Construction Rules for Morningstar Commodity Indexes

Transcription

1 Constructon Rules for Mornngstar Commodty Indexes Mornngstar Methodology Paper Verson 3.2 May 31, Mornngstar, Inc. All rghts reserved. The nformaton n ths document s the property of Mornngstar, Inc. Reproducton or transcrpton by any means, n whole or n part, wthout the pror wrtten consent of Mornngstar, Inc., s prohbted.

2 Contents Index Characterstcs Mornngstar Commodty Index Famly Structure Incepton Dates Calculaton and Dssemnaton of Index Values Scheduled Reconsttuton/Rebalance Dates Poston Determnaton Data Commodty Selecton Overvew Elgblty Requrements Commodty Selecton Index Constructon Indvdual Commodty Indexes Rollng Futures Contracts Lnkng Factor Calculaton Lnked Prces Cash Index Calculaton and Collateralzaton Adjustment Index Constructon Composte Indexes Overvew Calculaton of Weghts Excess Returns for Indvdual Commodtes Composte Index Value - Excess and Total Returns Data Correcton and Precson Intraday Index Data Correctons Index-Related Data and Dvsor Correctons Computatonal and Reportng Precson Undocumented Events Appendx A: Weght Cappng Appendx B: Calculatng the Arthmetc Total Return Index wthout the Collateralzaton Adjustment

3 Index Characterstcs Mornngstar Commodty Index Famly Structure The Mornngstar Commodty Index famly conssts of fve ndexes that employ dfferent combnatons of long futures, short futures, and cash (referred to as flat) and four sector ndexes employng long futures (see Appendx C). The ndex famly s based on a transparent, rules-based methodology that s desgned to serve nvestors seekng an approprate benchmark for commodtes and support nvestment product creaton. For each commodty, we calculate a lnked prce seres that ncorporates both prce changes and roll yeld. At each monthly rebalancng, f the lnked prce exceeds ts 12-month movng average, we take the long sde n the subsequent month. Conversely, f the lnked prce s below ts 12-month movng average, we take the short sde. An excepton s made for commodtes n the energy sector. If the sgnal for a commodty n the energy sector s short, the weght of that commodty s moved nto cash; that s, we take a flat poston. Energy s unque n that ts prce s extremely senstve to geopoltcal events and not necessarly drven purely by demand-supply mbalances. Mornngstar Long/Short Commodty(SM) Index The Long/Short Commodty Index s a fully collateralzed commodty futures ndex that uses the momentum rule to determne each commodty s held long, short, or flat. Mornngstar Long/Flat Commodty(SM) Index The Long/Flat Commodty Index s a fully collateralzed commodty futures ndex that s derved from the postons of the Long/Short ndex. It takes the same long and flat postons as the Long/Short ndex and replaces the short postons wth flat postons. Mornngstar Short/Flat Commodty(SM) Index The Short/Flat Commodty Index s a fully collateralzed commodty futures ndex that s derved from the postons of the Long/Short ndex. It takes the same short postons as the Long/Short ndex and replaces long postons wth flat postons. 2

4 Mornngstar Long-Only Commodty(SM) Index The Long-Only Commodty Index s a fully collateralzed commodty futures ndex that s long all n elgble commodtes. Ths ndex provdes nvestors wth a means of understandng the performance of the commodty futures markets and serves as a benchmark for nvestment performance of commodtes as an asset class. Mornngstar Short-Only Commodty(SM) Index The Short-Only Commodty Index s a fully collateralzed commodty futures ndex that s short n all elgble commodtes. Mornngstar Agrculture Commodty(SM) Index The Agrculture Commodty Index s a fully collateralzed commodty futures ndex that s long all elgble commodtes n the agrculture sector. Mornngstar Energy Commodty(SM) Index The Energy Commodty Index s a fully collateralzed commodty futures ndex that s long all elgble commodtes n the energy sector. Mornngstar Lvestock Commodty(SM) Index The Lvestock Commodty Index s a fully collateralzed commodty futures ndex that s long all elgble commodtes n the lvestock sector. Mornngstar Metals Commodty(SM) Index The Metals Commodty Index s a fully collateralzed commodty futures ndex that s long all elgble commodtes n the metals sector. Incepton Dates The ncepton dates of the Mornngstar Commodty Indexes are December 21 st, Daly total return seres are avalable from ths date forward. Calculaton and Dssemnaton of Index Values Index values for the Mornngstar Commodty Index Famly are currently calculated end-of-day and dstrbuted through major data vendors. Scheduled Reconsttuton/Rebalance Date The Mornngstar Commodty Indexes are reconsttuted and rebalanced.e., the ndex membershp and the consttuent weghts are reset once annually, on the thrd Frday of December after the day s closng ndex values have been determned. The reconsttuton s effectve at the open of tradng on frst tradng day after thrd Frday of December. Note the effectve date of ndvdual commodtes s specfc to the exchange on whch the commodty trades. 3

