January 2016Market Commentary 02Commodity Performance BCOM 07 Roll Select 08 Historical 09Contribution to Return & Weights 10Commodity Volatility Realized 11 Implied 12 Historical Realized 13Commodity Correlation Composites 14 Singles 15 US CPI Indices 16 Country CPI 17 Country GDP 18Commitment of Traders Report Monthly Notional Change & Correlation 19 Historical Net Positions 20Commodity Inventories & Sales Monthly Change & Correlation 22 Historical Levels 23Commodity ETP Flows 25Term Structures 26Research Dashboards (BI) 28Bloomberg Cheat Sheet 29

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TABLES & CHARTS(BCOM)BLOOMBERG COMMODITY INDEX

Not even the pessimists on Wall Street thought things would go so wrong so fast in 2016. For the first time in 12 years, oil fell below $30 a barrel. China, where producer prices fell for a record 46th month, is struggling to prop up its slowing economy and calm its volatile stock market. Global equities have lost more than $14 trillion, or 20%, since June 2015. Investors have fled into the U.S. Treasury market, and pushed the yield on the 10-year note below 2% for the first time in months. The Bloomberg Commodity Index (BCOM) fell for a seventh straight month, the longest stretch in a year, and touched the lowest level since at least 1991.

The commodity meltdown that pushed oil to a 12-year low and copper to the cheapest since 2009 may still have further to run. As of Jan. 12, money managers increased their combined net-bearish position across 18 raw materials to the biggest ever since the government data begins in 2006, although some have since exited.

ENERGY (30.6% of BCOM)

If the 30% drop in 2015 wasn’t bad enough, crude oil had its worst ever start to the year since trading began in New York three decades ago. WTI dropped 12% in the first four trading days of 2016 and at one point was down 23% this year, amid volatility in Chinese markets and expectations for a surge in Iranian exports. That beats the 8.7% slump a year ago, when the market was reeling from OPEC's decision to keep pumping into an oversupplied market. It’s almost three times as bad as the plunge in early 2009, amid the depths of the global financial crisis. There are some parallels with the 7.8% drop at the start of 2007, when unusually mild weather in the U.S. boosted crude stockpiles. Back then, however, OPEC was getting ready to cut production to tackle the surplus. At almost any other time, an escalating diplomatic conflict between Iran and Saudi Arabia would mean a spike in oil prices. That the rally couldn’t be sustained as political tensions between two of OPEC's biggest members flared up in January shows just how abnormal things are in the oil market. Considering that the past three months have witnessed terrorist attacks in Paris, a Russian jet being downed by Turkey, the burning of Saudi Arabia's embassy in Tehran, Islamic State targeting Libyan oil tanks, and Venezuela entering a post-election political standoff, the geopolitical risk premium has seemingly vanished. In response, oil has extended last year's losses as investors focused instead on swelling stockpiles and relentless supply.

Crude Oil Had its Worst-Ever Start to New Year Crude Oil Continues Slide as US Supplies Expanding

The first mantra of the oil crisis was “lower for longer.” Then “lower for even longer.” In Davos, oil executives were starting to talk about a new nightmare scenario: “A lot lower for a lot longer.” Oil executives, policy makers and banks said in the first days of the World Economic Forum that a recovery will remain elusive in 2016 as major producers keep pumping and China’s fuel appetite slackens. They fret that prices could take another hit as Iranian crude freed from sanctions flows back on to world markets.

Most of the oil executives and representatives of energy-rich nations who met in a closed-session in Davos agreed the market was oversupplied by about 1 million barrels a day and that lower spending on new projects will bring supply and demand into balance next year, according to one of the participants who asked not to be identified.

% Change in WTI in first four days of year

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Royal Dutch Shell Plc, Total SA and BP Plc, Europe’s three biggest oil producers, were among 175 energy and mining companies whose credit ratings were placed on review for possible downgrade by Moody’s Investors Service after cutting its forecasts for crude prices.

Using current projections by the International Energy Agency, crude oil inventories look set to keep climbing to more than 70 days of OECD demand by the middle of the year, compared with less than 60 days for most of the past five years. The likely return of Iranian barrels compounds the issue. Even if something really drastic happened, like a total collapse in Venezuelan output to zero for a year, working off the glut would still take time.

As if the slump in prices wasn't bad enough for oil producers, an unusual shift in the Brent futures curve carries with it a foreboding sign. In the last month, as crude prices have fallen, the back end of the futures curve has declined more than the front. The rolling front-month Brent contract has fallen $8 a barrel compared with a drop of more than $10 a barrel for December 2018 futures. Typically when the front-month contract falls steeply, the back-end moves more slowly and the curve steepens. The decline in longer-dated futures prices may reflect efforts to cut production costs, which brings the break-even price lower over time.

A rapid appreciation of the U.S. dollar (BDXY <GO>) may send Brent oil to as low as $20 a barrel, according to Morgan Stanley. Oil is particularly leveraged to the dollar and may fall between 10-25% if the currency gains 5%. A global glut may have pushed oil prices under $60 a barrel, but the difference between $35 and $55 is primarily the U.S. dollar, according to the report.

Think oil in the $20s is bad? In Canada they’d be happy to sell it for $10. Canadian oil sands producers are feeling pain as bitumen hit a low of $8.35 on Jan. 13, down from as much as $80 less than two years ago. Producers are all losing money at current prices but it doesn’t mean they’ll stop since most of the spending for bitumen extraction is a sunk cost.

The pace of drilling in the North Sea, the center of U.K. oil production for the past 40 years, has sunk to a record as crashing energy prices force explorers to abandon costly projects. Just 63% of oil and gas rigs in the U.K. North Sea were being used, according to RigLogix. That’s the lowest since data started in 2000. In the Norwegian North Sea, the 71% rate is also the worst on record. In the U.K. North Sea, you’re looking anywhere between $15 and $45 a barrel for operating costs. Drilling off Norway also has been expensive historically. A 2012 government-commissioned report showed drilling costs there were the highest in the world, as much as 45% higher than in the U.K. While companies operating off Norway can claim a portion of their costs back from the state, they’ve still put projects on hold.

The Saudi central bank’s net foreign assets tumbled more than $19 billion in December as the kingdom draws on reserves amid the plunge in oil prices. Reserves declined about 3% to more than $608 billion, bringing the drop in 2015 to $115 billion, according to central bank data. While Saudi Arabia’s reserves remain among the highest in the world, the drop underscores the kingdom’s struggle to cope with falling oil prices. Authorities are racing to find alternatives to revenue from crude exports to finance a budget deficit that stood at about 15% of economic output last year.

Global refining margins, the estimated profit from turning oil into gasoline and diesel, fell 34% in the fourth quarter, the steepest decline in eight years, to $13.20 a barrel, BP Plc’s data shows. Every $1 drop cuts BP’s pretax adjusted earnings by $500 million a year. The companies face a squeeze on processing profits as a mild winter curbs demand for heating oil and diesel, creating huge stockpiles in the U.S. and Europe. That’s a reverse from the past two years, a period when refining earnings doubled.

China’s insatiable appetite for crude is at least one thing oil bulls can count on this year. The world’s biggest commodity consumer may continue to import more crude in 2016, taking average purchases to 7.2 million barrels a day, according to the median of seven respondents in a Bloomberg survey. The country’s inbound shipments last year increased 8.8% to 6.7 million barrels a day and touched a monthly record of 7.4 million in April, customs data show. The country held about 29 days of supply as of the middle of 2015,

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according to Bloomberg calculations based on National Bureau of Statistics data. Demand is further expanding as the government relaxes rules to allow imports by private refiners, known as teapots, which account for almost a third of the nation’s processing capacity. However, for consumers in China, the benefit of oil’s crash stops at $40 a barrel because the retail price of fuels won’t be cut in line with crude as long as it trades below that level, according to the country’s top economic planner. The policy is aimed at curbing consumption, cutting pollution and securing supply, the National Development and Reform Commission said when it unveiled the plan last week. Retail fuel prices across China are regularly adjusted to reflect crude’s fluctuations. While this mechanism is officially still in place, the government of President Xi Jinping has suspended further cuts. U.S. natural gas prices have jumped more than 30% from a 16-year low in December on speculation that winter heating demand will reduce an inventory surplus to the five-year average. Production from shale formations pushed stockpiles to a seasonal record, pressuring futures lower. GRAINS (23.8% of BCOM) Wheat has witnessed turbulent market conditions in January as conflicting proposals on whether Russia, the world’s biggest wheat exporter, should raise, cut or leave tax on exports has aggravated trading from Chicago to Paris. The ambiguity over the policy, which may affect Russian supply and the competitiveness of major producers including the U.S. and France, has been unpredictable. The USDA boosted its forecast for global reserves before this year’s North American harvest by 0.9% to a record, citing larger production in Russia, Pakistan and the European Union, and reduced feed and food demand. Argentina, the world’s largest soybean oil and derivatives exporter, harvested a record soybean crop of 61.4 million metric tons last year, according to data compiled by the Agriculture Ministry. Until mid-December 2015, Argentina had shipped $17.6 billion of grains and oilseeds abroad, the lowest for the period since 2009. In the first 15 days of this year, Argentine farmers sold $1.6 billion for export, a record for the period. The export of grains has become more profitable for farmers after newly elected President Mauricio Macri eliminated most crop taxes and lifted four years of currency controls, leading to the biggest one-day devaluation in the last 14 years. Export restrictions were implemented in the past decade under former president Nestor Kirchner and his wife Cristina Fernandez de Kirchner in a bid to boost government revenue and ensure domestic supplies. Two wheat shipments from Argentina to the U.S. show that livestock producers in the southeast were able to purchase feed-wheat supplies from Argentina more cheaply than domestic corn. Half of Argentina’s wheat lacks the minimum protein quality required by exporters. The deputy of Argentina’s agriculture ministry’s grains markets said Jan. 4. that farmers didn’t invest in fertilizing wheat crop because of previous government rules that cut profitability. INDUSTRIAL METALS (17.0% of BCOM)

The collapse in oil and coal prices isn’t just bad news for the energy industry. It’s also compounding a global surplus in metals. Industrial metals dropped in January as concern over China’s economy outweighed optimism about any supply cuts. The Bloomberg Industrial Metals Index fell 1.4% over the month, the eighth drop in nine months, as turmoil in Asian equities deepened concerns over the economy in China

Ores are extracted with diesel-engine diggers and trucks, while smelters that process metal run on electricity from coal-fired power plants. Energy accounts for as much as a third of the industry’s costs. With oil tumbling to $30 a barrel, cheaper fuel is allowing metals companies to delay production cuts needed to halt their own slide in prices. A dollar rally provided a relief for mining companies that pay workers and buy equipment in local money. The Brazilian real, South African rand, the Russian ruble and Chile’s peso are among the worst-performing currencies in the past year. The drop in oil and the dollar’s rally against other currencies will cut copper-mining costs by about 11% in 2016, according to CRU Group.

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In New Caledonia, an island with 15% of the planet’s nickel, mine owners like Glencore Plc and Vale SA are losing money on every ton of nickel they unearth. A prolonged surplus of nickel has sent prices plunging to a 12-year low and below the cost of production for more than two thirds of the world’s mines. Of the 2 million metric tons of global nickel capacity, only 16,000 tons was shut down last year. China’s economy slowed in December, capping the weakest quarter of growth since the 2009 global recession. Industrial production, retail sales and fixed-asset investment all tapered off at the end of the year. Downward pressure on industry threatens to spread to consumption and services - an unwelcome prospect for policy makers who must weigh the need for further monetary easing with the risk it would spur more weakness in the yuan and additional capital outflows. Another dilemma: cutting excess capacity that’s weighing on old industrial drivers without triggering a deeper slump.

Steel output in the world’s largest producer posted the first annual contraction in a quarter century. Mills in China, which make half of global supply, churned out less last year for the first time since at least 1991 as local demand dropped, prices sank and producers struggled with overcapacity. Crude steel production shrank 2.3% to 803.83 million metric tons. However, China’s steel exports rose by a fifth in 2015 to an amount big enough to feed demand in Germany and Japan for a year and leave almost 9 million metric tons to spare. Outbound shipments of the material used in everything from buildings to ships surged almost 20% to a record 112.4 million tons, according to customs data. Ballooning Chinese exports, spurred by a contraction in domestic demand, have helped push down global prices, hurt producers and triggered trade action worldwide.

Trading in metals futures is booming - in China, at least - thanks in part to the beginning of a nickel contract. Volume on the Shanghai Futures Exchange surged about 75% in 2015 amid a rout in commodities and equities. The nickel contract, which started in March, contributed 29% of the trade. While volume in Shanghai exceeded the LME in terms of lots, the London marketplace eclipses China when trade is measured in metric tons because of the smaller size of the Shanghai contracts. About 442 million tons of copper traded on the Chinese bourse versus 964 million tons in London.

PRECIOUS METALS (15.8% of BCOM) For most commodity investors, January was another bad month. Gold was the exception. After dropping for three straight years, bullion reestablished its credentials as the commodity that can outperform when aversion to risk increases, rallying 5.3% in January, the biggest gain in a year. Investors have been turning to safer assets amid political tension in the Middle East and Asia, Chinese stock-market uncertainty and global market turmoil. Higher U.S. interest rates and a stronger dollar this year will, however, reassert pressure on gold. With oil prices reeling from an oversupply and gold getting a boost from demand for a haven, Brent crude is the cheapest relative to the precious metal in a generation, by one measure. At one point in January an ounce of gold bought more than 36 barrels of crude, the most in records going back more than three decades.

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SOFTS (6.9% of BCOM)

The current El Nino is rated as one of the three strongest since 1950 and has hampered cocoa crops in Ivory Coast, reduced monsoon rainfall in India and curbed rice production in Thailand. While the weather condition may strengthen temporarily, ocean temperatures in the tropical Pacific have been cooling since November and the event has peaked. Even as El Nino wanes, its effects are being felt. Based on the 26 El Nino events since 1900, about 50% have been followed by a neutral year with 40% by La Nina. Parts of the world are already preparing for La Nina. Indonesia is set to distribute water pumps to farmers and is assessing its rice stockpiles in anticipation of the weather event materializing in October. La Nina, expected by the summer of 2016, typically brings more rainfall to the region, threatening crops with flooding and delaying harvests.

Coffee production in Indonesia, the world’s third-largest producer of robusta beans, will probably drop 20% due to El Nino-linked dry weather, according to the median of estimates from six traders and analysts compiled by Bloomberg. That would be the steepest decline since the 2006-07 season, according to U.S. Department of Agriculture data. A smaller Indonesian crop will potentially widen a global deficit of the beans and support prices that slumped 20% last year. However, coffee output in Brazil, the world’s top producer and exporter, is expected to rise by as much as 20% to a record in 2016 as rain boosts crops and expands plantings.

Global cotton reserves are forecast by the U.S. government to fall from a record as four years of weak prices finally spur farmers to cut back on plantings. Global output in the crop year that started Aug. 1 will shrink to its smallest since 2004. China, the biggest user of the fiber, still accounts for most inventories. That material isn’t readily available to users outside China, limiting supplies for other nations such as Vietnam and Bangladesh, which are net importers and whose textile industries are expanding.

