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THOMSON REUTERS/CORECOMMODITY CRB NON-ENERGY INDEX CALCULATION SUPPLEMENT Introducton Ths supplement contans the rules for calculatng the Thomson Reuters/CoreCommodty CRB Non-Energy Index. Ths supplement and all nformaton contaned heren s the exclusve property of CoreCommodty Indexes, LLC or ts afflates ( CoreCommodty ) and/or Thomson Reuters (Markets) LLC or ts afflates ( Thomson Reuters ) as applcable. CoreCommodty and Thomson Reuters shall have no lablty to any person or entty for the accuracy or completeness of the nformaton contaned heren. Secton 1 of ths document descrbes how to compute each ndvdual commodty performance seres. Secton 2 descrbes the calculaton of the Thomson Reuters/CoreCommodty CRB Non-Energy Index, along wth the rebalancng methodology. Secton 3 descrbes the commodtes and weghts n the Thomson Reuters/CoreCommodty CRB Non-Energy Index and the ncluded contract months for each commodty. Secton 4 descrbes certan market dsrupton and emergency provsons applcable to the Thomson Reuters/CoreCommodty CRB Non-Energy Index. Secton 5 addresses certan other ssues related to ongong ndex constructon and calculaton, ncludng the role of the Thomson Reuters/CoreCommodty CRB Index Oversght Commttee. SEE DISCLAIMERS SET FORTH ON LAST PAGE OF THIS SUPPLEMENT FOR IMPORTANT RISKS AND DISCLAIMERS RELATING TO THE THOMSON REUTERS/CORECOMMODITY CRB NON-ENERGY INDEX AND THE INFORMATION CONTAINED IN THIS SUPPLEMENT. 2
1. Computaton of Indvdual Commodty Performance Seres ( CPS ) and Percent Return Seres ( PR ) For each commodty, a performance seres ( Commodty Performance Seres ) s calculated. These performance seres are then used to calculate the Thomson Reuters/CoreCommodty CRB Non-Energy Index. The CPS at tme t = 0 s scaled to equal 100 whle for any tme t the CPS s gven by: CPS t, CPS t 1, Wt F Wt F 1, 1, P P F t, F t 1, W W B t 1, B t 1, P P B t, B t 1,, t > 0 for = 1 to 15 where: CPS t, Commodty Performance Seres for th commodty at tme t. W t F, Weght n the Front Month for commodty at tme t. W t B, Weght n the Back Month for commodty at tme t. P t F, Prce of thefront Month FuturesContract for Commodty at tme t. and 3
P t B, Prce of N.B.: theback Month FuturesContract for Commodty at tme t. 1) The performance seres for each commodty reflects a constant dollar nvestment such that the rollng of the futures contracts requres nether the addton nor wthdrawal of funds. 2) The Front Month, or the Actve Contract, s the month closer to expraton; the Back Month becomes the Front Month when the Back Month weght reaches 100%. 3) All values throughout ths document are rounded to sx decmal places. 4) All commodty contracts roll over the frst four Busness Days of the month such that the weght n the Front Month at the end of the frst rollover day s 75% and the weght n the Back Month s 25%. The weght shfts from the Front Month to the Back Month by 25% per rollover day untl the Back Month reaches 100% at the end of the fourth Busness Day. (See Secton 4 for nformaton regardng rollover dsrupton events.) The CPS are then used to construct the Percent Return Seres ( PR ) for each commodty. 2. Computaton of the Thomson Reuters/CoreCommodty CRB Non- Energy Index The Thomson Reuters/CoreCommodty CRB Non-Energy Index t, s the Thomson Reuters/CoreCommodty CRB Non-Energy Index at tme t, whch s smply the sum of all the PR, vz., Thomson Reuters/CoreCommodty CRB Non - Energy Index 15 t PR t, 1 4
At the close of busness on June 19, 2006, the value of the Thomson Reuters/CoreCommodty CRB Non-Energy Index, the Thomson Reuters/CoreCommodty CRB Non-Energy Total Return Index and each PR was as follows: Thomson Reuters/CoreCommodty CRB Non-Energy Index 123.824419 Thomson Reuters/CoreCommodty CRB Non-Energy Total Return Index 201.818463 Corn 11.663612 Soybeans 12.350977 Lve Cattle 12.968371 Gold 11.621599 Alumnum 12.354049 Copper 11.605418 Sugar 10.216976 Cotton 10.135016 Cocoa 10.728035 Coffee 10.175858 Nckel 1.928777 Wheat 1.959827 Lean Hogs 2.219879 Orange Juce 2.026368 Slver 1.869657 Subsequent values of each PR are computed as follows: 5
