quite buried with extreme contango signaling high mean reversion potential

Mike McGlone – BI Senior Analyst; Commodities. BI COMD (the commodity dashboard)

Commodities' Foundation Firming Up for Strong 4Q Performance Performance: September -0.1%, YTD -2.9, Spot 1.0%. (returns are total return (TR) unless noted)

(Bloomberg Intelligence) -- The 4Q backdrop is favorable for Bloomberg Commodity Index (BCOM) performance, ending 3Q with a slight 2017 spot gain. Energy is just getting its game on, seeking the baton from metals. Agriculture indications are shifting to demand-driven as the grains withstand another very productive U.S. growing season, with slight spot gains. Backwardation in energy is indicative of demand exceeding supply and improved total returns. A potential peak dollar and exports are key drivers.

Predominant index constituents WTI crude oil, soybeans, natural gas and wheat are experiencing record U.S. exports. Traded in dollars, this new export dynamic, along with global commodity demand in excess of supply and a weak dollar, should power commodity-price gains.

Broad Commodity Outlook 4Q - Rally Resumption Likely

Energy's Back on Board, Should Power Commodities Ahead in 4Q. All three commodity sectors are ripe to rally in 4Q, notably if the dollar doesn't recover too much. Metals are refreshing their uptrend. Energy is running into good resistance, but on sounder footing with backwardation. Agriculture is hanging in despite another strong U.S. production year.

Hibernating Commodities Finally Are Stirring - With the Dollar. Signaling a strong finish, commodities appear to be looking ahead to a 2017 lower-dollar endgame. Despite the U.S. Trade Weighted Broad Dollar index

recovering near 1% since the September Federal Reserve meeting, so has the Bloomberg Commodity Spot Index. History suggests broad commodities may have 20% more to go.

Consolidating Dollar Bear Should Feed Hibernating Commodity Bull. Even if the dollar rallies some, 4Q should be a strong one for commodities, if the past is any indication. If the U.S. Trade Weighted Broad Dollar and the Bloomberg Spot Commodity Index both end 2017 at current levels, the disparity would be almost unprecedented. The dollar would be down almost 8% and commodities up only 1%. In the past 20 years, when the dollar is down 6% or more over 52 weeks, the average spot commodity increase is 30%. May 2005 marked the minimum commodity gain of 7% with the dollar down 6%.

Dollar May Need to Plunge for Lower Commodities

Commodities caught up by the end of 2005, gaining 30% on the year. Simply sustaining current levels in the dollar would be strong support for commodities, it would signal

Market Commentary 1 Energy 5 Metals 8 Agriculture 12

DATAPERFORMANCE: 18 Overview, Commodity TR, Prices, Volatility CURVE ANALYSIS: 23Contango/Backwardation, Roll Yields, Forwards/Forecasts MARKET FLOWS: 26 Open Interest, Volume, COT, ETFs

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

a consolidating greenback bear feeding a hibernating commodity bull. Potential Commodity Catch-Up If There's Dollar Mean Reversion. If the U.S. dollar recovers near 3% in 4Q, 2017 will still be one of the worst in the history of the U.S. Trade Weighted Broad Dollar since 1973. In only four years has the dollar declined 5% or more; this year, it's down almost 8%. An outlier was 1987, as WTI crude oil also declined 7% despite a 6% dollar slip. The average WTI gain is 33%, led by a 78% increase in 2009. Indicating increasing dollar volatility, 2007, 2009 and 2003 are the three other major dollar decline years of the past 43. Commodities When Annual Dollar Down 5% or More

With a Bloomberg Commodity Spot Index annual negative beta to the dollar of 2.2 since 1991, commodities appear to be begrudgingly reacting to a potential peak dollar. If history is a guide, the commodities with the most upside potential include copper, Brent and WTI crude, platinum and soybeans. Peak-Dollar Scenario More Likely, Commodities Sprouting Green. Broad commodity performance has been disappointing in 2017 vs. the declining dollar, but they should catch up over time. On pace for one of the worst years in U.S. trade-weighted broad dollar measurement since 1973 (down about 8% through 3Q), commodities likely need to be convinced of the shift. The Bloomberg Commodity Spot Index could have underlying support near 16% if the dollar simply sustains end-of-3Q levels. Macro Focus - Peak Dollar Gaining Traction

BCOM's 20-year annual beta to the dollar is about minus 2x. Metals' beta is the most negative, near 3x; they've responded accordingly. In the past 20 years, when the dollar is down 6% or more over 52 weeks, the average spot commodity increase is 30%. The dollar ended 3Q down 3%. SECTOR PERFORMANCE Metals Pass Baton to Energy in September, Both Favorable for 4Q. Some back-and-fill maneuvering in the dollar and metals was offset by continued recovery in energy in September, but both are poised to perform well in 4Q. Unless the dollar sustains a serious recovery, metals should remain the primary beneficiaries as broad commodities gain support. Energy has been the biggest total-return drag, but with backwardation predominant at the end of 3Q, that's set to improve. Agriculture should also improve, but as indicated by the opposite -- extreme contango. Metals Pausing With Energy on the Road to Recovery

Portending favorable mean-reversion potential in 4Q, the 3Q average of the grains' one-year futures curves bottomed from the most extreme contango in 10 years. Such extremes typically mark price bottoms. Roll returns will remain negative, but typically spots initially recover. Commodity Attribution Led by Metals, Energy; Agriculture to Join. Energy and agriculture are set to join metals' positive contribution to broad-commodity total returns in 4Q. Typically the first responder to changes in dollar value, the metals' gains in 2017 are the prime pillars for returns, on the back of a weak dollar. With base types adding 290 bps and precious another 110 bps to Bloomberg Commodity Index returns, metals should add to gains unless the declining dollar trend definitively reverses. Energy and agriculture -- 440 and 320 bps drags -- appear ripe to rebound.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Metals Leading Returns, Offset by Energy, Ags

Shaking off 2Q weakness, energy is poised to be a prime 4Q contributor as demand exceeds supply and amid backwardation and a weak dollar. Agriculture may be the longer shot, due to steep contango, but spot prices appear in early recovery days. BCOM Forwards and Roll Select

  

Broad Commodity Backdrop Is the Most Favorable in Over a Decade The primary commodity-price drivers haven't painted this favorable a picture in about 15 years. Headwinds are reversing, with a potential peak dollar, increasing global PMI and U.S. CPI, and demand exceeding supply providing a backdrop that's similar to the 2002-03 recovery for commodities. Primary Macro Commodity Drivers Reminiscent of 2002-03 Rebound. The commodity-market backdrop is similar to 2002-03's recovery in the aftermath of the internet bubble and subsequent slowdown. Following prolonged price pressure that coincided with a stronger dollar and weaker consumer-price and global purchasing-manager indexes, macro drivers shifted favorably. In November 2002, the sum of monthly betas of the three commodity drivers indicated a Bloomberg Commodity Spot Index 12-month average increase near 25% vs. an actual 27% advance in the BCOM.