Sugar production in India, the second-biggest grower, will probably drop this season after below-normal rainfall cut yields in the nation’s top growing regions. Supply will fall 8% to 26 million metric tons in the 12 months through September from a year earlier, according to the Indian Sugar Mills Association. The group had estimated production at 27 million tons in September and 28 million tons in July. Indian sugar prices rallied more than 30% in the past five months on expectations the current crop will turn out smaller than initially forecast. The gains mean the nation’s millers make more money selling their production locally, making exports less likely. A drop in Indian sugar production could deepen the world’s global deficit, already forecast at 5.3 million tons this season. Shortages may widen to 7.8 million tons in 2016-17.

LIVESTOCK (5.8% of BCOM)

A mountain of meat has ended the longest rally in U.S. cattle prices since at least the 1960s, when baby boomers and McDonald’s Corp. ushered in the American burger boom. Not only have ranchers added to their herds, but consumers are being inundated with increased supplies of cheaper pork and poultry. Ground-beef prices are down from a record high 11 months ago, and buyers like Darden Restaurants Inc., owner of the LongHorn Steakhouse chain, expect to see costs for the meat decline for at least a couple years.

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Composite Indices

2016 2015Jan Dec Q4 Q3 1-Year 3-Year 5-Year 10-Year 20-Year

Bloomberg Commodity ER BCOM -1.70% -3.11% -10.55% -14.48% -23.42% -45.77% -52.91% -55.53% -26.16%Bloomberg Commodity TR BCOMTR -1.68% -3.09% -10.52% -14.47% -23.36% -45.68% -52.77% -50.32% 18.96%

Bloomberg Commodity Spot BCOMSP -1.38% -1.81% -7.16% -13.73% -16.93% -40.53% -42.64% 4.18% 132.08%Bloomberg Roll Select BCOMRST -1.30% -3.01% -9.39% -13.61% -22.14% -42.81% -48.09% -25.33% 169.86%

1 Month Forward BCOMF1T -1.56% -2.73% -9.53% -14.37% -22.30% -42.99% -49.08% -37.34% 121.18% 2 Month Forward BCOMF2T -1.47% -2.90% -9.47% -14.23% -22.52% -43.76% -50.20% -35.25% 150.96% 3 Month Forward BCOMF3T -1.48% -2.61% -8.70% -14.14% -21.89% -42.32% -48.14% -27.31% 164.97% 4 Month Forward BCOMF4T -1.31% -2.50% -8.06% -13.73% -20.77% -41.12% -45.95% -19.40% 5 Month Forward BCOMF5T -1.36% -2.50% -7.85% -13.54% -20.65% -41.40% -45.80% -16.29% 6 Month Forward BCOMF6T -1.32% -2.47% -7.70% -13.28% -20.45% -41.06% -45.41% -12.09%

Energy BCOMENTR -7.31% -10.52% -22.70% -22.34% -39.25% -65.04% -72.75% -90.99% -40.06%Petroleum BCOMPETR -9.53% -14.40% -23.12% -24.47% -40.49% -69.11% -67.17% -77.40% 82.32%Agriculture BCOMAGTR -0.81% -1.00% -2.17% -12.63% -11.20% -36.81% -44.18% -5.34% -31.45%

Grains BCOMGRTR 2.64% -2.57% -7.71% -13.72% -9.39% -39.92% -39.04% 4.78% -42.37%Industrial Metals BCOMINTR -1.39% 3.38% -8.25% -11.11% -23.81% -43.30% -56.49% -33.40% 52.04%Precious Metals BCOMPRTR 4.76% -0.85% -5.02% -5.55% -14.47% -40.24% -28.35% 70.43% 171.20%

Softs BCOMSOTR -9.63% 2.68% 11.18% -7.53% -19.04% -39.67% -62.05% -49.04% -44.92%Livestock BCOMLITR 1.34% 4.04% -3.45% -5.38% -10.08% -10.31% -20.31% -50.02% -48.58%Ex-Energy BCOMXETR 0.65% 0.33% -4.35% -10.08% -14.93% -36.74% -42.26% -2.51% 19.24%

Ex-Petroleum BCOMXPET 0.28% 0.39% -6.52% -10.70% -17.80% -38.59% -49.83% -43.79%Ex-Agriculture BCOMXAGT -2.19% -4.09% -14.12% -15.25% -28.33% -49.77% -56.75% -64.31%

Ex-Grains BCOMXGRT -2.63% -3.21% -11.12% -14.63% -26.04% -47.08% -55.76% -59.91%Ex-Industrial Metals BCOMXIMT -1.77% -4.19% -10.92% -15.06% -23.29% -46.30% -52.12% -56.81%Ex-Precious Metals BCOMXPMT -3.01% -3.54% -11.60% -16.06% -25.08% -47.34% -56.65% -58.73%

Ex-Softs BCOMXSOT -1.01% -3.62% -12.22% -14.96% -23.85% -46.35% -52.16% -51.15%Ex-Livestock BCOMXLIT -1.84% -3.44% -10.87% -14.90% -24.00% -47.28% -54.24% -50.47%

Ex-Agriculture & Livestock BCOMXALT -2.48% -4.70% -14.90% -15.93% -29.57% -52.28% -59.06% -65.91%S&P 500 Total Return SPXT -4.96% -1.58% 7.04% -6.44% -0.67% 37.88% 67.80% 87.41% 343.46%

Bloomberg US Treasury Bond BUSY 2.10% -0.16% -0.96% 2.07% -0.03% 6.56% 18.51%Bloomberg USD IG Corporate Bond BUSC 0.26% -0.84% -0.56% 0.64% -3.46% 6.26% 24.74%Bloomberg USD HY Corporate Bond BUHY -1.54% -2.76% -1.51% -5.14% -5.31% 1.13% 21.92%

Bloomberg Dollar Spot BBDXY 1.58% -0.42% 1.55% 2.80% 7.21% 26.71% 29.42% 17.66%

Single Commodity Indices

2016 2015Jan Dec Q4 Q3 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas BCOMNGTR -2.73% 0.45% -22.00% -15.02% -37.13% -57.17% -84.40% -99.19% -99.01%WTI Crude BCOMCLTR -11.90% -14.94% -23.40% -27.38% -45.43% -71.09% -74.03% -84.70% 35.75%

Brent Crude BCOMCOT -7.51% -17.68% -26.46% -26.29% -44.11% -72.99% -66.77% -67.72% 292.06%ULS Diesel BCOMHOTR -6.09% -18.71% -31.09% -20.49% -42.65% -68.10% -64.18% -69.54% 81.81%

Unleaded Gasoline BCOMRBTR -12.76% -3.98% -8.67% -19.76% -22.50% -60.20% -38.84% -46.34% 321.76%Corn BCOMCNTR 3.71% -3.61% -9.55% -10.74% -10.11% -52.25% -41.87% -17.54% -79.53%

Soybeans BCOMSYTR 2.10% -2.23% -3.92% -13.99% -7.17% -12.59% -6.24% 111.67% 233.79%Wheat BCOMWHTR 1.99% -1.13% -8.88% -17.53% -6.94% -47.79% -64.19% -58.76% -91.81%

Soybean Oil BCOMBOTR 0.44% 3.79% 10.62% -19.74% -0.68% -46.30% -55.94% -16.43% -38.43%Soybean Meal BCOMSMT 2.62% -7.52% -14.35% -10.53% -11.34% 11.01% 35.51% 290.78% 948.31%HRW Wheat BCOMKWT 0.77% -0.88% -9.51% -21.17% -21.33% -52.65% -64.23% -44.77% -70.93%

Copper BCOMHGTR -3.17% 4.25% -9.17% -10.73% -17.88% -45.98% -56.31% -7.24% 179.21%Alumnium BCOMALTR 0.55% 3.85% -5.45% -8.29% -22.89% -40.62% -55.98% -63.61% -40.95%

Zinc BCOMZSTR 0.83% 2.66% -5.77% -16.01% -25.53% -32.13% -44.17% -42.80% 6.15%Nickel BCOMNITR -2.35% -1.04% -15.53% -13.46% -43.98% -55.25% -70.61% -37.04% 75.97%Gold BCOMGCTR 5.29% -0.46% -4.97% -5.00% -13.08% -33.59% -18.41% 80.07% 163.23%Silver BCOMSITR 3.21% -1.99% -5.18% -7.12% -18.35% -56.21% -51.99% 29.39% 134.61%Sugar BCOMSBTR -13.76% 2.10% 18.36% -4.38% -19.32% -52.79% -67.06% -65.22% -16.32%Coffee BCOMKCTR -8.15% 5.92% 1.46% -10.50% -35.29% -41.09% -69.32% -60.20% -72.16%Cotton BCOMCTTR -3.38% 1.04% 4.46% -10.99% 1.01% -22.54% -49.76% -27.08% -81.05%

Live Cattle BCOMLCTR -2.73% 3.39% 2.90% -14.57% -11.23% -0.86% -9.13% -30.27% -0.52%Lean Hogs BCOMLHTR 8.46% 5.30% -13.73% 13.44% -8.23% -25.45% -37.05% -72.57% -84.69%

Index Name Ticker

Index Name Ticker

PERFORMANCE: Bloomberg Commodity Indices

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Composite Roll Select Indices

2016 2015Jan Dec Q4 Q3 1-Year 3-Year 5-Year 10-Year 20-Year

BCOM Roll Select BCOMRST -1.30% -3.01% -9.39% -13.61% -22.14% -42.81% -48.09% -25.33% 169.86%Roll Select Agriculture BCOMRAGT -0.91% -1.02% -2.51% -12.73% -12.69% -37.11% -40.86% 28.40% 23.13%

Roll Select Ex-Ags & Livestock BBURXALT -1.58% -4.58% -13.04% -14.55% -26.93% -48.40% -54.12% -48.67%Roll Select Grains BCOMRGRT 2.16% -2.86% -7.88% -13.25% -9.89% -41.49% -37.62% 43.64% 4.81%Roll Select Softs BCOMRSOT -9.03% 3.30% 10.35% -9.57% -23.06% -37.21% -56.65% -29.06% 1.52%

Roll Select Livestock BCOMRLIT -1.17% 4.19% -3.73% -5.43% -12.57% -4.17% -9.97% -1.67%Roll Select Energy BCOMRENT -4.93% -9.90% -18.93% -19.74% -34.00% -58.76% -65.77% -80.00%

Roll Select Ex-Energy BCOMRXET 0.31% 0.35% -4.47% -10.10% -15.67% -36.28% -39.64% 27.84%Roll Select Petroleum BCOMRPET -6.53% -12.18% -18.48% -22.45% -35.51% -63.54% -60.53% -53.74% 529.06%

Roll Select Industrial Metals BCOMRINT -1.70% 3.44% -8.17% -10.85% -23.48% -42.01% -54.79% -16.54% 133.91%Roll Select Precious Metals BCOMRPRT 4.72% -0.87% -5.03% -5.56% -14.45% -40.19% -28.05% 72.13% 179.75%

Single Commodity Roll Select Indices

2016 2015Jan Dec Q4 Q3 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas RS BCOMRNGT -1.92% -3.61% -20.56% -11.97% -31.74% -48.61% -76.67% -97.23% -78.95%WTI Crude RS BCOMRCLT -4.82% -11.02% -15.36% -23.20% -33.78% -63.01% -63.32% -55.79% 641.76%

Brent Crude RS BCOMRCOT -7.02% -14.55% -21.74% -23.12% -39.65% -66.54% -60.97% -50.03% 629.83%ULS Diesel RS BCOMRHOT -6.46% -17.32% -27.49% -19.22% -38.93% -65.72% -62.82% -58.90% 274.26%

Unleaded Gasoline RS BCOMRRBT -9.68% -6.15% -10.74% -22.63% -28.92% -57.62% -43.94% -39.49% 539.91%Corn RS BCOMRCNT 2.65% -3.91% -10.32% -9.85% -11.16% -52.23% -42.86% 8.59% -63.57%

Soybeans RS BCOMRSYT 2.10% -2.23% -3.90% -13.58% -7.02% -15.95% -0.01% 148.99% 291.27%Wheat RS BCOMRWHT 1.71% -1.91% -7.82% -17.89% -7.51% -49.58% -62.66% -20.68% -61.79%

Soybean Oil RS BCOMRBOT 0.50% 3.87% 10.56% -19.46% -0.40% -44.96% -52.57% 0.76% 1.56%Soybean Meal RS BCOMRSMT 2.62% -7.52% -14.38% -10.25% -12.43% 8.02% 44.75% 354.11% 1112.29%HRW Wheat RS BCOMRKWT 0.74% -1.29% -9.23% -20.15% -19.99% -53.27% -62.35% -5.95% -32.55%

Copper RS BCOMRHGT -3.64% 4.05% -9.34% -10.63% -18.42% -46.46% -55.89% 9.17% 311.98%Alumnium RS BCOMRALT 0.55% 4.22% -5.34% -7.59% -20.87% -36.56% -52.27% -52.37% -7.32%

Zinc RS BCOMRZST 0.14% 2.85% -5.26% -15.93% -25.88% -30.21% -42.53% -26.61% 67.75%Nickel RS BCOMRNIT -2.36% -0.95% -14.97% -13.63% -43.62% -54.27% -69.22% -18.30% 198.62%Gold RS BCOMRGCT 5.29% -0.48% -4.98% -5.01% -13.08% -33.63% -18.36% 79.37% 165.45%Silver RS BCOMRSIT 3.08% -2.00% -5.15% -7.12% -18.25% -55.93% -51.20% 36.19% 159.77%Sugar RS BCOMRSBT -12.32% 3.20% 16.60% -8.04% -26.03% -48.97% -61.57% -42.55% 80.56%Coffee RS BCOMRKCT -8.18% 5.55% 1.65% -11.02% -35.05% -40.36% -67.45% -52.08% -53.49%Cotton RS BCOMRCTT -4.05% 1.36% 5.29% -11.16% 0.21% -19.42% -40.29% -6.06% -66.91%

Live Cattle RS BCOMRLCT -3.40% 3.27% 2.24% -12.72% -10.86% -2.69% -10.19% 1.85% 108.11%Lean Hogs RS BCOMRLHT 1.75% 5.44% -13.68% 9.04% -16.00% -9.69% -13.10% -17.02% 42.59%

PERFORMANCE: Bloomberg Commodity Roll Select Indices

Index Name Ticker

Index Name Ticker

8

PERFORMANCE: Historical ReturnBloomberg 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