5 Poston Determnaton Dates The drecton of the poston.e. Long or Short-- n the ndvdual commodty ndexes are adjusted monthly. Adjustments are made on the thrd Frday of the month and are effectve on the frst tradng day after the thrd Frday. Agan, the effectve data s specfc to the exchange on whch the commodty trades. 4

6 Commodty Selecton Overvew At each reconsttuton date ndex elgblty s defned based on the crtera descrbed n ths secton. Commodtes not meetng the specfc rules set forth n ths secton are not elgble for ncluson n the Mornngstar Commodty Index Famly. Elgblty Requrements To qualfy for ncluson n the ndex famly, a commodty future must lst on a U.S. exchange and be denomnated n U.S. dollars. The followng are excluded: 1) Fnancal futures (e.g. securtes, currences, nterest rates, etc.) are not elgble for ncluson. 2) Commodty contracts not denomnated n U.S. dollars are excluded. 3) Commodtes wth less than 12 months of prcng are excluded. Commodty Selecton We sort all commodtes that meet the above elgblty requrements n descendng order by the total U.S. dollar value of open nterest. All commodtes that make up the top 95% of the total open nterest pool of all elgble commodtes, startng wth the one wth the largest open nterest value, wll be ncluded n the Mornngstar Commodty Index Famly. 5

7 Index Constructon - Indvdual Commodty Futures Rollng Futures Contracts To avod takng physcal delvery of a commodty, futures contracts due to expre are replaced wth a contract wth a longer term. Ths s called rollng the contract. Contracts are rolled on the thrd Frday of each month to concde wth portfolo reconsttuton, rebalancng and the rollng of the Treasury blls used for collateral. 1 To ensure that contracts are rolled before becomng commtted to receve physcal delvery, contracts are selected so that the delvery month s at least two months away from the upcomng month. On each potental roll date, the delvery month of the current contract s compared to the delvery month of the nearest contract whose delvery month s at least two months away from the upcomng month. If the latter s further nto the future than the former, the contract s rolled. For example, the thrd Frday of December 2005 was December 16, On ths day, the nearest corn contract was March Snce ths was two months away from the upcomng month, January 2006, the contract was held untl the thrd Frday of January, January 20, Snce n the upcomng month, February 2006, the contract would no longer be two months away, on January 20, the poston was rolled to the nearest contract that was at least two months away from February. Ths was May In March, ths contract was stll at least two months away so the contract was held. In Aprl, t was no longer two months away; so on the thrd Frday of March, the poston was rolled to the nearest contract that was at least two months away from the upcomng month. Ths was July If the thrd Frday of the month s a tradng holday, we roll and rebalance or reconsttute on the tradng day pror to the thrd Frday. For ease of exposton, we refer to ths date as the thrd Frday throughout ths document. 6

