NASDAQ Commodity Index Methodology

Transcription

1 NASDAQ Commodity Index Methodology January P a g e

2 1. Introdution Index Types Index History Index Curreny Index Family NQCI Index Setors Definitions Commodity Trading Day Index Trading Day Index Commodity Index Contrat Holiday Market Disruption Contrat Prie Prie Unit Contrat Size Index Commodity Table Average Notional Market Value Average Daily Dollar Trading Volume Eligibility Criteria and Seletion Rules Index Annual Review NASDAQ Commodity Index Eligibility Seletion of NASDAQ Commodity Benhmark Index (NQCI) Seletion of NASDAQ Commodity Tradable Index (NQCIT) Index Rebalaning Index Weighting Target Weights Target Index Holdings and Index Holdings Contrat Seletion P a g e

3 5.1 Eligible Contrats per Commodity Roll Roll Period Roll Methodology for February through Deember Shemati Overview of the Feb-De Roll Periods January Roll Period and Index Rebalaning Index Roll Versions Front Index nd Front Index rd Front Index nd Front Hold Index rd Front Hold Index Roll Shedules Index Calulations Contrat Daily Return (CDR) Exess Return Index Total Return Index Treasury Bill Return (TBR) Base Value Base Date Index Calulation Times Index Close Index Dissemination Market Disruptions and Holidays Example: Market Disruptions and Holiday during Roll Periods Leverage and inverse index The leverage and inverse index formula Leverage and inverse index parameters Base Value P a g e

4 11.4 Base Date Index Information Dislaimer Limits of Liability APPENDICES APPENDIX A - NASDAQ Commodity Index Family APPENDIX B Leveraged NASDAQ Commodity Indexes P a g e

5 1. Introdution This doument provides the methodology and onstrution for the NASDAQ Commodity Index Family (the Indexes ). It is aimed at users, investors and others interested in the onstrution and omputation of suh Indexes. The NASDAQ Commodity Index Family is designed to measure the performane of a single ommodity or a group of ommodities through the use of futures ontrats. The Indexes have been onstruted with the objetive to reflet the development of the global ommodity markets in a methodial and neutral way and aim to inlude the largest and most liquid ommodity futures. The NASDAQ Commodity Index Family is foused on liquidity and uses quantitative riteria for seletion of the Index population. The Index Family are alulated using a fully transparent, rulesbased methodology and inludes Benhmark, Tradable, Setor and Single Commodity Indexes. 1.1 Index Types The Indexes are alulated in two different types: Exess Return (ER) the Index is based on the futures prie performane and the roll return Total Return (TR) the Index is based on the Exess Return and the addition of T-bill returns to reflet a fully ollateralized investment The Roll Return refers to the return reeived when the Index rolls from the urrent ontrat to a ontrat with a longer maturity. The roll return an be positive (futures urve in bakwardation) or negative (futures urve in ontango). 1.2 Index History The Indexes have history bak to January Index Curreny The Indexes are alulated in US Dollars. 1 A few ommodities have a later ineption date and therefore do not have history all the way bak to this date 5 P a g e

6 1.4 Index Family The NASDAQ Commodity Benhmark Index (NQCI) inludes 32 ommodities and provides a broad and representative exposure to the ommodity market. The NASDAQ Commodity Tradable Index (NQCIT) inludes 18 ommodities and ontains the largest and most liquid ommodities derived from the Benhmark Index. The NASDAQ Commodity Setor Indexes inludes five main setors and five additional sub and diversified setors. The setors are derived from the Benhmark Index. The NASDAQ Commodity Single Indexes are derived from the ommodities inluded in the Benhmark Index. Single Commodity Indexes are available for all ommodities inluded in the Benhmark Index. The five different roll versions. All Indexes in the family (the Benhmark, Tradable, Setor and Single Indexes) are alulated in five different versions using five different roll shedules. The five versions offer the hoie of different exposure and strategies along the ommodity futures urve. For more information on eah roll version, see setion NQCI Index Setors 6 P a g e