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

-100%0%

100%200%300%400%500%600%700%800%900%

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

BloombergCommodity Index ER

BloombergCommodity Index TR

BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select

-50%0%

50%100%150%200%250%300%350%400%450%

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

Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

-60%-40%-20%

0%20%40%60%80%

100%120%

10 11 12 13 14 15

BloombergCommodity Index TR

S&P 500 Total ReturnIndex

Bloomberg USTreasury Bond Index

Bloomberg USD IGCorporate Bond Index

Bloomberg USD HYCorporate Bond Index

Bloomberg U.S. DollarSpot Index

-200%

0%

200%

400%

600%

800%

1000%

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

Energy

Grains

Industrial Metals

Precious Metals

Softs

Livestock

-500%

0%

500%

1000%

1500%

2000%

2500%

3000%

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

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Unleaded Gasoline-200%

0%200%400%600%800%

1000%1200%1400%1600%1800%

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

Corn

Soybeans

Wheat

Soybean Oil

Soybean Meal

HRW Wheat

-200%

0%

200%

400%

600%

800%

1000%

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

Copper

Alumnium

Zinc

Nickel-100%

0%100%200%300%400%500%600%700%800%900%

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

Gold

Silver

-200%

-100%

0%

100%

200%

300%

400%

500%

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

Sugar

Coffee

Cotton

-100%-80%-60%-40%-20%

0%20%40%60%80%

100%120%

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

Live Cattle

Lean Hogs

9

BCOM Contribution to Return (CTR) and Constituent Weights BCOM Index MEMB <GO>

Group Commodity Ticker Jan 2016 CTR

Jan 29 2016 Actual Weight

Dec 31 2015 Actual Weight

Jan 2016 Weight Change

2015 Target Weight

2016 Target Weight

Natural Gas NG 0.41 8.40% 8.77% -0.37% 8.74% 8.45% WTI Crude CL -0.75 7.06% 7.42% -0.36% 7.84% 7.47%

Brent Crude CO -0.63 7.93% 6.28% 1.65% 7.16% 7.53% ULS Diesel HO -0.21 3.73% 3.14% 0.59% 3.76% 3.83% Gasoline XB -0.46 3.52% 4.23% -0.71% 3.69% 3.75%Subtotal -1.64 30.64% 29.84% 0.80% 31.19% 31.03%

Corn C -0.04 7.67% 7.98% -0.31% 7.25% 7.36% Soybeans S 0.01 5.76% 5.65% 0.11% 5.68% 5.70%

Wheat W 0.06 3.41% 3.28% 0.13% 3.33% 3.33% Soybean Oil BO -0.11 2.91% 3.17% -0.26% 2.81% 2.84%

Soybean Meal SM 0.03 2.86% 2.50% 0.36% 2.75% 2.84% HRW Wheat KW 0.01 1.17% 1.08% 0.09% 1.17% 1.15%

Subtotal -0.04 23.78% 23.66% 0.12% 22.98% 23.22% Copper HG -0.38 7.48% 7.09% 0.39% 7.54% 7.63%

Aluminum LA -0.11 4.67% 4.72% -0.05% 4.59% 4.60% Zinc LX -0.15 2.55% 2.21% 0.34% 2.40% 2.53%

Nickel LN -0.05 2.33% 1.46% 0.87% 2.12% 2.36%Subtotal -0.68 17.03% 15.48% 1.55% 16.65% 17.11%

Gold GC 0.45 11.52% 12.68% -1.16% 11.90% 11.38% Silver SI 0.04 4.25% 4.34% -0.09% 4.28% 4.21%

Subtotal 0.49 15.77% 17.02% -1.25% 16.18% 15.59% Sugar SB -0.26 3.27% 5.01% -1.74% 4.00% 3.63% Coffee KC -0.12 2.20% 1.95% 0.25% 2.21% 2.29% Cotton CT -0.06 1.46% 1.93% -0.47% 1.51% 1.49%

Subtotal -0.43 6.93% 8.89% -1.96% 7.72% 7.41% Live Cattle LC -0.10 3.47% 3.34% 0.13% 3.33% 3.57% Lean Hogs LH 0.00 2.37% 1.78% 0.59% 1.94% 2.06%Subtotal -0.10 5.84% 5.12% 0.72% 5.27% 5.63%

Total -2.40 100% 100% 100% 100%

Commodity Price ForecastsCPFC <GO>

Group Commodity Q4 15 Q1 16 Q2 16 Q3 16Forward 2.23 2.22 2.34 2.42Forecast 2.73 2.34 2.42 2.57Forward 42.16 33.57 37.31 39.32Forecast 44.00 35.30 38.00 43.00Forward 44.69 34.16 37.11 38.99Forecast 48.00 35.00 40.00 45.00Forward 136.58 103.63 113.01 113.01Forecast 150.00 145.00 164.00 164.00Forward 130.82 117.56 132.91 124.02Forecast 134.00 148.50 157.50 164.50Forward 373.10 365.24 372.95 380.57Forecast 385.00 388.00 390.00 390.00Forward 880.16 871.75 873.47 878.04Forecast 900.00 870.00 875.00 875.00Forward 492.19 473.56 481.09 494.14Forecast 513.00 505.00 508.00 500.00Forward 4,893 4,515 4,528 4,520Forecast 5,000 4,753 4,900 4,900Forward 1,498 1,504 1,517 1,524Forecast 1,600 1,490 1,525 1,600Forward 1,619 1,558 1,581 1,588Forecast 1,808 1,660 1,679 1,736Forward 9,443 8,555 8,605 8,642Forecast 10,819 8,857 9,250 10,000Forward 1,105 1,110 1,116 1,117Forecast 1,106 1,080 1,080 1,100Forward 14.76 14.19 14.27 14.30Forecast 14.80 14.40 14.50 14.74Forward 14.67 13.58 13.24 13.40Forecast 13.65 14.50 14.10 14.50Forward 121.28 118.81 122.10 124.56Forecast 136.25 128.50 129.30 128.65Forward 62.45 61.64 62.27 61.79Forecast 64.00 62.90 62.70 62.80

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains

Coffee

Cotton

Zinc

Nickel

Gold

Silver

Sugar

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

10

Composite Indices

Bloomberg Commodity ER BCOM 17.47% 14.94% 15.49% 12.39% 13.91% 18.02% 15.99%Bloomberg Commodity TR BCOMTR 17.46% 14.93% 15.49% 12.39% 13.91% 18.02% 15.99%

Bloomberg Commodity Spot BCOMSP 17.23% 14.75% 15.56% 12.43% 13.95% 18.10% 16.09%Bloomberg Roll Select BCOMRST 15.60% 13.30% 14.36% 11.61% 13.16% 16.97% 14.61%

1 Month Forward BCOMF1T 16.86% 14.41% 15.20% 12.06% 13.63% 17.67% 15.44% 2 Month Forward BCOMF2T 16.33% 13.87% 14.88% 11.80% 13.38% 17.37% 14.92% 3 Month Forward BCOMF3T 15.93% 13.40% 14.55% 11.53% 13.17% 17.08% 14.49% 4 Month Forward BCOMF4T 15.68% 13.12% 14.28% 11.30% 12.94% 16.82% 5 Month Forward BCOMF5T 15.34% 12.73% 13.79% 10.93% 12.57% 16.31% 6 Month Forward BCOMF6T 15.34% 12.73% 13.79% 10.93% 12.57% 16.31%

Energy BCOMENTR 48.66% 37.15% 33.45% 25.42% 24.63% 28.96% 30.60%Petroleum BCOMPETR 61.11% 44.00% 41.84% 29.54% 28.24% 33.02% 33.00%Agriculture BCOMAGTR 12.38% 12.27% 15.79% 14.78% 17.57% 20.91% 18.37%

Grains BCOMGRTR 14.73% 14.95% 20.00% 18.84% 21.70% 25.17% 22.59%Industrial Metals BCOMINTR 22.42% 19.29% 19.21% 16.94% 19.37% 26.31% 22.32%Precious Metals BCOMPRTR 16.31% 16.29% 16.30% 19.47% 20.80% 23.34% 19.69%

Softs BCOMSOTR 21.45% 22.26% 20.61% 19.48% 20.57% 22.46% 20.62%Livestock BCOMLITR 18.09% 23.16% 17.72% 13.82% 13.69% 14.22% 14.52%Ex-Energy BCOMXETR 9.84% 10.34% 11.23% 10.84% 13.08% 16.78% 13.79%

Ex-Petroleum BCOMXPET 10.86% 10.97% 11.18% 10.89% 12.78% 16.57%Ex-Agriculture BCOMXAGT 23.68% 19.37% 18.95% 14.81% 15.75% 19.85%

Ex-Grains BCOMXGRT 9.84% 10.34% 11.23% 10.84% 13.08% 16.78%Ex-Industrial Metals BCOMXIMT 20.86% 17.13% 17.10% 13.45% 14.63% 18.69%Ex-Precious Metals BCOMXPMT 18.19% 15.83% 16.53% 13.25% 14.52% 18.20%

Ex-Softs BCOMXSOT 21.76% 17.51% 17.69% 13.53% 14.78% 18.95%Ex-Livestock BCOMXLIT 18.12% 15.63% 16.16% 12.92% 14.34% 18.57%

Ex-Agriculture & Livestock BCOMXALT 23.68% 19.37% 18.95% 14.81% 15.75% 19.85%S&P 500 Total Return Index SPXT 21.74% 17.74% 15.98% 13.20% 15.64% 20.82% 19.63%

Bloomberg US Treasury Bond Index BUSY 2.84% 3.61% 4.45% 3.89% 4.09%Bloomberg USD IG Corporate Bond Index BUSC 2.69% 3.60% 4.47% 4.10% 4.37%Bloomberg USD HY Corporate Bond Index BUHY 6.83% 5.40% 3.88% 3.33% 3.22%

Bloomberg U.S. Dollar Spot Index BBDXY 4.21% 5.96% 7.31% 6.00% 6.32% 7.06%

Single Commodity Indices

Natural Gas BCOMNGTR 44.22% 45.28% 37.48% 38.03% 38.54% 43.45% 46.98%WTI Crude BCOMCLTR 63.45% 45.98% 45.72% 32.86% 31.53% 35.26% 34.60%

Brent Crude BCOMCOT 68.07% 47.38% 43.89% 30.58% 28.68% 32.69% 32.06%ULS Diesel BCOMHOTR 66.01% 46.03% 38.87% 26.92% 25.43% 30.59% 32.42%

Unleaded Gasoline BCOMRBTR 48.60% 43.73% 40.95% 29.91% 28.58% 34.54% 34.13%Corn BCOMCNTR 15.93% 16.66% 22.64% 23.60% 26.98% 30.94% 26.89%

Soybeans BCOMSYTR 13.55% 14.26% 19.02% 19.60% 20.71% 24.66% 23.80%Wheat BCOMWHTR 22.96% 22.30% 29.33% 25.41% 29.82% 34.06% 29.72%

Soybean Oil BCOMBOTR 15.54% 20.66% 22.20% 19.60% 19.94% 24.02% 23.42%Soybean Meal BCOMSMT 18.19% 15.96% 21.22% 24.33% 24.62% 27.84% 26.57%HRW Wheat BCOMKWT 26.74% 22.79% 28.09% 23.82% 27.30% 31.03% 26.98%

Copper BCOMHGTR 24.06% 22.87% 22.87% 19.83% 22.61% 31.56% 27.76%Alumnium BCOMALTR 18.81% 17.24% 17.31% 17.19% 19.07% 24.13% 20.52%

Zinc BCOMZSTR 34.27% 27.87% 25.34% 20.08% 22.81% 34.63% 28.22%Nickel BCOMNITR 28.20% 28.90% 31.90% 27.10% 28.98% 39.09% 35.52%Gold BCOMGCTR 15.00% 15.08% 14.34% 17.50% 17.97% 20.31% 17.55%Silver BCOMSITR 25.86% 23.70% 25.54% 28.38% 33.30% 36.34% 30.57%Sugar BCOMSBTR 32.02% 33.85% 30.23% 23.93% 27.45% 33.35% 31.79%Coffee BCOMKCTR 27.79% 28.93% 33.22% 35.78% 33.64% 31.29% 36.73%Cotton BCOMCTTR 12.82% 13.53% 18.43% 18.97% 24.79% 27.14% 25.92%

Live Cattle BCOMLCTR 19.44% 23.85% 18.49% 14.24% 14.16% 14.22% 14.42%Lean Hogs BCOMLHTR 22.92% 30.73% 28.67% 22.34% 21.06% 22.61% 24.18%

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 5-Year 10-Year

5-Year

11

VOLATILITY: ImpliedVCA <GO> OVDV <GO>

TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%

End of Jan 2% 47% 0% 1% 36% -1% 1% 32% -1%End of Dec 4% 46% 7% 2% 38% 2% -1% 34% -1%End of Jan 4% 58% -2% 2% 53% -2% 1% 47% -1%End of Dec 5% 62% -1% 2% 53% -1% 1% 47% -1%End of Jan 1% 61% 1% 1% 55% 0% 1% 49% -1%End of Dec 4% 58% 2% 1% 53% 1% 0% 47% 1%End of Jan 2% 52% 0% 0% 47% 0% 0% 40% 0%End of Dec 0% 49% 2% 0% 46% 0% 0% 40% 0%End of Jan 0% 55% 0% 0% 44% 0% 0% 39% 0%End of Dec -2% 52% 3% 0% 43% 0% 0% 26% 0%End of Jan 4% 16% 5% -1% 18% 2% -2% 23% 1%End of Dec 0% 24% 4% -2% 21% 2% -2% 22% 2%End of Jan 7% 14% 5% 2% 15% 1% 1% 17% 1%End of Dec 5% 17% 5% 2% 16% 1% 0% 17% 1%End of Jan 0% 20% 5% -2% 24% 2% -2% 25% 2%End of Dec -2% 26% 5% -2% 26% 3% -2% 26% 2%End of Jan 6% 19% 4% 1% 18% 1% 0% 19% 1%End of Dec 3% 21% 2% 0% 20% 1% 0% 19% 0%End of Jan 4% 18% 5% 1% 18% 1% 1% 19% 1%End of Dec 3% 22% 3% 1% 20% 1% 0% 20% 0%End of Jan 0% 19% 4% -2% 23% 2% -1% 24% 1%End of Dec -1% 25% 5% -2% 25% 3% -1% 26% 1%End of Jan 3% 23% 1% 1% 25% -1% 1% 25% 0%End of Dec 3% 28% 0% 2% 27% -1% 0% 25% 0%End of Jan 0 19% 0% 0% 22% -2% 0% 19% 0%End of Dec 0% 23% 0% 0% 23% 0% 0% 23% 0%End of Jan 0% 33% 0% 0% 31% 0% 0% 29% 0%End of Dec 0% 28% 0% 0% 28% 0% 0% 28% 0%End of Jan 0% 33% 0% 0% 33% 0% 0% 33% 0%End of Dec 0% 35% 0% 0% 35% 0% 0% 35% 0%End of Jan 1% 13% 1% 0% 16% 0% 1% 17% 0%End of Dec 0% 16% 1% 0% 16% 0% 0% 17% 0%End of Jan 4% 21% 3% 2% 23% 0% 0% 56% 0%End of Dec 5% 23% 3% 2% 24% 1% 1% 24% 0%End of Jan 1% 30% 2% -1% 29% 2% -1% 28% 2%End of Dec 2% 31% 5% -2% 31% 3% -1% 29% 2%End of Jan -1% 29% 5% -2% 30% 3% -2% 31% 2%

End of Dec -3% 30% 5% -2% 31% 3% -2% 31% 2%End of Jan 10% 16% 8% 1% 17% 1% 1% 17% 0%End of Dec 3% 18% 3% 1% 18% 1% 0% 18% 0%End of Jan 2% 22% 0% 2% 21% -2% 2% 19% -2%

End of Dec 3% 23% -1% 2% 21% -2% 3% 18% -2%End of Jan 10% 19% 2% 1% 22% -2% 1% 19% -2%End of Dec 3% 21% 0% 2% 25% -2% 1% 21% -1%

