Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

Wet Boots in August, Bust the Bins in October

- Crude oil reversed some of July’s selloff, recovering from $40/bbl.

- Grains weakness offset energy strength, expecting record corn and soybean harvests

- Industrial metals retraced some of July’s gains, led by continued weakness in copper

- Precious metals declined on increased Federal Reserve tightening expectations and profit taking

- In a historic anomaly, precious metals futures curves remained in steep contango

Mike McGlone – BI Senior Analyst; Commodities

Just too Much Grain Supply Coming Performance: August -1.8%, YTD +5.6% (returns are total return (TR) unless noted)

The Bloomberg Commodity Index (BCOM) gave up earlier-in-the-month gains in the last week of August, declining 1.8% on the month, led by sharp declines in corn, soybeans and wheat. A recovery in energy prices was insufficient to offset declines in the other major sectors. Both wheat and corn ended August near decade lows. Grain traders were “bettin on the come” as farmers say, referring to the potential for a large crop. A notable take-away from a member of the annual Pro-Farmer crop tour, was his boots were getting wet, in reference to ample soil moisture, thus boosting North American grain harvest estimates in corn and beans to new records.

Energy was the holdout for the month as WTI crude oil held $40 a barrel support, ending the month in the middle of the $40/bbl. to $50bbl. range. Futures curves continuing to shift towards backwardation and elevated short interest indicated rebalancing markets in the midst of oversupply.

Stock and Commodity Market Total Returns

Profit taking and increased Federal Reserve tightening expectations were primary pressure factors on gold and silver after reaching two-year highs. New record highs in the stock market alleviated the need for safe havens as bond yields also picked up. Fed member rhetoric remained consistent; hawkish when the stock market goes up, dovish when it goes down.

Industrial metal green shoots showing in 2016, but not in copper. Among the industrial metals, copper remained the dud. Oversupply in China continued to be cited as a primary copper pressure factor. The Bloomberg Copper Index is the only member of the Bloomberg Industrial Metals to end August with a YTD decline, -3.7%.

Asset Class Performance - August

Macro Focus - September may Provide Clarity. For most of August, the US dollar remained under pressure, supporting the BCOM, but hawkish Fed reserve comments increased prospects for tightening, thus supporting the dollar. The Bloomberg US Dollar Index gain of 0.6% was the first monthly advance since May. The index ended the month at the same level as March, indicating consolidation. US bond market yields have also consolidated most of the months of July and August in a historically narrow range - about 1.46% to 1.64% in the US 10 year note. The US dollar and bond yields are ripe for some movement. If bond yields resume the 2016 trend lower, it may be a negative coincident indicator for commodities. A potential signal to the Federal Reserve to resume tightening could entail rising stock prices, bond yields and commodities. Notably missing

Market Commentary 1 Energy 2 Metals 4 Ags & Livestock 9 Performance 12 Attribution & Weights 13 Volatility 17 Correlation 20 Commitment of Traders 25 Inventories & Sales 29 Term Structures 31 Research Dashboards 33 Cheat Sheet 34

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

in 2016 has been declining bond yields. The BCOM spot index has recovered 13% and the S&P 500 is up 7.8%. Both indicate economic improvement. Indicating the opposite, plunging bond yields are evident on the previous table; the Bloomberg Barclays U.S. Treasury 20+ TR Index is the best performer, YTD, on a one-year and on a two-year basis. The BCOM has been the worst performer over the past one and two year periods, until 2016. September may bring some clarity to this recent divergence.

Sector Performance – Energy the only Positive Sector in August

BCOM Performance Attribution. Energy was the only sector to contribute to BCOM total returns in August, accounting for +1.1%. Agriculture was the primary drag on total returns, subtracting 1.4%. Base metals and precious metals subtracted an average of 0.7% each {PORT <GO>}.

On an YTD basis, precious metals remained the largest contributor to total returns, adding 2.5%. Energy accounted for 1.9%, agriculture 0.9% and base metals, 0.6% of total BCOM index returns. Livestock subtracted 0.5%. Gold, with the highest single commodity weight in the BCOM (10.4% average in 2016) was the most significant single commodity contributor to returns, adding 1.4% to the total.

BCOM Sector Attribution August – {PORT <GO>}

Note, PORT data for the BCOM is a rough approximation

BCOM Sector Attribution YTD – {PORT <GO>}

Note, PORT data for the BCOM is a rough approximation

Energy (Index weight: 28.7% of BCOM.

Performance: August +3.6%, YTD +0.9%) *Note index weights are the YTD average

WTI Recovers From $40 Support, Futures Indicate Rebalancing Every BCOM energy commodity increased in August, led by the 11.7% gain in heating oil. The Bloomberg Energy Index added 3.6%, moving back into the black for the year with a 0.9% increase. WTI crude oil began the month near $40 a barrel and recovered to $44.7/bbl., about the middle of the $40/bbl. to $50/bbl. range. Brent crude managed two daily closes above $50/bbl. in August, but some profit taking prevailed by the month’s end. Crude oil is consolidating and adjusting to lower levels following the substantial declines of the past two years. Global demand is responding rapidly to the lower price levels as the latest nuances from OPEC hinted at curtailed production, helping prices to bottom in August.

BCOM Individual Energy Commodity Changes

Crude Oil: Range Trading with Increasing Shorts WTI crude oil is stuck in a range, but on Aug. 11, aggregate open interest (OI) reached the highest level since September 2013 -- when the market approached $110 a barrel. That month marked the highest open interest for WTI ever and $110 a barrel in front WTI has not traded since. The recent OI spike came despite summer doldrums. Some net short indicators reached records. Increasing open interest in a down market is an

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

indication of new shorts. In a churning market, extended one-way positions near either end of the range can often drive mean reversion.

Crude Oil Managed-Money Shorts Reached a New Record in August

Excessive short positions made it difficult for WTI crude oil to extend below $40 a barrel in August. Net long or short positions have a tendency to follow the market price, but the chart indicates a bit of divergence in August, when managed-money net shorts continued to stretch to new record highs as crude oil recovered from $40 support.

Prices Down, Open Interest Up = New Shorts

Spiking Open Interest Can Mark Price Extremes, Bottom Potential. A longer-term bottom may be forming in crude oil, given technical market indicators such as the potential bottoming head and shoulders chart pattern, extended open interest levels and recent record short positions.

Crude Oil-U.S. Dollar Relationship on Watch as Summer Wanes. The U.S. dollar is likely to be a key macro driver for crude oil in 2H. At the end of August, the

front price of WTI crude recovered 21% in 2016 as the Bloomberg U.S. Dollar Index (BBDXY) declined 3.6%. The mean reverting dollar is helping to support crude oil prices, after the rallying dollar over the past two years pressured crude. The Bloomberg Dollar index has increased about 15% over the past two years and WTI has declined about 53%, suggesting a crude oil-to-BBDXY ratio near -3.3, when crude was on the way down and the dollar up.

The US Dollar and Crude Oil (inverse)

The U.S. dollar's pattern on the chart appears to be "coiling-up" to move. At the end of August, the Bloomberg Dollar Index was at similar levels as in March, indicating the range trade. But the chart depicts a market teetering near trend-line support.

Brent Crude - Leading the Drive from Contango. The flattening futures curve indicates shifting positive supply and demand conditions. Despite a spot price decline of 13% in the front Brent crude oil price over the past year, the Brent futures curve has flattened, i.e. front futures have declined less than the further outs. A year ago, the one-year Brent futures curve closed near a 22% contango. At the end of August 2016, the same curve measure had flattened to near 11%. The futures curve appears to be looking ahead of a market currently focused on excess supply. "The spreads are the language of the market," according to an old saying among futures traders. The 11% YTD shift away from contango in Brent was the third sharpest among all the BCOM commodities, surpassed only by the energy commodities: heating oil and natural gas (table on following page).

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

The Brent Futures Curve has Recovered from Steep Contango

The chart above depicts a potential divergence in the spot Brent crude price downtrend and shifting futures curve. During the majority of the sharp Brent price decline beginning in 2014, in a similar pattern, the futures curve shifted more steeply into contango. More recently, as the front end has consolidated lower prices, the futures curve has shifted more rapidly away from contango, indicating shifting positive supply/demand conditions. One-Year Futures Curves - Energy Commodities Lead the Move Away from Contango in 2016

Measured on a percentage basis of the spread between the first futures contract minus the one-year out, divided by the first.

The opposite of contango is backwardation, when further out futures trade at lower prices. The shape of the curve moving towards backwardation (or away from contango) is normally due to supply/demand conditions bidding the front part of the futures curve.

Energy Commodities Led August Gainers

U.S. Crude Oil Inventories May Build as Supply Glut Protracts. Benchmark WTI prices may be pressured by an atypical build in U.S. oil inventories expected in the week ended Aug. 26, intensifying the supply overhang. With summer travel season ending, U.S. refinery utilization may slow further as weakening product demand pressures refinery runs. Domestic crude production fell nearly 1.1 million barrels a day since its 2H15 peak, though strong oil imports have helped offset volume declines. At 524 million barrels, total inventories hover 38% above the five-year norm. U.S. Crude Oil

Inventories May Build as Supply Glut Protracts. Vincent G Piazza - BI Senior Industry Analyst. Daniel Krauser - BI Associate. {NSN OCQH116JIJUO <GO>} Brent Price Premium to Domestic WTI Crude Oil Widens. Brent crude oil benchmarks continue to strengthen relative to domestic WTI with the premium, or spread, widening recently. U.S. benchmarks have been suppressed, driven by still-elevated inventories across the domestic petroleum value chain. There's also been commentary from U.S. E&P managements suggesting a return of oil volume. A sustained widening of differentials between the key benchmarks may further promote exports of U.S. crude, which have risen most recently since restrictions were removed in December. The premium between Brent and WTI price benchmarks has widened to more than $2 a barrel from $1.50. In February, the differential was $2.80. Brent Price Premium to

Domestic WTI Crude Oil Widens. Vincent G Piazza - BI Senior Industry Analyst. {NSN OCJ01Y6JTSER <GO>} U.S. East Coast Faces More Expensive Winter as Heating Oil Rises. U.S. consumers in the East, who benefited last year from low heating oil prices, may not get a similar assist this winter. With U.S. distillates correlated to oil, domestic diesel and heating oil prices have recovered this year as crude rebounded. Mild U.S. winter and softer broader demand left distillate storage 12% above the five-year average, with inventories in the East Coast, home to a large share of heating-oil stocks,

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

even higher. Exports may help further narrow imbalances and support prices this season. U.S. East Coast Faces More

Expensive Winter as Heating Oil Rises. Vincent G Piazza - BI Senior Industry Analyst. Poonam Goyal – BI Senior Industry Analyst. {NSN OCGTYF6JIJV5 <GO>} A Richer India Won't Replace a Slower China in Global Oil Demand. India's oil-demand growth can surpass China's this year as its larger neighbor's economy slows and restructures, but its absolute demand remains far behind. Within fuels, India's rising diesel demand seems poised to offset a Chinese decline, supporting spreads better than for gasoline, where Indian consumption isn't likely to catch up. India also faces the challenge of rising exposure to imported oil, which may increase to 87% by 2020 while China's dependence may stabilize at 65%. A Richer India Won't Replace a Slower China in

Global Oil Demand. Kunal Agrawal - BI Senior Industry Analyst. Lu Wang – BI Industry Analyst. {NSN OBPOV86TTDSR <GO>} Hurricane Season May Have Smaller Effect on U.S. Oil, Gas Output. Atlantic cyclones could have a reduced effect on Gulf of Mexico oil and natural gas output, based on EIA data. U.S. onshore production has risen dramatically in recent years due to developments in unconventional drilling, reducing the effect of storm-related outages as the Gulf's share of oil output fell to 18% from its 32% peak in 2009. Though onshore oil supply could also be affected by weather, the relative smaller size of wells means the potential price impact would be much less. Hurricane Season May Have Smaller Effect

on U.S. Oil, Gas Output. Vincent G Piazza - BI Senior Industry Analyst. Daniel Krauser - BI Associate. {NSN OCRO1D6JTSEC <GO>}

Metals

Industrial (Index weight: 14.5% of BCOM.

Performance: August -4.1%, YTD +7.4%)

Precious (Index weight: 14.5% of BCOM.

Performance: August -4.9%, YTD +26%)

Precious Metals – Pressured by Fed

Fears and Profit Taking Increased prospects of Federal Reserve tightening prompted gold and silver profit taking from two year highs. The Bloomberg Precious Metals Index declined 4.9% in August, lessening the 2016 gain to 26%. Led by profit taking, as evidenced by a sharp decline in silver open interest, the Bloomberg Silver Index declined 8.6% in August as spot silver closed below $19 an ounce for the first time since late June. Gold continued to back

away from the two year high close on July 8 at $1,366 an ounce, ending the month at $1,310/oz. Hawkish comments from Fed officials, coincident with record stock prices, prompted fed funds futures to boost the expected rate in one year to 69 bps at the end of August, compared to 53 bps in July. Silver Open Interest Declines from Record Highs

Silver Open Interest Plunges in August, Indicating Profit Taking. Silver futures open interest on the COMEX declined 15% in August for the sharpest monthly open interest decline in a year and greatest percentage decline among all the BCOM commodities. In notional dollar value, COMEX silver open interest declined 22% ($5 billion) to $17.7B for the greatest US dollar value monthly decline since April 2013. Spot silver declined 14% in April 2013. Profit taking was clearly at hand in safe havens like gold and silver in August as stocks reached new records, bond yields picked up, the US dollar recovered and Fed tightening came back on the radar, potentially as soon as the September meeting. Bloomberg Intelligence Economics Analysis expects one Fed hike in 2016 of 25bps at the December meeting. Negative yields in much of the world’s debt markets remain an underlying support factor for gold and silver, which appear to have put in bottoms in 2016 following sharp multi-year corrections.

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

Gold has Shifted Steeper into Contango

Steep Gold and Silver Contangos are an Anomaly. History has shown that the anomaly of steepening contango shaped gold and silver futures curves is unsustainable, absent a corresponding increase in base interest rates. Classified as currencies, base rate expectations are the primary factor in the shape of gold and silver futures curves. The one-year out gold future closed at a high premium (contango) of 1.8% in August to the front price; the steepest contango since October 2008. In October 2008, Fed funds were 1.0% compared to 0.4% at the end of August and 12-month LIBOR was 3.1% compared with 1.6% at this months end. Gold and silver futures curves have moved steeper into contango along with increasing LIBOR rates. New regulations for prime money markets have boosted LIBOR, but the futures curves appear to have moved in excess of historic norms. Futures curves may have jumped the gun, or rates may play catch-up. Gold Near Historic High Discount to U.S. M2 Valuation. Gold is almost as cheap as ever compared with its valuation, based on U.S. money supply divided by all gold mined. The current differential of $855 an ounce is close to the record set in December of $1,045. U.S. money supply is set to double in 10 years, and China's will do the same in seven. Such extreme money printing vs. a growth in gold, which may not double in amount mined for at least 35 years, means that the value of paper money vs. the metal will continue to grow rapidly on a compounding basis. Gold is a currency that is held by almost all central banks. Russia and China have aggressively added to their gold reserves and new blockchain technologies are making the metal a relevant alternative to paper currencies. Gold Near Historic High

Discount to U.S. M2 Valuation. Kenneth W Hoffman – BI Senior Industry Analyst, Sean Gilmartin – BI Associate. {NSN OC9AK76K50XS <GO>}

Gold Nears Record Gap vs. M2 Valuation

ETF Flows Show Retail Investors Still Like Gold as Traders Bail. When it comes to gold, traders are selling and retail investors are buying. That's what ETF flows show, with $1 billion leaving the SPDR Gold Shares (GLD) in the past three weeks -- a 2.5% decline in assets. The iShares Gold Trust (IAU) has added about $200 million in cash, a 2% gain, and hasn't had a day of outflows since early June. The SPDR fund is used more as a short-term trading tool due to its high volume. The iShares ETF mostly attracts long-term allocations since it's cheaper, with a fee of 0.25% vs. 0.4%.ETF Flows Show

Retail Investors Still Like Gold as Traders Bail. Eric Balchunas - BI Industry Analyst. Mike McGlone - BI Commodities Strategist. {NSN OCPVX76K50YD <GO>} Silver Takes Home the Gold With 41% Return Thanks to Dual Usage. The iShares Silver Trust (SLV) is up 41% (as of August 16) thanks to its dual role as a safe haven asset and an industrial metal. It is often considered leveraged gold, but with over 50% of its demand for industrial purposes. The 70% correction from the 2011 highs helped to shift silver supply and demand conditions favorably. At the end of 2015, silver was essentially priced for a worst case global economic scenario. SLV, which physically stores the silver in a vault, has taken in $632 million this year.Silver Takes Home the Gold With 41%

Return Thanks to Dual Usage. Eric Balchunas - BI Industry Analyst. Mike McGlone - BI Commodities Strategist. {NSN OC02D06KLVRJ <GO>}