Commodity Recovery Looks Similar to 2002-03

Currently, the annual change of the BCOM 12-month average is about half the 25% indicated by the same macro drivers. A reversal of dollar weakness is likely the greatest immediate risk. A continuation of current trends would support higher commodity prices. Sweet 16 for Commodity-Dollar Tango Should Favor Commodities. It's been almost 16 years since the Bloomberg Commodity Index and the U.S. Trade Weighted Broad Dollar broke from a similar recent uptrend. Akin to 2000-02, both 52-week averages are on the rise. Typically, the relationship is distinctly inverse. Early in the new millennium, the temporary companions split, favoring higher commodities and a weaker dollar. History may not repeat itself, but rhyming should favor a similar reaction, as the strong-dollar trend appears in early reversal days. Dollar Appears in Early Days of Trend Reversal

The 52-week trade-weighted dollar mean has just begun to turn down, potentially similar to the 2002 peak. Commodities have been a bit more antsy to end the relationship as the annual average shifted to up in 3Q16. Near minus 9% in 2017, the dollar is on pace for its worst

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

year since 1973. Sustained Strong China PMI Increases Support for Commodities.  Strong China PMI is shoring up support for commodity prices. At 51.7, the China Purchasing Managers Index has pulled its 12-month average to the highest in six years. Of equal significance is the favorable upward trend. In the index history since 2005, the annual correlation to the Bloomberg Commodity Spot Index is 0.72. U.S. PMI, at 58.8, is the highest since May 2011. If the BCOM catches up to levels coincident with similar past PMI trends, the 1H10 high should offer a good first resistance. China PMI Trending Favorably for Commodities

In the first week of January 2010, during the initial recovery after the financial crisis, the BCOM peaked at 379, about 11% above current levels. That held until September when the market tacked on another 35% until the 2011 peak. A favorable China PMI trend was supportive at the time. Commodity Demand vs. Supply Feels Like 2010, With Stronger Base. Broad commodity demand vs. supply levels and trends are similar to the initial recovery period following the financial crisis, but with more duration potential. After initially recovering in 2009, the Bloomberg Commodity Index consolidated for most of 2010, until breaking out with a favorable demand vs. supply backdrop. From the end of August 2010 to the April 2011 peak, the spot index increased 42%. That's been the high since, but the foundation for sustained higher prices appears superior than seven years ago.

Demand vs. Supply Backdrop Similar to 2010 Melt-Up

The cyclical nature of commodities favors an extended recovery, following the stretched decline. In addition, the multiyear rally in the U.S. dollar leaves it with plenty of mean reversion room. At 1.001, the weighted average ratio of BCOM demand vs. supply is the highest since 2011. Front Energy Futures

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Energy (Index weight: 29% of BCOM. Performance: September +3.5%, YTD -12.2, Spot -6.6%) *Note index weights are the YTD average

Energy Outlook - Traders Delight With Upward Bias Energy Markets May Catch Up to the Dollar on Hurricanes' Spark. Rising global demand vs. supply, backwardated futures curves and a potential peak dollar should keep a floor under energy prices in 4Q. WTI crude, the predominant petroleum future, would be unchanged on the year at $53.72 a barrel. At 3Q's end, it's the major petroleum future without a 2017 gain. That's likely to change in 4Q notably vs. Brent. After a spike on the hurricanes, Brent vs. WTI should normalize, aided by strong U.S. exports and demand. A key risk might be more technical, holding upper-range resistance. Near $60 in WTI and $63 in Brent are the key resistance levels from 2015. They may be tested in 4Q, but are unlikely to be sustained. It's a responsive traders market, expect sellers to do so. Key supports are near the August breakout levels and 52-week averages, near $45 WTI and $50 Brent. Energy Outlook - Responsive Traders, Bullish Backdrop Range Trading Crude Oil May See Responsive Selling at Upper End. A range trader's delight, the crude oil market may offer favorable risk vs. reward for sellers at almost 20% off its lows as it did for buyers in June when it was about 20% off its highs. Underlying bullish supports including a potential peak greenback, demand exceeding supply and backwardated futures curve should prevail by year-end. Brent Crude Oil Near $50-a-Barrel Handle Should Last Awhile. Support near $50 and resistance near $60 should cage Brent crude awhile. The range-trading market has reason to probe the upper end, on the back of global demand exceeding supply, backwardated futures curves and a potential peak dollar. But the backdrop appears insufficient to sustain above $60 for an extended period. OPEC's production-cut resolve should diminish, with plenty more incentive for U.S. producers in a $60 handle, yet $50 is good support. A key issue is likely WTI crude catching up to similar levels.

Upper End of Range Should See Responsive Selling

Ending 3Q near 10% after almost matching the wide Brent-to-WTI spread from the February 2016 underlying bottom, the premium is likely to gravitate toward the two-year mean at 5%. There's key resistance for WTI at $53, the 2017 mean prior to the March 8 plunge; $45 should hold good support. Crude Oil, Natural Gas Trends Need to Change for Lower Prices. Primary energy catalysts indicate higher prices. Global crude oil demand exceeding supply and the declining dollar likely need to reverse to impede price gains. Demand vs. supply is similar for natural gas, though declining U.S. inventories may be a more significant price-growth driver. Key Crude-Oil Drivers Need to Reverse Course for Lower Prices. Higher petroleum prices are likely if key trends hold. Global demand exceeding supply and a declining dollar is a strong combination for increasing prices. If both sustain current levels, the Bloomberg Petroleum Spot Subindex could advance about 20%, based on historical comparisons. If the US Trade Weighted Broad Dollar (down about 3% on a 12-month basis) doesn't recover, 2017 will be one of the worst years in its Federal Reserve-calculated history since 1973. The 20-year annual beta of petroleum to the dollar is minus 3.8. Since 2004, the 12-month change in petroleum is about 20x that of the same measure of DOE crude oil and liquid-fuels consumption vs. production. The latest data show demand exceeding supply for the longest period since 2014.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Trends Likely Need to Shift for Lower Crude Oil

Crude Oil Has Few Ways to Go But Up With Sinking Dollar. Until recently, WTI crude-oil futures (since 1983) have never experienced a simultaneous dollar decline and high-velocity increase in U.S. export demand. Meanwhile, not since the initial aftermath of the global financial crisis in 2009 has the Bloomberg Dollar Index (off almost 10% in 2017) retreated faster than the current 5.3% measure of the 20- vs. 200-day average. The negative betas of WTI crude oil to the dollar since 2004 are 2.5x, measured quarterly, and 4.2x, measured annually. Declining Dollar Is Good Crude-Oil Support

In the three years since 2004 where the dollar index was down 4% or more, crude oil surged 45% on average. It's been only two years since the lifting of U.S. crude-oil export restrictions. Hurricane distortions should be short-lived. WTI Should Get a Lift With U.S. Exporting More of Its Crude Oil. A plunging dollar and recent decline in WTI crude oil prices vs. Brent should accelerate U.S. shipments in a less-restrictive export environment, supporting WTI. Exports of U.S. energy commodities appear to be on the cusp of hitting high gear. The 52-week average of crude oil and product exports, at 5.3

million barrels a day, is the highest ever and up almost 1 MMBPD from a year ago. Hurricane distortions are likely to be short-lived and should boost demand for WTI. U.S. Crude Oil, Product Exports on a Tear

The U.S. benchmark at its greatest discount since February 2016 to the global brethren, Brent, is an opportunity to boost exports of higher-quality WTI.  