7 2. Definitions 2.1 Commodity Trading Day A Commodity Trading Day means, in respet of a ommodity, a day on whih the relevant underlying futures market is sheduled to be open for trading. Trading alendar information with trading days and holidays for eah Index Commodity is published on eah inluded exhange s website. 2.2 Index Trading Day An Index Trading Day means, in respet of an index, a day on whih the sum of the Target Weights (as defined under Setion 3) aross the Index Commodities for whih that day is a Commodity Trading Day is greater than 80%. 2.3 Index Commodity In respet of an Index and a ommodity, a ommodity whih is inluded in suh Index will be alled an Index Commodity. 2.4 Index Contrat Eah Index Commodity, at any point in time, is represented by one or by two Index Contrats, whih are the futures ontrats that urrently represent the Index Commodity in the Index. The Index Commodity is represented by one Index Contrat on all Index Trading Days, exept during Roll Periods (see Setion 5). During a Roll Period, an Index Commodity is represented by two Index Contrats, the Index Contrat rolling out of the Index and the Index Contrat rolling into the Index. 2.5 Holiday A Holiday means, in respet of a ommodity, a day on whih the relevant underlying futures market for the ommodity is sheduled to be losed for trading. Trading alendar information with trading days and holidays for eah Index Commodity is published on eah inluded exhange s website. 2.6 Market Disruption A Market Disruption Day means, in respet of an Index Commodity, a Commodity Trading Day, on whih at least one of the following holds for the ontrats assoiated with that ommodity: (1) the trading of the Index Contrat or the next ontrat sheduled to roll into the index (if it is a Roll Period), is replaed, terminated or in another way signifiantly disrupted, or (2) the settlement prie for any of those Index Contrats is a limit prie, or (3) the settlement prie for any of those Index Contrats is not obtainable at Index Close due to failure by the appliable exhange or other 7 P a g e

8 prie soure to announe or publish the settlement prie. The ourrene of a Market Disruption is determined by NASDAQ OMX in its sole disretion. 2.7 Contrat Prie The prie of an Index Contrat, the Contrat Prie, used in the Index Calulations is the settlement prie, published by eah ommodity s relevant exhange, multiplied by the assoiated Prie Unit, so that all Contrat Pries are measured in USD. For the LME metals, the losing pries (evening evaluation) are used. For more information, see table 1 in setion below. 2.8 Prie Unit The Prie Unit is the prie per unit in whih eah ommodity is quoted. For example Soybean Oil is quoted in ents per pound while Cotton is quoted in USD per pound. The Prie Unit for Soybean Oil would then be 0.01 while it would be 1 for Cotton. 2.9 Contrat Size The Contrat Size is the size whih eah ommodity is traded in. For example one ontrat of Soybean Oil is equal to 60,000 pounds while one ontrat of Cotton is equal to 50,000 pounds Index Commodity Table Table 1: Index Commodities inluded in NQCI 8 P a g e

9 Index Commodity Unit Contrat Size Prie Unit Exhange Brent Barrels 1,000 USD/barrel (1) ICE Natural Gas Million British thermal units (mmbtu) 10,000 USD/mmBtu (1) NYMEX Heating Oil Gallons 42,000 USD/gallon (1) NYMEX Crude Oil Barrels 1,000 USD/barrel (1) NYMEX Gasoline Gallons 42,000 USD/gallon (1) NYMEX Gas Oil Ton 100 USD/ton (1) ICE Zin Ton 25 USD/ton (1) LME Copper Ton 25 USD/ton (1) LME Aluminum Ton 25 USD/ton (1) LME Lead Ton 25 USD/ton (1) LME Nikel Ton 6 USD/ton (1) LME HG Copper Pounds 25,000 Cents/pound (0.01) COMEX Platinum Troy ounes 50 USD/troy oune (1) NYMEX Palladium Troy ounes 100 USD/troy oune (1) NYMEX Silver Troy ounes 5,000 Cents/oune (0.01) COMEX Gold Troy ounes 100 USD/troy oune (1) COMEX Wheat Bushels 5,000 Cents/bushel (0.01) CBOT Corn Bushels 5,000 Cents/bushel (0.01) CBOT Cotton Pounds 50,000 USD/pound (1) NYBOT Soybean Bushels 5,000 Cents/bushel (0.01) CBOT Soybean Meal Short tonnes 100 USD/short ton (1) CBOT Soybean Oil Pounds 60,000 Cents/pound (0.01) CBOT Sugar Pounds 112,000 Cents/pound (0.01) NYBOT Cooa Ton 10 USD/tonne (1) NYBOT Coffee Pounds 37,500 Cents/pound (0.01) NYBOT Winter Wheat Bushels 5,000 Cents/bushel (0.01) KCBOT Spring Wheat Bushels 5,000 Cents/bushel (0.01) MGE Robusta Coffee Ton 10 USD/ton (1) ICE White Sugar Ton 50 USD/ton (1) ICE Lean Hogs Pounds 40,000 Cents/pound (0.01) CME Live Cattle Pounds 40,000 Cents/pound (0.01) CME Feeder Cattle pounds 50,000 Cents/pound (0.01) CME 2.11 Average Notional Market Value The Average Notional Market Value for eah Index Commodity is alulated as the average of the produt of the open interest of eah relevant Index Contrat, the Contrat Prie and the Contrat 9 P a g e