8 Lnkng Factor Calculaton A lnkng factor s defned for each commodty that converts the prce of the contract n effect at each pont n tme to a value that accounts for contract rolls whch we call a lnked prce. Each tme a contract s rolled, the lnkng factor s adjusted by the rato of the closng prce of the current contract to the closng prce of the new contract. Formally, Let: P (t,d) t t D [t] L (t) = the closng prce of the contract on commodty wth delvery month D on day t = the tradng day before day t = the next tradng day after day t = the delvery month for commodty on day t = the lnkng factor of the ndex on commodty on day t To calculate the lnkng factor on day t of commodty use the followng formula: Hence, ( [ ]) t,d t L() t = L t P( t,d t ) ( ) Hence, the lnkng factor changes value on the thrd Frday of each month when there s a roll and remans constant on days between roll mplementatons. To llustrate the calculaton of the lnkng factor, we consder the rollng of the corn contract that would have been mplemented on the thrd Frday of January On that day, we have t = January 20, 2006 t = January 19, 2006 t = January 23, 2006 Through January 20, the contract was March 2006 and startng January 23, the contract was May Hence, D 1 [t] = March 2006 D 1 [t ] = May 2006 The prces of these contracts on January 20 were P 1 (t, D 1 [t]) P 1 (t, D 1 [t ]) = 205 cents/bushel = 215 cents/bushel 7

9 The lnkng factor just pror to mplementng the roll was L 1 (t ) = Hence, 205 L1( t) = = Lnked Prces The lnked prce ndex for each commodty s calculated by multplyng the closng prce of the contract n effect by the lnkng factor from the prevous day. In ths way, the lnkng factor calculated from the closng prces at the end of a month s appled startng wth the frst tradng day of the new month. Formally, let PL (t) = the closng value of the lnked prce for commodty on day t We calculate PL (t) as follows: ( ) ( ) () [ ] PL t = P t,d t L t Cash Index Calculaton and Collateralzaton Adjustment To collateralze the futures postons, on the thrd Frday of each month, we buy a T-bll that matures no earler than the thrd Frday of the upcomng month. 2 We buy enough T-blls so that ther value on the thrd Frday of the upcomng month would be equal to the face value of the contracts f the yeld to maturty were to reman the same. We form the cash ndex by rollng the T-blls from month-to-month just as we roll the contracts and rebalance the composte portfolos. To formalze the calculaton of cash ndex, let B(t,M) M[t] IB(t) = the prce of T-blls per dollar of face value that matures on day M on day t = the maturty date of T-bll that we use on day t (te for te < t te) = the value of the cash ndex on day t 2 Our calculaton agent for the cash ndex, Credt Susse, selects the T-bll. It matures 6, 7, or 8 weeks from the date of purchase. 8

10 The daly return on the cash ndex s ( [ ]),M[] t B t,m t BR( t,t) = 1 B t ( ) So that cash ndex value s updated each day as follows: () = ( ) + ( ) IB t IB t 1 BR t,t Because of the way that we collateralze futures contracts, we need to make an adjustment to the daly rate of change n the futures prces when calculatng excess returns. Let t E, = the upcomng thrd Frday of the month t E = the prevous thrd Frday of the month t = a gven date, t E < t t E, A(t) = the adjustment factor for t We calculate () A t B = E ( t t E,M[] t ) B( t,m[] t) [ ] [] t M t E M t Note A(t E )=1 f the T-bll s yeld to maturty on t E s the same as on t E so that 1 1 MtE te MtE te ( [ ]) [ ] ( [ ]) [ ] E E = E E B t,m t B t,m t We start the cash ndex on 12/21/1979 at 1. For the perod 12/21/ /18/1998, we use the Federal Reserve s hstory of yeld on a dscount bass (YDB) of 3-month T-blls traded on the secondary market, annualzed on a 360-day year, to form a proxy for T-bll prces. 3 We assume that YDB s constant across maturtes at the short end of the yeld so that our proxy for prce s ( ) YDB t M t B[ t,m] = On the thrd Frday of each month, we purchase a bll wth 7 weeks to maturty. Usng the formulas gven above, we calculate values for the ndex and the adjustment factor usng ths proxy data for the perod 12/21/ /18/