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

Industrial Metals – Pressured by Weak

Copper and Profit Taking Industrial metals reversed July’s gains in August as measured by the 4.1% monthly decline in the Bloomberg Industrial Metals Index. Despite the August pull-back, the Bloomberg Industrial Metals Index remained the second-best-performing major BCOM sector in 2016 with an YTD gain of 7.4%, surpassed by the 26% gain in the Bloomberg Precious Metals Index. Increasing industrial metal prices should be considered a primary indication of green shoots developing in the global economy. Open interest declined in all the BCOM industrial metals in August, indicating long liquidation, led by the 3.8% OI decline in Aluminum. Over-supplied copper, notably in China, remained the primary drag on the industrial metals. The Bloomberg Copper Index shifted to a YTD loss of 3.7% on the back of the 7.9% decline in August. Due to its global significance and high liquidity, copper has the highest weight among the industrial metals, averaging 6.2% of the BCOM in 2016. Aluminum is the closest runner up at 3.9%. The Bloomberg Aluminum Index declined 2.3% in August lessening the YTD gain to 4.9%. The anti-corrosion metals, nickel and zinc, remained the 2016 performance studs. Zinc was the only industrial metal to gain in August as measured by the 3.0% gain in the Bloomberg Zinc Index. It was just tacking on some more gains. Year-to-date, in August the Bloomberg Zinc index surpassed silver to be the best performing BCOM commodity with a gain of 42.2%. Zinc Open Interest has Reached Record Highs

Zinc may be Vulnerable. Zinc open interest declined slightly from the August peak, but it remains near record highs with the price near $2,400-$2,500 per ton. This price area has held zinc resistance since 2008. Sustaining zinc above $2,500/mt. would be an indication

of improving global economic recovery. China is the world’s largest producer and consumer of zinc. It appears, from the previous chart, that zinc future positions are positioned for further price increases. The Gold/Copper Ratio is at the 2009 Extreme

Relative to gold, copper is at the extreme disparity peak from 2009. The ratio of the BCOM Industrial Metals Index divided by the BCOM Precious Metals Index extended a new history of BCOM lows (since 1991) in August (chart above with the ratio in inverse). Gold is the quintessential store of value metal, copper is known as the doctor of global economics. Zinc Passed Silver to take the YTD gold in August

CRR <GO>

China's Zinc Demand for Infrastructure Drives Global Growth. China's refined zinc demand, 47% of the world's refined zinc consumption in 2015, rose 7.8% during the first five months of this year. The increase was driven by galvanized steel output, infrastructure expansion and the metal's use in auto parts. That trend may extend into 2016, supporting global refined-zinc demand. Refined-zinc demand could reach 14.3 million tons this year, with production at 13.3 million, leaving a 350,000-ton deficit, according to the International Lead and Zinc Study

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

Group. China's Zinc Demand for Infrastructure Drives Global

Growth. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate {NSN OAVDMG6KLVR7 <GO>} Copper May Follow if Yuan Devalues to New Lows Following G-20. Further depreciation of the yuan vs. the U.S. dollar after the September G-20 meetings in China could put more pressure on copper prices as interest-rate carry trades become less profitable - and add to supply while reducing overall demand. In addition to less Chinese demand, the industry is adding significant new supply, further disrupting market balance. The yuan has been slowly depreciating toward January lows and copper is declining in tandem. Copper is the worst-performing base metal in 2016, down a little over 2% year-to-date. Copper May Follow if Yuan Devalues to New Lows Following G-20. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate, Sean Gilmartin, Contributing Analysts {NSN OCQCMT6K50YA <GO>}

Relationship Exists Between Yuan and Copper

China's Alumina Imports Drop This Year as Aluminum Output Slides. China's alumina imports in the first seven months of 2016 fell 19.5% from a year earlier to 1.9 million tons, coinciding with a 1.9% decline in the nation's aluminum output. Australia remained the top supplier of the raw material for aluminum production, providing 63% of China's inbound shipments. July imports jumped 37% from the prior month to 219,934 tons, mainly due to an increase in shipments from India. Domestic alumina output dropped 0.6% this year through July. Australia supplied 62% of China's alumina in 2015, followed by India with 15% and Vietnam at 10%. Brazil accounted for 7% of China's alumina imports last year. China's Alumina Imports Drop This Year as Aluminum Output Slides. Manshu Deng - BI Associate, Yi Zhu - BI Senior Industry Analyst {NSN OCO4NH6JIJUW <GO>}

China Aluminum Demand May Grow 7% in 2016, Even Amid Slowdown. China's aluminum demand may rise 7% in 2016, even as the economy slows from the pace of the past several years, according to Rusal's May forecast.

The main driver could be the transportation industry, which has accounted for 35% of this year's 2.16 million-ton increase in Chinese demand. Bloomberg Intelligence conducts periodic channel checks with smelters, refineries and customers to track new supply, capacity cuts, inventories and demand. China Aluminum Demand May Grow 7% in 2016, Even Amid Slowdown. Yi Zhu - BI Senior, Industry Analyst {NSN OC4RSU6K50YQ <GO>}

Global Nickel Market's Price Recovery Signals Possible Bottom. The nickel market may have bottomed in 1Q. Prices recovered to an average of $8,862 a ton in 2Q, up from the previous quarter's $8,545, the lowest since 2003. While nickel was still down 32% from a year earlier, current prices are close to 20% above the 2Q average and the market is in deficit for the first time since 2011. Globally, low prices have finally led to mine closings and production cuts. Shutdowns in the Philippines have raised questions about the availability of nickel ore. Global Nickel Market's Price Recovery Signals

Possible Bottom. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate. {NSN OAX9966JIJUR <GO>}

Global Mined Nickel Supply Declines

Global Nickel Production Reacts to Plunging Prices With Decline. Global mined nickel supply shrank 9.3% this year through May, after prices plunged 42% in 2015. A 42.5% slump in Philippines mine output led the decline. The country has become the leading supplier to China, filling the gap left by Indonesia's export ban. Output could decline further after the Philippines suspended five mines to enforce environmental standards. Norilsk, the world's largest nickel producer, projects its 2016 output will fall about 21,000 tons to 206,000-212,000 tons. Global Nickel

Production Reacts to Plunging Prices With Decline. Kenneth W Hoffman - BI Senior Industry Analyst, Zhuo Zhang - BI Associate. {NSN OAX97S6K50Y7 <GO>}

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

Agriculture (Index weight: 26.5% of BCOM.

Performance: August -4.8%, YTD +0.0) Grains (Index Weight: 19.9% of BCOM. Performance:

August -7.7%, YTD -10.8%) Softs (Weight: 6.6% of BCOM. Performance: August

+0.0%, YTD +18.4%)

Grains- Wet Boots in August, Busting

Bins in October Favorable weather and improving growing techniques increased prospects for 2016 to be the fourth successive year of record North American production in corn, soybeans or both. Overwhelming supply prospects pressured the Bloomberg Grain Index to add to the 9.9% decline in July with an additional 7.7% loss in August. The grains as a group make up about 20% of the entire BCOM. Supported by recovering crude oil prices, soybean oil was the only member of the grain index that did not decline in August. USDA crop estimates released in August set a high bar for 2016 growing season. Corn is on pace for 15 billion bushels and soybeans are on pace for 4 billion bushels. The previous records were 14.2 billion bushels of corn in 2014 and 3.9 billion bushels of soybeans in 2015. Farmers getting their boots wet. The annual Pro Farmers tour in August was notable for “wet boots,” as one of participant described a result from touring this year’s fields. Every year, the Pro Farmers tour conducts an extensive ‘boots-on-the-ground’ analysis of US crops to determine their condition and estimate production. The 2016 tour was notable for good, moist soil conditions and thus, increased production estimates - and wet boots. The Corn Price Nears a Decade Low

Futures Curves Favor Storing Corn and Selling Soybeans. The front corn future has not sustained below $3 a bushel since October 2006. September 2016 corn, the front futures contract, ended August at $3.02/bu. September 2017 corn, one-year out, ended the month at $3.49/bu. for a steep contango of 15%. For producers, storing corn and selling further-out futures offers a relatively attractive return. The end of August corn contango was the steepest for this time of year since 2005 (chart below). Steep futures curves are providing incentive to keep supply off the spot market, as much as farmers have storage capacity or can afford to purchase it. Soybeans in Backwardation, Corn in Contango

Beans are the opposite. The one-year-out soybean curve ended August about 3% in backwardation, offering higher prices in the spot market. If producers have a propensity to store corn and sell beans, bean prices should be under greater pressure. Investor returns are enhanced in backwardation. Although spot prices for soybeans are elevated relative to corn, rolling long-investment positions into backwardation can offer an additional pickup from a positive roll yield. Historically, investors have had better total returns in soybeans than corn. Wheat Has Been Feeding the Grain Bears, May Shift to the Bulls. Wheat has been the weakest component among the grains over the past few years, but it has reached the lowest price in a decade and has become relatively cheap to corn -- which means it's being widely substituted for livestock feed. A low wheat-to-corn ratio has often been a support indicator for wheat. At the end of August, the world's most widely traded wheat future (soft red winter, SRW, on the Chicago Mercantile Exchange) hit the lowest price since 2006. The wheat-to-corn ratio fell to the lowest since 2013.

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

Wheat - Decade lows and Record Shorts

Favorable weather, bumper harvests and a global supply glut have pressured wheat prices. Looking ahead, low prices can be a primary factor in reducing grain supply. Producers have little incentive at current prices. Some signs of market rebalancing suggest a bottom soon. Wheat futures open interest in early August jumped to the highest level since February 2013, indicating new shorts. Sharply lower 2016 production estimates in France, the largest producer in the EU, should contribute to reducing global ending stocks. Record Wheat Shorts Make Play for Lower Prices at Key Support. Wheat net-managed short positions have reached new records as the commodity revisits the 2002 through 2006 range of about $3 a bushel to $4. Prior to 2016, soft red winter wheat net non-commercial futures positions rarely exceeded negative 60,000. In 2016, as the wheat price has dropped to the lowest levels since 2006, net positions have reached a new extreme, exceeding negative 100,000 contracts. Positions leaning heavily to the short side of the wheat market may provide some support in the near term. Longer term, producers have the least incentive in a decade to grow their stocks, and wheat is being substituted for corn for feed -- all indicating increasing demand.

BCOM Individual Commodities Open Interest - Sorted by August change

Softs – Sugar Remains the Dominant

Performer Softs continued to consolidate 2016 gains, posting the second consecutive unchanged month as measured by the Bloomberg Softs Index. Year-to-date, the index has gained 18.4%, which is about the same as at the end of June. The sharp 32% YTD increase in the spot price of sugar has been the softs leading gainer and third among all BCOM commodities, just behind silver (36%) and zinc (44%). Sugar Futures Indicate a Healthy Rally. Sugar had the second largest percent increase in open interest among the BCOM commodities in August, rising 8% (see open interest table on following page). In addition, the sugar one-year futures curve is second only to live cattle on the list of BCOM commodities in backwardation. Sugar futures have seen the sharpest curve shift among all the BCOM commodities on a year-over-year basis (table on page 3) into backwardation. At the end of August 2015, the sugar one-year future traded at a 14% premium (contango) to the front future, compared to a 4% discount (backwardation) at the end of August 2016. The contango condition in sugar a year ago is evident in the end of August gross sugar roll yield at -16% (table below). If the curve remains in backwardation, the Bloomberg Sugar Index should expect an improvement in the roll yield. Sugar remains the primary driver of softs returns in 2016 on the back of the 30% YTD gain in the Bloomberg Sugar Index. Sugar is the most significant softs commodity with the highest weight in the sector (3.5% BCOM weight average in 2016). Sugar continued to consolidate some of the high velocity gains since recovering from the 8-year low near $10/lb. reached in

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Bloomberg Commodity Index (BCOM) Tables & Charts – August 2016 Edition

2015. Front sugar futures ended August at $20/lb. The sharp rise in sugar prices appeared to echo that of many commodities that have been rebalancing to more neutral supply/demand conditions in the aftermath of significant price declines. Fundamentally, unfavorable growing conditions in Brazil (the world’s largest sugar producer) and India (the world’s second-largest producer and largest importer) have supported sugar prices in 2016. BCOM Individual Commodities Annualized Roll Yields

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

Livestock (Index weight: 4.5% of BCOM.

Performance: August -0.1%, YTD -10.0%)

The Only Sector with a Positive Roll Yield – Rolling into Backwardation The Bloomberg Livestock Index declined 0.1% in August for a YTD decline of 10.0%. Both the live cattle and lean hogs front futures declined on the month, dropping 5.7% and 8.9% respectively, but despite the front futures price decline, the Bloomberg Lean Hogs Index gained 6.5% in August. The index did not roll in August and was invested in the October futures, which was in steep backwardation to the front August contract at the end of July. The October lean hogs future, which was the front contract at the end of August, gained 6.4% in August. Livestock prices have been declining on oversupply issues the past few years, but the backwardation conditions in the futures indicates price supportive forces are at play. A positive roll yield in livestock may be a bit deceiving as it is one of the most expensive sectors to store. Since the year 2000, the average gross BCOM Livestock Index roll yield has been negative 6.8%. Looking ahead, the live cattle futures curve is indicating the tightening supply/demand conditions. Live cattle ended August with the steepest level of backwardation among all the BCOM commodities at 6% in the one-year

out futures compared to the first. Historically since 1999, the one-year measure of the live cattle futures curve has averaged -1%, BCOM Sector Annualized Roll Yields

BCOM Broad Indices Total Returns

11

Composite Indices * Click hyperlinks to open in Bloomberg

2016Aug Jul Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Bloomberg Commodity ER BCOM -1.79% -5.13% 12.71% 0.34% 5.36% -8.97% -36.55% -49.66% -51.56% -29.29%Bloomberg Commodity TR BCOMTR -1.76% -5.11% 12.78% 0.42% 5.57% -8.76% -36.35% -49.44% -47.28% 10.79%

Bloomberg Commodity Spot BCOMSP -0.41% -5.18% 15.49% 3.58% 12.96% 1.73% -25.33% -36.83% 9.04% 162.10%Bloomberg Roll Select BCOMRST -1.62% -4.19% 12.56% 1.64% 7.84% -5.41% -31.88% -45.00% -24.05% 155.73%

1 Month Forward BCOMF1T -1.70% -5.02% 12.88% 1.09% 6.54% -6.84% -33.51% -45.84% -35.11% 107.53% 2 Month Forward BCOMF2T -1.89% -4.57% 12.56% 1.28% 6.74% -6.66% -33.32% -47.24% -33.74% 140.56% 3 Month Forward BCOMF3T -1.83% -4.49% 12.29% 1.50% 6.87% -5.61% -32.07% -45.51% -26.15% 157.75% 4 Month Forward BCOMF4T -1.64% -4.12% 12.34% 1.72% 7.76% -4.11% -29.75% -43.37% -18.55% 5 Month Forward BCOMF5T -1.60% -3.99% 12.15% 1.80% 7.86% -3.76% -29.88% -43.22% -15.54% 6 Month Forward BCOMF6T -1.65% -3.66% 11.87% 1.98% 8.08% -3.40% -29.16% -42.69% -11.80%

Energy BCOMENTR 3.56% -10.69% 20.35% -9.31% 0.94% -29.68% -62.61% -67.64% -88.16% -55.76%Petroleum BCOMPETR 6.32% -13.86% 17.01% -5.69% 1.06% -30.37% -66.66% -61.60% -73.58% 25.68%Agriculture BCOMAGTR -4.78% -7.42% 12.67% 0.71% 0.03% 0.04% -28.50% -43.90% 5.02% -36.91%

Grains BCOMGRTR -7.74% -9.94% 7.25% 0.12% -10.78% -15.30% -40.68% -47.76% -4.11% -55.84%Industrial Metals BCOMINTR -4.11% 3.17% 6.11% 2.29% 7.39% -2.79% -25.51% -48.40% -49.60% 77.78%Precious Metals BCOMPRTR -4.95% 4.29% 10.24% 15.29% 25.98% 18.15% -11.45% -38.23% 79.61% 243.23%

Softs BCOMSOTR 0.01% -0.76% 20.46% -0.98% 18.39% 36.84% -7.01% -49.58% -14.14% -30.31%Livestock BCOMLITR -0.09% -9.25% -1.86% 1.15% -9.99% -16.88% -18.54% -21.50% -58.30% -60.78%Ex-Energy BCOMXETR -4.36% -2.20% 9.31% 4.54% 6.89% 2.27% -22.41% -41.41% -6.25% 21.97%

Ex-Petroleum BCOMXPET -4.21% -2.10% 11.44% 1.55% 6.13% -1.81% -26.30% -47.77% -42.04%Ex-Natural Gas BCOMXNGT -1.62% -5.47% 11.31% 2.51% 6.12% -6.59% -34.67% -44.86% -24.43%Ex-Agriculture BCOMXAGT -0.54% -4.15% 12.81% 0.14% 7.70% -12.77% -40.29% -52.51% -62.84%

Ex-Grains BCOMXGRT -0.69% -4.20% 13.89% 0.40% 8.79% -7.83% -35.95% -50.58% -56.35%Ex-Industrial Metals BCOMXIMT -1.29% -6.65% 14.14% 0.00% 5.17% -9.86% -38.47% -49.78% -49.53%Ex-Precious Metals BCOMXPMT -1.10% -6.88% 13.28% -2.40% 1.83% -13.43% -40.79% -51.91% -56.67%