10 Size alulated over eah Commodity Trading Day of the twelve-month period ending as of the lose of the last Index Trading Day in November (the Cut-Off Date) Average Daily Dollar Trading Volume The Average Daily Dollar Trading Volume for eah ommodity future is alulated as the average of the sum of the produt of the number of traded ontrats, the Contrat Prie ad the Contrat Size alulated over eah Commodity Trading Day of the twelve-month period ending at the lose of the Cut-Off Date 2,3. 3. Eligibility Criteria and Seletion Rules 3.1 Index Annual Review The Index Eligibility and Target Weights of the NASDAQ Commodity Index Family is reviewed annually based on market data as of the last Index Trading Day in November, the Cut-Off Date. Additionally, the NASDAQ Commodity Index Family is reviewed annually to allow for ontinued and orret representation of the global ommodity markets. 3.2 NASDAQ Commodity Index Eligibility To be eligible for inlusion in any NASDAQ Commodity Index, a ommodity future must meet the following riteria: Only futures ontrats of physially settled ommodities are onsidered for inlusion, and may not be on a finanial ommodity (e.g., equity). Must be traded on a regulated US or UK exhange. Must be USD-denominated Must have been traded for at least one full year before the ut-off date for the annual Index Review 2 Only ontrats that expire within maximum five years, ounting from year-end of the year the Index Review is onduted, are onsidered in the alulations of market value and average daily dollar trading volume. I.e., the Index Review for the 2012 seletion, with Cut-Off Date November , only onsiders traded ontrats with a maximum expiry date of Deember All referenes to pries throughout this doument refer to the settlement pries published by eah ommodity futures exhange, exept for the LME metals, where the losing pries (evening evaluation) are used. 10 P a g e

11 3.3 Seletion of NASDAQ Commodity Benhmark Index (NQCI) To be eligible for inlusion in the NASDAQ Commodity Benhmark Index, a ommodity must meet the riteria of setion 2.1 and the additional riteria: The ommodity future must have a total minimum Notional Market Value of $1 billion; The ommodity future must have a minimum notional twelve-month Average Daily Dollar Trading Volume of $100 million. The Setor and Single Commodity Indexes are derived from the Benhmark Index and hene based on the same seletion riteria. A ommodity whih is inluded in an Index will be alled an Index Commodity. 3.4 Seletion of NASDAQ Commodity Tradable Index (NQCIT) To be eligible for inlusion in the NASDAQ Commodity Tradable Index, an Index Commodity must meet the riteria from setions 2.1 and the additional riteria: The ommodity future must have a total minimum Notional Market Value of $10 billion; The ommodity future must have a minimum notional twelve-month Average Daily Dollar Trading Volume of $250 million. The inreased minimum requirement for the NQCI Tradable Index is designed to further inrease the tradability of the Index. The NQCI Tradable will only inlude the largest and most liquid ontrats, but will still represent an aurate benhmark of the market with improved trading harateristis due to the size and liquidity onstraints. 3.5 Index Rebalaning The NASDAQ Commodity Index Family is rebalaned in January of eah year based on Target Weights determined at the most reent Cut-Off Date and desribed in Setion P a g e

12 4. Index Weighting Eah January, eah Index is rebalaned to reflet hanges in the Average Notional Market Value and the Average Daily Dollar Trading Volume of eah Index Commodity. The new weights to be given to the Index Commodities are determined at the most reent Cut-Off Date, are referred to as Target Weights. 4.1 Target Weights The Target Weights are determined annually by the ombination of 2/3 of the Market Value Weight and 1/3 of the Average Daily Dollar Trading Volume Weight of eah Index Commodity (as expressed in the alulation steps below). (1) Calulate individual Market Value Weights (MVW): MVW = MV MV (2) Calulate individual Average Daily Dollar Trading Volume Weights (ADVW): ADVW = ADV ADV (3) Calulate individual Target Weights based on individual weights from (1) and (2): TW = 2 3 MVW ADVW Where MV = The Average Notional Market Value for Index Commodity at the last Cut-Off Date ADV = The Average Daily Dollar Trading Volume for Index Commodity at the last Cut-Off Date TW = The Target Weight for Index Commodity The sum of Target Weights equals 1: TW = 100%. 4.2 Target Index Holdings and Index Holdings The Target Index Holding for eah ontrat is alulated by dividing the Target Weight of eah Index Commodity by its respetive Index Contrat s prie on the Cut-Off Date and then saling this up so that the sum of Target Index Holdings aross the Index Commodities equals 1,000,000,000. Eah individual Index Commodity s Target Index Holding is then rounded to zero deimal digits. 12 P a g e