3M 6M

Corn

Soybeans

Wheat

1M

Live

stoc

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Lean Hogs

Grai

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Met

als Gold

Silver

Softs

Sugar

Coffee

Cotton

Soybean Oil

Soybean Meal

HRW Wheat

Indu

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Aluminum

Zinc

Nickel

Ener

gy

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

12

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

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

5%

10%

15%

20%

25%

30%

35%

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

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

Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

0%

5%

10%

15%

20%

25%

11 12 13 14 15

BloombergCommodity Index TRS&P 500 Total ReturnIndexBloomberg USTreasury Bond IndexBloomberg USD IGCorporate 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

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

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

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

Copper

Alumnium

Zinc

Nickel0%

10%

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60%

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

Gold

Silver

10%

20%

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60%

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

Sugar

Coffee

Cotton

5%

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15%

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40%

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

Live Cattle

Lean Hogs

13

Bloo

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Bloomberg Commodity 100% 100% 100% 99% 89% 87% 57% 47% 60% 35% 37% 28% 76% 96%Roll Select 100% 100% 100% 100% 88% 86% 59% 49% 60% 36% 37% 27% 77% 95%

1 Month Forward 100% 100% 100% 99% 89% 86% 58% 47% 60% 36% 37% 28% 76% 95%3 Month Forward 100% 100% 100% 100% 88% 86% 58% 48% 60% 36% 37% 27% 77% 95%6 Month Forward 99% 100% 99% 100% 88% 86% 58% 48% 60% 36% 37% 26% 77% 95%

Energy 89% 88% 89% 88% 88% 96% 28% 20% 36% 14% 21% 19% 39% 94%Petroleum 87% 86% 86% 86% 86% 96% 29% 20% 36% 13% 23% 18% 39% 91%Agriculture 57% 59% 58% 58% 58% 28% 29% 93% 29% 8% 51% 15% 79% 32%

Grains 47% 49% 47% 48% 48% 20% 20% 93% 18% 5% 20% 9% 68% 22%Industrial Metals 60% 60% 60% 60% 60% 36% 36% 29% 18% 28% 27% 22% 71% 58%Precious Metals 35% 36% 36% 36% 36% 14% 13% 8% 5% 28% 7% 4% 53% 38%

Softs 37% 37% 37% 37% 37% 21% 23% 51% 20% 27% 7% 15% 47% 25%Livestock 28% 27% 28% 27% 26% 19% 18% 15% 9% 22% 4% 15% 31% 21%Ex-Energy 76% 77% 76% 77% 77% 39% 39% 79% 68% 71% 53% 47% 31% 60%

Ex-Agriculture & Livestock 96% 95% 95% 95% 95% 94% 91% 32% 22% 58% 38% 25% 21% 60%S&P 500 Total Return Index 32% 34% 32% 33% 35% 31% 35% 17% 10% 25% 0% 20% 14% 22% 31%

S&P Energy 61% 61% 61% 61% 62% 67% 70% 22% 13% 29% 8% 28% 15% 30% 64%S&P Financial 30% 32% 30% 31% 33% 29% 33% 19% 12% 23% -5% 20% 13% 21% 28%

S&P Health Care 15% 17% 15% 16% 17% 13% 15% 8% 5% 19% -1% 8% 8% 13% 14%S&P Consumer Discretionary 25% 27% 26% 27% 28% 23% 28% 17% 11% 22% -5% 21% 15% 19% 23%

S&P IT 26% 28% 27% 28% 29% 25% 28% 13% 9% 23% 0% 12% 12% 19% 26%S&P Utilities 11% 12% 11% 11% 12% 10% 11% 5% 0% 5% 10% 15% 0% 8% 11%

S&P Consumers Staples 23% 24% 23% 24% 25% 20% 21% 13% 8% 20% 3% 16% 11% 19% 22%S&P Industrials 32% 34% 33% 34% 35% 30% 33% 18% 12% 27% 0% 19% 15% 24% 31%

S&P Telecommunication 34% 35% 34% 35% 35% 32% 34% 20% 15% 22% 5% 18% 16% 25% 32%S&P Materials 50% 51% 50% 51% 52% 48% 50% 25% 17% 36% 9% 25% 16% 35% 49%

Bloomberg US Treasury -19% -19% -19% -19% -19% -20% -23% -16% -14% -16% 21% -7% -4% -9% -16%Bloomberg USD IG Corporate -13% -13% -14% -13% -14% -15% -17% -13% -12% -12% 20% -4% -1% -5% -11%Bloomberg USD HY Corporate 30% 31% 30% 31% 32% 30% 31% 16% 9% 24% 0% 17% 17% 22% 29%

Bloomberg U.S. Dollar Spot -37% -37% -37% -37% -36% -28% -25% -23% -17% -16% -34% -26% -6% -34% -35%EURUSD 19% 19% 19% 19% 18% 9% 6% 14% 12% 10% 38% 14% -6% 25% 18%JPYUSD -5% -5% -5% -5% -7% -9% -11% -9% -5% -10% 34% -6% -8% 2% -2%CADUSD 60% 59% 60% 59% 59% 55% 55% 22% 13% 35% 36% 28% 13% 43% 62%MXNUSD 47% 48% 47% 48% 49% 38% 39% 30% 18% 33% 27% 38% 15% 44% 44%GBPUSD 29% 29% 29% 29% 28% 19% 17% 17% 12% 22% 33% 20% 12% 33% 28%AUDUSD 45% 45% 45% 45% 45% 33% 33% 23% 14% 38% 35% 24% 15% 44% 43%CHFUSD 14% 13% 13% 13% 13% 5% 3% 7% 6% 5% 38% 8% -4% 20% 14%KRWUSD 37% 37% 37% 37% 38% 22% 22% 25% 16% 32% 40% 33% 12% 45% 34%CNYUSD 18% 18% 18% 18% 18% 13% 13% 20% 19% 13% 0% 3% 6% 18% 14%

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Bloomberg Commodity 99% 100% 99% 99% 81% 76% 68% 60% 64% 53% 46% 24% 85% 93%Roll Select 99% 99% 100% 99% 79% 75% 68% 59% 66% 55% 46% 23% 86% 93%

1 Month Forward 100% 99% 100% 99% 79% 76% 68% 60% 65% 54% 46% 24% 86% 93%3 Month Forward 99% 100% 100% 100% 78% 76% 68% 59% 66% 55% 47% 23% 86% 92%6 Month Forward 99% 99% 99% 100% 76% 76% 67% 58% 67% 56% 46% 23% 86% 92%

Energy 81% 79% 79% 78% 76% 88% 28% 23% 34% 21% 22% 15% 38% 88%Petroleum 76% 75% 76% 76% 76% 88% 29% 22% 40% 25% 26% 16% 42% 83%Agriculture 68% 68% 68% 68% 67% 28% 29% 95% 31% 24% 56% 15% 81% 37%

Grains 60% 59% 60% 59% 58% 23% 22% 95% 23% 19% 28% 12% 73% 29%Industrial Metals 64% 66% 65% 66% 67% 34% 40% 31% 23% 43% 31% 14% 71% 66%Precious Metals 53% 55% 54% 55% 56% 21% 25% 24% 19% 43% 19% 6% 66% 56%

Softs 46% 46% 46% 47% 46% 22% 26% 56% 28% 31% 19% 14% 52% 31%Livestock 24% 23% 24% 23% 23% 15% 16% 15% 12% 14% 6% 14% 25% 17%Ex-Energy 85% 86% 86% 86% 86% 38% 42% 81% 73% 71% 66% 52% 25% 67%

Ex-Agriculture & Livestock 93% 93% 93% 92% 92% 88% 83% 37% 29% 66% 56% 31% 17% 67%S&P 500 Total Return Index 36% 37% 37% 37% 38% 30% 38% 21% 15% 39% 7% 22% 12% 30% 35%

S&P Energy 55% 55% 55% 55% 55% 55% 62% 26% 19% 41% 17% 27% 13% 37% 57%S&P Financial 30% 31% 31% 32% 32% 25% 32% 18% 13% 37% 3% 21% 9% 25% 29%

S&P Health Care 24% 25% 24% 25% 26% 19% 25% 15% 11% 29% 3% 16% 10% 21% 23%S&P Consumer Discretionary 28% 29% 29% 29% 30% 23% 31% 17% 13% 34% 1% 17% 11% 23% 27%

S&P IT 32% 32% 32% 33% 34% 25% 33% 19% 14% 36% 7% 18% 12% 27% 30%S&P Utilities 18% 18% 18% 19% 19% 17% 19% 10% 7% 16% 5% 14% 4% 14% 18%

S&P Consumers Staples 24% 25% 25% 25% 26% 20% 25% 13% 10% 27% 5% 14% 11% 20% 23%S&P Industrials 34% 34% 35% 35% 36% 27% 34% 20% 15% 39% 6% 21% 12% 29% 33%

S&P Telecommunication 23% 23% 23% 24% 25% 21% 25% 12% 9% 24% 4% 14% 9% 18% 23%S&P Materials 46% 46% 46% 47% 48% 37% 44% 26% 19% 46% 19% 25% 13% 39% 45%

Bloomberg US Treasury -22% -22% -23% -23% -23% -23% -27% -14% -12% -25% 10% -10% -7% -14% -21%Bloomberg USD IG Corporate -15% -15% -15% -15% -15% -18% -21% -9% -8% -17% 14% -6% -6% -7% -14%Bloomberg USD HY Corporate 24% 25% 25% 25% 26% 20% 24% 14% 11% 25% 8% 13% 9% 21% 23%

Bloomberg U.S. Dollar Spot -41% -42% -42% -42% -43% -28% -31% -25% -18% -33% -35% -29% -7% -40% -40%EURUSD 36% 37% 37% 37% 38% 22% 23% 20% 15% 35% 35% 23% 2% 37% 36%JPYUSD 3% 3% 3% 3% 3% -4% -4% 2% 2% -5% 25% 3% -5% 8% 3%CADUSD 52% 52% 52% 53% 53% 40% 46% 26% 18% 44% 36% 29% 13% 45% 52%MXNUSD 45% 46% 46% 46% 47% 31% 37% 26% 17% 45% 32% 30% 10% 44% 45%GBPUSD 34% 35% 35% 35% 36% 21% 24% 19% 13% 32% 34% 21% 10% 36% 34%AUDUSD 49% 50% 49% 50% 51% 30% 36% 29% 21% 46% 41% 30% 14% 49% 47%CHFUSD 21% 22% 21% 22% 22% 9% 9% 11% 8% 23% 32% 14% -4% 26% 22%KRWUSD 34% 35% 35% 35% 36% 19% 23% 23% 17% 34% 27% 23% 10% 36% 32%CNYUSD 11% 11% 11% 11% 11% 8% 7% 9% 9% 8% 4% 3% 2% 10% 9%

Bond

Curr

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Bond

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

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1-Year

Com

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Nat

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Unl

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Corn

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Oil

Soyb

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Mea

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Whe

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Copp

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Alum

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Zinc

Nic

kel

Gol

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Silv

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Suga

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Coffe

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Cott

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Live

Cat

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Hog

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Natural Gas 12% 14% 16% 8% 5% 2% 5% 5% 1% 5% 6% 14% 9% 9% 5% 5% 0% 4% -1% 11% 1%WTI Crude 12% 96% 92% 85% 22% 25% 6% 45% 9% 9% 37% 28% 23% 28% 8% 21% 17% 22% 22% 22% 10%

Brent Crude 14% 96% 97% 89% 23% 24% 5% 43% 9% 9% 35% 27% 23% 27% 6% 20% 12% 20% 22% 19% 6%ULS Diesel 16% 92% 97% 86% 22% 24% 6% 41% 8% 9% 32% 26% 21% 23% 5% 19% 12% 19% 20% 18% 8%

Unleaded Gasoline 8% 85% 89% 86% 17% 18% 2% 38% 4% 6% 34% 24% 21% 26% 7% 20% 6% 13% 23% 15% 6%Corn 5% 22% 23% 22% 17% 67% 69% 38% 59% 68% 18% 8% 6% 12% 0% 8% 12% 12% 11% 9% 6%

Soybeans 2% 25% 24% 24% 18% 67% 44% 58% 87% 43% 31% 21% 19% 27% 0% 18% 13% 21% 23% 12% 7%Wheat 5% 6% 5% 6% 2% 69% 44% 22% 40% 95% 10% -5% 1% -2% 4% 5% 8% 16% 9% 3% 0%

Soybean Oil 5% 45% 43% 41% 38% 38% 58% 22% 21% 21% 32% 33% 26% 32% 14% 33% 9% 26% 29% 24% 5%Soybean Meal 1% 9% 9% 8% 4% 59% 87% 40% 21% 39% 22% 10% 11% 14% -9% 3% 8% 9% 13% 2% 7%HRW Wheat 5% 9% 9% 9% 6% 68% 43% 95% 21% 39% 9% -5% 0% 0% 2% 5% 7% 14% 6% 3% 2%

Copper 6% 37% 35% 32% 34% 18% 31% 10% 32% 22% 9% 59% 66% 61% 18% 38% 20% 16% 23% 20% 14%Alumnium 14% 28% 27% 26% 24% 8% 21% -5% 33% 10% -5% 59% 62% 53% 12% 27% 12% 16% 18% 19% 11%

Zinc 9% 23% 23% 21% 21% 6% 19% 1% 26% 11% 0% 66% 62% 56% 19% 31% 17% 15% 12% 16% 15%Nickel 9% 28% 27% 23% 26% 12% 27% -2% 32% 14% 0% 61% 53% 56% 13% 29% 15% 19% 18% 6% 5%Gold 5% 8% 6% 5% 7% 0% 0% 4% 14% -9% 2% 18% 12% 19% 13% 77% -4% 5% 5% 2% -2%Silver 5% 21% 20% 19% 20% 8% 18% 5% 33% 3% 5% 38% 27% 31% 29% 77% 8% 18% 14% 14% 2%Sugar 0% 17% 12% 12% 6% 12% 13% 8% 9% 8% 7% 20% 12% 17% 15% -4% 8% 23% 12% 9% 5%Coffee 4% 22% 20% 19% 13% 12% 21% 16% 26% 9% 14% 16% 16% 15% 19% 5% 18% 23% 17% 10% 9%Cotton -1% 22% 22% 20% 23% 11% 23% 9% 29% 13% 6% 23% 18% 12% 18% 5% 14% 12% 17% 16% 7%

Live Cattle 11% 22% 19% 18% 15% 9% 12% 3% 24% 2% 3% 20% 19% 16% 6% 2% 14% 9% 10% 16% 28%Lean Hogs 1% 10% 6% 8% 6% 6% 7% 0% 5% 7% 2% 14% 11% 15% 5% -2% 2% 5% 9% 7% 28%

S&P 500 Total Return Index -1% 33% 36% 35% 30% 9% 14% 3% 18% 6% 6% 26% 14% 17% 25% -7% 12% 10% 20% 23% 19% 2%S&P Energy 13% 69% 69% 68% 61% 13% 15% 4% 29% 2% 10% 28% 21% 19% 24% 1% 19% 19% 23% 20% 20% 3%