11 Our calculaton agent for the cash ndex starts ther calculaton of the ndex by purchasng a T- bll on 12/18/1998 wth a term of 42 days. They have provded prces on ths bll from 12/18/1998 through 12/31/1998. We use ths data to extend our ndex and values of the adjustment factor through 12/31/1998. Startng on 12/31/1998, the calculaton agent provdes us daly values for the cash ndex scaled to be 100 on 12/31/1998. We use ths data to extend our cash ndex by rescalng ther ndex values to match our value on 12/31/1998. Let IB CS (t) = the value of ndex as calculated by the calculaton agent on day t IB 0 = the value of the ndex that we calculate for 12/31/1998 For t > 12/31/1998, we calculate IB IB t IBCS t () = () Startng on 12/31/1998, the calculaton agent provdes the followng data: Prce(t) = 100 B(t,M[t E ]), for t E t < t E Term(t) = (M[t E ] t E )/365, for t E t < t E From these data and the values of the ndex, for t E < t t E, we calculate ( []) B t,m t () IB t = IB t ( ) Prce t ( ) 100 ( te ) Prce B( t E,M[] t ) = 100 [ ] = E + ( E) M t t 365 term t where x denotes roundng up to the nearest nteger. (For example, = 42.) We use these data to calculate values from the adjustment factor startng from 12/31/

12 Index Constructon Composte Indexes Overvew The composte ndexes are constructed from the ndvdual commodty lnked prces and the cash ndex descrbed above. Calculaton of Weghts The weght on each commodty futures ndex n each of the composte ndexes s the product of two factors: (1) the magntude of the weght and (2), the drecton (+1 for long, 0 for flat, or 1 for short). On the annual reconsttuton date, the magntude s the open-nterest weght of the commodty, calculated on the second Frday of December, usng data through the last tradng day of November. Let t R s 12 s 11 s 1 = the reconsttuton date (the thrd Frday of December) = the last tradng day of November pror to t R = the last tradng day of October pror to t R = the last tradng of December pror to t R Let TOI (t) = the total U.S. dollar value of open nterest of all contracts on commodty on day t ATOI (t R ) = average of TOI over the year pror to t R n(t R ) = the number of commodtes n the Mornngstar Commodty Indexes as of t R 11

13 We calculate TOI (t) as follows: where TOI () t ( ) ( ) PN t NOI t CS = Dv PN (t) NOI (t) CS Dv = nearest contract prce for commodty on day t n ts basc unt; e.g. cents/bushel = total number of open nterest contracts, summed across all maturtes, for commodty on day t = contract sze for commodty ; e.g bushels = prce dvsor of commodty so that all prces are n dollars (1 f PN s n dollars; 100 f PN s n cents) For each commodty = 1,2,, n(t R ),, we calculate ATOI ( t ) R = 12 k= 1 TOI 12 ( s ) We have fve composte ndex types: k Abbrevaton LO LF LS SF SO Type Long-Only Long/Flat Long/Short Short/Flat Short-Only The prelmnary weghts on the reconsttuton date for all ndex types, IT, are gven by: w ( t ;IT) = ( ) P R n tr j= 1 ATOI ATOI ( tr) ( t ) j R To ensure adequate dversfcaton, ndvdual contract weghts are capped at 10%. See Appendx A for weght cappng algorthm. Weghts are not capped for the Commodty Sector ndexes. Let w (t R ;IT) = the fnal weght on commodty, calculated on reconsttuton date t R from the prelmnary weghts usng the weght cappng algorthm. 12

14 Between reconsttuton dates, the weghts vary based on the performance of the ndvdual commodty postons. Let ER (t 1,t 2 ;IT) = the excess return on commodty from day t 1 to day t 2 for ndex type IT We explan how to calculate ER (t 1,t 2 ;IT) below. Each day t>t R, untl the next reconsttuton date, we update the weghts as follows: w ( t;it) = ( ) n tr j= 1 ( ) + ( ) w t ;IT 1 ER t,t;it ( ) + j( ) wj t ;IT 1 ER t,t;it The drecton of the weght depends n part on the type of the composte ndex. Let β (t E,IT) = the drecton for commodty for ndex type IT, for rebalancng day t E We calculate the drectons on the second Frday of each month, that s, one week pror to the rebalancng day. Let t β = the Frday pror to t E We derve the drecton for each ndex type from what we call the base drecton. The base drecton s set by a smple movng average rule: the base drecton of the consttuent weghtng wll be long (short) f PL (t β ) s greater (less) than the movng average of the daly values of PL for year-long endng on t β. To state ths formally, let Y(t β ) = the set of tradng days for the year-long perod endng n t β APL (t β ) = the average of PL over Y(t β ) B (t β ) = the base drecton for commodty set on t β So that APL ( tβ ) = t Y t PL ( β ) ( β ) Y t ( t) 13