Ex-Softs BCOMXSOT -1.92% -5.48% 12.19% 0.56% 4.59% -11.81% -38.54% -49.69% -50.19%Ex-Livestock BCOMXLIT -1.84% -4.91% 13.64% 0.38% 6.48% -8.30% -37.36% -50.82% -46.65%

Ex-Agriculture & Livestock BCOMXALT -0.57% -3.79% 14.06% 0.06% 9.19% -12.47% -42.08% -54.72% -63.92%S&P 500 Total Return SPXT 0.14% 3.69% 2.46% 1.35% 7.82% 12.55% 41.64% 98.40% 106.28% 384.14%

Bloomberg US Treasury Bond BUSY -0.54% 0.39% 2.11% 3.18% 5.20% 5.26% 12.59% 14.04%Bloomberg USD IG Corporate Bond BUSC 0.21% 1.47% 3.54% 3.93% 9.43% 9.53% 19.04% 29.26%Bloomberg USD HY Corporate Bond BUHY 2.14% 2.62% 5.69% 3.69% 14.87% 10.17% 17.68% 42.50%

Bloomberg Dollar Spot BBDXY 0.60% -0.39% 0.27% -4.08% -3.62% -1.57% 14.84% 28.42% 14.73%

Single Commodity Indices

2016Aug Jul Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas BCOMNGTR -3.53% -1.41% 30.96% -21.75% -2.54% -30.51% -56.50% -81.38% -98.64% -98.89%WTI Crude BCOMCLTR 5.19% -15.10% 18.72% -11.51% -6.17% -35.10% -71.89% -68.37% -83.13% -16.86%

Brent Crude BCOMCOT 6.65% -13.58% 19.59% -0.38% 9.80% -29.44% -68.41% -65.28% -63.20% 207.95%ULS Diesel BCOMHOTR 7.02% -13.29% 23.18% 0.61% 14.99% -29.10% -60.66% -59.97% -62.39% 41.55%

Unleaded Gasoline BCOMRBTR 7.27% -12.45% 3.08% -11.75% -14.57% -27.63% -59.19% -48.30% -40.38% 201.21%Corn BCOMCNTR -8.54% -8.46% 2.26% -3.26% -17.17% -22.58% -50.51% -60.07% -30.20% -86.89%

Soybeans BCOMSYTR -5.96% -13.01% 27.77% 4.96% 9.71% 5.95% -14.62% -1.23% 160.29% 217.20%Wheat BCOMWHTR -9.28% -8.45% -9.22% -0.11% -24.69% -27.45% -51.70% -66.36% -71.62% -93.75%

Soybean Oil BCOMBOTR 6.58% -3.78% -8.94% 10.52% 3.21% 10.49% -34.30% -53.65% -21.49% -38.68%Soybean Meal BCOMSMT -11.77% -13.27% 50.33% 1.10% 16.30% -1.12% 8.38% 50.65% 420.22% 980.70%HRW Wheat BCOMKWT -8.65% -2.99% -16.21% -0.43% -26.07% -31.17% -56.89% -70.82% -65.51% -79.27%

Copper BCOMHGTR -6.95% 1.21% 0.03% 2.18% -3.75% -12.44% -36.99% -53.19% -44.43% 193.42%Alumnium BCOMALTR -2.27% -0.64% 8.13% -0.13% 4.86% -3.27% -24.81% -51.85% -61.62% -34.12%

Zinc BCOMZSTR 2.96% 6.49% 15.55% 12.40% 42.41% 24.88% 12.65% -14.50% -48.11% 60.10%Nickel BCOMNITR -8.31% 12.44% 10.81% -4.12% 9.54% -4.44% -32.55% -59.30% -65.14% 125.25%Gold BCOMGCTR -3.37% 2.25% 6.75% 16.49% 22.86% 14.98% -7.41% -30.44% 92.96% 220.05%Silver BCOMSITR -8.58% 9.28% 19.86% 11.95% 34.06% 26.53% -23.49% -57.83% 29.09% 229.18%Sugar BCOMSBTR 5.33% -6.27% 29.93% 1.36% 30.01% 71.63% -16.47% -50.91% -18.68% 7.71%Coffee BCOMKCTR -1.93% 0.40% 10.97% -1.11% 8.05% 7.03% -5.67% -67.90% -43.90% -69.10%Cotton BCOMCTTR -11.40% 15.41% 10.37% -8.39% 3.38% 3.61% -16.24% -30.47% -9.72% -78.13%

Live Cattle BCOMLCTR -4.58% -2.39% -4.67% -2.43% -13.38% -19.57% -7.67% -13.24% -40.19% -18.62%Lean Hogs BCOMLHTR 6.46% -17.54% 1.40% 7.38% -4.42% -12.78% -34.78% -35.00% -78.06% -89.51%

Index Name Ticker

Index Name Ticker

PERFORMANCE: Bloomberg Commodity Indices

12

Composite Roll Select Indices * Click hyperlinks to open in Bloomberg

2016Aug Jul Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

BCOM Roll Select BCOMRST -1.62% -4.19% 12.56% 1.64% 7.84% -5.41% -31.88% -45.00% -24.05% 155.73%Roll Select Agriculture BCOMRAGT -4.27% -6.60% 11.94% 0.87% 0.96% 0.13% -27.51% -42.71% 36.13% 14.99%

Roll Select Ex-Ags & Livestock BBURXALT -0.68% -2.76% 13.84% 2.10% 12.26% -7.58% -36.56% -49.06% -47.63%Roll Select Grains BCOMRGRT -7.22% -8.83% 6.85% -0.08% -9.68% -14.58% -41.10% -47.84% 26.37% -17.14%Roll Select Softs BCOMRSOT 0.63% 0.07% 20.47% 0.19% 21.54% 36.81% -1.07% -45.39% 14.02% 29.12%

Roll Select Livestock BCOMRLIT 1.20% -9.93% -0.96% -0.82% -10.46% -16.38% -11.09% -17.45% -19.69% 56.45%Roll Select Energy BCOMRENT 3.07% -8.46% 19.75% -4.19% 8.25% -19.98% -54.08% -58.55% -75.77% 129.07%

Roll Select Ex-Energy BCOMRXET -4.05% -1.82% 9.15% 4.37% 7.32% 2.48% -21.07% -40.24% 20.13% 114.28%Roll Select Petroleum BCOMRPET 5.42% -11.63% 18.33% -2.32% 7.67% -21.04% -59.46% -53.05% -49.37% 367.03%

Roll Select Industrial Metals BCOMRINT -3.96% 3.27% 5.96% 2.05% 7.25% -2.75% -24.77% -47.12% -37.98% 171.28%Roll Select Precious Metals BCOMRPRT -5.04% 4.37% 10.55% 15.27% 26.30% 18.45% -11.10% -37.82% 80.67% 253.62%

Single Commodity Roll Select Indices

2016Aug Jul Q2 Q1 YTD 1-Year 3-Year 5-Year 10-Year 20-Year

Natural Gas RS BCOMRNGT -2.35% -0.21% 23.22% -11.20% 6.61% -19.96% -44.44% -71.35% -95.81% -80.07%WTI Crude RS BCOMRCLT 4.53% -11.78% 19.08% -2.46% 7.10% -18.56% -61.07% -54.79% -53.59% 380.01%

Brent Crude RS BCOMRCOT 5.18% -11.54% 17.65% -2.81% 6.39% -26.29% -62.42% -59.48% -48.03% 452.53%ULS Diesel RS BCOMRHOT 5.63% -11.22% 22.75% -0.31% 14.75% -24.81% -57.58% -58.07% -52.77% 217.19%

Unleaded Gasoline RS BCOMRRBT 8.06% -12.06% 13.15% -2.85% 4.46% -13.51% -51.99% -40.18% -28.58% 518.47%Corn RS BCOMRCNT -7.92% -7.65% 3.48% -3.81% -15.36% -21.73% -50.87% -62.06% -11.93% -75.42%

Soybeans RS BCOMRSYT -4.38% -12.35% 24.79% 5.22% 10.05% 6.18% -13.92% 2.89% 191.01% 281.72%Wheat RS BCOMRWHT -10.84% -5.71% -9.32% -0.50% -24.15% -26.37% -52.78% -66.43% -46.66% -71.91%

Soybean Oil RS BCOMRBOT 6.38% -3.78% -8.40% 10.46% 3.57% 11.07% -31.75% -50.68% -6.25% -0.17%Soybean Meal RS BCOMRSMT -11.05% -13.36% 43.67% 1.21% 12.07% -4.38% 4.36% 57.61% 477.30% 1092.22%HRW Wheat RS BCOMRKWT -8.58% -2.46% -15.30% -0.28% -24.68% -29.69% -55.53% -68.99% -43.57% -51.66%

Copper RS BCOMRHGT -6.81% 1.20% 0.09% 1.76% -3.94% -12.68% -37.39% -53.35% -34.15% 339.24%Alumnium RS BCOMRALT -2.05% -0.13% 7.49% -0.13% 5.02% -2.94% -21.97% -48.44% -52.74% 1.02%

Zinc RS BCOMRZST 3.06% 6.34% 15.54% 11.68% 41.42% 24.86% 12.28% -13.33% -36.05% 144.41%Nickel RS BCOMRNIT -8.19% 12.32% 10.81% -3.92% 9.79% -3.67% -31.22% -58.08% -52.88% 274.63%Gold RS BCOMRGCT -3.51% 2.36% 7.13% 16.53% 23.31% 15.39% -7.12% -30.12% 92.75% 222.36%Silver RS BCOMRSIT -8.56% 9.31% 19.94% 11.81% 34.04% 26.56% -22.91% -57.17% 33.08% 263.93%Sugar RS BCOMRSBT 6.20% -4.82% 29.64% 4.10% 36.40% 70.37% -5.60% -42.73% 19.93% 137.79%Coffee RS BCOMRKCT -2.00% 0.54% 11.07% -1.08% 8.26% 6.84% -3.58% -66.39% -34.28% -45.91%Cotton RS BCOMRCTT -10.66% 15.48% 11.08% -8.92% 4.38% 5.91% -13.45% -28.37% 14.51% -63.92%

Live Cattle RS BCOMRLCT -2.46% -3.77% -4.67% -2.88% -13.11% -18.00% -9.36% -17.57% -10.37% 63.56%Lean Hogs RS BCOMRLHT 6.46% -17.62% 4.10% 1.77% -7.09% -15.15% -17.19% -20.36% -38.85% 7.14%

PERFORMANCE: Bloomberg Commodity Roll Select Indices

Index Name Ticker

Index Name Ticker

13

PERFORMANCE: Historical Return * Click hyperlinks to open in Bloomberg

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

Bloomberg Commodity Composite Indices

Commodities vs. Equities vs. Bonds vs. USD

Bloomberg Commodity Energy Subindices

Bloomberg Commodity Forward Indices

Bloomberg Commodity Group Subindices

Bloomberg Commodity Grains Subindices

-100%0%

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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%

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Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

-60%-40%-20%

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BloombergCommodity Index TR

S&P 500 Total ReturnIndex

Bloomberg USTreasury Bond Index

Bloomberg USCorporate Bond Index

Bloomberg USD HYCorporate Bond Index

Bloomberg U.S. DollarSpot Index

-200%

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

Natural Gas

WTI Crude

Brent Crude

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Unleaded Gasoline-200%

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

Corn

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

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

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Live Cattle

Lean Hogs

14

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

Group Commodity Ticker Aug 2016 Contrib to Return %

Aug 31 2016 Weight

Jul 29 2016 Weight

Aug 2016 Weight Change

2016 Target Weight

Natural Gas NG -0.31 9.6% 9.1% 0.4% 8.4% WTI Crude CL 0.39 8.3% 7.6% 0.7% 7.5%

Brent Crude CO 0.53 8.8% 8.2% 0.6% 7.5% ULS Diesel HO 0.27 4.4% 3.9% 0.4% 3.8% Gasoline XB 0.24 3.6% 3.6% 0.0% 3.7%Subtotal 1.12 34.6% 32.5% 2.1% 31.0%

Corn C -0.51 5.7% 6.0% -0.3% 7.4% Soybeans S -0.34 5.4% 5.7% -0.3% 5.7%

Wheat W -0.24 2.4% 2.5% -0.1% 3.3% Soybean Oil BO 0.16 2.7% 2.5% 0.2% 2.8%

Soybean Meal SM -0.37 2.8% 3.2% -0.4% 2.8% HRW Wheat KW -0.08 0.9% 0.9% 0.0% 1.2%

Subtotal -1.37 19.8% 20.8% -1.0% 23.2% Copper HG -0.48 6.6% 7.0% -0.4% 7.6%

Aluminum LA -0.10 4.3% 4.3% 0.0% 4.6% Zinc LX 0.09 3.3% 3.1% 0.2% 2.5%

Nickel LN -0.20 2.3% 2.5% -0.2% 2.4%Subtotal -0.69 16.5% 16.9% -0.5% 17.1%

Gold GC -0.40 11.8% 12.2% -0.4% 11.4% Silver SI -0.44 4.9% 5.3% -0.4% 4.2%

Subtotal -0.84 16.7% 17.5% -0.8% 15.6% Sugar SB 0.21 4.4% 4.1% 0.2% 3.6% Coffee KC -0.05 2.4% 2.4% 0.0% 2.3% Cotton CT -0.17 1.4% 1.5% -0.2% 1.5%

Subtotal -0.01 8.2% 8.1% 0.1% 7.4% Live Cattle LC -0.11 2.4% 2.5% -0.1% 3.6% Lean Hogs LH 0.11 1.8% 1.7% 0.1% 2.1%Subtotal 0.00 4.2% 4.2% 0.0% 5.6%

Total -1.79 100% 100% 100%

Commodity Price ForecastsCPFC <GO>

Group Commodity Q3 16 Q4 16 Q1 17 Q2 17Forward 2.77 3.14 3.15 3.00Forecast 2.75 2.80 3.00 2.93Forward 45.41 47.81 49.43 50.36Forecast 45.00 48.00 51.00 53.00Forward 47.50 49.55 50.72 51.59Forecast 47.00 50.00 52.00 54.84Forward 142.94 151.60 150.02 150.02Forecast 136.00 145.00 131.46 131.46Forward 139.19 135.92 145.46 158.11Forecast 138.00 131.00 143.00 150.00Forward 325.37 317.50 327.32 337.43Forecast 341.00 349.00 365.00 360.00Forward 1,008.35 952.15 955.41 959.21Forecast 1,026.00 1,050.00 1,037.50 1,035.00Forward 401.86 396.22 417.99 434.11Forecast 438.00 450.00 448.50 457.00Forward 4,738 4,607 4,620 4,631Forecast 4,800 4,885 4,900 4,960Forward 1,631 1,630 1,640 1,650Forecast 1,625 1,620 1,640 1,650Forward 2,258 2,314 2,316 2,316Forecast 2,170 2,111 2,123 2,163Forward 10,136 9,829 9,874 9,911Forecast 10,100 10,000 10,438 11,012Forward 1,330 1,316 1,321 1,324Forecast 1,350 1,350 1,350 1,350Forward 19.36 18.68 18.78 18.87Forecast 19.20 19.20 19.15 18.57Forward 20.09 21.01 20.79 19.99Forecast 18.50 17.95 18.00 18.40Forward 143.51 146.46 149.50 151.96Forecast 138.00 135.60 133.00 135.15Forward 68.92 66.36 66.70 66.74Forecast 64.00 63.50 64.00 65.00

Softs

Bloomberg survey of commodity analysts

Energy

Grains

Industrial Metals

Precious Metals

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

Corn

Soybeans

Wheat

Copper

Aluminum

Coffee

Cotton

Zinc

Nickel

Gold

Silver

Sugar

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains

15

Composite Indices

Bloomberg Commodity ER BCOM 12.59% 15.00% 15.37% 13.38% 13.71% 17.84% 16.13%Bloomberg Commodity TR BCOMTR 12.59% 15.00% 15.37% 13.38% 13.71% 17.84% 16.12%

Bloomberg Commodity Spot BCOMSP 12.91% 15.13% 15.50% 13.48% 13.78% 17.94% 16.22%Bloomberg Roll Select BCOMRST 11.15% 13.75% 14.09% 12.47% 12.88% 16.82% 14.72%

1 Month Forward BCOMF1T 12.33% 14.87% 15.02% 13.04% 13.41% 17.50% 15.58% 2 Month Forward BCOMF2T 12.03% 14.51% 14.63% 12.73% 13.13% 17.21% 15.06% 3 Month Forward BCOMF3T 11.68% 14.35% 14.35% 12.44% 12.91% 16.93% 14.64% 4 Month Forward BCOMF4T 11.49% 13.92% 13.99% 12.17% 12.66% 16.67% 5 Month Forward BCOMF5T 10.94% 13.44% 13.55% 11.75% 12.27% 16.18% 6 Month Forward BCOMF6T 10.94% 13.44% 13.55% 11.75% 12.27% 16.18%

Energy BCOMENTR 29.04% 31.61% 34.85% 28.99% 25.98% 29.34% 30.89%Petroleum BCOMPETR 34.41% 36.68% 42.44% 34.12% 29.92% 33.95% 33.47%Agriculture BCOMAGTR 14.26% 18.94% 15.25% 15.13% 16.59% 20.96% 18.39%