S&P Financial 0% 31% 34% 34% 27% 12% 18% 3% 17% 10% 7% 22% 14% 15% 25% -13% 8% 11% 17% 21% 20% 0%S&P Health Care -3% 13% 17% 17% 12% 5% 9% 1% 9% 4% 2% 18% 12% 15% 18% -5% 6% 2% 9% 15% 11% 2%

S&P Consumer Discretionary -4% 26% 29% 28% 23% 10% 13% 5% 14% 7% 6% 23% 10% 14% 22% -12% 8% 11% 18% 22% 16% 7%S&P IT -1% 26% 30% 29% 25% 8% 13% 3% 17% 6% 5% 23% 11% 19% 24% -7% 10% 3% 16% 18% 16% 2%

S&P Utilities 3% 8% 12% 12% 10% -2% 1% 2% -1% -1% 2% 8% -2% 0% 7% 9% 10% 8% 12% 21% 2% -2%S&P Consumers Staples 3% 20% 23% 23% 17% 8% 11% 3% 11% 5% 5% 22% 9% 13% 19% -3% 12% 7% 16% 22% 16% 0%

S&P Industrials 2% 31% 34% 32% 29% 11% 14% 7% 15% 9% 10% 29% 13% 20% 24% -8% 12% 10% 18% 20% 17% 6%S&P Telecommunication 2% 32% 36% 36% 30% 14% 16% 7% 17% 8% 10% 23% 12% 15% 22% -1% 14% 5% 20% 29% 22% 2%

S&P Materials 8% 48% 51% 49% 44% 16% 22% 6% 26% 12% 10% 36% 24% 25% 30% 1% 21% 17% 19% 26% 20% 5%Bloomberg US Treasury 3% -24% -24% -22% -16% -15% -16% -6% -10% -16% -6% -18% -11% -8% -14% 26% 10% -2% -13% -4% -5% 0%

Bloomberg USD IG Corporate 3% -19% -18% -17% -11% -14% -12% -6% -6% -14% -6% -14% -8% -3% -10% 23% 12% 0% -10% 0% 0% 0%Bloomberg USD HY Corporate 4% 31% 33% 33% 23% 7% 17% 1% 18% 11% 2% 23% 20% 20% 16% -7% 12% 10% 15% 17% 27% -1%

Bloomberg U.S. Dollar Spot -18% -26% -24% -24% -20% -13% -12% -17% -13% -9% -17% -20% -9% -8% -7% -35% -28% -17% -15% -32% -2% -9%EURUSD 11% 8% 5% 5% 3% 10% 4% 16% 3% 3% 15% 15% 4% 4% 2% 40% 29% 8% 8% 24% -12% 4%JPYUSD 2% -11% -12% -12% -7% -6% -13% 6% -19% -7% 7% -6% -8% -12% -13% 43% 14% -6% -4% -1% -16% 5%CADUSD 15% 56% 55% 53% 46% 10% 15% 9% 25% 6% 11% 35% 25% 26% 26% 31% 39% 20% 19% 26% 15% 5%MXNUSD 8% 40% 39% 38% 32% 13% 26% 11% 23% 19% 12% 34% 19% 26% 25% 20% 33% 32% 22% 20% 17% 7%GBPUSD 12% 19% 15% 15% 13% 9% 12% 11% 8% 9% 8% 27% 13% 12% 10% 31% 31% 15% 10% 20% 9% 10%AUDUSD 9% 33% 33% 32% 30% 11% 19% 8% 24% 11% 9% 38% 23% 34% 26% 30% 37% 15% 22% 20% 15% 10%CHFUSD 6% 6% 1% 1% 0% 5% -2% 12% 5% -3% 11% 8% 1% 3% -1% 42% 27% 3% 3% 22% -9% 4%KRWUSD 6% 23% 22% 21% 17% 13% 14% 13% 16% 9% 14% 33% 20% 25% 24% 35% 44% 28% 23% 13% 12% 8%CNYUSD 3% 14% 14% 15% 7% 19% 20% 11% 15% 20% 12% 11% 9% 13% 11% -3% 6% -6% 19% 2% 6% 3%

Nat

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Alum

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Nic

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Live

Cat

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Natural Gas 15% 14% 15% 11% 11% 5% 9% 7% 4% 10% 2% 7% 1% 2% 0% 4% 4% 4% 0% 6% 4%WTI Crude 15% 91% 87% 82% 18% 24% 14% 37% 13% 15% 41% 34% 31% 30% 20% 31% 21% 18% 21% 17% 11%

Brent Crude 14% 91% 96% 90% 17% 23% 14% 36% 13% 16% 37% 29% 27% 27% 18% 29% 18% 16% 19% 15% 8%ULS Diesel 15% 87% 96% 87% 17% 24% 14% 35% 14% 15% 35% 28% 26% 27% 18% 28% 18% 16% 20% 13% 9%

Unleaded Gasoline 11% 82% 90% 87% 16% 20% 13% 34% 11% 15% 33% 28% 24% 26% 18% 29% 14% 13% 19% 13% 6%Corn 11% 18% 17% 17% 16% 60% 70% 44% 54% 66% 15% 15% 12% 16% 12% 18% 19% 13% 20% 13% 7%

Soybeans 5% 24% 23% 24% 20% 60% 50% 68% 92% 48% 26% 22% 22% 21% 16% 23% 20% 13% 21% 11% 6%Wheat 9% 14% 14% 14% 13% 70% 50% 38% 43% 95% 16% 13% 13% 16% 13% 16% 20% 15% 22% 9% 4%

Soybean Oil 7% 37% 36% 35% 34% 44% 68% 38% 41% 36% 32% 29% 28% 26% 21% 30% 19% 18% 26% 16% 8%Soybean Meal 4% 13% 13% 14% 11% 54% 92% 43% 41% 41% 18% 15% 14% 13% 11% 16% 15% 8% 14% 6% 4%HRW Wheat 10% 15% 16% 15% 15% 66% 48% 95% 36% 41% 15% 12% 11% 15% 12% 15% 18% 13% 20% 9% 4%

Copper 2% 41% 37% 35% 33% 15% 26% 16% 32% 18% 15% 66% 72% 60% 36% 49% 22% 18% 23% 12% 11%Alumnium 7% 34% 29% 28% 28% 15% 22% 13% 29% 15% 12% 66% 69% 56% 31% 40% 20% 16% 19% 11% 9%

Zinc 1% 31% 27% 26% 24% 12% 22% 13% 28% 14% 11% 72% 69% 58% 29% 39% 20% 14% 16% 10% 9%Nickel 2% 30% 27% 27% 26% 16% 21% 16% 26% 13% 15% 60% 56% 58% 22% 32% 23% 14% 23% 7% 6%Gold 0% 20% 18% 18% 18% 12% 16% 13% 21% 11% 12% 36% 31% 29% 22% 82% 8% 15% 11% 5% 1%Silver 4% 31% 29% 28% 29% 18% 23% 16% 30% 16% 15% 49% 40% 39% 32% 82% 14% 20% 16% 8% 4%Sugar 4% 21% 18% 18% 14% 19% 20% 20% 19% 15% 18% 22% 20% 20% 23% 8% 14% 25% 18% 11% 10%Coffee 4% 18% 16% 16% 13% 13% 13% 15% 18% 8% 13% 18% 16% 14% 14% 15% 20% 25% 11% 7% 8%Cotton 0% 21% 19% 20% 19% 20% 21% 22% 26% 14% 20% 23% 19% 16% 23% 11% 16% 18% 11% 9% 5%

Live Cattle 6% 17% 15% 13% 13% 13% 11% 9% 16% 6% 9% 12% 11% 10% 7% 5% 8% 11% 7% 9% 34%Lean Hogs 4% 11% 8% 9% 6% 7% 6% 4% 8% 4% 4% 11% 9% 9% 6% 1% 4% 10% 8% 5% 34%

S&P 500 Total Return Index 1% 38% 36% 34% 32% 12% 17% 11% 22% 11% 13% 40% 30% 30% 29% 2% 15% 17% 12% 21% 14% 5%S&P Energy 12% 62% 60% 57% 53% 15% 19% 14% 27% 12% 16% 41% 33% 32% 30% 11% 24% 23% 16% 22% 15% 6%

S&P Financial 0% 31% 30% 28% 27% 9% 15% 9% 19% 10% 11% 38% 28% 28% 27% -3% 11% 17% 11% 20% 11% 4%S&P Health Care -1% 24% 23% 22% 20% 8% 13% 7% 15% 9% 8% 29% 23% 22% 21% -1% 9% 12% 9% 16% 12% 4%

S&P Consumer Discretionary -2% 30% 29% 27% 26% 10% 14% 10% 18% 9% 11% 34% 26% 25% 26% -4% 9% 13% 8% 18% 14% 4%S&P IT -2% 32% 31% 29% 28% 11% 17% 9% 21% 10% 11% 36% 29% 29% 27% 2% 13% 14% 10% 19% 14% 5%

S&P Utilities 3% 19% 18% 16% 16% 5% 6% 6% 8% 3% 8% 18% 11% 12% 11% 4% 6% 13% 5% 15% 6% 0%S&P Consumers Staples 0% 25% 24% 23% 20% 8% 11% 6% 14% 7% 8% 28% 20% 19% 20% 2% 10% 12% 6% 16% 12% 5%

S&P Industrials 0% 35% 32% 29% 29% 11% 17% 10% 21% 12% 13% 40% 31% 30% 28% 1% 14% 17% 11% 20% 13% 6%S&P Telecommunication 1% 24% 24% 23% 22% 7% 10% 7% 12% 6% 8% 24% 19% 18% 17% 1% 8% 12% 8% 14% 11% 4%

S&P Materials 3% 44% 42% 39% 38% 16% 20% 14% 26% 13% 17% 47% 36% 37% 33% 13% 25% 20% 14% 22% 15% 5%Bloomberg US Treasury -3% -27% -26% -24% -22% -8% -14% -9% -17% -9% -10% -26% -20% -18% -16% 15% 0% -7% -6% -11% -7% -6%

Bloomberg USD IG Corporate -3% -22% -19% -18% -16% -5% -10% -6% -12% -6% -7% -18% -14% -12% -10% 18% 5% -4% -3% -6% -4% -5%Bloomberg USD HY Corporate 0% 23% 25% 24% 19% 9% 14% 4% 17% 11% 5% 24% 21% 22% 19% 4% 13% 9% 9% 13% 10% 3%

Bloomberg U.S. Dollar Spot -7% -32% -29% -28% -26% -14% -18% -16% -19% -14% -16% -34% -27% -24% -21% -34% -33% -20% -20% -22% -5% -6%EURUSD 7% 25% 21% 20% 19% 11% 14% 15% 16% 10% 15% 35% 30% 26% 23% 34% 34% 15% 16% 21% -1% 4%JPYUSD 0% -4% -5% -4% -2% 1% 0% 5% -8% 5% 4% -4% -3% -5% -6% 29% 16% 0% 6% 0% -5% -3%CADUSD 6% 47% 45% 42% 39% 13% 21% 13% 28% 14% 14% 44% 36% 34% 31% 33% 37% 18% 22% 23% 12% 9%MXNUSD 3% 38% 35% 33% 32% 12% 21% 12% 25% 15% 14% 44% 37% 35% 32% 28% 33% 22% 20% 23% 10% 7%GBPUSD 4% 25% 22% 20% 18% 9% 15% 12% 16% 11% 12% 32% 28% 24% 21% 32% 33% 13% 15% 17% 9% 8%AUDUSD 3% 36% 34% 32% 30% 14% 25% 15% 28% 19% 16% 46% 35% 38% 33% 38% 41% 20% 22% 24% 13% 10%CHFUSD 3% 10% 8% 8% 7% 5% 5% 10% 9% 3% 9% 24% 22% 15% 15% 33% 27% 10% 8% 10% -7% 2%KRWUSD 2% 24% 22% 22% 20% 12% 20% 14% 23% 16% 14% 33% 27% 27% 26% 25% 27% 15% 16% 19% 8% 8%CNYUSD 3% 8% 8% 8% 4% 8% 7% 6% 8% 5% 9% 7% 7% 6% 8% 3% 4% -1% 7% 5% 2% 0%

Curr

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

5-Year

Com

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Com

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Bloomberg Commodity 65% 5% 30% 31% 5% 65% 63% 67% 62% 16% -6% 35% 9% 0% -20% 14% 27%Energy 69% 5% 17% 19% -2% 74% 75% 73% 74% 12% -8% 31% 20% -9% -19% 7% 12%

Petroleum 76% 19% 14% 16% -1% 78% 79% 78% 79% -3% -9% 7% 26% 4% -20% 14% 21%Agriculture 23% -5% 17% 18% 4% 22% 19% 20% 19% 10% -13% 32% -15% 7% -12% 11% 27%

Grains 15% -5% 10% 10% 5% 14% 12% 11% 12% 5% -17% 28% -13% 5% -13% 14% 19%Industrial Metals 46% 12% 17% 20% -5% 44% 44% 51% 43% -5% 0% -6% 8% 10% -4% 11% 20%Precious Metals 35% 12% 42% 40% 25% 27% 21% 30% 20% 20% 15% 15% 16% 1% -13% 14% 9%

Softs 23% -4% 35% 36% 6% 20% 16% 26% 16% 19% 2% 30% -14% 7% -9% 4% 37%Livestock 26% 2% 33% 34% 8% 26% 25% 22% 25% 21% 1% 35% -2% 6% -12% 17% 15%

Natural Gas 13% -24% 15% 17% -3% 20% 19% 15% 19% 36% -1% 61% -5% -26% -6% -12% -9%WTI Crude 69% 18% 12% 13% 1% 71% 72% 69% 71% 0% -7% 9% 19% 9% -17% 19% 21%

Brent Crude 79% 20% 22% 25% -2% 80% 81% 83% 80% -1% -7% 9% 35% -2% -27% 11% 21%ULS Diesel 78% 16% 26% 27% 6% 78% 79% 86% 78% -1% -7% 9% 33% -6% -24% 9% 21%

Unleaded Gasoline 84% 22% 16% 18% -6% 84% 86% 79% 85% -9% -13% 2% 31% 3% -19% 6% 24%Corn 15% -4% 19% 19% 9% 13% 10% 15% 10% 6% -15% 28% -5% -1% -19% 13% 19%

Soybeans 24% -1% -3% -2% -6% 25% 23% 16% 24% 2% -12% 17% -12% 9% -4% 11% 18%Wheat 0% -11% 4% 4% 7% 1% 0% -5% 0% 4% -20% 31% -26% 9% -7% 13% 13%

Soybean Oil 34% 16% -5% -4% -5% 33% 32% 21% 32% -4% -13% 9% -1% 21% -8% 0% 42%Soybean Meal 16% -6% 2% 3% -3% 17% 17% 12% 17% 2% -10% 16% -15% 7% 3% 11% 10%HRW Wheat 13% -6% 16% 16% 7% 12% 9% 9% 10% 16% -12% 41% -14% 5% -19% 12% 19%

Copper 44% 20% 8% 9% -6% 42% 43% 53% 42% -8% 0% -12% 15% 14% -1% 15% 16%Alumnium 40% -5% 23% 24% 5% 40% 40% 41% 39% -10% -9% -5% 5% -11% -11% 1% 8%