PR PR CPS CPS, t, t1, t, / t1 At the end of the sxth Busness Day1 of each month, the Thomson Reuters/CoreCommodty CRB Non-Energy Index s rebalanced and the PR for each commodty s rescaled such that: PR W Thomson Reuters/CoreCommodty CRB Non - Energy Index for = 1 to 15 where: W Index weght of commodty, such that 0 W 1, and 15 1 W 1. 1 Busness Day s defned as any day on whch the New York Mercantle Exchange s open for busness. and the value of each PR at the end of the seventh Busness Day s equal to: PR r, Thomson Reuters/CoreCommodty CRB Non - Energy Index r1 W CPS r, / CPS r1, where r s defned as the seventh Busness Day of the month. The Thomson Reuters/CoreCommodty CRB Non-Energy Index Total Return ncludes a rskfree rate of return that s renvested nto the Index and s calculated as follows: 6
Index TR t Index TR Index Days1 TB t 1 1 Index t TBt t t 1 where: Days Thenumber of calendar daysbetween tme t and tme t -1. TB t 1 91 360 1 TBR t1 1 91 1 and TBR t1 91day Treasury Bll rateat tme t -1. 7
3. Thomson Reuters/CoreCommodty CRB Non-Energy Index Composton Ths Secton presents the commodtes ncluded n the Thomson Reuters/CoreCommodty CRB Non-Energy Index and ther respectve weghtngs n the Index. Commodtes Included n the Thomson Reuters/CoreCommodty CRB Non-Energy Index: Commodty Index Weght Contract Months Exchange Corn 9.84% Mar, May, Jul, Sep, Dec CME Soybeans 9.84% Jan, Mar, May, Jul, Nov CME Lve Cattle 9.84% Feb, Apr, Jun, Aug, Oct, Dec CME Gold 9.84% Feb, Apr, Jun, Aug, Dec COMEX Alumnum 9.84% Mar, Jun, Sep, Dec LME Copper 9.84% Mar, May, Jul, Sep, Dec COMEX Total 59.04% Sugar 8.20% Mar, May, Jul, Oct ICE Cotton 8.20% Mar, May, Jul, Dec ICE Coffee 8.20% Mar, May, Jul, Sep, Dec ICE Cocoa 8.20% Mar, May, Jul, Sep, Dec ICE Total 32.80% Nckel 1.64% Mar, Jun, Sep, Dec LME Wheat 1.64% Mar, May, Jul, Sep, Dec CME Lean Hogs 1.64% Feb, Apr, Jun, Jul, Aug, Oct, Dec CME Orange Juce 1.60% Jan, Mar, May, Jul, Sep, Dec ICE Slver 1.64% Mar, May, Jul, Sep, Dec COMEX Total 8.16% Actve Contract Month by Calendar Month Commodty Exchange Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Corn CME Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Soybeans CME Mar Mar May May Jul Jul Nov Nov Nov Nov Jan Jan Lve Cattle CME Feb Apr Apr Jun Jun Aug Aug Oct Oct Dec Dec Feb Gold COMEX Feb Apr Apr Jun Jun Aug Aug Oct Oct Dec Dec Feb Alumnum LME Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec Mar Copper COMEX Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Sugar ICE Mar Mar May May Jul Jul Oct Oct Oct Mar Mar Mar Cotton ICE Mar Mar May May Jul Jul Dec Dec Dec Dec Dec Mar Cocoa ICE Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Coffee ICE Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Nckel LME Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec Mar Wheat CME Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Lean Hogs CME Feb Apr Apr Jun Jun Jul Aug Oct Oct Dec Dec Feb Orange Juce ICE Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Slver COMEX Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar 8
4. Market Dsrupton Provsons Rollover Dsruptons A Rollover Dsrupton Event ( RDE ) s defned as any day, on whch a commodty s scheduled to roll, n whch ether: 1) the front month or back month contracts for the commodty settle at the daly maxmum or mnmum prce as determned by the rules for the relevant exchange, or 2) the exchange fals to publsh an offcal settlement prce for the commodty, or 3) the exchange on whch the commodty trades s not scheduled to be open. If a RDE occurs for any commodty, that porton of the rollover for that commodty only whch was scheduled to occur on that day wll be deferred untl the next Busness Day upon whch no RDE occurs for that commodty. For example, f a RDE occurred on the frst day upon whch corn was scheduled to roll, then the amount