Grains BCOMGRTR 16.88% 23.41% 18.69% 18.73% 20.69% 25.24% 22.55%Industrial Metals BCOMINTR 10.49% 15.92% 18.64% 16.76% 19.00% 25.06% 22.33%Precious Metals BCOMPRTR 12.26% 15.82% 17.58% 17.81% 20.37% 22.52% 19.88%

Softs BCOMSOTR 22.89% 24.55% 21.89% 20.97% 20.08% 22.66% 20.84%Livestock BCOMLITR 16.28% 17.00% 17.54% 14.74% 13.54% 14.20% 14.54%Ex-Energy BCOMXETR 7.56% 11.30% 10.96% 10.64% 12.47% 16.37% 13.84%

Ex-Petroleum BCOMXPET 7.96% 11.76% 11.17% 10.78% 12.26% 16.14%Ex-Agriculture BCOMXAGT 14.35% 16.89% 19.07% 16.14% 15.92% 19.57%

Ex-Grains BCOMXGRT 7.56% 11.30% 10.96% 10.64% 12.47% 16.37%Ex-Industrial Metals BCOMXIMT 13.47% 15.87% 17.20% 14.67% 14.65% 18.44%Ex-Precious Metals BCOMXPMT 14.37% 16.06% 16.34% 14.37% 14.35% 18.21%

Ex-Softs BCOMXSOT 14.98% 18.06% 17.70% 15.07% 14.74% 18.93%Ex-Livestock BCOMXLIT 12.98% 15.39% 15.98% 13.92% 14.20% 18.36%

Ex-Agriculture & Livestock BCOMXALT 14.35% 16.89% 19.07% 16.14% 15.92% 19.57%S&P 500 Total Return Index SPXT 5.60% 11.91% 15.23% 13.40% 14.40% 20.89% 19.64%

Bloomberg US Treasury Bond Index BUSY 3.83% 4.28% 3.97% 3.89% 3.96%Bloomberg USD IG Corporate Bond Index BUSC 4.17% 3.94% 3.73% 3.92% 4.13%Bloomberg USD HY Corporate Bond Index BUHY 1.99% 3.82% 4.83% 3.58% 3.41%

Bloomberg U.S. Dollar Spot Index BBDXY 5.99% 7.84% 6.85% 6.25% 6.38% 7.14%

Single Commodity Indices

Natural Gas BCOMNGTR 33.09% 39.14% 39.76% 39.71% 39.53% 42.34% 46.85%WTI Crude BCOMCLTR 37.71% 38.69% 45.66% 37.53% 33.26% 36.43% 35.09%

Brent Crude BCOMCOT 35.73% 38.47% 44.94% 35.71% 30.74% 33.95% 32.66%ULS Diesel BCOMHOTR 32.78% 35.52% 41.55% 31.69% 27.42% 31.43% 32.91%

Unleaded Gasoline BCOMRBTR 31.83% 34.21% 40.13% 33.35% 29.57% 34.65% 34.51%Corn BCOMCNTR 16.28% 27.12% 21.69% 22.19% 25.37% 30.86% 26.79%

Soybeans BCOMSYTR 22.80% 31.26% 21.52% 20.68% 21.17% 25.04% 23.92%Wheat BCOMWHTR 24.28% 26.11% 24.73% 25.93% 27.52% 34.00% 29.60%

Soybean Oil BCOMBOTR 19.38% 21.18% 20.38% 20.33% 19.76% 23.94% 23.45%Soybean Meal BCOMSMT 23.33% 31.13% 24.50% 24.80% 25.36% 28.32% 26.78%HRW Wheat BCOMKWT 21.28% 24.14% 23.79% 24.37% 25.57% 30.84% 26.85%

Copper BCOMHGTR 14.13% 19.35% 21.73% 19.36% 22.24% 30.04% 27.47%Alumnium BCOMALTR 12.26% 16.01% 16.80% 16.79% 18.74% 22.99% 20.61%

Zinc BCOMZSTR 11.95% 20.16% 27.16% 21.62% 22.46% 33.14% 28.49%Nickel BCOMNITR 21.61% 29.28% 31.29% 28.83% 29.13% 38.39% 35.79%Gold BCOMGCTR 10.03% 14.98% 16.29% 15.97% 18.01% 19.74% 17.77%Silver BCOMSITR 19.27% 22.08% 24.99% 26.53% 31.08% 34.79% 30.71%Sugar BCOMSBTR 30.57% 31.92% 33.07% 27.09% 26.19% 33.42% 32.11%Coffee BCOMKCTR 22.34% 30.55% 28.97% 36.11% 33.72% 31.39% 36.59%Cotton BCOMCTTR 21.21% 23.86% 18.58% 18.66% 21.61% 27.13% 25.97%

Live Cattle BCOMLCTR 15.77% 20.10% 20.04% 15.83% 14.46% 14.42% 14.50%Lean Hogs BCOMLHTR 33.67% 27.76% 25.75% 23.65% 21.34% 22.70% 24.23%

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 10-Year 20-Year

20-Year

16

VOLATILITY: ImpliedVCA <GO> OVDV <GO>

TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%End of Aug 2% 37% 0% 0% 38% 1% -1% 44% 1%End of Jul 2% 38% 3% -1% 40% 0% -1% 42% 3%

End of Aug 6% 36% -2% 3% 37% -2% 1% 37% -2%End of Jul 4% 41% -1% 2% 41% -2% 2% 41% -2%

End of Aug 5% 34% -2% 3% 36% -2% 2% 37% -2%End of Jul 3% 40% -1% 2% 42% -2% 2% 41% -1%

End of Aug 1% 31% -1% 1% 33% -1% 1% 34% 0%End of Jul 1% 39% -2% 2% 36% -1% 1% 36% 0%

End of Aug 1% 37% 0% 1% 38% 0% 0% 33% 0%End of Jul 0% 43% -1% 0% 43% -1% 0% 41% 0%

End of Aug 3% 23% 4% 0% 22% 1% -1% 22% 1%End of Jul -1% 27% 5% -1% 25% 3% -1% 23% 2%

End of Aug 5% 17% 4% 2% 18% 1% 0% 18% 1%End of Jul 0% 25% 5% -1% 24% 3% -2% 22% 2%

End of Aug -2% 26% 6% -2% 24% 4% -2% 22% 2%End of Jul -1% 27% 6% -2% 25% 3% -2% 24% 2%

End of Aug 2% 22% 4% 0% 20% 2% 0% 19% 1%End of Jul 2% 20% 6% 0% 19% 3% 1% 18% 2%

End of Aug 3% 23% 3% 1% 22% 1% 0% 21% 1%End of Jul 0% 31% 4% -1% 28% 3% -1% 24% 2%

End of Aug -2% 24% 6% -2% 23% 3% -2% 20% 3%End of Jul -2% 26% 6% -3% 23% 3% -2% 24% 2%

End of Aug 3% 15% 1% 1% 19% -1% 1% 20% -1%End of Jul 2% 17% -1% 1% 20% -1% 1% 20% -1%

End of Aug 0% 14% -1% 0% 14% -1% 0% 14% -1%End of Jul 0% 18% 0% 0% 18% 0% 0% 17% 0%

End of Aug 1% 23% 0% 1% 24% 0% 1% 24% 0%End of Jul 1% 18% -1% 0% 24% 0% 0% 27% 0%

End of Aug 0% 27% 0% 0% 29% -1% 0% 29% -1%End of Jul 0% 25% 0% 0% 25% 0% 0% 25% 0%

End of Aug 0% 14% 1% 0% 15% 1% 0% 16% 0%End of Jul 0% 14% 0% 0% 15% 0% 0% 16% 0%

End of Aug 1% 24% 3% 0% 25% 2% -1% 26% 1%End of Jul 1% 26% 4% -1% 28% 2% 0% 29% 1%

End of Aug 0% 29% 2% -2% 31% 2% -2% 31% 2%End of Jul 2% 32% 2% -1% 31% 2% -2% 31% 2%

End of Aug 0% 29% 4% -2% 30% 2% -2% 30% 2%

End of Jul -1% 31% 4% -2% 32% 2% -2% 31% 2%End of Aug 3% 23% 4% 0% 22% 1% 0% 21% 0%End of Jul 1% 24% 4% -1% 23% 2% -1% 22% 1%

End of Aug 4% 24% 4% 1% 21% -1% 1% 18% -1%

End of Jul 5% 22% -1% 2% 21% -2% 2% 18% -2%End of Aug 5% 27% -4% 4% 29% -5% 3% 25% -3%End of Jul 6% 29% -2% 3% 34% -4% 2% 29% -3%

Aluminum

Zinc

Nickel

Ener

gy

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Gasoline

Live

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Lean Hogs

Grai

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ecio

us

Met

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Silver

Softs

Sugar

Coffee

Cotton

Soybean Oil

Soybean Meal

HRW Wheat

Indu

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l Met

als Copper

3M 6M

Corn

Soybeans

Wheat

1M

17

Bloomberg Commodity Energy Subindices Bloomberg Commodity Grains Subindices

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

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

Bloomberg Commodity Industrial Metals Subindices Bloomberg Commodity Precious Metals Subindices

Bloomberg Commodity Softs Subindices Bloomberg Commodity Livestock Subindices

5%

10%

15%

20%

25%

30%

35%

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

BloombergCommodity Index ER

BloombergCommodity Index TR

BloombergCommodity IndexSpotBloombergCommodity IndexRoll Select

5%

10%

15%

20%

25%

30%

35%

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

Bloomberg CommodityIndex TR

Bloomberg CommodityIndex 1 MonthForwardBloomberg CommodityIndex 3 MonthForwardBloomberg CommodityIndex 6 MonthForward

0%

5%

10%

15%

20%

25%

11 12 13 14 15 16

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

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

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

Energy

Grains

Industrial Metals

Precious Metals

Softs

Livestock

10%

20%

30%

40%

50%

60%

70%

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

Natural Gas

WTI Crude

Brent Crude

ULS Diesel

Unleaded Gasoline10%

15%

20%

25%

30%

35%

40%

45%

50%

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

Corn

Soybeans

Wheat

Soybean Oil

Soybean Meal

HRW Wheat

10%

20%

30%

40%

50%

60%

70%

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

Copper

Alumnium

Zinc

Nickel0%

10%

20%

30%

40%

50%

60%

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

Gold

Silver

10%

20%

30%

40%

50%

60%

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

Sugar

Coffee

Cotton

5%

10%

15%

20%

25%

30%

35%

40%

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

Live Cattle

Lean Hogs

18

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Bloomberg Commodity 99% 100% 99% 99% 89% 86% 57% 44% 61% 29% 39% 24% 75% 96%Roll Select 99% 100% 100% 100% 87% 85% 57% 45% 62% 31% 39% 23% 76% 95%

1 Month Forward 100% 100% 100% 99% 89% 85% 57% 45% 62% 30% 39% 24% 75% 95%3 Month Forward 99% 100% 100% 100% 88% 85% 57% 44% 62% 30% 39% 23% 75% 95%6 Month Forward 99% 100% 99% 100% 87% 86% 56% 43% 62% 31% 39% 23% 75% 95%

Energy 89% 87% 89% 88% 87% 96% 26% 17% 39% 5% 21% 16% 36% 94%Petroleum 86% 85% 85% 85% 86% 96% 26% 17% 39% 3% 24% 17% 36% 90%Agriculture 57% 57% 57% 57% 56% 26% 26% 91% 30% 7% 52% 17% 79% 31%

Grains 44% 45% 45% 44% 43% 17% 17% 91% 18% 1% 17% 14% 66% 19%Industrial Metals 61% 62% 62% 62% 62% 39% 39% 30% 18% 21% 27% 15% 68% 60%Precious Metals 29% 31% 30% 30% 31% 5% 3% 7% 1% 21% 11% 1% 52% 31%

Softs 39% 39% 39% 39% 39% 21% 24% 52% 17% 27% 11% 11% 49% 26%Livestock 24% 23% 24% 23% 23% 16% 17% 17% 14% 15% 1% 11% 28% 17%Ex-Energy 75% 76% 75% 75% 75% 36% 36% 79% 66% 68% 52% 49% 28% 58%

Ex-Agriculture & Livestock 96% 95% 95% 95% 95% 94% 90% 31% 19% 60% 31% 26% 17% 58%S&P 500 Total Return Index 42% 42% 42% 42% 43% 41% 45% 19% 13% 40% -12% 17% 20% 26% 41%

S&P Energy 67% 66% 67% 66% 67% 72% 74% 22% 14% 42% 1% 20% 15% 33% 70%S&P Financial 39% 39% 39% 39% 40% 40% 44% 20% 13% 37% -21% 17% 17% 22% 38%

S&P Health Care 20% 20% 20% 20% 21% 19% 23% 7% 3% 30% -13% 7% 11% 13% 20%S&P Consumer Discretionary 33% 33% 33% 33% 34% 31% 35% 20% 13% 32% -14% 19% 19% 22% 30%

S&P IT 33% 33% 33% 34% 35% 32% 37% 17% 13% 33% -14% 11% 19% 21% 31%S&P Utilities 16% 17% 16% 16% 16% 12% 11% 10% 2% 14% 10% 19% 11% 17% 15%

S&P Consumers Staples 22% 23% 22% 22% 23% 20% 22% 10% 4% 21% -2% 13% 20% 17% 21%S&P Industrials 43% 43% 43% 44% 44% 41% 43% 21% 13% 43% -9% 20% 21% 29% 42%

S&P Telecommunication 33% 34% 33% 34% 34% 30% 32% 16% 11% 25% 6% 14% 22% 25% 32%S&P Materials 54% 54% 54% 55% 55% 52% 54% 24% 16% 47% -1% 21% 18% 36% 54%

Bloomberg US Treasury -30% -29% -30% -29% -30% -36% -40% -12% -11% -25% 29% -4% -6% -7% -30%Bloomberg USD IG Corporate -22% -20% -21% -21% -21% -29% -33% -6% -8% -17% 25% 4% -3% -1% -23%Bloomberg USD HY Corporate 35% 36% 35% 36% 37% 34% 35% 17% 10% 32% -7% 21% 12% 23% 34%

Bloomberg U.S. Dollar Spot -44% -44% -44% -45% -44% -30% -29% -27% -17% -34% -35% -29% -10% -46% -41%EURUSD 21% 22% 22% 22% 21% 6% 3% 17% 11% 20% 40% 19% 7% 35% 18%JPYUSD -8% -9% -9% -9% -10% -20% -21% -5% -2% -9% 51% -4% -7% 12% -8%CADUSD 61% 60% 61% 61% 60% 54% 54% 24% 13% 46% 26% 29% 18% 47% 61%MXNUSD 61% 61% 61% 62% 62% 54% 55% 33% 19% 51% 6% 36% 15% 46% 58%GBPUSD 32% 33% 33% 33% 33% 27% 28% 15% 9% 30% 4% 15% 9% 24% 32%AUDUSD 48% 49% 49% 49% 49% 34% 35% 29% 18% 51% 22% 31% 17% 50% 45%CHFUSD 10% 10% 10% 10% 10% -3% -6% 9% 3% 9% 39% 15% 0% 24% 8%KRWUSD 42% 43% 42% 43% 43% 28% 27% 23% 9% 42% 30% 35% 12% 45% 40%CNYUSD 25% 24% 25% 25% 24% 16% 16% 18% 12% 27% 8% 17% 8% 26% 22%

Bloo

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Bloomberg Commodity 99% 100% 99% 98% 81% 77% 65% 55% 63% 50% 43% 22% 82% 93%Roll Select 99% 99% 99% 99% 79% 76% 65% 55% 65% 52% 43% 21% 83% 93%

1 Month Forward 100% 99% 100% 99% 80% 77% 65% 56% 64% 51% 43% 22% 83% 93%3 Month Forward 99% 99% 100% 100% 78% 77% 65% 55% 65% 52% 43% 21% 84% 92%6 Month Forward 98% 99% 99% 100% 77% 76% 64% 54% 66% 54% 43% 20% 84% 92%

Energy 81% 79% 80% 78% 77% 89% 25% 19% 33% 16% 20% 14% 34% 89%Petroleum 77% 76% 77% 77% 76% 89% 26% 18% 39% 20% 23% 14% 38% 83%Agriculture 65% 65% 65% 65% 64% 25% 26% 94% 29% 22% 52% 13% 80% 34%

Grains 55% 55% 56% 55% 54% 19% 18% 94% 20% 17% 23% 11% 71% 25%Industrial Metals 63% 65% 64% 65% 66% 33% 39% 29% 20% 43% 29% 11% 71% 65%Precious Metals 50% 52% 51% 52% 54% 16% 20% 22% 17% 43% 19% 4% 66% 52%

Softs 43% 43% 43% 43% 43% 20% 23% 52% 23% 29% 19% 12% 50% 28%Livestock 22% 21% 22% 21% 20% 14% 14% 13% 11% 11% 4% 12% 22% 15%Ex-Energy 82% 83% 83% 84% 84% 34% 38% 80% 71% 71% 66% 50% 22% 65%