Zinc 37% 8% 6% 9% -15% 37% 37% 40% 36% 1% 10% -9% 2% 9% 2% 9% 17%Nickel 36% 11% 32% 36% -6% 32% 30% 39% 30% 11% 7% 13% -2% 18% -5% 9% 31%Gold 28% 16% 43% 40% 28% 19% 14% 22% 13% 19% 13% 18% 20% 2% -11% 14% 7%Silver 42% 5% 35% 35% 15% 36% 30% 39% 29% 18% 17% 11% 8% 0% -14% 11% 11%Sugar 2% 11% 8% 8% 3% -1% -1% 3% -1% 2% -1% 4% -2% 16% -2% 10% 29%Coffee 24% -11% 48% 49% 15% 21% 15% 19% 15% 36% 9% 50% -10% -6% -3% -5% 12%Cotton 24% -14% 11% 15% -13% 25% 23% 40% 22% 2% -5% 8% -19% -1% -16% -1% 33%

Live Cattle 28% -7% 23% 24% 5% 30% 30% 30% 30% 12% 11% 9% -5% -2% -5% 12% 7%Lean Hogs 17% 9% 33% 34% 7% 15% 14% 9% 14% 22% -6% 45% 2% 10% -13% 14% 16%

S&P 500 Total Return Index 24% -18% -24% -20% -25% 31% 30% 35% 30% -1% 3% -5% -13% -11% -6% 1% -1%Bloomberg US Treasury -34% -2% 24% 19% 34% -39% -41% -39% -40% 14% 13% 8% 16% -17% -15% 6% -18%

Bloomberg USD IG Corporate -10% -2% 15% 11% 24% -13% -16% 0% -16% 16% 11% 13% 22% -21% -18% 1% -13%Bloomberg USD HY Corporate 40% 8% -5% -4% -6% 44% 45% 57% 44% 0% -6% 8% 26% -10% -19% 0% 7%

Bloomberg U.S. Dollar Spot -59% -15% -31% -32% -6% -56% -53% -49% -52% -16% -3% -24% -22% 0% 20% 2% -22%

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Com

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Mot

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Serv

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less

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Bloomberg Commodity 69% 8% 5% 9% -12% 69% 67% 66% 66% 30% -3% 40% 4% 10% 1% 10% 20%Energy 69% 5% 11% 15% -9% 72% 70% 69% 68% 37% -3% 48% 3% 7% 0% 5% 16%

Petroleum 73% 9% 10% 13% -6% 75% 76% 71% 75% 22% 0% 29% 7% 8% 0% 8% 19%Agriculture 29% 9% -2% 0% -7% 27% 26% 24% 26% 5% -3% 10% 2% 10% 6% 9% 15%

Grains 23% 8% 1% 2% -3% 21% 20% 20% 20% 2% -3% 6% 0% 10% 9% 8% 10%Industrial Metals 43% 6% -9% -6% -13% 44% 45% 42% 44% 11% 1% 13% 4% 5% -1% 9% 9%Precious Metals 31% 5% 2% 2% 1% 29% 28% 28% 27% 12% 7% 11% 5% 5% -6% 13% 16%

Softs 26% 4% -6% -3% -13% 26% 25% 20% 25% 11% -2% 15% 5% 1% -5% 6% 20%Livestock 16% -4% 19% 23% -8% 14% 11% 9% 11% 16% 8% 16% -14% 7% 4% 9% 3%

Natural Gas 37% -3% 9% 14% -13% 39% 33% 37% 32% 46% -5% 61% -1% -1% -2% -7% 4%WTI Crude 68% 10% 11% 13% -5% 70% 71% 68% 69% 21% 1% 27% 6% 11% 2% 11% 19%

Brent Crude 71% 11% 11% 13% -7% 73% 74% 69% 73% 17% 0% 24% 9% 9% 1% 8% 18%ULS Diesel 71% 6% 14% 16% -3% 73% 73% 76% 71% 26% 1% 33% 7% 5% -4% 5% 20%

Unleaded Gasoline 79% 7% 5% 8% -11% 82% 84% 67% 83% 20% -4% 28% 9% 3% -3% 3% 16%Corn 22% 6% 5% 6% -3% 19% 19% 19% 18% 4% -4% 9% 4% 5% 5% 1% 7%

Soybeans 23% 8% -3% -2% -8% 21% 21% 20% 21% 0% 1% 2% 0% 11% 8% 7% 14%Wheat 15% 7% 0% -2% 5% 14% 14% 10% 14% 1% -5% 5% -5% 11% 11% 15% 2%

Soybean Oil 30% 14% -4% -3% -6% 26% 25% 23% 25% 4% -3% 7% 3% 16% 11% 10% 16%Soybean Meal 18% 4% -1% 0% -6% 17% 17% 16% 17% 0% 5% 0% -1% 6% 5% 4% 12%HRW Wheat 23% 8% -1% -2% 3% 21% 21% 16% 21% 6% -2% 10% 1% 9% 9% 15% 3%

Copper 42% 9% -12% -10% -10% 43% 43% 40% 43% 8% 0% 10% 10% 5% -3% 10% 12%Alumnium 40% 4% 1% 3% -9% 41% 40% 44% 39% 18% 3% 22% 1% 5% 3% 3% 7%

Zinc 25% 6% -18% -16% -15% 27% 28% 22% 28% 1% 0% 1% 9% 2% 0% 3% 1%Nickel 32% -4% -5% 0% -18% 36% 37% 30% 37% 4% -2% 8% -10% 4% -3% 11% 8%Gold 29% 4% 7% 6% 6% 27% 26% 26% 25% 13% 11% 10% 3% 5% -6% 13% 16%Silver 29% 6% -5% -4% -7% 28% 26% 27% 25% 10% 2% 10% 7% 3% -4% 12% 13%Sugar 17% 8% -7% -6% -5% 17% 15% 11% 15% 11% 4% 13% 13% 0% -5% 7% 13%Coffee 13% 5% 1% 4% -8% 12% 12% 7% 13% 3% 1% 6% 4% 0% 1% -3% 5%Cotton 27% -7% -6% -2% -18% 29% 29% 32% 28% 7% -6% 11% 0% -7% -11% 2% 20%

Live Cattle 20% -7% 21% 24% -8% 19% 17% 12% 17% 15% 11% 13% -16% 8% 8% 9% 1%Lean Hogs 6% -3% 13% 15% -6% 5% 3% 4% 2% 11% 4% 14% -9% 3% -2% 7% 2%

CORRELATION: US CPI Indices vs. BCOM Composites vs. BCOM Singles vs. Benchmarks

20-Year

US CPI Indices

BCO

M C

ompo

sites

BCO

M S

ingl

esUS CPI Indices

5-Year

BCO

M C

ompo

sites

BCO

M S

ingl

esBe

nchm

arks

16

CORRELATION: World CPI vs. BCOM Composites vs. BCOM Singles vs. Benchmarks

US

Chin

a

Japa

n

Ger

man

y

UK

Fran

ce

Indi

a

Braz

il

Italy

Cana

da

Sout

h Ko

rea

Aust

ralia

Mex

ico

Spai

n

Russ

ia

Indo

nesi

a

Turk

ey

Net

herla

nds

Switz

erla

nd

Bloomberg Commodity 65% 73% -11% 61% 77% 55% 36% -47% 44% 65% 72% 82% 32% 67% -41% -12% -42% 46% 88%Energy 69% 44% 14% 60% 65% 41% 48% -70% 29% 35% 40% 76% 61% 44% -72% -3% -5% 51% 83%

Petroleum 76% 59% -7% 82% 82% 68% 60% -80% 59% 44% 60% 69% 58% 66% -83% -21% 0% 66% 76%Agriculture 23% 68% -35% 51% 66% 51% 31% -26% 47% 58% 69% 60% 12% 71% -18% -15% -60% 38% 68%

Grains 15% 54% -51% 54% 60% 54% 41% -28% 56% 37% 59% 39% 18% 77% -20% -27% -58% 49% 50%Industrial Metals 46% 52% 15% 25% 43% 18% 10% -27% 8% 52% 47% 63% 16% 36% -5% 7% -46% 14% 80%Precious Metals 35% 78% -39% 52% 68% 66% 9% -6% 62% 77% 88% 55% -11% 67% -7% -42% -33% 35% 36%

Softs 23% 76% -4% 35% 60% 39% 7% -16% 26% 79% 73% 76% -4% 45% -11% 5% -49% 12% 78%Livestock 26% 24% 55% 18% 31% 13% -5% -53% -1% 44% 26% 59% 44% 3% -41% 17% 7% -5% 69%

Natural Gas 13% -1% 48% -13% 4% -31% 2% -15% -43% 4% -16% 54% 29% -23% -17% 37% -8% -4% 54%WTI Crude 69% 51% 7% 72% 73% 58% 53% -82% 47% 40% 51% 67% 60% 53% -81% -9% 5% 55% 77%

Brent Crude 79% 71% -13% 85% 88% 75% 58% -75% 65% 54% 71% 75% 50% 72% -79% -25% -7% 67% 77%ULS Diesel 78% 77% -22% 88% 92% 79% 56% -69% 69% 60% 78% 78% 44% 78% -73% -26% -14% 70% 77%

Unleaded Gasoline 84% 70% -30% 91% 91% 81% 66% -68% 75% 50% 74% 68% 46% 84% -78% -41% -10% 79% 67%Corn 15% 64% -66% 57% 66% 62% 37% -15% 64% 45% 69% 40% 7% 82% -13% -37% -56% 56% 39%

Soybeans 24% 49% -24% 56% 59% 48% 49% -51% 46% 34% 49% 47% 35% 67% -41% -11% -46% 44% 69%Wheat 0% 17% -42% 19% 23% 17% 28% -9% 23% 6% 21% 11% 10% 51% 7% -10% -62% 24% 32%

Soybean Oil 34% 81% -54% 57% 72% 62% 33% -13% 59% 63% 81% 53% -9% 77% -12% -21% -59% 45% 53%Soybean Meal 16% 14% -6% 33% 28% 25% 35% -51% 27% 8% 17% 19% 43% 43% -33% -5% -34% 23% 52%HRW Wheat 13% 50% -28% 39% 53% 36% 31% -28% 34% 41% 51% 50% 20% 62% -12% -8% -63% 32% 66%

Copper 44% 67% -14% 47% 60% 40% 28% -32% 32% 54% 62% 63% 15% 60% -16% -1% -56% 35% 79%Alumnium 40% 49% 14% 11% 33% 10% -6% -7% 0% 54% 43% 56% -2% 24% 15% 8% -44% 3% 66%

Zinc 37% 9% 47% -7% 3% -18% -7% -23% -27% 19% 4% 36% 24% -3% 3% 18% -20% -10% 61%Nickel 36% 30% 43% 12% 31% 5% 5% -38% -6% 43% 30% 60% 33% 16% -17% 9% -24% -1% 79%Gold 28% 72% -39% 54% 66% 70% 7% -10% 67% 74% 86% 47% -6% 65% -13% -52% -18% 36% 24%Silver 42% 79% -37% 45% 65% 55% 12% 0% 48% 75% 83% 62% -17% 65% 1% -25% -53% 31% 50%Sugar 2% 88% -27% 64% 78% 68% 33% -30% 60% 75% 88% 69% 0% 65% -36% -24% -33% 39% 62%Coffee 24% 49% 31% 10% 36% 17% -24% -13% 1% 76% 51% 69% 8% 16% -1% 9% -26% -14% 71%Cotton 24% 60% -24% 19% 42% 16% 15% 8% 7% 47% 46% 58% -22% 39% 13% 33% -75% 13% 66%

Live Cattle 28% 6% 58% -18% -3% -12% -45% -15% -25% 42% 9% 30% 20% -21% 11% 20% -2% -40% 42%Lean Hogs 17% 30% 33% 42% 50% 30% 33% -69% 20% 30% 31% 63% 51% 22% -71% 6% 12% 27% 68%

S&P 500 Total Return Index 24% -2% 30% 7% 5% -17% 29% -41% -24% -14% -17% 24% 43% 1% -19% 42% -23% 8% 63%Bloomberg US Treasury -34% 30% 10% 6% 17% 17% -13% -1% 16% 39% 30% 25% 1% 0% -1% -22% -3% -13% 12%

Bloomberg USD IG Corporate -10% 18% 10% 24% 21% 31% -1% -35% 30% 28% 27% 19% 30% 12% -27% -31% 11% -4% 14%Bloomberg USD HY Corporate 40% 6% -15% 41% 26% 36% 26% -51% 35% -3% 15% 8% 39% 32% -39% -18% 10% 27% 9%

Bloomberg U.S. Dollar Spot -59% -78% 12% -69% -82% -63% -42% 47% -51% -67% -77% -87% -26% -66% 56% 20% 22% -53% -80%

US

Chin

a

Japa

n

Ger

man

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UK

Fran

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Indi

a

Braz

il

Cana

da

Sout

h Ko

rea

Aust

ralia

Mex

ico

Russ

ia

Turk

ey

Net

herla

nds

Switz

erla

nd

Bloomberg Commodity 78% 48% 1% 51% 15% 68% -34% 30% 64% 20% 34% 13% -8% 8% 18% 66%Energy 74% 35% 7% 45% 0% 61% -42% 41% 64% 19% 37% 25% 5% 23% 34% 66%

Petroleum 79% 44% 4% 53% 12% 70% -37% 32% 63% 15% 34% 17% 0% 12% 27% 69%Agriculture 48% 66% 9% 50% 40% 58% 2% 22% 35% 31% 17% 9% -19% -6% 5% 35%

Grains 43% 66% 5% 51% 35% 57% -1% 22% 29% 23% 18% 10% -12% -6% 11% 28%Industrial Metals 48% 15% -5% 20% 5% 30% -24% -8% 32% -12% 10% -13% -13% -15% -24% 40%Precious Metals 40% 28% -31% 27% 41% 51% 0% -7% 30% 18% 23% -23% -18% -31% -13% 35%

Softs 34% 34% 8% 21% 34% 33% 6% 15% 36% 37% 8% 10% -21% 4% -5% 31%Livestock 38% 36% 21% 29% -3% 27% -35% 24% 34% 0% 15% 11% -15% 9% 4% 18%

Natural Gas 53% 22% 26% 22% -15% 32% -35% 43% 50% 26% 27% 34% 10% 31% 25% 45%WTI Crude 78% 42% 8% 51% 10% 68% -38% 32% 62% 14% 33% 20% 4% 15% 25% 70%

Brent Crude 81% 39% -2% 55% 18% 70% -36% 23% 64% 13% 33% 13% 0% 11% 29% 71%ULS Diesel 80% 49% 2% 56% 17% 73% -37% 34% 67% 16% 39% 12% -6% 5% 26% 68%

Unleaded Gasoline 77% 41% -7% 52% 14% 67% -31% 30% 63% 15% 29% 12% -6% 9% 28% 60%Corn 40% 65% 5% 47% 48% 51% 9% 22% 28% 25% 22% 19% -3% 0% 16% 19%

Soybeans 35% 57% 8% 44% 25% 53% -1% 20% 23% 24% 8% 0% -25% -12% 4% 26%Wheat 38% 58% 1% 45% 16% 49% -15% 21% 26% 4% 23% 5% -5% -10% 7% 30%