PERFORMANCE DRIVERS Energy Performance Drivers Brent, Diesel Lead 3Q Total Returns. Distorted a bit by hurricanes, heating oil (diesel) and Brent crude led 3Q and 2017 energy returns. Diminishing inventories have kept a floor under the distillates, notably diesel and unleaded gas. The 2017 diesel total return near 1% is the only Bloomberg Energy Index component in the green at 3Q's end, on a spot gain of about 6%. A one-year curve close to 6% backwardation vs. 7% contango a year ago indicates demand exceeding supply and improved total returns in 4Q. Heating Oil, First in Green, Brent Likely in 4Q

Natural gas remains the primary energy drag, but has good prospects for improvement in 4Q on backwardation, strong exports and a compressed range likely to break out to the upside. In 4Q, WTI is likely to normalize the wide hurricane-induced discount to Brent reached in 3Q  

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Natural Gas Less Prepared Than Past for Winter Demand Increasingly Compressed Natural Gas Range Favors Upside Breakout. U.S. traded natural gas futures are the most coiled to spring in four years, with increasingly favorable drivers. Demand exceeding supply, a backwardated futures curve and the highest U.S. exports-to-production ratio ever favor a surge in prices. A mild winter will likely be necessary to keep prices down. Extremely Compressed Natural Gas Market Range Favors Upside. Natural gas appears more poised to revisit the upper end of its range than the bottom, with greater potential staying power. Despite a distinct lack of U.S. summer sizzle, the front natural gas futures price is ending 3Q unchanged from the level in first week of June. In a rare case of backwardation, the one-year back price averaged 1% lower in September, indicating demand exceeding supply. The narrowest 52-week Bollinger Bands in four years portend volatility soon, with up being the path of least resistance on favorable drivers. Natural Gas Coiled to Move, Upside Favored

BI analysis of the primary U.S. natural gas demand vs. supply drivers above par is supportive of prices. A new market dynamic that is rapidly increasing U.S. exports -- nearing 12% of production and the highest export-to-production ratio ever -- diminish the so-called U.S. energy price island. Natural Gas Supported by Strong Demand and Declining Inventories. Primary natural-gas drivers indicate higher prices. Without a reversal in U.S. demand exceeding supply and declining storage, natural gas prices could increase about 20%, BI calculates. The relative change in storage levels has among the highest negative annual correlations to prices, at 0.66 in the past 20 years. In May, for the first time in two years, the 12-month average of DOE Working Natural Gas Total Estimated Storage began to decline. It's down about 10% year-over-year.

Gas Appears to Have Too Little Premium Priced In

Analysis of DOE estimates of U.S. natural gas demand, plus LNG and dry exports vs. production and imports, results in a 12-month average demand vs. supply ratio that's held above par since January 2016. These primary natural gas drivers are trending favorably for U.S. prices. Export Surge Should Support Growth of U.S. Natural Gas Prices. Rapidly increasing natural-gas exports vs. production and a declining dollar set a good foundation for prices in the U.S., which exports almost 12% of total output. That's about double the amount just two years ago. The most widely traded U.S. natural gas futures contract is about unchanged since the start of 2015 vs. about an 8% decline in the second-most widely traded U.K. natural gas future, despite a 13% boost from the declining pound. Increasing U.S. Pipeline & LNG Exports/Production

Indicating a shift in the energy paradigm, the 12-month average of U.S gross pipeline and liquefied natural-gas exports, divided by total marketed production, is the highest ever. Net of exports, the 12-month average of U.S. production (69 billion cubic feet a day) is unchanged vs. three years ago.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Metals All (Index weight: 35% of BCOM. Performance: September -3.6, YTD +13.1) Industrial (Index weight: 19% of BCOM. Performance: September -3.8, YTD +16.8, Spot +18.2%) Precious (Index weight: 16% of BCOM. Performance: September -3.3%, YTD +8.7%, Spot +9.7%)

Metals-Market Outlook 4Q - Time On Its Side Metals May Be in Early Days of Refreshing From the Pause. The metals sector should be on sound footing in 4Q. A September pullback may extend a bit, but the backdrop is favorable -- increasing demand vs. supply, a potential peak dollar, improving global GDP and attractive relative value (notably vs. stocks). The signals indicate a nascent bull market that's pausing to refresh. Despite the attention given to a record-setting stock market, metals are outperforming in this Fed rate-hike cycle and may have plenty of room to gain ground. In the last cycle, base metals bested stocks by tenfold. This time around they're up almost double, signaling they should accelerate their outperformance. Precious metals have pulled back amid the dollar's recovery, but are on a much better footing than a year ago, with gold near $1,300 an ounce. All Metals Outlook 4Q - Time on it's Side Metals Signal Nascent Bull Market, Notably If Dollar's at Peak. Pausing and refreshing in September should support metals prices in 4Q. Down about 4% in the month, the Bloomberg All Metals Total Return Index is likely to add to a 13% gain so far for 2017, unless established trends reverse. The weak dollar, despite a rate-hike cycle, indicates a longer-term peak. Metals Have the Declining Dollar, Passage of Time on Their Side. A much-expected dollar correction or pause in the downtrend appears to be the current condition, signaling that metals should have more upside in 4Q. It's been about six years since metals had support from dollar declines with similar velocity. Metals have the highest annual negative correlation (minus 3) to the U.S. trade-weighted broad dollar in the past 20 years. On a 52-week

rate-of-change basis, the Bloomberg All Metals Subindex Total Return of about 9% is on pace with the 3% dollar decline. Declining Dollar a Key Metals Driver

By the end of 4Q, considering some dollar back-and-fill, metals could add to 2017's 13% gain, which is about 1.8x the dollar decline. If the greenback ends 4Q on par with 3Q levels, metals have the potential to increase 20%. A weaker dollar should improve metals' performance. All-Metals Index Appears on Verge of Accelerated Recovery. Indicating a breakout bull market, the Bloomberg All Metals Index in 3Q set its widest gap above the 52-week Bollinger Bands in seven years. There's potential for greater velocity. Right before the latest rally, the standard deviation measure reached its narrowest level, comparable to conditions just prior to a big rally that began in 2005. Technicals, a weaker dollar and demand exceeding supply also favor higher prices. Other than dollar strength, the greatest risk is likely a global economic slowdown. Metals Appear in Early Breakout Days

Acceleration is likely, with the latest JPMorgan Global Manufacturing PMI reading at its highest in six years.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Since the start of the Fed's tightening cycle, the total return for all-metals is 34% vs. 28% for the S&P 500. Metals have the benefit of being at a steep discount from historic highs. Metals' Upper Hand in This Tightening Cycle May Strengthen. Metals' performance can be considered disappointing in the current Federal Reserve rate-hike cycle vs. the last one, though the tide is turning. Up about 34% since the Fed's first increase, the Bloomberg All Metals Total Return Index has bested the S&P 500 total return by five percentage points. Both rallies are supportive of further tightening, but with greater risk for stocks, which typically underperform. In the 2004-06 tightening cycle, metals jumped 110% vs. an 11% increase in the S&P 500. Metals Outperforming Stocks May Just Be at Start

The all-metals index would need to rally about 55% to reach its 2011 high. If stocks stagnate and metals revisit the peak, the metals would outperform stocks by about 8x. Metals are supported by a potential peak dollar and demand exceeding supply following a multiyear price decline. PERFORMANCE DRIVERS Metals Performance Pause in September Should Refresh for 4Q. September's all-metals decline of about 4% vs. a 1% gain in the Bloomberg Dollar Spot Index appears to be merely a pause for favorable metal-price trends. A reversal to sustained dollar strength is likely the greatest risk to metals, but that's unlikely. Aluminum remains the key metals driver in 2017, up 22% on a total-return basis. China's emissions reduction and related crackdowns on noncompliant producers is aggravating an already favorable demand vs. supply balance.