to be rolled on the second day would ncrease to 50%. If a second and thrd consecutve RDE occurred on the next two days upon whch corn was scheduled to roll then the entre roll would take place at the end of the frst Busness Day n whch there was no RDE. These hypothetcal rollover dsruptons n corn would have no mpact on the rollover schedule for other commodtes n the Thomson Reuters/CoreCommodty CRB Non-Energy Index. Rebalancng Dsruptons If, on any date the Thomson Reuters/CoreCommodty CRB Non-Energy Index s scheduled to rebalance (defned above as the 6th Busness Day of each month), an offcal settlement prce for any one or more of the commodtes n the Thomson Reuters/CoreCommodty CRB Non-Energy Index s unavalable, then the prce used n rebalancng the Thomson Reuters/CoreCommodty CRB Non-Energy Index for those commodtes wll be the prce on the prevous Busness Day upon whch a prce s avalable. In the event any one or more ndvdual commodtes settle at the daly maxmum prce or the daly mnmum prce, that prce wll be used for the purpose of rebalancng the Index. Market Emergences A Market Emergency s heren defned as any unscheduled and extraordnary condton n whch market lqudty s nterrupted (such as an event resultng n the unscheduled closng of one or more futures exchanges). Should a Market Emergency occur, the Thomson Reuters/CoreCommodty CRB Index Oversght Commttee reserves the rght to take such acton wth respect to the Thomson Reuters/CoreCommodty CRB Non-Energy Index, as t deems approprate gven the crcumstances. The Thomson Reuters/CoreCommodty CRB Index Oversght Commttee wll attempt to notfy nterested partes of any such actons as well n advance as s practcable. There s no assurance, however, that a Market Emergency, the actons taken n response to such Market Emergency, or any other force majeure event, wll not have an adverse effect on the 9
value of the Thomson Reuters/CoreCommodty CRB Non-Energy Index or the manner n whch t s calculated. 5. Ongong Index Calculaton and the Thomson Reuters/CoreCommodty CRB Index Oversght Commttee The role of the Thomson Reuters/CoreCommodty CRB Index Oversght Commttee (the Commttee ) s to meet on an annual bass (and from tme to tme f necessary) n order to revew and/or modfy the operaton and calculaton of the Thomson Reuters/CoreCommodty CRB Indexes, ncludng the Thomson Reuters/CoreCommodty CRB Non-Energy Index, and procedures relatng thereto, and to revew proposals by CoreCommodty or Thomson Reuters to modfy the ndexes. The Commttee wll be comprsed of 4 persons, apponted by CoreCommodty and Thomson Reuters. Commttee members wll be chosen n order to brng expertse from a wde varety of backgrounds. Modfcatons to the Thomson Reuters/CoreCommodty CRB Non-Energy Index shall be subject to approval by the Commttee. The Commttee wll have a sgnfcant degree of dscreton wth regard to the operaton and calculaton of the Thomson Reuters/CoreCommodty CRB Non-Energy Index and may exercse ts dscreton, as t deems approprate. 10
DISCLAIMERS Thomson Reuters/CoreCommodty CRB Non-Energy Index ( TR/CC-CRB ) Informaton regardng the Thomson Reuters/CoreCommodty CRB Index and related ndces and sub-ndces, ncludng wthout lmtaton the Thomson Reuters/CoreCommodty CRB Non-Energy Index (collectvely the "TR/CC-CRB") and materals relatng thereto, s the property of Thomson Reuters (Markets) LLC, or ts afflates ( Thomson Reuters ) and/or CoreCommodty Indexes, LLC, or ts afflates ( CoreCommodty ). It may not be used to create, offer, trade, market or promote any fnancal products wthout the express wrtten consent of CoreCommodty and Thomson Reuters. All hstorcal data for the Thomson Reuters/CoreCommodty CRB Non- Energy Index before June 19, 2006 are smulated by applyng the ndex constructon and methodology as of June 19, 2006 to avalable hstorcal futures values. The smulated data do not reflect the actual performance of the ndex as t was constructed at the tme of reportng ndex values. Instead, the smulated hstorcal values