Soybean Oil 48% 50% 1% 51% 29% 63% -1% 3% 34% 36% 16% -14% -26% -15% 6% 37%Soybean Meal 22% 47% 2% 36% 12% 41% -15% 22% 18% 1% 17% -4% -26% -16% 7% 21%HRW Wheat 52% 60% 10% 50% 26% 54% -13% 19% 37% 16% 28% 14% -1% -4% 7% 42%

Copper 52% 23% -6% 26% 12% 38% -19% -8% 29% -7% 13% -13% -16% -20% -24% 43%Alumnium 59% 15% 5% 31% 5% 39% -31% -7% 47% -1% 16% -16% -10% -6% -7% 51%

Zinc 22% -2% -1% -6% -6% -4% -13% -13% 5% -22% -10% -5% -10% -9% -38% 8%Nickel 26% 0% -18% -1% -8% 14% -32% 1% 26% -26% 8% -12% -3% -10% -20% 25%Gold 39% 28% -34% 28% 40% 55% -4% -1% 33% 7% 32% -29% -19% -39% -9% 37%Silver 39% 26% -22% 24% 36% 38% 2% -12% 25% 28% 9% -11% -13% -14% -15% 31%Sugar 43% 20% -17% 22% 20% 43% -9% 29% 42% 28% 36% 7% -19% 2% 14% 38%Coffee 19% 26% 41% 11% 25% 5% 5% -6% 16% 25% -32% 16% -13% 9% -30% 17%Cotton 20% 39% -2% 4% 31% 17% 20% 17% 25% 7% 10% 5% -4% -14% -17% 12%

Live Cattle 29% 26% 24% 16% -15% 21% -44% 23% 38% -6% 5% -2% -13% -3% -9% 12%Lean Hogs 35% 36% 11% 33% 9% 27% -20% 22% 23% 4% 23% 17% -20% 13% 15% 18%

BCO

M C

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sites

BCO

M S

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CPI by Country

5-Year

CPI by CountryBC

OM

Com

posit

esBC

OM

Sin

gles

Benc

hmar

ks

20-Year

17

CORRELATION: World GDP vs. BCOM Composites vs. BCOM Singles vs. Benchmarks

US

Chin

a

Japa

n

Ger

man

y

UK

Fran

ce

Indi

a

Braz

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Italy

Cana

da

Sout

h Ko

rea

Aust

ralia

Mex

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Spai

n

Russ

ia

Indo

nesi

a

Turk

ey

Net

herla

nds

Switz

erla

nd

Bloomberg Commodity 8% 84% -35% 27% 20% 22% 79% 63% -5% 65% 8% -3% 13% -40% 72% -11% 19% -73% 35%Energy 20% 42% -12% 6% 27% -6% 42% 64% -30% 47% 5% -6% -8% -41% 59% -13% -17% -69% 46%

Petroleum 22% 59% -27% 5% 25% -8% 63% 75% -43% 49% -6% -2% 9% -65% 77% -13% -14% -89% 40%Agriculture -13% 86% -45% 33% 16% 35% 81% 56% 9% 63% 14% -2% 14% -37% 66% -6% 36% -63% 25%

Grains -23% 74% -43% 18% 14% 32% 70% 59% -4% 52% 9% -6% 5% -50% 61% -3% 29% -63% 21%Industrial Metals 11% 73% -31% 33% 12% 30% 62% 36% 30% 49% 3% -17% 19% -5% 36% -15% 34% -43% 26%Precious Metals 5% 85% -27% 21% -4% 23% 81% 31% -12% 42% -11% 18% 40% -44% 62% -2% 29% -54% 0%

Softs 3% 87% -40% 50% 15% 35% 83% 40% 25% 63% 17% 5% 27% -11% 61% -10% 40% -50% 24%Livestock 23% 32% -21% 23% 23% 3% 30% 33% -2% 36% -1% -19% 11% 1% 29% -23% -3% -37% 40%

Natural Gas 12% -8% 25% 9% 18% 2% -16% 11% 9% 21% 28% -8% -36% 28% -1% -8% -10% 4% 33%WTI Crude 24% 52% -25% 9% 26% -9% 56% 71% -35% 45% -4% -4% 7% -54% 69% -15% -15% -82% 43%

Brent Crude 21% 67% -27% 7% 21% -5% 71% 72% -44% 52% -5% 3% 16% -68% 82% -12% -11% -90% 35%ULS Diesel 20% 75% -29% 11% 21% -1% 78% 72% -42% 56% -4% 4% 19% -69% 86% -10% -6% -91% 34%

Unleaded Gasoline 16% 67% -27% -2% 18% -6% 70% 74% -53% 52% -11% 3% 15% -79% 85% -6% -13% -92% 30%Corn -21% 78% -33% 18% 6% 33% 73% 54% -12% 46% 5% 6% 8% -55% 63% 0% 28% -61% 14%

Soybeans -15% 67% -44% 17% 24% 19% 66% 64% -5% 59% 13% -14% 8% -46% 64% -5% 20% -68% 26%Wheat -32% 51% -48% 17% 16% 39% 43% 42% 23% 42% 15% -24% -14% -22% 26% -3% 36% -34% 23%

Soybean Oil -8% 93% -44% 37% 9% 35% 90% 49% 7% 60% 12% 10% 27% -42% 71% -2% 44% -62% 14%Soybean Meal -22% 37% -42% 3% 21% 11% 35% 50% 0% 42% 7% -30% 2% -31% 36% -7% 12% -47% 21%HRW Wheat -15% 77% -48% 29% 21% 41% 69% 56% 17% 58% 15% -16% -1% -29% 51% -12% 36% -57% 32%

Copper 7% 88% -42% 36% 15% 28% 79% 48% 21% 62% 9% -13% 25% -25% 55% -12% 40% -59% 26%Alumnium 14% 67% -17% 32% 0% 33% 55% 22% 36% 32% 0% -4% 17% 6% 23% -15% 32% -28% 18%

Zinc 18% 21% -4% 8% 0% 6% 8% 10% 29% 14% -13% -32% 5% 22% -10% -6% 4% -6% 18%Nickel 11% 53% -29% 28% 22% 31% 45% 35% 24% 42% 3% -26% 8% 3% 27% -21% 25% -38% 30%Gold 6% 77% -23% 15% -8% 18% 74% 29% -24% 33% -19% 20% 42% -50% 60% -4% 24% -54% -4%Silver 3% 90% -33% 30% 3% 30% 84% 31% 7% 53% 1% 12% 35% -32% 60% -1% 35% -50% 5%Sugar 8% 89% -34% 28% 3% 14% 90% 51% -10% 57% 6% 25% 37% -48% 83% -1% 25% -71% 13%Coffee 10% 62% -27% 42% 9% 29% 55% 24% 25% 42% 3% -3% 20% 11% 32% -13% 23% -27% 25%Cotton -8% 80% -42% 59% 31% 48% 73% 32% 49% 71% 42% -5% 10% 6% 47% -5% 55% -34% 25%

Live Cattle 18% 20% -17% 31% 4% 18% 13% 0% 28% 7% -13% -22% 13% 33% -13% -18% 12% 2% 22%Lean Hogs 19% 31% -17% 7% 31% -10% 35% 52% -29% 47% 9% -9% 5% -30% 55% -21% -15% -59% 41%

S&P 500 Total Return Index 3% 6% -11% 18% 30% 11% 3% 35% 30% 18% 19% -27% -32% 11% 0% -4% -8% -20% 38%Bloomberg US Treasury 3% 8% 30% -26% -50% -17% 12% -1% -24% -21% -20% 53% 17% -10% 19% 7% -23% -5% -15%

Bloomberg USD IG Corporate -4% 9% 6% -23% -27% -16% 16% 20% -35% -21% -25% 37% 2% -39% 26% -7% -37% -32% -11%Bloomberg USD HY Corporate 16% 30% -40% 7% 19% 6% 34% 42% -24% 19% -13% -17% -20% -48% 33% -27% 8% -60% 22%

Bloomberg U.S. Dollar Spot -21% -76% 26% -9% -12% 2% -75% -58% 25% -63% -4% -13% -21% 52% -81% 3% 5% 75% -28%

US

Chin

a

Japa

n

Ger

man

y

UK

Fran

ce

Cana

da

Sout

h Ko

rea

Aust

ralia

Mex

ico

Spai

n

Switz

erla

nd

Bloomberg Commodity 41% 47% 14% 30% 35% 34% 50% 4% 1% 39% 35% 35%Energy 36% 13% 8% 11% 25% 20% 35% 4% -5% 23% 35% 20%

Petroleum 38% 26% 9% 15% 25% 20% 41% 6% -4% 27% 27% 27%Agriculture 12% 51% 4% 21% 20% 15% 35% -12% 2% 32% 1% 15%

Grains 6% 44% 2% 13% 15% 10% 29% -9% 4% 25% -3% 7%Industrial Metals 46% 65% 27% 51% 40% 51% 49% 14% 5% 46% 44% 60%Precious Metals 10% 65% 1% 22% 10% 16% 30% 5% 3% 22% -8% 22%

Softs 18% 36% 3% 29% 21% 21% 34% -11% -3% 35% 7% 22%Livestock 45% 14% 20% 27% 32% 29% 21% 7% 11% 32% 33% 35%

Natural Gas 28% -6% 5% 2% 15% 16% 15% -12% -7% 14% 39% 6%WTI Crude 38% 25% 9% 14% 25% 20% 40% 8% -2% 26% 30% 26%

Brent Crude 38% 29% 8% 18% 26% 23% 46% 10% -1% 28% 24% 32%ULS Diesel 33% 26% 7% 13% 22% 15% 38% 2% -7% 25% 21% 25%

Unleaded Gasoline 40% 26% 12% 20% 31% 27% 48% 4% -5% 34% 21% 30%Corn 1% 29% -2% 7% 2% 4% 15% -14% 3% 20% -14% -5%

Soybeans 9% 40% 3% 8% 18% 9% 34% -9% 5% 27% -4% 10%Wheat 6% 51% 7% 22% 23% 14% 29% 0% -2% 19% 12% 14%

Soybean Oil 11% 58% -2% 13% 16% 14% 31% -14% 8% 19% 10% 13%Soybean Meal -2% 25% 3% 7% 10% 4% 28% -1% -5% 24% -11% 12%HRW Wheat 12% 55% 5% 25% 24% 17% 31% -2% -5% 25% 15% 17%

Copper 41% 67% 23% 46% 35% 43% 48% 12% 1% 45% 34% 54%Alumnium 44% 50% 19% 44% 31% 48% 42% 4% 4% 35% 49% 53%

Zinc 46% 51% 35% 55% 38% 53% 39% 11% 5% 50% 42% 61%Nickel 45% 54% 30% 45% 45% 51% 52% 27% 10% 38% 45% 55%Gold 1% 64% 1% 15% 4% 2% 22% 12% -2% 13% -15% 14%Silver 23% 59% 1% 33% 19% 35% 39% -4% 9% 33% 8% 33%Sugar 9% 26% 0% 16% 10% 5% 17% -10% -16% 20% 0% 8%Coffee 23% 24% 3% 20% 10% 23% 25% -12% 11% 33% 13% 33%Cotton 17% 28% 11% 32% 26% 25% 38% 4% -7% 33% 5% 20%

Live Cattle 45% 18% 18% 28% 30% 35% 26% 8% 14% 32% 40% 38%Lean Hogs 33% 10% 19% 19% 28% 16% 11% 4% 6% 24% 17% 25%

20-Year

BCO

M C

ompo

sites

BCO

M S

ingl

es

GDP by Country

5-Year

GDP by CountryBC

OM

Com

posit

esBC

OM

Sin

gles

Benc

hmar

ks

18

COMMITMENT OF TRADERS REPORT: Commodity Futures & Options, Money ManagersCOT <GO>

Group CommodityEnd of Jan 2016

Net Position (Lots)

End of Dec 2015 Net Position

(Lots)

Notional Change ($mill, with end

of Jan 2016 price)

End of Jan 2016 Notional ($ mill)

Natural Gas -149,642 -180,875 -497 -3,439 WTI Crude 110,432 86,923 1,126 3,713

Brent Crude 208,153 163,672 803 7,231 ULS Diesel -21,445 -39,172 446 -972 Gasoline 17,382 21,385 -466 827

Total 1,412 7,360 Corn -87,197 -82,543 1,391 -1,622

Soybeans -30,456 -31,681 2,166 -1,343 Wheat -50,699 -67,167 1,089 -1,215

Soybean Oil 48,549 65,283 22 900 Soybean Meal -38,322 -34,185 301 -1,044 HRW Wheat -16,509 -15,048 39 -390

Total 5,007 -4,714 Copper -23,916 -28,607 250 -1,236

Aluminum 47,585 70,620 -578 1,804 Zinc 13,924 13,207 -11 549

Nickel 19,680 10,786 225 1,011 Total -114 2,128 Gold 23,849 -14,902 4,178 2,663 Silver 24,172 9,339 1,230 1,723 Total 5,408 4,385 Sugar 118,308 174,621 -563 1,741 Coffee -23,251 -16,734 -661 -1,014 Cotton 27,317 53,026 -463 835 Total -1,687 1,562

Live Cattle 12,825 10,735 -177 694Lean Hogs 29,845 9,432 285 786

Total 108 1,480Total 10,135 12,201

Historical Correlation

1-Year 5-Year 1-Year 5-Year 1-Year 5-Year Natural Gas 18% 24% -36% -33% 40% 43% WTI Crude 5% 29% -63% -48% 59% 51%

Brent Crude 4% 25% -31% -30% 23% 34% ULS Diesel -1% 26% -44% -33% 39% 40% Gasoline 34% 31% -54% -20% 59% 39%

Corn 49% 57% -37% -49% 56% 64% Soybeans 59% 66% -78% -57% 77% 72%

Wheat 67% 52% -69% -62% 72% 67% Soybean Oil 39% 49% -70% -61% 77% 66%

Soybean Meal 52% 53% -56% -42% 65% 60% HRW Wheat 2% 21% -45% 47% 51%

Copper 35% 44% -67% -55% 62% 57% Aluminum 9% -18% 33%

Zinc 18% -41% 51% Nickel 30% -37% 62% Gold 71% 64% -65% -57% 72% 68% Silver 46% 54% -59% -47% 63% 59% Sugar 51% 49% -80% -61% 83% 66% Coffee 63% 44% -73% -65% 81% 67% Cotton 65% 57% -47% -51% 68% 62%

Live Cattle 13% 21% -12% -4% 17% 16%Lean Hogs -1% 15% -7% -15% -2% 12%

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Softs

Grains

Industrial Metals

Precious Metals

Softs

Livestock

CommodityBCOM Single Index Level vs. MM's

Long PositionBCOM Single Index Level vs. MM's

Short PositionBCOM Single Index Level vs.