15 We set the base drecton as follows: B ( tβ ) ( β ) ( β ) ( β ) ( β ) 1, f PL t APL t = 1, f PL t < APL t How we use the base drecton to set the drecton for a commodty n the Long/Short Index depends on whether or not the commodty n queston s n the energy sector. Let Γ = the set of energy commodtes We set the drectons for the Long/Short Index as follows: ( β ) ( β ) max B t,0, f Γ β ( t E,LS ) = B t, f Γ The drectons for the remanng ndex types are set as follows: ( ) β t,lo =+ 1 E ( ) ( β ) ( ) ( β ) β t E,LF = max B β t E,SF = mn B t t,0,0 β t,so = 1 ( ) E 14

16 Excess Returns for Indvdual Commodtes Gven t, t E < t t E, we calculate an adjusted excess return for each commodty over the perod t E to t whch we denote ERA (t). Recall term A( t ) s the collateralzaton adjustment factor, whle term PL s the ndvdual commodty lnked prce. We calculate ERA (t) as follows: () () PL () t ERA t = A t 1 PL ( te) From ERA (t) we calculate a return relatve to each ndex type IT whch we denote V (t;it) and calculate as follows: () ( ) ( ) V t = 1+β t E;IT ERA t Gven t 1 and t 2, t E t 1 < t 2 t E, we calculate ER (t 1,t 2 ;IT) as defned earler as follows: ( ) ( ) ( t ;IT) V t ;IT 1, f t = t ER( t 1,t 2;IT) = V t 2;IT 1, f t > t V E 1 E 15

17 Composte Index Values Excess and Total Returns Each day t, we calculate the daly returns on the ndexes. Let ER(t,t;IT) = the excess return for ndex type IT for t through t TR( t E,t,IT) = the total return for ndex type IT for t t through t We have: n( t R ) ( ) = ( ) ( ) ER t,t;it w t ;IT ER t,t;it = 1 Wth our collateralzaton methodology, the value a total return ndex for a commodty s the product of the value of ts excess return ndex and the cash ndex. Hence, Let ( ) ( ) ( ) TR t,t;it = 1 ER t,t;it 1 BR t,t IE(t;IT) IT(t;IT) = the value of the excess return ndex of type IT at the close of day t = the value of the total return ndex of type IT at the close of day t So that ( ) = ( ) + ( ) IE t;it IE t ;IT 1 ER t,t;it and ( ) = ( ) + ( ) IT t;it IT t ;IT 1 TR t,t;it 16

18 Data Correcton and Precson Intraday Index Data Correctons Commercally reasonable efforts are made to ensure the correctness of data used n ndex calculatons. If ncorrect prce data affects ndex daly hgh or lows, t s corrected retroactvely as soon as feasble. Index-Related Data and Dvsor Correctons Incorrect prcng data for ndvdual ssues n the database wll be corrected upon detecton. In addton, an ncorrect dvsor of an ndex, f dscovered wthn fve days of ts occurrence, wll always be fxed retroactvely on the day t s dscovered to prevent an error from beng carred forward. Commercally reasonable efforts are made to correct an older error subject to ts sgnfcance and feasblty. Computatonal and Reportng Precson All calculated and adjusted data are stored n real numbers. For reportng purposes, ndex values are rounded to two decmal places and dvsors are rounded to approprate decmal places. Undocumented Events Any matter arsng from undocumented events wll be resolved at the dscreton of the Mornngstar Index Commttee. 17

19 Appendx A: Weght Cappng Let: N = number of contracts n the portfolo cap = maxmum weght that we allow for any contract, currently 10% x = orgnal weght of the th largest contract n the portfolo, x 1 > x 2 > x N n = 1 x = 1 We re-weght usng a two-part lnear functon as follows: ( ) wk + γ1 x x K, f K w = γ2x K, f K where K s the ndex of the contract at whch the functon s knked. Note that ths reweghtng preserves the relatve weghts of all contracts begnnng from the K th contract. Gven K, we need to set γ 1 and γ 2. From the above equaton, t follows that w γ 1 = x w x 1 K 1 K and We set w 1 = cap. We need to set w K so that N = 1 w = 1. Some algebra shows that ths occurs when w K = ( K 1) 1 δw1 1 z δ+ x K 18