Ex-Agriculture & Livestock 93% 93% 93% 92% 92% 89% 83% 34% 25% 65% 52% 28% 15% 65%S&P 500 Total Return Index 37% 37% 37% 38% 39% 31% 39% 19% 13% 39% 8% 19% 10% 29% 37%

S&P Energy 57% 57% 57% 57% 58% 58% 65% 23% 16% 41% 17% 24% 9% 36% 60%S&P Financial 32% 33% 33% 34% 34% 28% 34% 17% 11% 37% 4% 19% 7% 25% 32%

S&P Health Care 22% 22% 22% 23% 24% 18% 23% 12% 8% 27% 3% 12% 8% 18% 22%S&P Consumer Discretionary 28% 28% 29% 29% 30% 23% 30% 16% 12% 33% 1% 15% 9% 23% 27%

S&P IT 31% 31% 31% 32% 33% 25% 33% 17% 12% 35% 7% 16% 10% 26% 30%S&P Utilities 14% 15% 15% 15% 15% 12% 13% 7% 4% 13% 9% 11% 2% 12% 15%

S&P Consumers Staples 22% 22% 22% 23% 23% 17% 21% 11% 8% 24% 6% 13% 9% 18% 21%S&P Industrials 36% 36% 37% 37% 38% 29% 36% 19% 14% 41% 9% 19% 9% 30% 36%

S&P Telecommunication 22% 22% 22% 23% 23% 19% 23% 10% 7% 21% 7% 11% 8% 17% 22%S&P Materials 46% 47% 47% 48% 49% 38% 46% 23% 17% 46% 19% 23% 10% 39% 47%

Bloomberg US Treasury -22% -22% -23% -23% -23% -24% -28% -12% -10% -25% 12% -7% -6% -13% -22%Bloomberg USD IG Corporate -14% -14% -14% -14% -14% -18% -21% -7% -6% -16% 15% -2% -4% -5% -14%Bloomberg USD HY Corporate 27% 28% 28% 29% 30% 23% 27% 16% 11% 28% 6% 16% 8% 23% 27%

Bloomberg U.S. Dollar Spot -42% -42% -42% -43% -43% -28% -30% -24% -17% -33% -37% -28% -6% -41% -41%EURUSD 34% 34% 34% 35% 35% 17% 18% 19% 14% 34% 38% 22% 2% 38% 33%JPYUSD 1% 1% 1% 1% 1% -9% -9% 3% 3% -6% 31% 5% -4% 11% 0%CADUSD 54% 55% 55% 55% 56% 42% 48% 26% 18% 45% 36% 28% 12% 46% 55%MXNUSD 49% 51% 50% 51% 52% 37% 42% 27% 18% 47% 29% 31% 9% 45% 49%GBPUSD 32% 33% 33% 33% 34% 22% 25% 16% 11% 31% 25% 18% 7% 30% 33%AUDUSD 49% 50% 49% 50% 51% 30% 35% 28% 19% 46% 40% 30% 12% 49% 47%CHFUSD 23% 23% 23% 23% 24% 8% 8% 13% 8% 26% 34% 17% 0% 29% 23%KRWUSD 35% 35% 35% 36% 37% 20% 23% 20% 13% 36% 28% 24% 7% 36% 33%CNYUSD 14% 14% 14% 14% 14% 9% 9% 11% 10% 12% 4% 6% 3% 13% 12%

Bond

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

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Corn

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Whe

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Whe

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Alum

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Zinc

Nic

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Natural Gas 17% 18% 16% 14% 3% 12% 0% 13% 8% -1% 10% 14% 13% 11% 6% 7% 0% -2% 1% -2% 2%WTI Crude 17% 98% 93% 83% 13% 19% 5% 33% 11% 8% 36% 31% 23% 35% -5% 18% 14% 31% 16% 12% 16%

Brent Crude 18% 98% 96% 86% 14% 19% 6% 32% 12% 9% 36% 31% 24% 33% -5% 16% 11% 30% 15% 11% 15%ULS Diesel 16% 93% 96% 81% 13% 21% 6% 30% 14% 8% 33% 30% 23% 30% -1% 18% 13% 28% 13% 8% 16%

Unleaded Gasoline 14% 83% 86% 81% 11% 19% 6% 30% 12% 9% 33% 29% 21% 26% -6% 12% 8% 19% 14% 6% 16%Corn 3% 13% 14% 13% 11% 54% 65% 34% 49% 62% 7% 12% 1% 6% -2% 0% 4% 15% 22% 6% 13%

Soybeans 12% 19% 19% 21% 19% 54% 38% 58% 89% 36% 24% 26% 20% 24% 0% 14% 8% 24% 21% 8% 12%Wheat 0% 5% 6% 6% 6% 65% 38% 22% 35% 93% 5% 11% 5% 3% -1% 2% 3% 16% 19% 6% 9%

Soybean Oil 13% 33% 32% 30% 30% 34% 58% 22% 24% 21% 32% 28% 26% 20% 8% 23% -3% 34% 19% 17% 17%Soybean Meal 8% 11% 12% 14% 12% 49% 89% 35% 24% 33% 20% 21% 16% 20% 0% 11% 13% 13% 19% 1% 7%HRW Wheat -1% 8% 9% 8% 9% 62% 36% 93% 21% 33% 4% 12% 2% 3% -3% 0% 0% 13% 18% 8% 9%

Copper 10% 36% 36% 33% 33% 7% 24% 5% 32% 20% 4% 53% 60% 63% 8% 33% 15% 30% 22% 8% 18%Alumnium 14% 31% 31% 30% 29% 12% 26% 11% 28% 21% 12% 53% 55% 50% 6% 25% 3% 22% 20% 5% 12%

Zinc 13% 23% 24% 23% 21% 1% 20% 5% 26% 16% 2% 60% 55% 54% 17% 30% 11% 27% 11% 1% 14%Nickel 11% 35% 33% 30% 26% 6% 24% 3% 20% 20% 3% 63% 50% 54% 6% 27% 12% 22% 24% -1% 10%Gold 6% -5% -5% -1% -6% -2% 0% -1% 8% 0% -3% 8% 6% 17% 6% 76% 5% 3% -5% -10% 6%Silver 7% 18% 16% 18% 12% 0% 14% 2% 23% 11% 0% 33% 25% 30% 27% 76% 14% 21% 12% 1% 9%Sugar 0% 14% 11% 13% 8% 4% 8% 3% -3% 13% 0% 15% 3% 11% 12% 5% 14% 28% 10% 6% 4%Coffee -2% 31% 30% 28% 19% 15% 24% 16% 34% 13% 13% 30% 22% 27% 22% 3% 21% 28% 22% 12% 11%Cotton 1% 16% 15% 13% 14% 22% 21% 19% 19% 19% 18% 22% 20% 11% 24% -5% 12% 10% 22% 4% -1%

Live Cattle -2% 12% 11% 8% 6% 6% 8% 6% 17% 1% 8% 8% 5% 1% -1% -10% 1% 6% 12% 4% 25%Lean Hogs 2% 16% 15% 16% 16% 13% 12% 9% 17% 7% 9% 18% 12% 14% 10% 6% 9% 4% 11% -1% 25%

S&P 500 Total Return Index 3% 45% 45% 42% 40% 10% 17% 3% 24% 9% 6% 37% 30% 26% 34% -22% 6% 5% 27% 18% 24% 6%S&P Energy 19% 75% 73% 71% 62% 11% 18% 2% 29% 9% 8% 39% 35% 23% 35% -8% 16% 8% 27% 16% 12% 9%

S&P Financial 4% 44% 43% 40% 39% 10% 18% 4% 21% 11% 7% 34% 30% 23% 33% -30% 0% 5% 26% 18% 23% 3%S&P Health Care -4% 23% 23% 22% 20% 2% 9% -4% 13% 4% -3% 26% 27% 21% 25% -20% 1% 0% 13% 11% 15% 1%

S&P Consumer Discretionary -1% 35% 35% 32% 31% 10% 14% 7% 17% 9% 9% 30% 25% 19% 29% -22% 2% 8% 25% 18% 21% 7%S&P IT -2% 36% 36% 34% 34% 11% 15% 5% 23% 8% 8% 30% 24% 24% 29% -21% 1% -1% 22% 16% 24% 4%

S&P Utilities 9% 12% 12% 10% 4% -1% 7% -1% 8% 3% 0% 16% 2% 12% 12% 7% 14% 13% 20% 10% 14% 4%S&P Consumers Staples 3% 23% 22% 19% 17% 2% 10% -2% 16% 3% -1% 22% 13% 13% 18% -8% 10% 7% 18% 8% 23% 8%

S&P Industrials 6% 44% 43% 40% 38% 9% 19% 2% 22% 11% 5% 42% 30% 29% 36% -20% 10% 8% 29% 17% 22% 10%S&P Telecommunication 6% 32% 33% 32% 23% 8% 15% 1% 19% 7% 4% 26% 18% 15% 19% -1% 17% 5% 21% 15% 24% 9%

S&P Materials 10% 55% 54% 51% 47% 13% 21% 3% 29% 12% 7% 46% 34% 29% 37% -11% 17% 7% 33% 18% 18% 8%Bloomberg US Treasury 1% -41% -39% -37% -38% -9% -10% -6% -14% -6% -8% -26% -20% -9% -22% 35% 14% 5% -16% -16% -10% 2%

Bloomberg USD IG Corporate 4% -33% -32% -30% -33% -9% -6% -3% -10% -2% -5% -18% -14% -3% -16% 28% 16% 10% -7% -9% -6% 2%Bloomberg USD HY Corporate 6% 34% 37% 35% 27% 4% 11% 11% 9% 12% 12% 29% 27% 25% 24% -16% 10% 11% 26% 17% 16% 1%

Bloomberg U.S. Dollar Spot -12% -31% -28% -27% -22% -12% -17% -15% -21% -15% -12% -31% -30% -26% -21% -31% -36% -15% -37% -15% -4% -13%EURUSD 8% 5% 2% 4% -1% 7% 8% 14% 15% 6% 11% 19% 16% 14% 12% 40% 33% 9% 24% 15% 0% 13%JPYUSD -3% -21% -22% -19% -17% 3% -10% 4% -11% -4% 1% -10% -2% -1% -14% 58% 29% 3% -9% -13% -14% 4%CADUSD 14% 56% 54% 52% 42% 10% 13% 10% 29% 8% 9% 40% 39% 37% 33% 17% 38% 14% 40% 15% 12% 14%MXNUSD 13% 56% 55% 52% 47% 11% 26% 11% 25% 21% 10% 45% 42% 37% 42% -4% 24% 23% 40% 12% 15% 9%GBPUSD 6% 29% 27% 25% 26% 7% 10% 6% 16% 9% 5% 30% 23% 20% 18% -2% 15% 3% 23% 20% 10% 3%AUDUSD 5% 36% 36% 34% 29% 12% 19% 12% 29% 15% 11% 46% 43% 44% 33% 14% 34% 16% 44% 14% 16% 11%CHFUSD 6% -3% -7% -7% -10% 1% 1% 7% 13% -2% 5% 7% 10% 9% 5% 41% 30% 10% 18% 4% -6% 7%KRWUSD 9% 28% 27% 25% 24% 5% 13% 6% 22% 11% 2% 39% 28% 37% 32% 21% 42% 22% 41% 12% 10% 9%CNYUSD 7% 16% 16% 16% 10% 10% 11% 10% 17% 11% 9% 26% 18% 21% 20% 3% 15% 7% 26% 14% 6% 7%

Nat

ural

Gas

WTI

Cru

de

Bren

t Cru

de

ULS

Die

sel

Unl

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d G

asol

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Corn

Soyb

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Whe

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Soyb

ean

Oil

Soyb

ean

Mea

l

HRW

Whe

at

Copp

er

Alum

nium

Zinc

Nic

kel

Gol

d

Silv

er

Suga

r

Coffe

e

Cott

on

Live

Cat

tle

Lean

Hog

s

Natural Gas 15% 14% 14% 12% 10% 6% 7% 8% 4% 8% 1% 5% 1% 2% -1% 2% 2% 2% -1% 4% 5%WTI Crude 15% 93% 89% 83% 14% 22% 10% 35% 12% 11% 40% 33% 28% 30% 16% 26% 18% 18% 21% 13% 11%

Brent Crude 14% 93% 96% 89% 14% 21% 10% 34% 12% 11% 36% 28% 26% 28% 13% 24% 14% 16% 19% 11% 9%ULS Diesel 14% 89% 96% 85% 13% 22% 9% 33% 14% 11% 33% 27% 24% 26% 14% 23% 15% 16% 19% 9% 10%

Unleaded Gasoline 12% 83% 89% 85% 12% 19% 8% 32% 11% 10% 33% 27% 23% 25% 14% 24% 11% 12% 18% 10% 8%Corn 10% 14% 14% 13% 12% 60% 69% 40% 55% 65% 13% 13% 8% 13% 11% 15% 15% 12% 15% 11% 6%

Soybeans 6% 22% 21% 22% 19% 60% 45% 64% 91% 43% 24% 21% 20% 20% 14% 23% 17% 13% 18% 9% 4%Wheat 7% 10% 10% 9% 8% 69% 45% 31% 40% 95% 12% 10% 8% 12% 11% 13% 14% 14% 16% 10% 3%

Soybean Oil 8% 35% 34% 33% 32% 40% 64% 31% 36% 29% 31% 28% 28% 24% 20% 30% 13% 18% 21% 14% 7%Soybean Meal 4% 12% 12% 14% 11% 55% 91% 40% 36% 38% 17% 14% 13% 12% 10% 16% 15% 8% 12% 4% 2%HRW Wheat 8% 11% 11% 11% 10% 65% 43% 95% 29% 38% 12% 10% 7% 12% 10% 12% 13% 12% 15% 10% 4%

Copper 1% 40% 36% 33% 33% 13% 24% 12% 31% 17% 12% 65% 70% 59% 37% 52% 19% 19% 24% 8% 9%Alumnium 5% 33% 28% 27% 27% 13% 21% 10% 28% 14% 10% 65% 68% 54% 29% 39% 16% 15% 19% 8% 8%

Zinc 1% 28% 26% 24% 23% 8% 20% 8% 28% 13% 7% 70% 68% 56% 31% 41% 18% 17% 16% 7% 9%Nickel 2% 30% 28% 26% 25% 13% 20% 12% 24% 12% 12% 59% 54% 56% 21% 32% 19% 15% 21% 4% 5%Gold -1% 16% 13% 14% 14% 11% 14% 11% 20% 10% 10% 37% 29% 31% 21% 84% 9% 14% 11% 2% 2%Silver 2% 26% 24% 23% 24% 15% 23% 13% 30% 16% 12% 52% 39% 41% 32% 84% 14% 21% 16% 6% 3%Sugar 2% 18% 14% 15% 11% 15% 17% 14% 13% 15% 13% 19% 16% 18% 19% 9% 14% 26% 16% 6% 7%Coffee 2% 18% 16% 16% 12% 12% 13% 14% 18% 8% 12% 19% 15% 17% 15% 14% 21% 26% 12% 7% 8%Cotton -1% 21% 19% 19% 18% 15% 18% 16% 21% 12% 15% 24% 19% 16% 21% 11% 16% 16% 12% 7% 4%

Live Cattle 4% 13% 11% 9% 10% 11% 9% 10% 14% 4% 10% 8% 8% 7% 4% 2% 6% 6% 7% 7% 27%Lean Hogs 5% 11% 9% 10% 8% 6% 4% 3% 7% 2% 4% 9% 8% 9% 5% 2% 3% 7% 8% 4% 27%

S&P 500 Total Return Index 1% 39% 38% 35% 33% 9% 16% 8% 21% 10% 10% 39% 30% 29% 29% 3% 17% 13% 11% 24% 11% 4%S&P Energy 13% 65% 63% 60% 55% 13% 18% 10% 27% 10% 13% 41% 33% 30% 30% 12% 25% 18% 15% 24% 9% 5%

S&P Financial 0% 34% 33% 31% 29% 7% 15% 7% 19% 9% 9% 37% 29% 26% 27% -2% 15% 13% 11% 22% 8% 2%S&P Health Care -2% 23% 23% 21% 19% 5% 11% 4% 14% 7% 5% 26% 22% 20% 20% -1% 10% 7% 8% 18% 10% 2%

S&P Consumer Discretionary -2% 30% 30% 27% 26% 9% 14% 8% 17% 9% 10% 33% 25% 23% 26% -3% 10% 10% 8% 20% 11% 3%S&P IT -3% 32% 32% 30% 29% 9% 15% 7% 20% 8% 9% 34% 28% 27% 26% 2% 15% 10% 10% 22% 12% 3%

S&P Utilities 3% 13% 13% 11% 10% 3% 4% 5% 5% 1% 7% 14% 8% 10% 7% 8% 10% 11% 3% 15% 5% -1%S&P Consumers Staples 1% 21% 21% 19% 17% 5% 9% 6% 13% 5% 7% 25% 18% 18% 18% 3% 12% 11% 5% 17% 10% 4%

S&P Industrials 0% 37% 35% 32% 31% 10% 17% 9% 20% 11% 11% 41% 31% 30% 29% 3% 18% 14% 11% 22% 9% 4%S&P Telecommunication 1% 23% 23% 22% 19% 4% 8% 4% 10% 5% 5% 21% 17% 16% 14% 4% 12% 9% 6% 15% 10% 3%