Aluminum & Copper Likely to Remain Return Drivers  

Copper, with the highest weighting among industrial metals, is neck and neck with aluminum, driving a lesser total return of about 16% in 2017. Key trends, notably the weakening dollar and improving global economic growth, likely need to reverse for metals to perform poorly in 4Q. Precious Metals Outlook 4Q - Can Stocks Keep Up Keeping Pace With Record-Setting Equities May Favor Gold. Running neck and neck with the S&P 500 in a tightening cycle should favor gold in most scenarios. Rate hikes are typically coincident with inflation, a best companion for diversifier gold but not stocks. Mean reversion for stocks should support gold. Higher rates absent inflation would be negative. Gold vs. Stocks: What's It Going to Take for Gold to Lag Behind? With the record-setting stock market barely beating gold, the metal may be worthy of greater attention. Since the beginning of the Federal Reserve's tightening cycle in December 2015, spot gold and the S&P 500 Index are up about the same, just above 20%. Despite all of the attention on stocks, gold may be looking ahead to a more-favorable endgame at a steep discount to historical highs with inflation brewing, a potential dollar peak and the lowest CBOE Volatility Index ever. Record-Setting Stocks Just Keeping Pace With Gold

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Accelerating the pace of stock-market returns may be necessary to divert more attention from gold and other diversifiers. The higher that stocks go, the greater the reversion risk, apparently supporting gold. The metal's greatest risk is likely a sustained dollar recovery. Gold Appears in Early Days of Low VIX, Potential Peak Dollar. Gold's support pillars may be just solidifying. Essentially the reciprocal of the dollar, gold has been supported by greenback weakness in 2017, though the 52-week average of the Bloomberg Dollar Spot Index has barely turned. The last year where this annualized dollar measure sustained a downtrend favorable to gold was 2011. If it's turning, it's in the early days. Stock-market volatility (another key gold pillar) remains a headwind, as represented by the VIX 52-week average still trending down. Mean-Reversion Risks Favor Gold Support Pillars

With the lowest 52-week mean in its history since 1990, the CBOE Volatility Index is at elevated mean-reversion risk. The gold peak at $1,900 an ounce in 2011 marked the last time that both the dollar and VIX trended favorably. The last time the VIX recovered from a similar level was 2007. Gold Positions Enthusiastic Again, But More Mature This Time. Elevated gold positions increase liquidation risks, but appear more mature than a year ago. In 2016, as the gold market initially recovered, futures reached record positions, then flushed dramatically with prices just after the September FOMC meeting. Managed-money net gold positions back near 2016's highs, with slightly lower open interest, heighten liquidation risks. Yet they appear in stronger hands with gold's improving foundation amid a weakening dollar and maturing rate-hike cycle.

Elevated Gold Positions Appear in Stronger Hands

A declining trade-weighted dollar, despite Federal Reserve tightening, harkens back to the June 2004 to June 2006 rate-hike cycle, when gold increased 50%-plus and the dollar declined about 6%. Up 23% this cycle vs. a dollar decline near 4%, the negative gold-to-dollar relationship is similar. Industrial Metals 4Q Outlook - Trend is Your Friend Base Metals Appear in Early Recovery Days, Notably vs. Stocks. Unless entrenched trends abruptly reverse -- a declining dollar, demand exceeding supply and higher global GDP -- industrial metals should extend gains. Up at double the pace of stocks in this tightening cycle, industrial metals may catch up to the past cycle's performance, when they increased 10x the rate of equities. Industrial Metals Outpacing Stocks, Appear on Sounder Footing. Industrial metals are likely to accelerate their recent outperformance of the stock market. Up more than double the pace of the S&P 500 Index in the current rate-hike cycle, the Bloomberg Industrial Metals Spot Subindex gain of 49% compares with 23% for stocks. Demand exceeding supply by the most in over a decade and a potential peak dollar should continue to favor the metals, which are up just 83% since the start of 2007 vs. 174% for stocks. The gap should continue to narrow. More-entrenched trends such as expanding global GDP and increasing demand vs. supply are unlikely to reverse soon. A sustained reversal in the dollar decline is likely the greatest risk. A potential peak dollar is supported by the fact that it's declining during a Federal Reserve rate-hike cycle.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Industrial Metals Retaking Ground Lost to Stocks

Industrial Metals May Be Running Behind Stabilized Macro Drivers. If key macro drivers are intact at year's end, industrial-metals prices should continue to increase. Currently near 30%, the 12-month change in the Bloomberg Industrial Metals Spot Subindex should appreciate if current rates of demand vs. supply, China PMI and the dollar finish unchanged vs. today's levels. Analysis of World Bureau of Metal Statistics base-metals data shows demand in excess of supply, providing a strong foundation. China PMI above 50 with a 12-month 2.5% rate of change is additional support. Base Metals May Be Lagging If Trends Continue

A key macro boost comes from the declining US Trade Weighted Broad Dollar. If it ends 2017 at current levels, it would be one of the worst in its history since 1973. The annual metals-to-dollar beta is negative 3.4 over the past 20 years. Base Metals' Foundation Hasn't Been This Good in 13 Years. The foundation for industrials metals was last this solid in 2004. Demand exceeding supply, coincident with a declining dollar, is a strong combination for higher base-metal prices. After a 50% Dollar Index Spot rally from the 1995 trough to 2001 peak, it declined until 2008. June

2003 marked the peak velocity, when the 20-day average dipped 9% below the 200-day. Currently at 6%, the velocity of the dollar's decline is the highest since 2009. From the 2008 low to 2016 peak, the dollar rallied 45%. Base Metals Supported by Dollar and Demand/Supply

BI's analysis of World Bureau of Metal Statistics consumption vs. production data for copper, aluminum, nickel and zinc shows a 1.01 combined ratio, the highest and longest above the 1-to-1 threshold since 2004-05. From the 2001 low to 2007 high, industrial metals increased almost fivefold. High Sensitivity to the U.S. Dollar Puts Copper at Elevated Risk. Copper is at a high risk of mean reversion for the rapidly declining dollar. Of all Bloomberg Commodity Index constituents, copper has among the highest annual negative betas -- 1.9 for the past 20 years -- to the Dollar Index Spot. Down about 8% in 2017, copper is close to its historical dollar relationship, up about 18%. On pace for its worse year since 2003, the dollar is overdue for back-and-fill volatility. In 2003, the dollar declined 14.7% and copper increased 48.8%. Copper, Up With Down Dollar, Needs Demand Increase

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

The pace of global refined-copper demand was rapidly exceeding supply in 2003. Now it's heading the other way, based on World Bureau of Metal Statistics data. Weak-dollar-driven copper likely needs some support from demand exceeding supply to sustain the bull market. New Paradigm May Be Supporting Aluminum Demand Excess of Supply. Aluminum prices are well supported by demand exceeding supply. The ratio of aluminum demand vs. supply has held at its highest for the longest stretch in the history of World Bureau of Metal Statistics global consumption vs. production data since 1995. Above the 1-to-1 threshold, the 1.014 ratio is the highest since 2001. Recent crackdowns on illicit production in China have boosted aluminum to be among the best-performing Bloomberg Commodity Index constituents in 2017, up 22%. Aluminum - Catching Up to Demand Excess to Supply

The shift to more aluminum for lighter vehicles and electric cars and trucks is perhaps more significant, long term. With a history of low negative correlation to the dollar, the declining greenback is much less of an aluminum support factor than other metals, notably copper.