20 where K 1 z= x = 1 and ( ) K z K 1 x δ== x x 1 K We chose K to maxmze the number of contracts for whch relatve weghts are preserved. Ths occurs at the lowest value of K for whch y K y 1. Hence, our re-weghtng algorthm s as follows: 1. If x 1 cap, no reweghtng s necessary. For = 1,, N, set w =x. Stop. 2. Set z=0, w 1 =cap, and K=2. 3. Set z=z+x K Set δ and w K usng the equatons presented earler. 5. If w K >w 1, go back to step Set γ 1 and γ 2 usng the equatons presented earler. 7. For = 1,, N, set w usng our frst equaton. Stop. 19

21 Appendx B: Calculatng the Arthmetc Total Return Index wthout the Collateralzaton Adjustment In our methodology, we collateralze our futures postons on the thrd Frday of each month based on what we expect our cash collateral to be worth on the thrd Frday of the upcomng month. A more standard approach s to gnore the fact that the cash collateralze pays nterest and collateralze based on the current value of the portfolo. Another dfference between our methodology and the more standard approach s n the way we defne excess return. In our approach, excess return s the geometrc dfference between total return and the return on cash. In the more standard approach, t s the arthmetc dfference. If we were to take the more standard approaches to collateralzaton and excess return, the collateralzaton adjustment that we make n the calculaton of excess return, A(t), drops out the formula for excess return. Gven t, t E < t t E, we calculate the unadjusted excess return for each commodty over the perod t E to t whch we denote ERU (t). Recall the term PL s the ndvdual commodty lnked prce. We calculate ERU (t) as follows: ( t) PL ERU () t = 1 PL ( te) The remander of the excess return calculaton s unchanged From ERU (t) we calculate a return relatve to each ndex type IT whch we denote VU (t;it) and calculate as follows: () ( ) ( ) VU t = 1+β t E;IT ERU t Gven t 1 and t 2, t E t 1 < t 2 t E, we calculate the unadjusted excess return fro commodty I from day t 1 to day t 2 for ndex type IT whch we denote ERM (t 1,t 2 ;IT) as defned earler as follows: 20

22 ( ) ( ) ( t ;IT) VU t ;IT 1, f t = t ERM( t 1,t 2;IT) = VU t 2;IT 1, f t > t VU E 1 E In addton the calculaton of excess return for each ndex type remans unchanged. Each day t, we calculate the daly returns on the ndexes. Let ERM(t,t;IT) = the unadjusted excess return for ndex type IT for t through t We have: n( t R ) ( ) = ( ) ( ) ERM t,t;it w t ;IT ERM t,t;it = 1 Fnally let us defne the resultng excess return ndex as the unadjusted excess return ndex. Let IEU(t,IT) = the value of the unadjusted excess return ndex of type IT on day t ITU(t,IT) = the value of the correspondng total return ndex So that ( ) = ( ) + ( ) IEU t;it IEU t ;IT 1 ERM t,t;it Because excess return s defned as an arthmetc dfference rather that a geometrc dfference, dervng the value of ITU from IEU s more nvolved that t s n our prevous methodology. Recall from our methodology document the followng defntons: t E, = the upcomng thrd Frday of the month t E = the prevous thrd Frday of the month t = a gven date, t E < t t E, IB(t) = the value of the cash ndex on day t 21