S&P Materials 2% 46% 45% 41% 39% 14% 19% 10% 25% 12% 13% 47% 35% 34% 33% 14% 27% 16% 14% 24% 11% 4%Bloomberg US Treasury -3% -29% -28% -25% -25% -7% -12% -7% -16% -8% -8% -26% -21% -16% -17% 17% 1% -3% -5% -12% -5% -5%

Bloomberg USD IG Corporate -2% -22% -21% -18% -18% -4% -7% -5% -10% -4% -5% -17% -14% -9% -10% 18% 6% 1% -1% -8% -2% -5%Bloomberg USD HY Corporate 0% 26% 29% 27% 22% 9% 14% 5% 16% 11% 7% 27% 23% 24% 21% 2% 13% 13% 11% 13% 11% 2%

Bloomberg U.S. Dollar Spot -7% -32% -28% -27% -24% -12% -17% -15% -18% -13% -15% -34% -27% -26% -21% -36% -36% -18% -21% -23% -3% -8%EURUSD 6% 20% 15% 15% 14% 9% 12% 15% 15% 9% 15% 35% 28% 26% 21% 37% 36% 14% 17% 20% -3% 6%JPYUSD -3% -9% -10% -9% -7% 4% -1% 5% -7% 4% 4% -6% -3% -3% -8% 35% 20% 3% 4% 0% -6% 0%CADUSD 5% 49% 47% 45% 40% 12% 20% 13% 29% 14% 13% 44% 36% 36% 31% 32% 39% 16% 24% 22% 9% 10%MXNUSD 5% 43% 40% 38% 36% 13% 22% 13% 25% 16% 13% 45% 38% 37% 35% 25% 32% 22% 23% 23% 9% 6%GBPUSD 3% 26% 23% 22% 21% 6% 12% 9% 14% 10% 10% 31% 26% 23% 20% 23% 27% 10% 15% 16% 7% 5%AUDUSD 2% 36% 34% 32% 29% 13% 22% 14% 26% 17% 14% 46% 35% 39% 33% 37% 41% 20% 24% 22% 10% 9%CHFUSD 3% 10% 6% 6% 5% 5% 6% 10% 12% 3% 10% 26% 22% 19% 16% 34% 30% 14% 10% 13% -5% 5%KRWUSD 3% 24% 21% 21% 19% 8% 15% 10% 19% 13% 10% 34% 27% 30% 26% 26% 29% 16% 19% 17% 5% 6%CNYUSD 4% 9% 9% 9% 5% 8% 8% 8% 10% 6% 9% 11% 9% 9% 12% 3% 6% 0% 9% 7% 3% 1%

Curr

ency

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

5-Year

Com

mod

ities

Equi

ties

Bond

1-YearCo

mm

oditi

esEq

uitie

sBo

ndCu

rren

cy

20

All i

tem

s

Core

Food

Food

at h

ome

Food

aw

ay fr

om

hom

e

Ener

gy

Ener

gy

Com

mod

ities

Fuel

Oil

Mot

or F

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Ener

gy se

rvic

es

Elec

tric

ity

Util

ity g

as se

rvic

e

Com

mod

ities

less

fo

od a

nd e

nerg

y

Serv

ices

less

en

ergy

serv

ices

Shel

ter

Med

ical

car

e

Tran

spor

tatio

n

Bloomberg Commodity 58% -6% -2% -2% -1% 63% 60% 66% 60% 17% -7% 36% -24% 13% 4% 10% 21%Energy 64% -14% -5% -3% -8% 74% 74% 76% 73% 14% -4% 29% -17% -3% -4% -3% 6%

Petroleum 70% -2% -9% -8% -8% 78% 78% 81% 78% -1% -6% 6% -7% 5% -9% 0% 13%Agriculture 24% -3% 2% 1% 4% 25% 24% 19% 24% 10% -16% 33% -33% 22% 10% 11% 31%

Grains 16% -1% 6% 5% 6% 16% 15% 10% 15% 4% -19% 26% -25% 19% 5% 12% 28%Industrial Metals 39% 4% -9% -9% -5% 38% 35% 44% 35% 0% 1% 1% -5% 9% 3% 13% 10%Precious Metals 19% 15% 11% 8% 16% 11% 5% 23% 5% 16% 8% 18% 1% 18% 8% 22% 9%

Softs 21% -12% -2% -4% 5% 26% 23% 21% 23% 23% -2% 39% -39% 14% 15% 7% 21%Livestock 19% 6% 22% 22% 8% 17% 15% 12% 15% 16% -4% 31% 12% 2% -10% 12% 4%

Natural Gas 11% -27% 8% 10% -6% 20% 18% 18% 17% 38% 2% 59% -28% -15% 11% -5% -11%WTI Crude 65% -2% -6% -5% -5% 73% 74% 74% 73% 2% -3% 7% -10% 7% -9% 4% 13%

Brent Crude 71% -3% -9% -7% -10% 78% 78% 83% 78% 1% -4% 7% -5% 2% -11% -3% 12%ULS Diesel 68% -7% -8% -7% -5% 75% 75% 85% 74% 2% -4% 8% -9% 0% -7% -4% 9%

Unleaded Gasoline 79% 6% -6% -4% -9% 84% 86% 76% 85% -10% -12% -2% 2% 9% -8% -9% 22%Corn 12% 0% 8% 7% 7% 11% 10% 9% 10% 3% -20% 25% -20% 17% 3% 10% 27%

Soybeans 27% 1% -9% -8% -5% 29% 28% 25% 28% 3% -13% 20% -29% 24% 10% 15% 27%Wheat 5% -5% 16% 15% 13% 4% 4% -8% 5% 4% -19% 27% -23% 12% 0% 7% 22%

Soybean Oil 28% 11% -10% -10% -2% 25% 24% 11% 25% -1% -14% 12% -6% 22% 1% -2% 39%Soybean Meal 24% -2% -4% -3% -2% 28% 28% 29% 27% 3% -10% 17% -33% 23% 16% 14% 20%HRW Wheat 11% -5% 22% 21% 12% 9% 8% -3% 8% 16% -9% 35% -15% 7% -9% 4% 24%

Copper 40% 5% -14% -14% -5% 40% 38% 47% 38% -4% 3% -8% 3% 5% -5% 13% 6%Alumnium 31% -1% -8% -9% 1% 30% 28% 31% 28% -10% -12% -2% -9% 5% 13% 4% 6%

Zinc 31% 5% -20% -18% -15% 31% 28% 40% 28% 6% 8% 3% -10% 13% 8% 16% 10%Nickel 28% 3% 16% 18% -4% 26% 23% 32% 23% 18% 7% 23% -12% 13% 2% 13% 16%Gold 15% 16% 17% 14% 20% 5% -1% 18% -1% 16% 7% 18% 6% 16% 5% 21% 8%Silver 27% 12% -2% -3% 6% 21% 15% 30% 15% 14% 8% 16% -7% 20% 13% 19% 9%Sugar 14% -6% -18% -21% 5% 19% 19% 18% 19% 7% -5% 16% -30% 16% 2% 14% 21%Coffee 15% -12% 27% 26% 13% 15% 10% 8% 10% 37% 7% 52% -29% 5% 20% -4% 7%Cotton 25% -11% -18% -14% -21% 28% 25% 28% 25% 12% -5% 25% -30% 9% 12% 5% 20%

Live Cattle 21% -4% 17% 18% 3% 22% 21% 20% 21% 8% 8% 4% 13% -12% -15% 5% -3%Lean Hogs 11% 12% 20% 20% 8% 7% 5% 0% 5% 18% -11% 42% 9% 10% -4% 13% 6%

S&P 500 Total Return Index 28% -39% -31% -28% -22% 43% 42% 37% 42% 5% 7% 1% -31% -25% -12% -11% -13%Bloomberg US Treasury -39% 4% 26% 21% 30% -45% -46% -35% -46% 12% 9% 10% 13% -6% -6% 12% -10%

Bloomberg USD IG Corporate -3% -11% 5% 1% 20% 0% -1% 10% -2% 17% 7% 21% -3% -13% -4% -1% -9%Bloomberg USD HY Corporate 40% -19% -25% -25% -7% 52% 53% 59% 52% 8% -2% 15% -15% -12% -10% -8% -2%

Bloomberg U.S. Dollar Spot -48% -6% 3% 4% 0% -48% -45% -43% -45% -10% 2% -19% 7% -12% -1% 8% -22%

All i

tem

s

Core

Food

Food

at h

ome

Food

aw

ay fr

om

hom

e

Ener

gy

Ener

gy

Com

mod

ities

Fuel

Oil

Mot

or F

uel

Ener

gy se

rvic

es

Elec

tric

ity

Util

ity g

as se

rvic

e

Com

mod

ities

less

fo

od a

nd e

nerg

y

Serv

ices

less

en

ergy

serv

ices

Shel

ter

Med

ical

car

e

Tran

spor

tatio

n

Bloomberg Commodity 68% 6% 4% 7% -13% 69% 67% 67% 66% 30% -3% 40% 0% 9% 1% 9% 20%Energy 68% 1% 9% 13% -10% 72% 70% 69% 69% 37% -2% 48% -2% 5% -1% 2% 14%

Petroleum 72% 5% 8% 11% -7% 75% 76% 72% 75% 22% 1% 28% 2% 7% -1% 4% 17%Agriculture 29% 8% -2% -1% -7% 27% 27% 25% 27% 4% -4% 9% -1% 10% 7% 8% 16%

Grains 23% 8% 2% 2% -3% 20% 20% 20% 20% 1% -4% 5% -1% 11% 9% 8% 11%Industrial Metals 43% 6% -9% -6% -14% 44% 44% 42% 43% 11% 0% 14% 4% 5% -1% 8% 10%Precious Metals 29% 4% -1% -1% 0% 27% 25% 27% 25% 11% 6% 11% 3% 4% -6% 15% 15%

Softs 26% 2% -9% -7% -14% 27% 27% 21% 27% 10% -3% 15% 1% 0% -4% 6% 19%Livestock 15% -4% 17% 21% -9% 13% 10% 9% 10% 16% 9% 16% -12% 7% 5% 9% 3%

Natural Gas 36% -7% 7% 12% -12% 39% 33% 37% 32% 47% -4% 61% -4% -3% -2% -6% 2%WTI Crude 67% 5% 9% 11% -5% 70% 71% 68% 70% 21% 2% 26% 1% 9% 1% 7% 17%

Brent Crude 70% 6% 9% 11% -7% 73% 74% 70% 73% 18% 2% 23% 4% 7% 0% 4% 17%ULS Diesel 69% 2% 11% 13% -4% 72% 72% 77% 71% 26% 2% 32% 1% 4% -4% 2% 19%

Unleaded Gasoline 79% 4% 5% 8% -11% 82% 84% 67% 83% 20% -4% 27% 5% 3% -4% 0% 16%Corn 22% 6% 5% 6% -3% 19% 19% 19% 18% 3% -4% 8% 3% 4% 5% 0% 8%

Soybeans 23% 8% -4% -2% -8% 20% 21% 21% 21% 0% 0% 2% -3% 12% 9% 7% 16%Wheat 15% 7% 2% 0% 4% 13% 13% 9% 14% -1% -6% 4% -5% 11% 11% 13% 3%

Soybean Oil 30% 15% -2% -1% -6% 25% 24% 23% 24% 4% -4% 7% 4% 16% 10% 9% 16%Soybean Meal 17% 4% -2% -1% -6% 17% 18% 18% 18% -1% 3% -1% -5% 9% 6% 4% 15%HRW Wheat 23% 8% 2% 1% 3% 21% 21% 15% 21% 5% -2% 9% 2% 8% 8% 14% 1%

Copper 42% 9% -10% -9% -11% 42% 43% 40% 42% 8% -1% 10% 9% 4% -4% 9% 13%Alumnium 41% 5% 0% 3% -9% 41% 39% 44% 39% 19% 2% 23% 0% 6% 3% 4% 8%

Zinc 24% 6% -21% -19% -16% 26% 27% 22% 27% 1% -1% 1% 7% 2% 1% 3% 2%Nickel 32% -4% -5% 0% -18% 35% 36% 30% 36% 4% -2% 9% -11% 3% -3% 12% 7%Gold 27% 3% 4% 3% 5% 25% 23% 24% 23% 12% 10% 10% 2% 5% -6% 13% 15%Silver 28% 5% -8% -6% -7% 27% 25% 27% 25% 10% 1% 11% 5% 2% -4% 13% 12%Sugar 17% 6% -11% -10% -5% 18% 17% 13% 16% 11% 4% 13% 10% 0% -4% 6% 13%Coffee 13% 4% 0% 2% -8% 13% 13% 8% 13% 3% 0% 6% 2% -1% 1% -3% 3%Cotton 27% -8% -6% -3% -18% 30% 29% 32% 29% 7% -7% 13% -1% -7% -10% 2% 19%

Live Cattle 21% -6% 20% 23% -8% 20% 18% 13% 18% 16% 13% 13% -14% 8% 8% 8% 2%Lean Hogs 4% -3% 10% 13% -7% 3% 0% 3% 0% 11% 4% 13% -8% 3% -1% 7% 2%

CORRELATION: US CPI vs. BCOM Indices & Other 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

21

CORRELATION: World CPI vs. BCOM Indices & Other 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 58% 50% 20% 61% 71% 50% 45% -62% 39% 40% 53% 77% 60% 55% -59% -14% 2% 54% 82%Energy 64% 40% 30% 64% 68% 46% 54% -75% 34% 24% 39% 78% 73% 49% -67% 10% 15% 59% 80%

Petroleum 70% 53% 14% 83% 82% 70% 65% -84% 61% 30% 57% 70% 73% 67% -79% -7% 29% 72% 68%Agriculture 24% 34% -20% 36% 44% 34% 33% -23% 33% 24% 38% 33% 26% 48% -40% -41% -25% 33% 49%

Grains 16% 20% -41% 43% 41% 41% 45% -27% 48% -1% 30% 13% 33% 62% -33% -43% -29% 48% 23%Industrial Metals 39% 13% 53% 17% 24% 4% 13% -40% -4% 22% 14% 51% 40% 14% -11% 11% -5% 17% 69%Precious Metals 19% 56% -31% 30% 43% 47% -2% 7% 45% 61% 70% 21% -12% 39% -18% -66% 7% 18% 3%

Softs 21% 44% 26% 3% 25% 5% -11% 1% -9% 62% 36% 47% -5% -7% -30% -19% 2% -15% 62%Livestock 19% 19% 69% 23% 32% 16% 1% -56% 3% 42% 23% 63% 53% 2% -40% 23% 30% 8% 69%

Natural Gas 11% 5% 52% -1% 14% -21% 9% -24% -33% 7% -10% 64% 35% -13% -14% 43% -13% 8% 67%WTI Crude 65% 46% 26% 75% 75% 61% 58% -85% 50% 28% 48% 69% 73% 56% -76% 5% 32% 63% 72%

Brent Crude 71% 63% 9% 86% 88% 75% 64% -81% 66% 38% 66% 73% 68% 71% -80% -14% 27% 73% 67%ULS Diesel 68% 65% 5% 90% 91% 80% 64% -81% 71% 39% 70% 75% 68% 77% -72% -11% 24% 79% 63%

Unleaded Gasoline 79% 63% -10% 90% 90% 80% 71% -73% 75% 35% 70% 66% 63% 83% -79% -29% 20% 84% 55%Corn 12% 36% -61% 48% 50% 51% 40% -13% 59% 10% 47% 13% 20% 70% -23% -54% -27% 56% 4%

Soybeans 27% 19% -8% 44% 41% 34% 51% -49% 34% 2% 21% 25% 45% 48% -55% -21% -18% 37% 57%Wheat 5% -30% -31% -1% -7% -6% 22% 1% 6% -39% -19% -18% 16% 26% 3% -23% -43% 15% 0%

Soybean Oil 28% 56% -56% 35% 45% 42% 28% 10% 44% 34% 56% 13% -14% 50% -32% -59% -21% 34% 12%Soybean Meal 24% -10% 8% 29% 19% 20% 37% -51% 22% -14% -2% 8% 49% 33% -36% -7% -17% 23% 45%HRW Wheat 11% 9% 0% 34% 36% 24% 39% -39% 27% -2% 18% 38% 49% 48% -23% -15% -28% 42% 46%

Copper 40% 33% 26% 47% 48% 32% 39% -51% 26% 19% 34% 56% 48% 46% -29% 2% -9% 48% 65%Alumnium 31% 10% 46% -5% 7% -12% -10% -11% -20% 26% 7% 36% 12% -6% 14% 8% -10% -3% 51%

Zinc 31% -17% 61% -7% -4% -20% -2% -32% -28% 1% -16% 27% 34% -11% 2% 23% -5% -6% 59%Nickel 28% 5% 70% 15% 23% 3% 12% -50% -6% 25% 11% 56% 51% 6% -19% 15% 10% 10% 72%Gold 15% 54% -32% 32% 43% 51% -4% 2% 50% 61% 71% 16% -8% 39% -21% -68% 16% 19% -3%Silver 27% 54% -27% 22% 37% 33% -1% 17% 29% 55% 61% 29% -19% 33% -9% -57% -9% 15% 15%Sugar 14% 58% -20% 29% 42% 36% 17% -6% 29% 49% 53% 21% -11% 21% -54% -50% 8% 7% 33%Coffee 15% 16% 63% -10% 9% -6% -36% -11% -21% 63% 22% 51% 17% -20% -8% 1% 19% -25% 58%Cotton 25% 21% 0% -13% 3% -28% 8% 31% -35% 3% -8% 37% -24% -10% 12% 33% -46% -2% 43%