Agriculture (Index weight: 30% of BCOM. Performance: September 0.0%, YTD -9.2%, Spot -3.2) Grains (Index Weight: 24% of BCOM. Performance: September +1.3%, YTD -6.8%, Spot 1.1%) Softs (Weight: 6% of BCOM. Performance: September -3.4%, YTD -19.0%, Spot -15.6%)

Ripe for Demand Driving - Agriculture 4Q Outlook Agriculture Ripening for Demand to Take 4Q Lead for Commodities. Price increases are likely for agricultural commodities in 4Q after ending 3Q with about a 1% spot gain for 2017, even with another bumper grain harvest. The Southern Hemisphere's growing season will gain focus, but global demand exceeding supply after multiple years of price declines should lend support. The recovery recipe also ripens when considering that U.S.-traded grains comprise the majority of the Bloomberg Agriculture Subindex, supported by record exports and a potential peak dollar. Negative roll yields due to steep contango-shaped futures curves are the primary drag on total returns, down 9% in 2017. Yet the contango extreme of 3Q may augur well for 4Q performance. It was the steepest in 10 years, indicating little incentive to sell with similar extremes marking price bottoms. Agriculture 4Q Outlook - Rarely Buried Deeper Lower for Longer in Agriculture Reaching Historic Extremes. Pressured by a cold August in the Corn Belt, agriculture prices are about as buried as they get. Since 1991, the 52-week rate of change in the Bloomberg Agriculture Spot Index has never been lower for longer in a four-year period. Demand above supply and an extreme contango indicate a bottom soon, Futures Curves Signal Agriculture Prices Establishing a Bottom. Agriculture prices should be near a bottom, based on historical patterns of recovery from steep contango. It's been a decade since the average of one-year grain futures curves bottomed from a similar extreme as in 3Q. From that low in August 2006, the Bloomberg Agriculture Spot Index rallied 140% to 2008's peak. Ending the month almost 10% in contango,

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

the 12.3% level reached on Aug. 30 was last surpassed in 2006 (12.9%). The expiring September corn contract is a prime driver. Potential Bottom From Steep Grain Contango

Steep contango indicates ample supply and the most incentive for producers to store, not sell, in over a decade. The futures curve may not have reached its contango extreme, but a 10-year reach is pretty steep. Rapidly increasing U.S exports and the weak dollar have helped to offset ample supply. Demand vs. Supply Shows Low Agriculture Prices May Not Last Long. Agriculture appears to be in the early days of a bull market, as greater demand exceeds bumper-crop supply. Primary demand and supply drivers held above par in 3Q, the first quarter in six years. In 2011, the Bloomberg Agriculture Spot Index's 52-week rate of change peaked at 80% vs. minus 3% at the end of this September. Since 2013, sustaining the lowest-for-longest rate of agriculture price change since 2000-01 appears to be boosting the cyclical nature of demand. Agriculture Demand Exceeding Supply in 3Q

Another above-trend supply year is likely in 2017, notably with one of the coldest Augusts in 100 years for the Corn

Belt. Weather risk is increasing, but so far supporting production with moisture. History indicates that supply is more volatile than demand. Key Corn, Soybean and Wheat Drivers Signal Higher Grain Prices. Grain prices are likely to gain, unless favorable drivers reverse course. Among four key macro factors, only the increasing U.S. stocks-to-use ratio isn't supportive. Global demand exceeding supply, a declining dollar and increasing exports indicate an 11% annual rate of increase for the Bloomberg Grains Spot Subindex 12-month average, the highest since 2012. The last time that the sum of the betas of these indicators showed similar trends and levels was 2010. Trends in Key Grain Drivers Indicate Higher Prices

The steepest 12-month decline in seven years for the US Trade Weighted Broad Dollar (3.4%) and near-18% annual increase in U.S. exports of corn, soybeans and wheat are the primary supports for U.S.-traded grain prices. PERFORMANCE DRIVERS Steep Contango Is Primary Total-Return Drag on Ag Drivers. On a spot basis, grains are up about 1% in 2017 despite another year of record production, indicating a nascent demand-driven bull market. Negative roll yield, due to steep contango, is the biggest drag on the agriculture commodities' total return. Down about 3% this year on a spot basis after a slight gain in 3Q, the Bloomberg Agriculture Subindex Total Return is minus 9.5%. Mean-reverting sugar, taking back 2016's advance, is the biggest agriculture-commodity drag.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Sugar, Biggest Commodity Drag With Steep Contango

Historically high grain stockpiles largely explain the steep contango and negative roll yield, as evidenced by the Bloomberg Grains Subindex Total Return of minus 7%. The average of grains' one-year curves, almost 10% contango, is recovering from a 10-year extreme reached in September. Soybeans 4Q Outlook - U.S. Exports Surpassing Supply Higher Prices May Be Primary Export Suppressant for Soybeans. Record exports continue for soybeans, the most widely traded agriculture commodity. Indicating a nascent bull market, and despite record supply increases and ample stocks, prices are holding support. Supply can only rise so much, but demand indicates it's just a matter of time before prices climb. Soybeans' Bullish Drivers Just Starting to Surpass Bearish Ones. A potentially inverted head-and-shoulders pattern to the 2014 low favors soybeans' bullish drivers, with U.S. exports the highest ever vs. production. Accounting for more than half of production for the first time, exports are likely to continue to increase until prices do, supported by the declining dollar. Strong supply and a high soybean stockpile are the primary pressure factors, though the USDA quarterly stocks data may paint a different picture compared with global consumption.

Soybeans May Be Bottoming With Record Exports

Despite a record run of bumper crops, the four-quarter average of U.S. soybean stocks-to-global use is estimated to be relatively consistent with the 2010 apex. By the time that estimates normally peak, prices typically have rallied substantially. U.S. Soybean Quarterly Stocks Harken Back to 2010 vs. Global Use. Soybean prices and U.S. stocks-to-global demand are at the same levels as in 1H10, just before a big price jump. Despite an end-of-September USDA quarterly soybeans stocks estimate that's likely to show the highest four-quarter average in 10 years, it's more significant relative to global consumption. That longer-term trend is down. In 2007, U.S. soybeans stocks-to-global use peaked near 18%. Currently, it's about 12%. Price bottoms have a history of occurring well ahead of peaks in soybean stocks-to-use. Long-Term U.S. Stocks-to-Global Use Downtrend

Soybeans, almost 4% below August 2010's price of $10.08 a bushel, have favorable supports. They include the highest-ever U.S. exports-to-production percentage,

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

the dollar appearing in its early day of peaking, and conditions rated as 60% good-to-excellent vs. 63% over the same period seven years ago. What's Different for Soybeans? Declining Dollar and Exports. Soybeans' reluctance to sustain prices below key supports despite two consecutive bearish production reports indicates divergent strength. The weak U.S. dollar and surging exports may be outweighing production. Soybeans rarely sustain the same trend as the dollar as they have in 2017, down 3% in 2017 coincident with an 8% decline in the Bloomberg Dollar Index. Since 2004, the soybean price annual negative beta to the dollar is 3.2x. The correlation of the change in the 26-week mean is minus 0.72. Coiling to Move, Beans Are Supported by the Dollar