13 TIH = Round ( TW P d Sale Fator) Where TW =Target Weight for Index Commodity. TIH = Target Index Holdings for Index Commodity. d = the Cut-Off Date, or, in the event of a Market Disruption (see definition in setion 9) for any of the Index Contrats on day d, d will be reset to the last Index Trading day prior to the Cut-Off Date on whih none of the inluded Index Contrats had a Market Disruption. P d = Contrat Prie for the Index Contrat representing Index Commodity on day d. Sale Fator = 1,000,000,000 TW P d Target Index Holdings are rolled into the index over the January Roll Period (see below). One the Target Index Holdings have finished rolling in, they are no longer the Target Index Holdings and are instead referred to as Index Holdings. 13 P a g e

14 5. Contrat Seletion 5.1 Eligible Contrats per Commodity Eah ommodity future series onsists of a number of listed ontrats based on speifi alendar months. To be eligible to be an Index Contrat in the NQCI, a ontrat must be onsidered liquid enough and tradable during the roll periods. The ontrat analysis on eligible Index Contrats is reviewed on a regular basis as determined by NASDAQ OMX. The ontrat analysis is based upon a quantitative review of ontrol volumes and harateristis to ensure the best roll proess for eah ommodity and setor. Table 2: Eligible Index Contrats Table 3: Month letter odes 14 P a g e

15 6. Roll Due to the regular expiration of Index Contrats, a rolling method is needed to swith from an expiring Index Contrat to a futures ontrat with a farther expiry. Over the months February through Deember, The NQCI uses a market value based roll methodology whereby the market value of the existing (soon to expire) Index Contrat is rolled over to a new Index Contrat (a futures ontrat on the same Index Commodity, whih has a farther expiry than the existing Index Contrat) over a period of 5 Index Trading Days. The market value based roll methodology means that, during the Roll Period (defined below), the start of day market value of the Index is unhanged from lose of the previous Roll Day 4 (defined below). This means that the investor an follow the investment in eah ommodity during the roll by, eah Roll Day, buying an amount of the new Index Contrats that has the same value as the Index Contrats sold that day. In January, the NQCI annual rebalaning is done over the Roll Period and an alternative method to the market value based roll desribed above is used. 6.1 Roll Period The Roll Period for eah Index onsists of the first 5 Index Trading Days of that month. During the Roll Period the Index Contrats are sheduled to gradually roll over to ontrats with later maturity dates. A Roll Day is eah Index Trading Day in the Roll Period. In the event an Index Commodity is affeted by a Market Disruption or a Holiday on a Roll Day, Roll Days an be resheduled and the Roll Period an be adjusted, as detailed in Setion 9. This setion desribes the roll proedure assuming Index Commodities are not affeted by a Holiday or a Market Disruption during the Roll Period. 6.2 Roll Methodology for February through Deember Eah Roll Day, the Index Holdings of the Index Contrat rolling out of the Index are dereased by 20% of the initial Index Holdings of that Index Contrat just prior to the Roll Period, and their market value is replaed by inreasing the Index Holdings of the Index Contrat rolling into the index. This is done suh that, for eah Roll Day and for eah Index Commodity, the following Index Holdings are set for the Index Contrat that is rolled out of the Index and for the Index Contrat that is rolled in 5 : IH1 n = IH1 0 (5 n)/5 IH2 n = IH2 n 1 + 1/5 IH1 0 P1 n /P2 n 4 Note that this is the ase for all Roll Periods exept the January Roll Period, whih is when the Target Index Holdings determined in the preeding Annual Review are rolled in. See more details in setion For handling of Market Disruptions or Holidays see Setion 9 15 P a g e