Live Cattle 21% -4% 74% 1% 4% 0% -26% -35% -8% 33% 7% 40% 42% -11% 12% 33% 24% -7% 32%Lean Hogs 11% 32% 33% 33% 44% 23% 27% -51% 12% 32% 29% 56% 41% 14% -73% 0% 22% 19% 74%

S&P 500 Total Return Index 28% -13% 45% 24% 16% 0% 40% -60% -6% -28% -20% 34% 60% 13% -14% 51% -11% 28% 59%Bloomberg US Treasury -39% 32% 5% -6% 10% 7% -19% 8% 7% 40% 30% 12% -5% -9% -3% -23% -12% -22% 11%

Bloomberg USD IG Corporate -3% 11% 3% 6% 8% 16% -8% -19% 14% 21% 18% -2% 16% -3% -30% -38% 3% -20% 15%Bloomberg USD HY Corporate 40% -4% -15% 18% 10% 18% 15% -31% 15% -15% 0% -12% 21% 11% -37% -27% 6% 4% 10%

Bloomberg U.S. Dollar Spot -48% -61% -1% -51% -64% -44% -37% 38% -32% -47% -58% -65% -29% -41% 75% 34% -9% -39% -71%

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Bloomberg Commodity 78% 46% 2% 54% 18% 69% -33% 24% 66% 21% 35% 8% -13% 7% 67%Energy 75% 31% 8% 48% 4% 63% -41% 36% 66% 20% 38% 24% 1% 22% 68%

Petroleum 80% 42% 5% 56% 16% 72% -35% 28% 64% 17% 35% 17% -2% 12% 70%Agriculture 47% 64% 9% 50% 39% 55% 0% 10% 38% 29% 14% -6% -31% -12% 34%

Grains 42% 63% 6% 52% 34% 54% -3% 8% 32% 21% 14% -8% -25% -13% 28%Industrial Metals 50% 18% -5% 23% 9% 34% -23% -10% 32% -8% 14% -12% -11% -12% 42%Precious Metals 40% 31% -31% 27% 41% 50% 0% -9% 30% 19% 23% -31% -20% -31% 36%

Softs 33% 35% 7% 20% 32% 31% 6% 14% 36% 34% 6% 8% -25% 2% 30%Livestock 38% 35% 22% 30% -1% 27% -35% 22% 36% 0% 15% 9% -19% 8% 19%

Natural Gas 53% 16% 27% 25% -13% 32% -36% 38% 53% 25% 26% 31% 4% 28% 46%WTI Crude 78% 41% 9% 54% 14% 70% -36% 27% 63% 17% 34% 20% 2% 15% 72%

Brent Crude 81% 40% 0% 58% 23% 72% -34% 20% 64% 17% 36% 16% 0% 13% 72%ULS Diesel 81% 48% 3% 59% 21% 74% -35% 31% 67% 19% 41% 11% -9% 5% 70%

Unleaded Gasoline 77% 40% -6% 55% 18% 69% -30% 26% 64% 17% 31% 10% -9% 9% 61%Corn 40% 60% 6% 48% 47% 47% 6% 4% 32% 22% 17% -1% -18% -9% 18%

Soybeans 34% 57% 9% 43% 25% 51% -2% 15% 25% 23% 6% -11% -32% -15% 26%Wheat 38% 52% 2% 45% 15% 45% -18% 4% 30% 0% 19% -19% -18% -20% 29%

Soybean Oil 48% 54% 1% 49% 29% 60% -1% 1% 34% 36% 16% -20% -29% -16% 36%Soybean Meal 22% 45% 2% 37% 13% 40% -16% 15% 19% 1% 15% -15% -34% -19% 22%HRW Wheat 54% 54% 12% 54% 28% 54% -16% -2% 42% 14% 25% -6% -14% -12% 44%

Copper 53% 25% -5% 29% 15% 41% -17% -12% 30% -3% 16% -14% -15% -19% 45%Alumnium 61% 21% 5% 33% 9% 43% -29% -4% 47% 3% 20% -10% -6% -2% 54%

Zinc 23% -1% -1% -3% -3% 0% -12% -16% 5% -19% -8% -2% -9% -7% 11%Nickel 28% 0% -17% 5% -3% 19% -30% -1% 27% -21% 11% -12% -1% -7% 28%Gold 39% 31% -33% 27% 39% 54% -4% -2% 32% 8% 32% -38% -20% -40% 37%Silver 38% 28% -21% 24% 35% 38% 2% -17% 25% 28% 9% -16% -15% -14% 31%Sugar 40% 17% -18% 19% 17% 38% -10% 29% 42% 24% 33% -1% -26% -2% 36%Coffee 21% 33% 41% 13% 27% 9% 6% -2% 16% 28% -29% 30% -9% 13% 19%Cotton 19% 36% -1% 3% 29% 14% 19% 10% 26% 4% 7% -7% -11% -19% 11%

Live Cattle 32% 29% 24% 21% -9% 27% -42% 26% 38% -1% 9% 2% -11% 1% 16%Lean Hogs 33% 32% 11% 31% 6% 22% -22% 16% 25% 0% 20% 7% -30% 7% 16%

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CORRELATION: World GDP vs. BCOM Indices & Other Benchmarks

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Bloomberg Commodity 32% 83% -8% -18% -7% -21% 75% 54% -31% 63% -2% 12% 17% -55% 71% 17% -21% -69% 30%Energy 34% 60% -4% -9% 16% -17% 54% 61% -36% 67% 6% -13% 6% -52% 65% 4% -23% -74% 45%

Petroleum 37% 71% -15% -20% 15% -32% 70% 66% -54% 63% -10% -7% 21% -73% 79% 6% -36% -88% 39%Agriculture 5% 72% -15% -24% -16% -13% 66% 47% -20% 44% -2% 32% 5% -48% 60% 21% -10% -44% 15%

Grains -9% 63% -20% -38% -13% -14% 57% 52% -30% 37% -4% 19% -2% -61% 55% 18% -7% -48% 15%Industrial Metals 39% 62% 2% -10% -21% -11% 48% 21% 3% 40% -11% -10% 25% -19% 30% 16% -12% -42% 17%Precious Metals 17% 71% -2% -18% -30% -21% 68% 15% -36% 18% -29% 47% 34% -44% 52% 18% -15% -35% -14%

Softs 28% 66% -4% 8% -17% -8% 63% 24% 2% 38% -2% 49% 17% -12% 50% 19% -14% -23% 10%Livestock 40% 28% 1% 2% 22% -11% 24% 25% -16% 42% -12% -13% 19% -8% 28% 4% -32% -37% 30%

Natural Gas 19% 11% 23% 24% 10% 20% -1% 20% 14% 45% 41% -17% -26% 17% 10% -2% 14% -11% 34%WTI Crude 39% 64% -12% -13% 18% -28% 63% 63% -45% 60% -8% -10% 19% -63% 72% 4% -36% -83% 40%

Brent Crude 39% 79% -13% -22% 7% -33% 78% 64% -57% 65% -9% 3% 26% -75% 85% 7% -34% -89% 34%ULS Diesel 39% 85% -12% -24% 0% -35% 83% 62% -58% 66% -8% 2% 30% -78% 86% 9% -30% -92% 33%

Unleaded Gasoline 30% 81% -17% -29% 5% -32% 80% 68% -63% 64% -14% 4% 23% -85% 88% 7% -32% -89% 32%Corn -9% 71% -11% -29% -26% -11% 65% 48% -35% 30% -6% 32% 2% -63% 58% 16% 2% -48% 9%

Soybeans 3% 55% -21% -36% 10% -24% 52% 55% -29% 48% 2% 7% 2% -56% 59% 22% -19% -52% 19%Wheat -27% 24% -27% -36% -10% 5% 15% 33% 4% 16% 1% -2% -24% -29% 11% 11% 3% -13% 18%

Soybean Oil 4% 75% -12% -12% -31% -12% 75% 35% -19% 31% -9% 54% 18% -48% 62% 21% -4% -35% -1%Soybean Meal -3% 25% -25% -46% 20% -27% 21% 40% -23% 33% -1% -21% 0% -41% 31% 20% -19% -39% 17%HRW Wheat 6% 66% -19% -33% -15% -6% 54% 49% -13% 45% 0% 5% -3% -47% 47% 13% -11% -51% 28%

Copper 33% 80% -7% -19% -28% -21% 68% 34% -12% 53% -9% -1% 35% -44% 52% 18% -13% -59% 19%Alumnium 36% 55% 12% 3% -31% -2% 42% 8% 16% 19% -12% 7% 18% -2% 14% 14% -5% -23% 5%

Zinc 34% 25% 7% -3% -6% -8% 10% 4% 17% 24% -12% -37% 15% 7% -5% 16% -4% -19% 15%Nickel 41% 40% 0% -15% 3% -3% 29% 23% -4% 35% -10% -28% 15% -13% 22% 8% -22% -42% 23%Gold 14% 63% 0% -19% -25% -23% 62% 15% -46% 10% -37% 44% 35% -47% 49% 16% -17% -35% -17%Silver 21% 76% -4% -15% -37% -16% 71% 14% -17% 28% -15% 46% 29% -35% 51% 19% -11% -31% -7%Sugar 18% 67% -10% -4% -11% -21% 72% 34% -27% 31% -9% 59% 23% -42% 68% 22% -21% -35% -2%Coffee 34% 44% 4% 11% -11% -3% 37% 10% 7% 27% -12% 22% 16% 8% 22% 13% -16% -15% 13%Cotton 15% 56% -3% 13% -26% 10% 51% 15% 35% 48% 36% 35% -2% 4% 36% 16% 13% -8% 18%

Live Cattle 35% 16% 5% 7% -8% -3% 8% -4% 6% 11% -22% -24% 28% 13% -8% 3% -13% -21% 16%Lean Hogs 26% 26% -3% -3% 41% -13% 29% 44% -31% 51% 1% 4% 1% -26% 49% 1% -36% -37% 29%

S&P 500 Total Return Index 25% 25% -7% -1% 10% -6% 17% 34% 13% 36% 22% -41% -9% -14% 16% 8% -7% -45% 41%Bloomberg US Treasury -10% 35% 17% 8% -25% 23% 38% 10% -9% -3% -11% 59% 24% -8% 28% 1% 2% -7% -24%

Bloomberg USD IG Corporate -4% 21% -6% -15% 11% -13% 27% 22% -25% -14% -15% 46% -8% -26% 25% 4% -37% -18% -14%Bloomberg USD HY Corporate 22% 5% -26% -25% 34% -48% 8% 19% -34% -3% -13% -3% -34% -30% 14% 14% -32% -22% 9%

Bloomberg U.S. Dollar Spot -32% -75% 12% 13% 0% 24% -74% -49% 33% -62% 0% -34% -14% 51% -76% -16% 31% 53% -22%

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Bloomberg Commodity 42% 47% 14% 30% 33% 33% 53% 4% -2% 40% 32% 37%Energy 37% 15% 8% 11% 25% 20% 39% 4% -8% 24% 33% 21%

Petroleum 38% 28% 9% 15% 26% 20% 45% 7% -6% 28% 25% 29%Agriculture 12% 49% 4% 24% 15% 14% 37% -13% 0% 30% -2% 16%

Grains 6% 42% 2% 16% 10% 9% 31% -11% 2% 22% -6% 9%Industrial Metals 47% 66% 27% 50% 39% 50% 51% 15% 5% 48% 42% 60%Precious Metals 10% 65% 1% 23% 7% 11% 31% 6% 2% 22% -9% 21%

Softs 19% 35% 4% 30% 19% 22% 34% -11% -3% 34% 4% 21%Livestock 45% 14% 21% 28% 37% 33% 24% 6% 11% 32% 32% 35%

Natural Gas 29% -6% 5% 2% 15% 17% 18% -12% -11% 13% 38% 8%WTI Crude 39% 27% 9% 14% 26% 20% 43% 9% -5% 27% 28% 28%

Brent Crude 38% 32% 7% 17% 26% 22% 49% 11% -4% 30% 22% 33%ULS Diesel 34% 29% 7% 12% 23% 14% 41% 3% -10% 26% 19% 26%

Unleaded Gasoline 40% 27% 12% 20% 30% 26% 50% 4% -7% 35% 19% 32%Corn 0% 26% -3% 11% -5% 2% 17% -17% 0% 16% -17% -2%

Soybeans 10% 39% 3% 10% 15% 9% 36% -10% 3% 26% -6% 11%Wheat 5% 48% 7% 27% 19% 11% 31% -3% -5% 16% 9% 16%

Soybean Oil 11% 56% -1% 14% 13% 12% 32% -14% 9% 19% 8% 13%Soybean Meal -1% 25% 3% 8% 8% 6% 30% -2% -8% 22% -14% 13%HRW Wheat 13% 54% 4% 30% 21% 15% 36% -4% -9% 23% 12% 20%

Copper 41% 68% 23% 46% 34% 42% 50% 13% 1% 47% 32% 54%Alumnium 46% 51% 19% 42% 33% 47% 43% 6% 5% 39% 47% 53%

Zinc 47% 53% 36% 54% 38% 52% 40% 12% 5% 52% 41% 61%Nickel 46% 56% 29% 44% 43% 52% 53% 28% 9% 41% 42% 55%Gold 1% 64% 2% 15% 4% -3% 23% 13% -3% 13% -16% 13%Silver 23% 58% 1% 34% 12% 32% 40% -3% 8% 34% 6% 33%Sugar 9% 24% 1% 16% 7% 5% 18% -10% -18% 18% -1% 8%Coffee 25% 27% 3% 19% 13% 24% 26% -10% 13% 37% 11% 31%Cotton 16% 25% 10% 37% 18% 28% 39% 2% -9% 30% 0% 22%

Live Cattle 46% 20% 18% 27% 34% 39% 28% 8% 14% 34% 37% 38%Lean Hogs 33% 7% 21% 21% 31% 18% 12% 2% 6% 22% 17% 25%

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

Group Commodity End-Aug Net Position

End-Jul Net Position

Notional Change ($m) using end-

Aug price

End-Aug Notional ($m)

Natural Gas -35,338 -42,130 196 -1,020 WTI Crude 244,102 156,804 3,902 10,911

Brent Crude 386,478 297,608 4,180 18,180 ULS Diesel 22,045 16,640 320 1,306 Gasoline 15,079 1,020 834 894

Total 9,433 30,271 Corn -153,942 -13,362 -2,119 -2,321

Soybeans 127,298 137,692 -499 6,110 Wheat -103,977 -116,606 228 -1,877

Soybean Oil 75,998 -4,078 1,560 1,481 Soybean Meal 49,883 56,491 -206 1,557 HRW Wheat -14,585 -19,906 99 -271

Total -938 4,680 Copper -4,991 18,284 -1,204 -258

Aluminum 150,753 125,090 1,038 6,098 Zinc 78,382 78,260 7 4,524

Nickel 60,633 60,972 -20 3,561 Total -179 13,925 Gold 264,954 264,498 60 34,653 Silver 78,992 91,383 -1,154 7,355 Total -1,094 42,008 Sugar 281,409 241,874 888 6,322 Coffee 31,751 35,603 -211 1,737 Cotton 61,657 63,266 -53 2,014 Total 625 10,073

Live Cattle 40,923 24,377 741 1,833Lean Hogs 38,926 54,783 -399 979

Total 342 2,811Total 8,189 103,769

HISTORICAL CORRELATION: BCOM Indices vs. Money Manager Positions

1-Year 5-Year 1-Year 5-Year 1-Year 5-Year Natural Gas 20% 24% -35% -35% 43% 45% WTI Crude 16% 28% -53% -50% 57% 53%

Brent Crude 28% 28% -54% -43% 49% 41% ULS Diesel -7% 23% -52% -37% 48% 43% Gasoline 29% 30% -53% -23% 54% 41%

Corn 59% 55% -60% -50% 63% 62% Soybeans 53% 63% -48% -55% 62% 70%

Wheat 69% 52% -70% -63% 75% 67% Soybean Oil 50% 52% -66% -62% 71% 67%

Soybean Meal 57% 54% -65% -45% 77% 62% HRW Wheat 7% 21% -47% 49% 50%

Copper 38% 44% -61% -55% 63% 57% Aluminum 23% -27% 42%

Zinc 46% -26% 73% Nickel 24% -45% 59% Gold 82% 68% -52% -56% 80% 71% Silver 55% 54% -47% -45% 61% 58% Sugar 55% 51% -68% -61% 69% 65% Coffee 67% 47% -70% -64% 77% 66% Cotton 60% 58% -40% -51% 63% 63%