Despite a 4% increase in soybean yield per acre estimates since Aug. 10, November beans are up 3%. The 20-year annual beta is minus 1.5, indicating a decline of about 6%. Exporting over 50% of U.S. production for the first time is likely to increase the soybean/dollar negative relationship. Corn Outlook - Potential for Historic Recovery For Corn, Key Question May Be When It Revisits $5 a Bushel. It's likely just a matter of time before corn has another date with $5 a bushel. In the 59-year history of corn futures, there are a few specific examples of recovery from similarly protracted price declines. The cyclical nature of commodities favors continued recovery in corn prices. Three-Year Corn Futures Gauge Backs Rebound From Historic Plunge. Based on historical analysis of the 36-month rate of price changes and demand vs. supply, corn is likely to approach $5 a bushel. Corn

appears in the early stages of recovery from it's longest three-year nadir in modern futures history (since 1958). If corn follows past recoveries from depressed levels vs. the three-year futures gauge, it should increase about 70% from 2016's 10-year low near $3 a bushel. Corn Appears in Early Recovery Days

The cyclical nature of commodities also appears to support the upswing in USDA estimates of global corn demand vs. supply. That reading appears early in its recovery days from the lowest 36-month level since 1983. Corn Appears Better Positioned Than a Year Ago for a Rhyme Rally. If December corn futures follow the year-ago track, they should rally into expiration. The latest USDA estimate of total U.S. corn production is down about 7%, which combined with a declining Bloomberg Dollar Index (down 9%) is more supportive of a repeat of this scenario than a year ago. Export inspections are up 18% (52-week average) and global demand vs. supply is at a decade high. December corn futures have reached a new life-of-contract low and are 10% below the 52-week mean, typically a good support level. Corn Recovery Potential Appearing Similar to 2016

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

The December 2016 corn low close was $3.15 a bushel on Aug. 31. It then rallied 11.5% to the last trade on Dec. 14. Despite the bearish September crop report, December 2017 corn has held above the life of contact $3.44 low from Aug. 31 (9% above 2016). The market appears well supported. Corn 12-Month Range Most Compressed in 47 Years, Favors Recovery. The slowly declining and increasingly compressed corn trading range, with demand exceeding supply, should transition to a higher velocity rally, if history is a guide. "When" is likely the key question. In the most recent examples of similar narrow trading ranges, 2005 and 2003, both resolved higher. Initial corn resistance at $3.80 a bushel and support at $3.37, as represented by the top and bottom 12-month Bollinger Bands, are equal to a second standard deviation 11.9% band -- the narrowest since 1970. Narrowest 12-Month Corn Range Since 1970

Strong U.S. corn production and high ending stocks, in addition to a strong dollar, have suppressed prices. The cyclical nature of commodities favors a price recovery as lower prices have spurred global demand in excess of supply, while mean reversion in the strong production trend is overdue. Wheat Outlook - Early Recovery Days Exports, Dollar, Demand Show Wheat Rally May Be Just Beginning. Barely above its 12-month upward-trending moving average, wheat is ripe to extend a rally. Parabolic U.S. exports, a potential peak dollar and a widening demand vs. supply ratio indicate higher prices. In 2010-11, a similar increase in exports-to-production coincided with a price double. Demand, Export Surge Points to End of Rare Wheat-Price Discount. With the history of U.S.-traded wheat to exports and demand vs. supply as a guide, the grain's

price recovery is in early days. Wheat prices appear to be at a rare discount after the uptrend in the ratio of USDA estimated global demand vs. supply and parabolic increase in the ratio of wheat exports-to-production. With 56% of production on pace for export in 2017, the highest in six years, domestic supply matters less. The price is just recovering from the upward trending 12-month average. Wheat Appears in a Nascent Bull Market

Exports-to-production bottomed at a six-year low in April 2016. A demand vs. supply trough followed in July, yet the wheat price 12-month average didn't bottom until this May. Only slightly above those levels at the end of 3Q may provide an unusual price discount to the primary drivers. Focus on Wheat Supply Misses What Matters: Burgeoning Exports. The initial bearish reaction to the better-than-expected August USDA report on wheat production supports a longer term price recovery, if history is a guide. If the majority of the U.S. crop is exported, supply estimates may take a back seat to export expectations and trends for the price outlook. The latest USDA estimates place 2017 U.S. wheat exports at 56% of total production, the highest since 2011. When exports rose from a similar trough in 2010 to the peak at 59% of production in 2011, wheat prices doubled.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

U.S. Wheat Exports, Parabolic Similar to 2010

U.S. grain exports are accelerating, supported by a declining dollar and new administration focused on reducing trade deficits. Rapidly increasing wheat exports appear unlikely to stall until prices help suppress them. The most widely traded wheat futures trade in, and are delivered in, the U.S.

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

DATA on BI COMD Performance - Overview Key Metrics  

  Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Performance – Commodity Total Returns Key Metrics

Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Performance – Prices Key Metrics

Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Performance – Volatility

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Curve Analysis – Contango (-) | Backwardation (+) Key Metrics

Measured via the one-year futures spread as a percent of the first contract price. Negative means the one-year out future is higher (contango). Positive means the one-year out future is lower (backwardation.

Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Curve Analysis – Gross Roll Yield Key Metrics

Measured on a gross roll yield basis; the 251 business day difference between the total return and spot change.

Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Curve Analysis – Forwards / Forecasts Spread %

Data Set

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Market Flows – Open Interest Key Metrics

Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Market Flows – Commitment of Traders Key Metrics

Historical

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 Bloomberg Commodity Index (BCOM) Tables & Charts – September 2017 Edition    

  

Market Flows – ETF Flows (annual)

Quarterly

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Composite Indices * Click hyperlinks to open in Bloomberg

2017Sep Aug Q3 Q2 1-Year 3-Year 5-Year 10-Year 20-Year

Bloomberg Commodity ER BCOM -0.23% 0.31% 2.25% -3.22% -1.03% -28.84% -43.13% -52.62% -31.09%Bloomberg Commodity TR BCOMTR -0.15% 0.40% 2.52% -3.00% -0.29% -28.10% -42.47% -50.69% 2.91%

Bloomberg Commodity Spot BCOMSP -0.10% 1.12% 2.93% -1.60% 6.60% -10.06% -26.37% 0.16% 190.48%Bloomberg Roll Select BCOMRST -0.20% 0.47% 2.73% -2.57% 2.15% -22.69% -36.41% -32.40% 146.60%

1 Month Forward BCOMF1T 0.02% 0.52% 2.87% -2.83% 0.61% -25.19% -38.36% -40.63% 90.74% 2 Month Forward BCOMF2T 0.13% 0.39% 2.93% -2.76% 2.00% -23.94% -38.10% -39.90% 124.60% 3 Month Forward BCOMF3T 0.10% 0.49% 2.96% -2.74% 1.78% -22.60% -36.52% -34.58% 143.31% 4 Month Forward BCOMF4T 0.03% 0.50% 3.00% -2.53% 3.82% -19.11% -32.98% -27.08% 5 Month Forward BCOMF5T 0.03% 0.58% 3.19% -2.42% 3.69% -18.68% -33.71% -25.76% 6 Month Forward BCOMF6T 0.06% 0.51% 3.09% -2.41% 3.87% -17.90% -32.87% -23.28%