MM's Net Position

Energy

Group

19

Gasoline Corn

COMMITMENT OF TRADERS REPORT: Historical Money Manager's Net Position vs. BCOM IndicesNatural Gas WTI Crude

Brent Crude ULS Diesel

Soybeans Wheat

Soybean Oil Soybean Meal

HRW Wheat

0

20

40

60

80

100

-300000

-200000

-100000

0

100000

200000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

500

1000

1500

2000

2500

050000

100000150000200000250000300000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

500

1000

1500

2000

0

100000

200000

300000

400000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

200

400

600

800

1000

-60000-40000-20000

0200004000060000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

500

1000

1500

-200000

20000400006000080000

100000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

20

40

60

80

-400000

-200000

0

200000

400000

600000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

200

400

600

800

-200000

-100000

0

100000

200000

300000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

50

100

150

-150000

-100000

-50000

0

50000

100000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

050100150200250300

-100000

-50000

0

50000

100000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

500

1000

1500

2000

-100000

-50000

0

50000

100000

150000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

100

200

300

400

500

-40000-20000

020000400006000080000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

20

COMMITMENT OF TRADERS REPORT: Historical Money Manager's Net Position vs. BCOM IndicesCopper Aluminum

Zinc Nickel

Gold Silver

Sugar Coffee

Cotton Live Cattle

Lean Hogs

020040060080010001200

-40000

-20000

0

20000

40000

60000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

50

100

150

200

0

50000

100000

150000

200000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

100

200

300

400

020000400006000080000

100000120000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

020040060080010001200

0

10000

20000

30000

40000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

100

200

300

400

500

-500000

50000100000150000200000250000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

020040060080010001200

-20000

0

20000

40000

60000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

200

400

600

800

-200000

-100000

0

100000

200000

300000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

020406080100120

-40000-20000

020000400006000080000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

020406080100120

-40000-20000

020000400006000080000

100000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

50

100

150

200

250

-50000

0

50000

100000

150000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

0

20

40

60

80

0

50000

100000

150000

200000

06 07 08 09 10 11 12 13 14 15

Money Manager's Net Position Index Level

21

GLOBAL COMMODITIES INVENTORIES & SALES DATAECO17 <GO>

Group Inventory/Sales Related Ticker UnitEnd of Jan

2016End of Dec

2015Change

(%)DOE Natural Gas Total Inventory DOENUST1 bcf 3,086 3,756 -18%DOE Crude Oil Total Inventory DOESCRUD mm barrels 495 487 2%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK mm barrels 63 63 1%DOE Distillate Fuel Oil Total Inventory DOESDIST mm barrels 160 153 5%DOE Motor Gasoline Total Inventory DOESTMGS mm barrels 248 221 12%USDA Corn Total Export Sales SALECNUM thousand MT 855 705 21%USDA Soybeans Total Export Sales SALESYBN thousand MT 648 579 12%USDA All Wheat Total Export Sales SALEWEAL thousand MT 347 382 -9%USDA Soybean Oil Total Export Sales SALESYOL thousand MT 9 -6 -260%USDA Soybean Cake Meal Total Export Sales SALESCML thousand MT 201 79 154%Comex Copper Total Inventory COMXCOPR thousand short ton 66 70 -6%LME Copper Total Inventory NLSCA thousand MT 241 236 2%LME Primary Aluminum Total Inventory NLSAH thousand MT 2,807 2,896 -3%LME Zinc Total Inventory NLSZS thousand MT 477 464 3%LME Nickel Total Inventory NLSNI thousand MT 452 441 2%Comex Gold Total Inventory COMXGOLD mm ounces 6 6 1%Comex Silver Total Inventory COMXSILV mm ounces 158 161 -1%

Softs USDA All Upland Cotton Total Export Sales SALECNUA thousand bales 197 116 70%USDA Cattle Slaughter Estimates Daily SLGTCATT thousand heads 18 97 -81%USDA Hogs Slaughter Estimates Daily SLGTHOGS thousand heads 156 437 -64%

Historical Correlation

Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory -78% -23%DOE Crude Oil Total Inventory -31% -87%DOE Cushing Oklahoma Crude Oil Total Stocks -32% -63%DOE Distillate Fuel Oil Total Inventory -86% -33%DOE Motor Gasoline Total Inventory -17% -26%USDA Corn Total Export Sales -5% -26%USDA Soybeans Total Export Sales -60% -4%USDA All Wheat Total Export Sales 3% 22%USDA Soybean Oil Total Export Sales -36% -14%USDA Soybean Cake Meal Total Export Sales 5% 20%Comex Copper Total Inventory -90% 56%LME Copper Total Inventory 66% 29%LME Primary Aluminum Total Inventory 97% 35%LME Zinc Total Inventory -17% 16%LME Nickel Total Inventory 7% -69%Comex Gold Total Inventory 76% 88%Comex Silver Total Inventory 70% -87%

Softs USDA All Upland Cotton Total Export Sales -46% -6%USDA Cattle Slaughter Estimates Daily 8% -25%USDA Hogs Slaughter Estimates Daily 18% -16%

BCOM Index

vs. BCOM WTI Crude Indexvs. BCOM WTI Crude Indexvs. BCOM ULS Diesel Index

vs. BCOM Silver Indexvs. BCOM Gold Index

vs. BCOM Cotton Indexvs. BCOM Live Cattle Indexvs. BCOM Lean Hogs Index

vs. BCOM Natural Gas Index

vs. BCOM Unleaded Gasoline Index

vs. BCOM Copper Indexvs. BCOM Copper Indexvs. BCOM Alumnium Indexvs. BCOM Zinc Indexvs. BCOM Nickel Index

vs. BCOM Corn Indexvs. BCOM Soybeans Indexvs. BCOM Wheat Indexvs. BCOM Soybean Oil Indexvs. BCOM Soybean Meal Index

Livestock

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Energy

Grains

Industrial Metals

Precious Metals

22

Soybeans Wheat

Soybean Oil Soybean Meal

COMMODITY INVENTORY & SALES vs. BCOM INDICESNatural Gas WTI Crude

WTI Crude ULS Diesel

Gasoline Corn

0

50

100

150

200

250

300

350

0500

1000150020002500300035004000

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

DOE Natural Gas Total Inventory BCOM Natural Gas Index

0

500

1000

1500

2000

250000

300000

350000

400000

450000

500000

550000

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

DOE Crude Oil Total Inventory BCOM WTI Crude Index

0

500

1000

1500

2000

0

10000

20000

30000

40000

50000

60000

70000

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

DOE Cushing Oklahoma Crude Oil Total Stocks BCOM WTI Crude Index

0

200

400

600

800

1000

80000

100000

120000

140000

160000

180000

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

DOE Distillate Fuel Oil Total Inventory BCOM ULS Diesel Index

0

200

400

600

800

1000

1200

1400

150000

170000

190000

210000

230000

250000

270000

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

DOE Motor Gasoline Total Inventory BCOM Unleaded Gasoline Index

020406080100120140160

0

500

1000

1500

2000

2500

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

USDA Corn Total Export Sales BCOM Corn Index

0

100

200

300

400

500

600

700

0

500

1000

1500

2000

2500

3000

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

USDA Soybeans Total Export Sales BCOM Soybeans Index

0

50

100

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 09 11 13 15

USDA Soybean Cake Meal Total Export Sales BCOM Soybean Meal Index

23

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 01 03 05 07 09 11 13 15

USDA Cattle Slaughter Estimates Daily BCOM Live Cattle Index

0

20

40

60

80

100

0

100000

200000

300000

400000

500000

99 01 03 05 07 09 11 13 15

USDA Hogs Slaughter Estimates Daily BCOM Lean Hogs Index

24

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

Report Period: 12/31/2015 - 1/29/2016

Net Flows ($ mill)

Beginning Fund Market Cap

($ mill)

% of Funds Market Cap

57.17 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%-14.49 49,598.35 0.0%

All Commodities Sector: Top 10 Creations

Ticker Name Net Flows ($ mill)

Beginning Fund Market Cap

($ mill)

% of Funds Market Cap

UWTI US VelocityShares 3x Long Crude ETN 113.99 874.97 13.0%GSG US iShares S&P GSCI Commodity Indexed Trust 27.98 661.05 4.2%DJP US iPath Bloomberg Commodity Index Total Return ETN 18.76 999.83 1.9%SCO US ProShares UltraShort Bloomberg Crude Oil 14.02 97.91 14.3%GSP US iPath GSCI Total Return Index ETN 12.59 53.91 23.4%USO US United States Oil Fund LP 11.55 3,093.19 0.4%PDBC US PowerShares DB Optimum Yield Diversified Commodity 7.48 212.27 3.5%DBO US PowerShares DB Oil Fund 3.53 406.35 0.9%GLTR US ETFS Physical Precious Metal Basket Shares 2.65 161.57 1.6%UCO US ProShares Ultra Bloomberg Crude Oil 2.54 764.79 0.3%

All Commodities Sector: Top 10 Redemptions

Ticker Name Net Flows ($ mill)

Beginning Fund Market Cap

($ mill)

% of Funds Market Cap

GLD US SPDR Gold Shares -82.41 21,927.00 -0.4%DWTI US VelocityShares 3x Inverse Crude ETN -62.29 264.13 -23.6%UNG US United States Natural Gas Fund LP -23.43 519.90 -4.5%IAU US iShares Gold Trust -21.53 5,219.35 -0.4%SLV US iShares Silver Trust -13.17 4,419.41 -0.3%DGL US PowerShares DB Gold Fund -7.14 138.52 -5.2%

UGAZ US VelocityShares 3x Long Natural Gas ETN -6.96 292.52 -2.4%FTGC US First Trust Global Tactical Commodity Strategy Fund -4.03 182.88 -2.2%ZSL US ProShares UltraShort Silver -3.14 55.73 -5.6%

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

Sector

LivestockIndustrial MetalsPrecious Metals

Total

Broad BasedEnergy

Agriculture

25

COMMODITY FUTURES TERM STRUCTUREENERGY GROUP

GRAINS GROUP

1.5

2.5

3.5

4.5

5.5

FEB

16N

OV

16AU

G 17

MAY

18

FEB

19N

OV

19AU

G 20

MAY

21

FEB

22N

OV

22AU

G 23

MAY

24

FEB

25N

OV

25AU

G 26

MAY

27

FEB

28

Natural Gas

31-Dec-2015

29-Jan-2016

0102030405060

FEB

16JU

N 1

6O

CT 1

6FE

B 17

JUN

17

OCT

17

FEB

18JU

N 1

8O

CT 1

8FE

B 19

JUN

19

OCT

19

FEB

20JU

N 2

0O

CT 2

0FE

B 21

JUN

21

WTI Crude

31-Dec-2015

29-Jan-2016

3035404550556065

FEB

16JU

L 16

DEC

16M

AY 1

7O

CT 1

7M

AR 1

8AU

G 18

JAN

19

JUN

19

NO

V 19

APR

20SE

P 20

FEB

21JU

L 21

DEC

21M

AY 2

2O

CT 2

2

Brent Crude

31-Dec-2015

29-Jan-2016

0

50

100

150

200

JAN

16

APR

16

JUL

16

OCT

16

JAN

17

APR

17

JUL

17

OCT

17

JAN

18

APR

18

JUL

18

OCT

18

JAN

19

APR

19

ULS Diesel

31-Dec-2015

29-Jan-2016

100

120

140

160

180

200

JAN

16

MAR

16

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

Unleaded Gasoline

31-Dec-2015

29-Jan-2016

250

260

270

280

290

JAN

16

MAY

16

AUG

16

OCT

16

JAN

17

MAY

17

AUG

17

OCT

17

JAN

18

MAY

18

AUG

18

Soybean Meal

31-Dec-2015

29-Jan-2016450470490510530550570590

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

HRW Wheat

31-Dec-2015

29-Jan-2016

350

370

390

410

430

450

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

Corn

31-Dec-2015

29-Jan-2016850

900

950

1000

JAN

16

MAR

16

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

Soybeans

31-Dec-2015

29-Jan-2016

450

500

550

600

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

Wheat

31-Dec-2015

29-Jan-201629.5

3030.5

3131.5

3232.5

JAN

16

MAY

16

AUG

16

OCT

16

JAN

17

MAY

17

AUG

17

OCT

17

JAN

18

MAY

18

AUG

18

Soybean Oil

31-Dec-2015

29-Jan-2016

26

COMMODITY FUTURES TERM STRUCTUREINDUSTRIAL METALS GROUP

PRECIOUS METALS GROUP

SOFTS GROUP

LIVESTOCK GROUP

200

205

210

215

220

JAN

16

APR

16

JUL

16

OCT

16

JAN

17

APR

17

JUL

17

OCT

17

MAR

18

SEP

18

MAY

19

DEC

19

JUL

20

Copper

31-Dec-2015

29-Jan-20161300

1500

1700

1900

2100

JAN

16

AUG

16M

AR 1

7O

CT 1

7M

AY 1

8DE

C 18

JUL

19FE

B 20

SEP

20M

AY 2

1DE

C 21

JUL

22FE

B 23

SEP

23AP

R 24

NO

V 24

JUN

25

JAN

26

Aluminum

31-Dec-2015

29-Jan-2016

1000

1050

1100

1150

1200

JAN

16

MAR

16

JUN

16

OCT

16

FEB

17

JUN

17

OCT

17

JUN

18

JUN

19

JUN

20

JUN

21

Gold

31-Dec-2015

29-Jan-201613

13.5

14

14.5

15

15.5

JAN

16

MAR

16

JUL

16

DEC

16

MAR

17

JUL

17

DEC

17

DEC

18

DEC

19

DEC

20

Silver

31-Dec-2015

29-Jan-2016

10111213141516

MAR

16

MAY

16

JUL

16

OCT

16

MAR

17

MAY

17

JUL

17

OCT

17

MAR

18

MAY

18

JUL

18

Sugar

31-Dec-2015

29-Jan-2016110

120

130

140

150

MAR

16

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

18

Coffee

31-Dec-2015

29-Jan-2016

5055606570758085

FEB

16

APR

16

MAY

16

JUN

16

JUL

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

MAY

17

Lean Hogs

31-Dec-2015

29-Jan-2016

105110115120125130135140

DEC

15

FEB

16

APR

16

JUN

16

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

Live Cattle

31-Dec-2015

29-Jan-2016

1550

1600

1650

1700

1750

JAN

16

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

1

Zinc

31-Dec-2015

29-Jan-20168200840086008800900092009400

JAN

16

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

1

Nickel

31-Dec-2015

29-Jan-2016

5960616263646566

MAR

16

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

Cotton

31-Dec-2015

29-Jan-2016

27

BLOOMBERG INTELLIGENCE: COMMODITY DASHBOARDS BI <GO>

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.

28

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

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

CHEAT SHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICEThe 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.

29

BLOOMBERG and BLOOMBERG INDICES 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. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG INDICES. Bloomberg makes no warranty, express or implied, as to the BLOOMBERG INDICES 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 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 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 should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG INDICES 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.

BCOM Indices are compared to the S&P 500 Index. The S&P 500 Index is an equity index of 500 leading companies and captures approximately 80% coverage of available market capitalization. The volatility of the S&P 500 Index may be materially different from that of the BCOM Indices. In addition, the membership in BCOM Indices may differ significantly from the securities or other attributes that comprise the S&P 500 Index. The S&P 500 Index has not been selected to represent an appropriate benchmark to compare the performance of BCOM Indices, but rather are disclosed to allow for comparison of BCOM Indices to a well-known and widely recognized index. Standard & Poor’s, S&P, and S&P 500 Index are registered trademarks of Standard & Poor’s Financial Services LLC (“S&P”), a part of McGraw Hill Financial.