23 We have () ( ) IB t IEU t,it ITU( t,it) = ITU( t ) + E,IT 1 ( ) ( ) IB te IEU t E,IT 22

24 Appendx C: Commodty Sector Assgnments The followng reflects sector assgnments for elgble commodtes: Sector Commodty Descrpton Agrculture Butter Butter Cash Settled Agrculture Butter Butter, AA Agrculture Cocoa Cocoa / Ivory Coast Agrculture Coffee Coffee 'C' / Mn Agrculture Coffee Coffee 'C' /Colomban Agrculture Corn Corn / No. 2 Yellow Agrculture Corn Corn Mn-szed Agrculture Cotton Cotton / 1-1/16" Agrculture Damonum Phosphate Dammonum Phosphate Agrculture Lumber Lumber / Spruce-Pne Fr 2x4 Agrculture Mlk Mlk Agrculture Mlk Mlk, Class IV Agrculture Mlk Mlk, Nonfat Dry Agrculture Oats Oats / No. 2 Mllng Agrculture Oats Oats / No. 2 Whte Heavy Agrculture Orange Juce Orange Juce, Dfferental Agrculture Orange Juce Orange Juce, Frozen Concentrate Agrculture Pulp Pulp Agrculture Rce Rough Rce #2 Agrculture Soybean Meal Soybean Meal / 48% Proten Agrculture Soybean Ol Soybean Ol / Crude Agrculture Soybeans Soybean, South Amercan Agrculture Soybeans Soybeans / No. 1 Yellow Agrculture Soybeans Soybeans Mn-Szed Agrculture Sugar Sugar #11/World Raw Agrculture Sugar Sugar #14/Domestc Raw Agrculture Urea Urea 23

25 Sector Commodty Descrpton Agrculture Urea Ammonum Ntrate Ammonum Ntrate Agrculture Wheat Wheat / No. 2 Hard Wnter Agrculture Wheat Wheat / No. 2 Soft Red Agrculture Wheat Wheat / Sprng 14% Proten Agrculture Wheat Wheat Mn-Szed Agrculture Wheat Wheat, Hard Red Wnter Energy Coal Coal, Central Appalachan Energy Coal Coal, Rchards Bay Energy Coal Coal, Rotterdam Energy Crude Ol Crude Ol (E) Energy Crude Ol Crude Ol E-mn Energy Crude Ol Crude Ol, Brent Energy Crude Ol Crude Ol, Brent / Global Spot Energy Crude Ol Crude Ol, Brent emny Energy Crude Ol Crude Ol, Sour / Mdland, TX Energy Crude Ol Crude Ol, WTI / Global Spot Energy Crude Ol Crude Ol, WTI Lght Sweet Energy Ethanol Ethanol Energy Ethanol Ethanol Energy Gas Ol Gas Ol Energy Gas Ol Gas-Ol-Petroleum Energy Gasolne Gasolne Unleaded, E-MnNY Energy Gasolne Gasolne, Blendstock Energy Gasolne Gasolne, Blendstock RBOB (E) Energy Gasolne Gasolne, Unleaded / Regular Non-Ox Energy Gasolne Gasolne, Unleaded Blendstock (RBOB Energy Heatng Ol Heatng Ol Energy Heatng Ol Heatng Ol #2 / Fuel Ol Energy Heatng Ol Heatng Ol (ED) Energy Heatng Ol Heatng Ol / E-MnNY Energy Natural Gas Natrual Gas E-mn Energy Natural Gas Natural Gas (E) Last Day Energy Natural Gas Natural Gas (E) Penultmate Energy Natural Gas Natural Gas, Henry Hub Energy Propane Propane Lvestock Brolers Brolers / Dressed 'A', 1-3/4 to 3- Lvestock Feeder Cattle Cattle, Feeder / Average 24

26 Sector Commodty Descrpton Lvestock Hogs Hogs, Lean / Average Iowa/S Mnn Lvestock Hogs Hogs, Lve, Old Lvestock Lve Cattle Cattle, Lve / Choce Average Lvestock Pork Belles Pork Belles, Frozen, lbs. Metals Alumnnum Alumnum / Pg Ingots Metals Copper Copper / Electrolytc Cathodes Metals Copper Copper Hgh Grade / Scrap No. 2 Wr Metals Gold Gold Metals Gold Gold, 100 oz Metals Gold Gold, N.Y. Mn-szed Metals Palladum Palladum Metals Platnum Platnum Metals SIlver Slver Metals Slver Slver, 5000 oz Metals Slver Slver, N.Y. Mn-szed 25