16 = The relevant Index Commodity. n = The n-th Roll Day that month. IH1 0 = Index Holdings for the Index Contrat rolling out of the index for, immediately following the lose of the last Index Trading Day before the Roll Period and effetive in Index up until to the lose of n. IH1 n = Index Holdings for Index Contrat rolling out of the Index for, immediately following the lose of n. IH2 n = Index Holdings for Index Contrat rolling into the index for, immediately following the lose of n and effetive in Index up until the lose of n IH2 n 1 = Index Holdings for Index Contrat rolling into the index for, immediately following the lose of the last Index Trading Day preeding n. For n = 1, IH2 n 1 = 0. P1 n = Contrat Prie for Index Contrat rolling out of the index for on n. P2 n = Contrat Prie for Index Contrat rolling into the index for on n Shemati Overview of the Feb-De Roll Periods Below is a shemati overview desribing the Roll Methodology taking plae during the February- Deember Roll Periods: Day Last Index Trading Day before Roll Period Index Holdings for the Index Contrat rolling out of the Index (IH1), immediately after the lose of the day Index Holdings for Index Contrat rolling in to the Index (IH2), immediately after the lose of the day IH st Roll Day (n = 1) IH1 1 = IH IH2 1 = 0.2 IH1 0 P1 1 /P2 1 2 nd Roll Day (n = 2) IH1 2 = IH IH2 2 = IH2 1 + IH P1 2 /P2 2 3 rd Roll Day (n = 3) IH1 3 = IH IH2 3 = IH2 2 + IH P1 3 /P2 3 4 th Roll Day (n = 4) IH1 4 = IH IH2 4 = IH2 3 + IH P1 3 /P2 3 5 th Roll Day (n = 5) IH1 5 = 0 IH2 5 = IH2 4 + IH P1 4 /P2 4 First Index Trading Day following the Roll Period 0 IH P a g e

17 6.3 January Roll Period and Index Rebalaning The NASDAQ Commodity Index Family is rebalaned annually during the January Roll Period. This means the January Roll Period ombines swithing to the new Target Weights with the rolling of urrent Index Contrats to ontrats with a later maturity. Beause of that, the January Roll period does not use the market value based roll methodology desribed in 5.2 above. On eah Roll Day in January, for eah Index Commodity, the Index Holdings of the Index Contrat rolling out of the Index are dereased by 20% of the initial Index Holdings of that Index Contrat just prior to the Roll Period, and the Index Holdings of the Index Contrat rolling in to the Index are inreased by 20% of the Target Index Holdings for that Index Commodity, as determined in the latest Index Weighting, suh that: IH1 n = IH1 0 (5 n)/5 IH2 n = TIH n/5 = The relevant Index Commodity. n = The n-th Roll Day that month. IH1 0 = Index Holdings for the Index Contrat rolling out of the index for, immediately following the lose of the last Index Trading Day before the Roll Period. IH1 n = Index Holdings for Index Contrat rolling out of the Index for, immediately following the lose of n. IH2 n = Index Holdings for Index Contrat rolling into the index for Index Commodity, immediately following the lose of n. TIH = Target Index Holdings for, as determined in the latest Index Weighting Shemati overview of the January Roll Period Below is a shemati overview desribing the January Roll Period. Day Last Index Trading Day before the Roll Period Index Holdings for the Index Contrat rolling out of the Index (IH1), immediately after the lose of the day Index Holdings for Index Contrat rolling in to the Index (IH2), immediately after the lose of the day IH st Roll Day (n = 1) IH1 1 = IH IH2 1 = 0.2 TIH 2 nd Roll Day (n = 2) IH1 2 = IH IH2 2 = 0.4 TIH 3 rd Roll Day (n = 3) IH1 3 = IH IH2 3 = 0.6 TIH 4 th Roll Day (n = 4) IH1 4 = IH IH2 4 = 0.8 TIH 5 th Roll Day (n = 5) IH1 5 = 0 IH2 5 = TIH Index Trading Day immediately following the Roll Period 0 TIH 17 P a g e

18 7. Index Roll Versions The NQCI is alulated using five different roll versions. All five versions originate off the base roll shedule, whih is the Front Index Roll Shedule. 7.1 Front Index Rolls the front ontrat to next front ontrat on a monthly 3 basis The first Index roll version is a front-month, monthly rolled Index. This Index is designed to reflet investment in the front-month ontrat. The Index invests in the front ontrat of eah ommodity and will follow the speifi roll shedule established for eah ommodity nd Front Index Rolls the 2 nd front ontrat to next 2 nd front ontrat on a monthly 3 basis As 7.1 but eah month rolls into the 2 nd front ontrat instead of the front ontrat. This Index is designed to reflet an investment further out on the urve rd Front Index Rolls the 3 rd front ontrat to next 3 rd front ontrat on a monthly 3 basis As 7.1 but eah month rolls into the 3 rd front ontrat instead of the front ontrat. This Index is designed to reflet investment even further out on the urve than the 2 nd Front Index nd Front Hold Index Rolls the 2 nd front ontrat to next 2 nd front ontrat and holds to expiration This Index is designed to reflet buy and hold of a ontrat. The Index rolls into the 2 nd front ontrat and holds it to before expiration and then rolls into the next 2 nd front ontrat. The Index rolls before expiration of the inluded ontrat aording to the Front Index roll shedule, hene the Index does not roll eah month rd Front Hold Index Rolls 3 rd front to next 3 rd front ontrat and holds to expiration As 7.4, but rolls into the 3 rd front ontrat and holds it to before expiration and then rolls into the next 3 rd to front ontrat. The Index rolls before the expiration of the inluded ontrat aording to the Front Index roll shedule, hene the Index does not roll eah month. 18 P a g e