Energy BCOMENTR 3.51% 1.43% 9.79% -9.68% -2.87% -60.40% -62.26% -85.01% -62.88%Petroleum BCOMPETR 5.85% -0.42% 15.08% -9.83% 2.08% -58.88% -60.73% -71.41% 23.24%Agriculture BCOMAGTR 0.00% -6.86% -6.07% -0.40% -11.13% -17.40% -45.37% -32.49% -42.96%

Grains BCOMGRTR 1.27% -8.52% -9.50% 4.46% -5.48% -17.55% -52.95% -44.32% -51.70%Industrial Metals BCOMINTR -3.75% 9.64% 9.87% -1.19% 24.00% -3.92% -20.61% -41.06% 97.82%Precious Metals BCOMPRTR -3.34% 4.01% 2.30% -3.18% -6.56% 1.31% -36.94% 47.96% 255.16%

Softs BCOMSOTR -3.36% -4.26% -0.71% -14.25% -28.08% -27.24% -42.52% -30.12% -59.63%Livestock BCOMLITR 3.57% -6.18% -7.54% 11.21% 24.41% -25.34% -11.17% -51.88% -59.44%Ex-Energy BCOMXETR -1.58% 0.01% -0.21% -0.22% 0.65% -9.87% -34.12% -21.34% 21.16%

Ex-Petroleum BCOMXPET -1.71% 0.63% -0.57% -1.16% -1.11% -19.24% -38.53% -47.26%Ex-Natural Gas BCOMXNGT 0.08% -0.10% 3.05% -2.44% 1.13% -22.65% -39.54% -33.66%Ex-Agriculture BCOMXAGT -0.21% 3.63% 6.42% -4.11% 4.67% -33.02% -42.01% -58.89%

Ex-Grains BCOMXGRT -0.45% 2.48% 5.46% -4.62% 0.98% -30.09% -40.18% -53.86%Ex-Industrial Metals BCOMXIMT 0.80% -1.77% 0.82% -3.40% -5.02% -32.59% -46.53% -54.62%Ex-Precious Metals BCOMXPMT 0.49% -0.29% 2.56% -2.97% 0.77% -33.12% -44.38% -58.72%

Ex-Softs BCOMXSOT 0.05% 0.71% 2.72% -2.21% 2.14% -28.62% -42.85% -53.10%Ex-Livestock BCOMXLIT -0.37% 0.82% 3.22% -3.94% -1.38% -28.40% -44.07% -51.04%

Ex-Agriculture & Livestock BCOMXALT -0.53% 4.56% 7.85% -5.60% 3.47% -33.96% -44.41% -60.34%Bloomberg Dollar Spot BBDXY 0.65% -0.04% -1.97% -3.21% -1.89% 8.36% 18.31% 19.74%S&P 500 Total Return SPXT 2.06% 0.31% 4.48% 3.09% 18.61% 36.07% 94.44% 104.88% 287.15%

US Aggregate LBUSTRUU -0.48% 0.90% 0.85% 1.45% 0.07% 8.36% 10.76% 51.96% 171.31%US Treasury LUATTRUU -0.86% 1.08% 0.38% 1.19% -1.67% 6.21% 6.36% 43.93% 154.10%

US Corporate LUACTRUU -0.17% 0.78% 1.34% 2.54% 2.21% 12.81% 18.54% 74.68% 214.56%US High Yield LF98TRUU 0.90% -0.04% 1.98% 2.17% 8.88% 18.53% 36.14% 112.73% 275.66%

Single Commodity Indices

2017Sep Aug Q3 Q2 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas BCOMNGTR -2.97% 7.17% -4.06% -9.39% -15.64% -67.73% -69.10% -97.84% -99.48%WTI Crude BCOMCLTR 7.82% -4.94% 11.19% -10.48% -2.90% -67.96% -67.09% -82.51% -21.30%

Brent Crude BCOMCOT 7.79% 0.07% 15.62% -10.20% 3.05% -60.90% -63.24% -60.84% 184.99%ULS Diesel BCOMHOTR 5.30% 2.89% 21.29% -7.25% 10.03% -46.23% -54.12% -54.83% 55.26%

Unleaded Gasoline BCOMRBTR -0.84% 3.64% 14.79% -10.31% 1.81% -48.35% -51.95% -36.62% 178.52%Corn BCOMCNTR -0.62% -6.99% -9.96% 0.76% -5.96% -19.58% -62.64% -47.11% -83.74%

Soybeans BCOMSYTR 2.52% -6.07% 1.68% -0.69% -2.45% 2.12% -14.80% 56.17% 211.17%Wheat BCOMWHTR 3.25% -13.60% -19.45% 16.21% -7.24% -31.43% -68.52% -86.30% -92.32%

Soybean Oil BCOMBOTR -6.31% -0.11% -1.30% 2.82% -5.56% -10.47% -47.64% -48.95% -33.73%Soybean Meal BCOMSMT 5.53% -7.88% 1.75% -1.66% 0.19% 13.39% 10.12% 206.64% 858.49%HRW Wheat BCOMKWT 1.57% -13.27% -20.94% 18.09% -11.64% -48.54% -71.51% -82.33% -80.73%

Copper BCOMHGTR -4.55% 6.48% 8.50% 1.40% 31.11% -5.36% -25.81% -29.17% 231.51%Alumnium BCOMALTR -1.19% 10.45% 8.61% -2.71% 23.13% -3.50% -23.36% -52.59% -22.99%

Zinc BCOMZSTR 0.82% 12.62% 14.88% -0.83% 31.74% 31.37% 30.40% -27.16% 51.73%Nickel BCOMNITR -11.23% 15.39% 11.32% -6.69% -2.31% -38.62% -47.63% -70.33% 160.42%Gold BCOMGCTR -2.75% 3.92% 3.09% -0.77% -3.35% 3.83% -29.67% 59.25% 253.61%Silver BCOMSITR -5.04% 4.25% 0.04% -9.48% -14.61% -6.43% -54.86% 6.51% 190.42%Sugar BCOMSBTR -5.55% -3.33% -1.34% -18.58% -41.24% -28.50% -57.20% -31.68% -32.75%Coffee BCOMKCTR -0.92% -9.29% -0.34% -12.59% -22.75% -50.40% -54.81% -58.87% -89.20%Cotton BCOMCTTR -3.42% 3.10% 0.06% -9.23% 0.88% 11.96% 1.01% -4.68% -74.24%

Live Cattle BCOMLCTR 4.25% -5.77% -5.53% 8.84% 24.14% -14.91% 2.37% -31.65% -10.43%Lean Hogs BCOMLHTR 2.40% -6.92% -10.71% 14.70% 24.32% -41.15% -30.61% -74.06% -89.92%

Index Name Ticker

Index Name Ticker

PERFORMANCE: Bloomberg Commodity Indices

28

Composite Roll Select Indices * Click hyperlinks to open in Bloomberg

2017Sep Aug Q3 Q2 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

BCOM Roll Select BCOMRST -0.20% 0.47% 2.73% -2.57% -0.73% 2.15% -22.69% -36.41% -32.40% 146.60%Roll Select Agriculture BCOMRAGT -0.18% -6.38% -5.08% -0.23% -7.14% -8.50% -15.54% -42.43% -14.50% 7.57%