Live Cattle 30% 23% -10% -4% 28% 17%Lean Hogs -4% 13% 4% -13% -5% 11%

CommodityLong Position Short Position Net Position

Energy

Group

Grains

Industrial Metals

Precious Metals

Softs

Livestock

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Softs

24

Gasoline Corn

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

Brent Crude ULS Diesel

Soybeans Wheat

Soybean Oil Soybean Meal

HRW Wheat

0

20

40

60

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1500

2000

2500

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100000

200000

300000

400000

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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100000

200000

300000

400000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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200

400

600

800

1000

-60000-40000-20000

0200004000060000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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500

1000

1500

-200000

20000400006000080000

100000

06 07 08 09 10 11 12 13 14 15 16

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20

40

60

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0

200000

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06 07 08 09 10 11 12 13 14 15 16

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100000

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

0

50

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-150000

-100000

-50000

0

50000

100000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

050100150200250300

-100000

-50000

0

50000

100000

150000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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500

1000

1500

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-100000

-50000

0

50000

100000

150000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

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100

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300

400

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-40000-20000

020000400006000080000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

25

Sugar Coffee

Cotton Live Cattle

Lean Hogs

Copper Aluminum

Zinc Nickel

Gold Silver

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

020040060080010001200

-40000

-20000

0

20000

40000

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

0

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50000

100000

150000

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06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

0

100

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400

020000400006000080000

100000120000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

020040060080010001200

0

20000

40000

60000

80000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

0

100

200

300

400

500

-100000

0

100000

200000

300000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

020040060080010001200

-200000

20000400006000080000

100000120000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

0

200

400

600

800

-200000-100000

0100000200000300000400000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

020406080100120

-40000-20000

020000400006000080000

06 07 08 09 10 11 12 13 14 15 16

Money Manager's Net Position Index Level

020406080100120

-40000-20000

020000400006000080000

100000

06 07 08 09 10 11 12 13 14 15 16

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 16

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 16

Money Manager's Net Position Index Level

26

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

Group Inventory/Sales Ticker Unit End-Aug End-Jul Change (%)

DOE Natural Gas Total Inventory DOENUST1 bcf 3,350 3,294 2%DOE Crude Oil Total Inventory DOESCRUD mm barrels 526 521 1%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK mm barrels 64 65 -2%DOE Distillate Fuel Oil Total Inventory DOESDIST mm barrels 155 152 2%DOE Motor Gasoline Total Inventory DOESTMGS mm barrels 232 241 -4%USDA Corn Total Export Sales SALECNUM thousand MT 1,131 915 24%USDA Soybeans Total Export Sales SALESYBN thousand MT 2,055 677 204%USDA All Wheat Total Export Sales SALEWEAL thousand MT 380 506 -25%USDA Soybean Oil Total Export Sales SALESYOL thousand MT 4 7 -43%USDA Soybean Cake Meal Total Export Sales SALESCML thousand MT 214 154 38%Comex Copper Total Inventory COMXCOPR thousand short ton 67 65 3%LME Copper Total Inventory NLSCA thousand MT 283 209 36%LME Primary Aluminum Total Inventory NLSAH thousand MT 2,240 2,312 -3%LME Zinc Total Inventory NLSZS thousand MT 453 434 4%LME Nickel Total Inventory NLSNI thousand MT 371 375 -1%Comex Gold Total Inventory COMXGOLD mm ounces 11 11 3%Comex Silver Total Inventory COMXSILV mm ounces 163 155 5%

Softs USDA All Upland Cotton Total Export Sales SALECNUA thousand bales 294 235 25%USDA Cattle Slaughter Estimates Daily SLGTCATT thousand heads 112 111 1%USDA Hogs Slaughter Estimates Daily SLGTHOGS thousand heads 435 412 6%

HISTORICAL CORRELATION: Inventory & Sales vs. BCOM Indices

Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory 61% -1%DOE Crude Oil Total Inventory -62% -92%DOE Cushing Oklahoma Crude Oil Total Stocks -84% -77%DOE Distillate Fuel Oil Total Inventory -76% -70%DOE Motor Gasoline Total Inventory -85% -53%USDA Corn Total Export Sales -10% -38%USDA Soybeans Total Export Sales 13% -6%USDA All Wheat Total Export Sales -23% 18%USDA Soybean Oil Total Export Sales -25% -14%USDA Soybean Cake Meal Total Export Sales 12% 8%Comex Copper Total Inventory -72% 24%LME Copper Total Inventory 49% 31%LME Primary Aluminum Total Inventory -25% 68%LME Zinc Total Inventory -45% 35%LME Nickel Total Inventory -24% -76%Comex Gold Total Inventory 78% 88%Comex Silver Total Inventory -52% -76%

Softs USDA All Upland Cotton Total Export Sales 4% -5%USDA Cattle Slaughter Estimates Daily -27% -23%USDA Hogs Slaughter Estimates Daily 11% -18%

Livestock

Livestock

Energy

Grains

Industrial Metals

Precious Metals

Energy

Grains

Industrial Metals

Precious Metals

BCOM Cotton IndexBCOM Live Cattle IndexBCOM Lean Hogs Index

BCOM Natural Gas Index

BCOM Unleaded Gasoline Index

BCOM Copper IndexBCOM Copper IndexBCOM Alumnium IndexBCOM Zinc IndexBCOM Nickel Index

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

BCOM Index

BCOM WTI Crude IndexBCOM WTI Crude IndexBCOM ULS Diesel Index

BCOM Silver IndexBCOM Gold Index

27

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 16

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

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 16

USDA Soybean Oil Total Export Sales BCOM Soybean Oil Index

0

500

1000

1500

2000

0

100

200

300

400

500

07 08 09 10 11 12 13 14 15 16

USDA Soybean Cake Meal Total Export Sales BCOM Soybean Meal Index

28

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 16

USDA All Upland Cotton Total Export Sales BCOM Cotton Index

0

50

100

150

200

250

0

20000

40000

60000

80000

100000

120000

140000

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

USDA Cattle Slaughter Estimates Daily BCOM Live Cattle Index

0

20

40

60

80

100

0

100000

200000

300000

400000

500000

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

USDA Hogs Slaughter Estimates Daily BCOM Lean Hogs Index

29

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

Report Period: 29 Jul 2016 - 31 Aug 2016

Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

-229.3 6,906.9 -3.3%-296.6 8,172.8 -3.6%21.4 1,527.5 1.4%0.2 15.6 1.1%

23.5 268.6 8.7%466.0 63,189.3 0.7%-14.9 80,080.7 0.0%

Top 10 Creations * Click hyperlinks to open in Bloomberg

Name Ticker Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

iShares Gold Trust IAU US 271.8 9,517.0 2.9%VelocityShares 3x Inverse Crude ETN DWTI US 178.7 420.8 42.5%

iShares Silver Trust SLV US 162.4 7,119.8 2.3%ProShares UltraShort Bloomberg Crude Oil SCO US 50.7 167.5 30.3%

VelocityShares 3x Long Natural Gas ETN UGAZ US 48.7 301.2 16.2%VelocityShares 3x Long Silver ETN linked to GSCI Silver USLV US 44.8 326.2 13.7%

iShares Commodities Select Strategy ETF COMT US 32.8 284.7 11.5%ETFS Physical Swiss Gold Shares SGOL US 32.7 1,105.5 3.0%

ETFS Physical Precious Metal Basket Shares GLTR US 24.2 250.2 9.7%PowerShares DB Base Metals Fund DBB US 16.8 181.2 9.3%

Top 10 Redemptions

Name Ticker Net Flows ($m)

Beginning Fund Market Cap

($m)

% of Funds Market Cap

VelocityShares 3x Long Crude ETN UWTI US -349.8 1,100.6 -31.8%United States Oil Fund LP USO US -234.7 2,992.4 -7.8%

PowerShares DB Commodity Index Tracking Fund DBC US -104.1 2,487.6 -4.2%SPDR Gold Shares GLD US -96.5 41,608.9 -0.2%

iShares S&P GSCI Commodity Indexed Trust GSG US -48.5 889.3 -5.5%PowerShares DB Optimum Yield Diversified Commodity PDBC US -48.4 395.4 -12.3%

iPath Bloomberg Commodity Index Total Return ETN DJP US -48.4 862.7 -5.6%ProShares Ultra Silver AGQ US -20.2 455.3 -4.4%

PowerShares DB Energy Fund DBE US -18.7 125.7 -14.9%PowerShares DB Precious Metals Fund DBP US -7.9 329.8 -2.4%

Sector

LivestockIndustrial MetalsPrecious Metals

Total

Broad BasedEnergy

Agriculture

30

COMMODITY FUTURES TERM STRUCTUREENERGY GROUP

GRAINS GROUP

1.5

2.5

3.5

4.5

5.5

SEP

16JU

N 1

7M

AR 1

8DE

C 18

SEP

19JU

N 2

0M

AR 2

1DE

C 21

SEP

22JU

N 2

3M

AR 2

4DE

C 24

SEP

25JU

N 2

6M

AR 2

7DE

C 27

SEP

28

Natural Gas

29-Jul-2016

31-Aug-20160

102030405060

SEP

16JA

N 1

7M

AY 1

7SE

P 17

JAN

18

MAY

18

SEP

18JA

N 1

9M

AY 1

9SE

P 19

JAN

20

MAY

20

SEP

20JA

N 2

1M

AY 2

1SE

P 21

JUN

22

WTI Crude

29-Jul-2016

31-Aug-2016

3035404550556065

SEP

16FE

B 17

JUL

17DE

C 17

MAY

18

OCT

18

MAR

19

AUG

19JA

N 2

0JU

N 2

0N

OV

20AP

R 21

SEP

21FE

B 22

JUL

22DE

C 22

Brent Crude

29-Jul-2016

31-Aug-20160

50

100

150

200

AUG

16

NO

V 16

FEB

17

MAY

17

AUG

17

NO

V 17

FEB

18

MAY

18

AUG

18

NO

V 18

FEB

19

MAY

19

AUG

19

NO

V 19

ULS Diesel

29-Jul-2016

31-Aug-2016

100

120

140

160

180

200

AUG

16O

CT 1

6DE

C 16

FEB

17AP

R 17

JUN

17

AUG

17O

CT 1

7DE

C 17

FEB

18AP

R 18

JUN

18

AUG

18O

CT 1

8DE

C 18

FEB

19AP

R 19

JUN

19

Unleaded Gasoline

29-Jul-2016

31-Aug-2016

260

280

300

320

340

360

AUG

16

OCT

16

JAN

17

MAY

17

AUG

17

OCT

17

JAN

18

MAY

18

AUG

18

OCT

18

JUL

19

Soybean Meal

29-Jul-2016

31-Aug-2016350

400

450

500

550

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

SEP

18

HRW Wheat

29-Jul-2016

31-Aug-2016

300

350

400

450

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

SEP

18

DEC

18

JUL

19

Corn

29-Jul-2016

31-Aug-2016800

900

1000

1100

1200

AUG

16SE

P 16

NO

V 16

JAN

17

MAR

17

MAY

17

JUL

17AU

G 17

SEP

17N

OV

17JA

N 1

8M

AR 1

8M

AY 1

8JU

L 18

AUG

18SE

P 18

NO

V 18

Soybeans

29-Jul-2016

31-Aug-2016

350

400

450

500

550

600

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

SEP

18

Wheat

29-Jul-2016

31-Aug-201628293031323334

AUG

16

OCT

16

JAN

17

MAY

17

AUG

17

OCT

17

JAN

18

MAY

18

AUG

18

OCT

18

JUL

19

Soybean Oil

29-Jul-2016

31-Aug-2016

31

INDUSTRIAL METALS GROUP

PRECIOUS METALS GROUP

SOFTS GROUP

LIVESTOCK GROUP

195200205210215220225230

AUG

16

NO

V 16

FEB

17

MAY

17

AUG

17

NO

V 17

FEB

18

MAY

18

SEP

18

MAY

19

DEC

19

JUL

20

MAR

21

Copper

29-Jul-2016

31-Aug-20161300

1500

1700

1900

2100

2300

AUG

16M

AR 1

7O

CT 1

7M

AY 1

8DE

C 18

JUL

19FE

B 20

SEP

20AP

R 21

NO

V 21

JUN

22

JAN

23

AUG

23M

AR 2

4O

CT 2

4M

AY 2

5DE

C 25

JUL

26

Aluminum

29-Jul-2016

31-Aug-2016

1200125013001350140014501500

AUG

16

OCT

16

FEB

17

JUN

17

OCT

17

FEB

18

JUN

18

JUN

19

JUN

20

JUN

21

JUN

22

Gold

29-Jul-2016

31-Aug-201617

18

19

20

21

22

AUG

16

OCT

16

JAN

17

MAY

17

SEP

17

JAN

18

MAY

18

DEC

18

DEC

19

DEC

20

Silver

29-Jul-2016

31-Aug-2016

10121416182022

OCT

16

MAR

17

MAY

17

JUL

17

OCT

17

MAR

18

MAY

18

JUL

18

OCT

18

MAR

19

MAY

19

Sugar

29-Jul-2016

31-Aug-2016110120130140150160170

SEP

16

DEC

16

MAR

17

MAY

17

JUL

17

SEP

17

DEC

17

MAR

18

MAY

18

JUL

18

SEP

18

DEC

18

MAR

19

MAY

19

Coffee

29-Jul-2016

31-Aug-2016

50556065707580

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

MAY

17

JUN

17

JUL

17

AUG

17

OCT

17

DEC

17

Lean Hogs

29-Jul-2016

31-Aug-2016

90

95

100

105

110

115

AUG

16

OCT

16

DEC

16

FEB

17

APR

17

JUN

17

AUG

17

Live Cattle

29-Jul-2016

31-Aug-2016

2050210021502200225023002350

AUG

16DE

C 16

APR

17AU

G 17

DEC

17AP

R 18

AUG

18DE

C 18

APR

19AU

G 19

DEC

19AP

R 20

AUG

20DE

C 20

APR

21AU

G 21

Zinc

29-Jul-2016

31-Aug-2016

9000

9500

10000

10500

11000

11500

AUG

16DE

C 16

APR

17AU

G 17

DEC

17AP

R 18

AUG

18DE

C 18

APR

19AU

G 19

DEC

19AP

R 20

AUG

20DE

C 20

APR

21AU

G 21

Nickel

29-Jul-2016

31-Aug-2016

606264666870727476

OCT

16

DEC

16

MAR

17

MAY

17

JUL

17

OCT

17

DEC

17

MAR

18

MAY

18

JUL

18

OCT

18

DEC

18

MAR

19

MAY

19

Cotton

29-Jul-2016

31-Aug-2016

32

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

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

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

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

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

33

COMMODITY CHEAT SHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE

* Click hyperlinks to open in Bloomberg

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

Precious metal dashboard BI PMETGBase metals dashboard BI BMET

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

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

Crop calendar CCAL

BCOM QUICK FACTS Index Methodology

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

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

First Value Date 30 December 1990

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

34

BLOOMBERG, BLOOMBERG INDICES and BCOM are trademarks or service marks of Bloomberg Finance L.P.

Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary

right in the BLOOMBERG INDICES or BCOM. Bloomberg does not guarantee the timeliness, accuracy or

completeness of any data or information relating to BLOOMBERG INDICES or BCOM. Bloomberg makes no

warranty, express or implied, as to the BLOOMBERG INDICES or BCOM or any data or values relating thereto or

results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular

purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual

performance. Past performance is not an indication of future results. To the maximum extent allowed by law,

Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall

have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential,

incidental, punitive or otherwise - arising in connection with BLOOMBERG INDICES or BCOM or any data or

values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision

of factual information, rather than financial product advice. Nothing in the BLOOMBERG INDICES or BCOM

shall constitute or be construed as an offering of financial instruments or as investment advice or investment

recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into

any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation

as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the

BLOOMBERG INDICES or BCOM should not be considered as information sufficient upon which to base an

investment decision. All information provided by the BLOOMBERG INDICES or BCOM is impersonal and not

tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion

on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or

suggest an investment strategy of any kind. Customers should consider obtaining independent advice before making

any financial decisions. © 2016 Bloomberg Finance L.P. All rights reserved. This document and its contents may

not be forwarded or redistributed without the prior consent of Bloomberg.

The BLOOMBERG PROFESSIONAL® service and BLOOMBERG Data (the “Services”) are owned and

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in the Services. Nothing in the Services shall constitute or be construed as an offering of financial instruments by

BFLP, BLP or their affiliates, or as investment advice or recommendations by BFLP, BLP or their affiliates of an

investment strategy or whether or not to “buy”, “sell” or “hold” an investment. Information available via the

Services should not be considered as information sufficient upon which to base an investment decision.

BLOOMBERG, BLOOMBERG PROFESSIONAL, BLOOMBERG MARKETS, BLOOMBERG NEWS,

BLOOMBERG ANYWHERE, BLOOMBERG TRADEBOOK, BLOOMBERG TELEVISION, BLOOMBERG

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Bloomberg Intelligence is a service provided by Bloomberg Finance L.P. and its affiliates. Bloomberg Intelligence

shall not constitute, nor be construed as, investment advice or investment recommendations (i.e., recommendations

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Bloomberg Intelligence is offered where the necessary legal clearances have been obtained. Bloomberg Intelligence

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Intelligence may hold positions in the securities analyzed or discussed on Bloomberg Intelligence.

35