19 7.6 Roll Shedules Table 4: Front Index Roll Shedule 19 P a g e

20 The ontrats in the Roll Shedule refer to the Index Contrat that is being rolled into eah month. If the Index Contrat in a month is the same as previous month, this means that no roll will our that month. Table 5: Roll Shedules for all roll versions, examples for Crude Oil and Corn from launh in 2012: Example Crude Oil (twelve eligible Index Contrats per year): Jan Feb Mar Apr May Jun Jul Aug Sep Ot Nov De Front H J K M N Q U V X Z F G 2nd Front J K M N Q U V X Z F G H 3rd Front K M N Q U V X Z F G H J 2nd Hold J J M M Q Q V V Z Z G G 3rd Hold K K K Q Q Q X X X G G G Example Corn (five eligible Index Contrats per year): Jan Feb Mar Apr May Jun Jul Aug Sep Ot Nov De Front H K K N N U U Z Z Z H H 2nd Front K N N U U Z Z H H H K K 3rd Front N U U Z Z H H K K K N N 2nd Hold H N N N N Z Z Z Z Z K K 3rd Hold N N N N N H H H H H H H For a omplete overview of all Roll Shedules, see Indexes.nasdaqomx.om/Commodities/roll shedules. 20 P a g e

21 8. Index Calulations The alulation of the value of the Index is based on the hange of the Contrat Daily Return on any partiular Index Trading Day. 8.1 Contrat Daily Return (CDR) The Contrat Daily Return is alulated as follows: Where: = Any Index Contrat CDR d = w d 1 w d 1 P d 1 P d 1 = IH d 1 P d 1 k IH d 1 P d 1 w d 1 =The weight of Index Contrat in the Index immediately following the lose of the last Index Trading Day, d-1 d = Any Index Trading Day. d 1 = The Index Trading Day stritly preeding d P d = Contrat Prie on d. P d 1 = Contrat Prie on d-1 IH d 1 = Index Holdings for Index Contrat representing Index Commodity at d Exess Return Index Exess Return Index (ER) alulation: d = Any Index Trading Day ER Index Value d = ER Index Value d 1 (1 + CDR d ) d 1 = The Index Trading Day stritly preeding d CDR d =Contrat Daily Return on d 6 During a Roll Period there are two Index Contrats held for every Index Commodity and therefore, IH1 d 1 and IH2 d 1 would be used in the alulation 21 P a g e

22 8.3 Total Return Index Total Return Index (TR) alulation: TR Index Value d = TR Index Value d 1 (1 + CDR d + TBR d ) (1 + TBR d ) days Where: d =Any Index Trading Day. d 1 = The Index Trading Day stritly preeding d CDR d =Contrat Daily Return on d. TBR d =Treasury Bill Return on d. days = The number of days whih are not Index Trading Days from (but exluding) the last Index Trading Day before d to (but exluding) d Treasury Bill Return (TBR) The Treasury Bill Return is used to alulate the Total Return version on the NQCI. The alulations are representing a fully ollateralized investment in the risk-free rate of return. The Treasury bill return used in the alulations is the 91-day aution high rate for US Treasury bills on the most reent weekly aution date available on the preeding alulation day. The rate is generally published one a week on Mondays by the Bureau of Publi Debt, and is effetive in the alulations the next Index Trading Day. The last available rate is always used in the Index until the next beomes effetive. Note that the preeding day's rate is used in alulations: Where: 1 TBR d = ( 1 ( 91 ) 1/ ) TBrate d 1 d =Any Index Trading Day d 1 = The Index Trading Day stritly preeding d TBrate = The weekly 91-day aution high rate for US Treasury bills 8.4 Base Value The base value for the NQCI Family is P a g e