reflect the ndex constructon and methodology as of June 19, 2006 whch were desgned wth the beneft of hndsght. None of CoreCommodty, Thomson Reuters or any other of ther subsdares or afflates makes any representatons as to ther accuracy or completeness. Certan technques such as nterpolaton and estmaton were employed where data was unavalable. Smulated hstorcal returns do not reflect the mpact (f any) of market dsrupton or market emergency events. Smulated hstorcal returns do not reflect the mpact that materal changes n the underlyng markets mght have had on the decsons to use or contnue usng certan commodtes and weghtngs n the TR/CC-CRB. All smulated hstorc data for the TR/CC-CRB s based on fxed weghts and rollover and rebalancng schedules. The hstorcal data used for smulated returns for subndces was not n all cases the same data used for the full ndex or ndces. None of CoreCommodty, Thomson Reuters or any of ther subsdares or afflates shall have any lablty, contngent or otherwse, to any person or entty for the qualty, accuracy, tmelness and/or completeness of the nformaton contaned heren, the TR/CC- CRB, or for delays, errors, omssons or nterruptons n the publcaton of the TR/CC-CRB or any related data. CoreCommodty and Thomson Reuters may dscontnue operaton of the TR/CC-CRB and may dscontnue dssemnatng nformaton about the TR/CC-CRB at any tme wthout pror notce. Thomson Reuters and CoreCommodty may, but are not requred to, use agents to perform some or all of the functons relatng to operatng the TR/CC-CRB, such as but not lmted to the functons of calculatng and dssemnatng ndex values. CoreCommodty may operate and market other ndces that may compete wth the TR/CC-CRB. CoreCommodty and ts afflates and ther respectve drectors, offcers and employees may buy or sell securtes or commodtes mentoned or contemplated heren as agent or as prncpal for ther own account and may have postons or engage n transactons based on or ndexed to the TR/CC-CRB. It s possble that CoreCommodty s tradng actvty wll affect the value of the TR/CC-CRB. CoreCommodty, Thomson Reuters and ther subsdares and afflates do not guarantee the accuracy, tmelness or completeness of the TR/CC- CRB or any nformaton, materal or data related thereto.corecommodty, Thomson Reuters and ther subsdares and afflates ncludng drectors, offcers and employees, wth respect to use of ths materal or the TR/CC-CRB, ncludng but not lmted to the tradng of or nvestments n products based on or related to the TR/CC-CRB, (a) make no warranty, express or mpled, as to the results to be obtaned by any person or entty, (b) make no warranty, express or mpled, and expressly dsclam any warranty or merchantablty or ftness for a partcular purpose, and (c) wthout lmtng any of the foregong, shall have no lablty for any drect, ndrect, specal, puntve, consequental or any other damages (ncludng lost profts), even f notfed of the possblty of such damages. Certan thrd partes, pursuant to lcense agreements wth CoreCommodty and Thomson Reuters, may create, offer, trade, market and promote fnancal products or transactons based on, ndexed to, or calculated wth regard to, the TR/CC-CRB (the "Thrd Party Products"). CoreCommodty, Thomson Reuters and ther subsdares and afflates do not sponsor or endorse any Thrd Party Products, except as expressly and duly acknowledged by the applcable CoreCommodty or Thomson Reuters entty, and may operate the TR/CC-CRB wthout regard to the possble effects on such Thrd Party Products. Ths s not an offer or 11
solctaton of an offer to buy or sell any securty or nvestment. Past performance of the TR/CC-CRB s not necessarly ndcatve of future results. For a more complete descrpton of the TR/CC-CRB, reference s made to the TR/CC-CRB Calculaton Supplement. For more nformaton, please contact Thomson Reuters (care of ndex_queres@thomsonreuters.com) or CoreCommodty Indexes at Indexes@CoreCommodtyllc.com. 2014, CoreCommodty Indexes, LLC and Thomson Reuters (Markets) LLC 12