Roll Select Ex-Ags & Livestock BBURXALT -0.49% 4.51% 7.81% -4.76% 2.34% 6.88% -26.51% -36.54% -43.87%Roll Select Grains BCOMRGRT 0.99% -7.75% -7.84% 4.69% -4.16% -3.01% -14.73% -51.09% -30.24% -4.69%Roll Select Softs BCOMRSOT -3.69% -4.73% -1.90% -15.05% -19.03% -26.87% -27.98% -37.79% -6.10% -24.85%

Roll Select Livestock BCOMRLIT 2.97% -6.18% -7.93% 8.97% 3.36% 12.61% -29.96% -13.44% -30.84% 39.43%Roll Select Energy BCOMRENT 3.45% 1.44% 9.42% -8.01% -7.87% 3.13% -49.86% -50.32% -70.08% 111.76%

Roll Select Ex-Energy BCOMRXET -1.63% 0.10% 0.21% -0.35% 3.43% 1.35% -9.00% -32.17% -6.62% 112.66%Roll Select Petroleum BCOMRPET 5.06% 0.08% 13.37% -7.77% -4.51% 5.33% -50.23% -50.93% -47.01% 356.95%

Roll Select Industrial Metals BCOMRINT -3.61% 9.48% 10.22% -1.09% 17.85% 25.19% -2.48% -17.93% -34.14% 204.61%Roll Select Precious Metals BCOMRPRT -3.33% 4.01% 2.29% -3.17% 8.74% -6.56% 1.76% -36.62% 48.44% 268.67%

Single Commodity Roll Select Indices

2017Sep Aug Q3 Q2 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas RS BCOMRNGT -0.83% 5.22% -0.32% -8.58% -16.24% -2.59% -52.98% -52.24% -93.41% -84.76%WTI Crude RS BCOMRCLT 4.91% -2.39% 10.68% -8.84% -8.09% 1.49% -55.23% -53.31% -54.47% 363.20%

Brent Crude RS BCOMRCOT 7.79% -0.11% 14.24% -7.33% -2.54% 6.62% -53.26% -54.58% -43.77% 405.53%ULS Diesel RS BCOMRHOT 5.78% 0.02% 15.07% -7.86% -4.34% 6.08% -46.58% -52.58% -48.63% 224.24%

Unleaded Gasoline RS BCOMRRBT -0.84% 5.28% 14.94% -6.47% -1.89% 9.26% -36.82% -37.69% -17.38% 476.83%Corn RS BCOMRCNT -0.56% -6.42% -8.10% 1.02% -5.27% -3.66% -15.79% -61.67% -37.49% -67.24%

Soybeans RS BCOMRSYT 2.46% -5.43% 2.81% 0.31% -1.62% 2.72% 7.86% -9.03% 80.15% 323.74%Wheat RS BCOMRWHT 1.84% -12.16% -17.16% 14.84% -3.95% -8.61% -33.95% -68.19% -78.25% -69.76%

Soybean Oil RS BCOMRBOT -6.00% 0.23% -0.68% 2.57% -6.96% -4.44% -8.63% -45.42% -39.45% 7.29%Soybean Meal RS BCOMRSMT 5.39% -7.14% 2.88% 0.34% 0.02% 5.14% 13.58% 15.44% 263.60% 1031.25%HRW Wheat RS BCOMRKWT 1.46% -12.57% -18.91% 17.37% -6.82% -9.34% -45.11% -69.12% -74.96% -50.06%

Copper RS BCOMRHGT -4.51% 6.46% 8.73% 1.27% 17.12% 32.33% -5.42% -25.40% -23.40% 385.01%Alumnium RS BCOMRALT -0.56% 10.27% 9.65% -2.28% 23.65% 24.54% 0.50% -17.43% -45.62% 21.45%

Zinc RS BCOMRZST 0.47% 12.05% 14.55% -0.61% 22.78% 32.93% 32.67% 35.12% -16.02% 145.45%Nickel RS BCOMRNIT -11.08% 15.39% 11.52% -6.62% 3.99% -1.68% -37.75% -46.09% -66.93% 326.96%Gold RS BCOMRGCT -2.75% 3.92% 3.07% -0.77% 10.69% -3.40% 4.29% -29.40% 59.15% 260.06%Silver RS BCOMRSIT -4.98% 4.25% 0.09% -9.36% 3.40% -14.43% -5.81% -54.35% 8.68% 221.65%Sugar RS BCOMRSBT -6.31% -4.38% -3.87% -19.59% -30.87% -39.62% -30.22% -50.57% 5.71% 42.21%Coffee RS BCOMRKCT -1.05% -9.11% -0.60% -12.45% -12.85% -22.16% -49.01% -53.18% -52.00% -80.20%Cotton RS BCOMRCTT -3.24% 2.31% -0.53% -10.76% -2.73% -1.25% 10.01% 3.51% 18.07% -59.70%

Live Cattle RS BCOMRLCT 3.38% -5.77% -6.31% 8.84% 8.17% 20.19% -16.29% -2.52% -13.74% 75.53%Lean Hogs RS BCOMRLHT 2.40% -6.92% -10.59% 9.01% -4.72% 2.58% -47.76% -29.46% -55.34% -26.82%

PERFORMANCE: Bloomberg Commodity Roll Select Indices

Index Name Ticker

Index Name Ticker

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

Group Commodity TickerSep 2017 Contrib

to Return %Sep 29 2017

Weight %Aug 31 2017

Weight %

Sep 2017 Weight% Change

2017 Target Weight

Natural Gas NG -0.22 7.21 7.43 (0.22) 7.98 WTI Crude CL 0.48 6.68 6.20 0.49 7.18

Brent Crude CO 0.54 7.66 7.15 0.51 7.82 ULS Diesel HO 0.20 3.99 3.79 0.20 3.83 Gasoline XB -0.03 3.57 3.60 (0.03) 3.76 Subtotal 0.96 29.12 28.17 0.95 30.57

Corn C -0.05 7.27 7.31 (0.04) 7.41 Soybeans S 0.13 5.62 5.48 0.14 5.84

Wheat W 0.11 3.47 3.36 0.11 3.32 Soybean Oil BO -0.18 2.60 2.78 (0.17) 2.81

Soybean Meal SM 0.15 2.91 2.76 0.15 2.90 HRW Wheat KW 0.02 1.19 1.18 0.02 1.18

Subtotal 0.18 23.07 22.87 0.20 23.46 Copper HG -0.42 8.71 9.12 (0.41) 7.59

Aluminum LA -0.07 5.51 5.58 (0.07) 4.57 Zinc LX 0.02 3.22 3.19 0.03 2.69

Nickel LN -0.32 2.57 2.89 (0.32) 2.54 Subtotal -0.79 20.01 20.79 (0.78) 17.39

Gold GC -0.35 12.09 12.43 (0.34) 11.17 Silver SI -0.22 4.11 4.32 (0.22) 4.12

Subtotal -0.57 16.20 16.76 (0.56) 15.29 Sugar SB -0.13 2.28 2.33 (0.05) 3.40 Coffee KC -0.02 2.11 2.13 (0.02) 2.38 Cotton CT -0.05 1.32 1.37 (0.05) 1.45

Subtotal -0.20 5.71 5.83 (0.11) 7.22 Live Cattle LC 0.15 3.95 3.61 0.34 3.98 Lean Hogs LH 0.04 1.94 1.99 (0.04) 2.09 Subtotal 0.20 5.89 5.59 0.30 6.07

Total -0.23 100.00 100.00 100.00

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains

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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.

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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.

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