23 8.5 Base Date The base date for the NQCI Family is the lose of business on January 3, Index Calulation Times 9.1 Index Close The NASDAQ Commodity Indexes are alulated at 23:00 CET. 9.2 Index Dissemination NASDAQ Commodity Exess and Total Return Indexes are disseminated eah day at 23:00 CET. 10. Market Disruptions and Holidays If a Market Disruption or a Holiday ours on an Index Trading Day whih is not a Roll Day, the last available Contrat Prie will be used for the affeted Index Contrat in the Index Calulations 7. If a Market Disruption or a Holiday ours on a Roll Day in February through Deember, the roll of the affeted Index Commodity sheduled to take plae that day is postponed to the next Index Trading Day. This is done suh that the new roll sheduled to take plae over the next Index Trading Day inludes the roll that was already sheduled to take plae that day in addition to the roll that is postponed from the Holiday or Market Disruption Day. If the next Index Trading Day also happens to be a Holiday or a Market Disruption Day, then the same proedure is applied again. If a Market Disruption or a Holiday ours on the fifth Roll Day, then whatever roll was sheduled for that day is postponed to the next Index Trading Day on whih neither a Market Disruption nor a Holiday ours, extending the Roll Period as it relates to the affeted Index Commodity. If a Holiday or a Market Disruption ours during a Roll Day in January, then that day and all of the remaining Roll Days that month for that Index Commodity will be resheduled suh that they our one Index Trading Day later than they were previously sheduled. Thus, the remainder of the Roll Period as it pertains to the affeted Index Commodity is postponed by one Index Trading Day. In this way, the Roll for every Index Commodity is always onduted over 5 Index Trading Days on whih neither a Market Disruption nor a Holiday ours for that ommodity. Note that for all Roll Periods, the Index Contrats not affeted by a Holiday or a Market Disruption will roll as normal. 7. If the Settlement Prie is a limit prie, the limit prie will be used in the alulation of the relevant Index. 23 P a g e

24 Example: Market Disruptions and Holiday during Roll Periods The following examples use two Index Contrats A and B to show how a Holiday and a Market Disruption affet the Roll proedure in February Deember and, separately, in January. The first Thursday shown is a Holiday for enough Index Commodities suh that their Target Weights in the Index exeed 20%. Therefore that day is not an Index Trading Day and hene also not a Roll Day (for any Index Commodity in that Index). The Friday in the example is an Index Trading Day on whih only ommodity B is affeted by a Market Disruption. Only ommodity B is thus affeted by that disruption. The figures represent the Index Holdings for A and B on eah day as a perentage of the respetive Index Holdings on the last Index Trading Day prior to the Roll Period. 1) Change in Index Holdings on the Close of Eah Roll Day for Index Contrat Rolling Out of Index Day Fri Feb. De. Roll Period Jan. Roll Period A B A B Mon 1-20% -20% -20% -20% Tue 2-20% -20% -20% -20% Wed 3-20% -20% -20% -20% Thu (Holiday for A and B) - Fri (Market Disruption in B) 4-20% -20% Mon 5-20% -40% -20% -20% Tue 6-20% Wed 24 P a g e

25 2) Index Holdings immediately up until the Close of Eah Day for the Index Contrat Rolling Out of Index Day Feb. De. Roll Period Jan. Roll Period A B A B Fri 100% 100% 100% 100% Mon 1 100% 100% 100% 100% Tue 2 80% 80% 80% 80% Wed 3 60% 60% 60% 60% Thu (Holiday for A and B) - 40% 40% 40% 40% Fri (Market Disruption in B) 4 40% 40% 40% 40% Mon 5 20% 40% 20% 40% Tue 6 0% 0% 0% 20% Wed 0% 0% 0% 0% There an be no assurane, however, that a Market Disruption or any other fore majeure event will not have an adverse or distortive effet on the value of the Index or the manner in whih it is alulated 25 P a g e

26 11. Leverage and inverse index The NQCI leverage and inverse indexes have been onstruted with the objetive to reflet a strategy that aims to produe leveraged and inverse exposure to an underlying NQCI index with the finaning osts and the monetary gain embedded in the performane of the index. The leveraged versions are made up of the ombination of an investment aiming to repliate a long position with an inreased exposure and borrowing at a given interest rate. The inversed versions are made up of the ombination of an investment aiming to repliate an inreased short exposure with an additional monetary gain. 26 P a g e

27 11.1 The leverage and inverse index formula The formula for alulating the leverage and inverse indexes is I t = (I t 1 ) (1.0 + U + R) Where I t = Current value of the leveraged or inversed index I t 1 = Last losing value of the leveraged or inversed index and U = (C 1.0) Exposure Fator C = X t X t 1 X t = Current value of underlying index X t 1 = Last losing of the underlying index and R = S Interest Fator D S = Y d Y = r (t Interest Day) + Interest Rate Spread r t = Interest rate of Interest Rate ID on day t d = delta t, t 1/ Day ount onvention Interest Fator = Lending or deposit rate fator D = 2 Seurity Interest d 27 P a g e

28 11.2 Leverage and inverse index parameters The leverage index is alulated and disseminated on the same day as the underlying index. The alulation frequeny for leverage index is equal to frequeny of the underlying index. If the underlying index is suspended or not available for a period of time, the leverage index will be suspended until underlying index is available. The interest rate spread is adjustable. As of launh date, Deember 31, 2015, the spread is set to 0 bps for the leveraged versions and to 0 bps for the inverse versions. Changes in the spread will be notified one month before effetive in alulation. The seurity interest is only appliable for the short version. It will be ativated if the leverage short index suffers from extensive borrowing osts when maintaining a short position in shares of the underlying index. As of launh date, Deember 31, 2015, the seurity interest is set to zero (0). Changes in the seurity interest will be notified one week before effetive in alulation. Table 6: Example of Parameters valid for NQCIL3GCER and NQCIS3GCER Leverage Inverse Underlying Index NQCIL3GCER NQCIS3GCER Leverage Fator 3-3 Interest Rate US Fed Funds Effetive rate US Fed Funds Effetive rate Interest Rate Spread 0 0 Interest Day 1 1 Interest Fator Seurity Interest -2 NA Day Count Convention Atual 360 Atual A full table with the leveraged and inverse indexes in the NQCI family is found in Appendix B Leveraged NASDAQ Commodity indexes Base Value The base value for the leveraged and inverse NQCI indexes is Base Date The base date for the leveraged and inverse NQCI indexes is the lose of business on Deember 31, P a g e

29 12. Index Information Additional information onerning the NQCI is provided via Global Index Wath through Dislaimer NASDAQ OMX may, from time to time, exerise reasonable disretion as it deems appropriate in order to ensure Index integrity inluding but not limited to adjusting the weights of the setors, the alulation formula to reate setor weights, and quantitative inlusion riteria. NASDAQ OMX may also, due to speial irumstanes, if deemed essential, apply disretionary adjustments to ensure and maintain the high quality of the Index onstrution and alulation. CME, LME, MGE, ICE Futures, and KCBOT (olletively the Exhanges ) provide data on ommodity futures whih, in part, are used to ompile and alulate the NQCI. However, the Exhanges provide suh data as is and without representation or warranty on their part. The exhanges have no involvement with and aept no responsibility for the Indexes or any part of the Indexes, their suitability as an investment or their future performane. 14. Limits of Liability The NASDAQ OMX Group, In. and its affiliates ( NASDAQ OMX ) assume(s) no liability of any nature (inluding, but not limited to negligene) for any loss, damages, osts, laims and expenses related to or arising out of the use of the Indexes. NASDAQ OMX expressly dislaims all warranties, expressed or implied, as to the availability, auray, ompleteness, merhantability or fitness for a partiular purpose with respet to the Indexes. Neither NASDAQ OMX nor any third party make any express or implied warranties or representations in respet of the Indexes, the results to be obtained by the use hereof or the value of the Indexes at any given time. 29 P a g e

30 15. APPENDICES APPENDIX A - NASDAQ Commodity Index Family Name BENCHMARK INDEXES NASDAQ Commodity Benhmark Index ER NASDAQ Commodity Benhmark Index TR NASDAQ Commodity 2nd Front Benhmark Index ER NASDAQ Commodity 2nd Front Benhmark Index TR NASDAQ Commodity 3rd Front Benhmark Index ER NASDAQ Commodity 3rd Front Benhmark Index TR NASDAQ Commodity 2nd Hold Benhmark Index ER NASDAQ Commodity 2nd Hold Benhmark Index TR NASDAQ Commodity 3rd Hold Benhmark Index ER NASDAQ Commodity 3rd Hold Benhmark Index TR TRADABLE INDEXES NASDAQ Commodity Tradable Index ER NASDAQ Commodity Tradable Index TR NASDAQ Commodity 2nd Front Tradable Index ER NASDAQ Commodity 2nd Front Tradable Index TR NASDAQ Commodity 3rd Front Tradable Index ER NASDAQ Commodity 3rd Front Tradable Index TR NASDAQ Commodity 2nd Hold Tradable Index ER NASDAQ Commodity 2nd Hold Tradable Index TR NASDAQ Commodity 3rd Hold Tradable Index ER NASDAQ Commodity 3rd Hold Tradable Index TR Code NQCIER NQCITR NQCI2ER NQCI2TR NQCI3ER NQCI3TR NQCI2HER NQCI2HTR NQCI3HER NQCI3HTR NQCITER NQCITTR NQCI2TER NQCI2TTR NQCI3TER NQCI3TTR NQCI2HTER NQCI2HTTR NQCI3HTER NQCI3HTTR 30 P a g e

31 SECTOR INDEXES NASDAQ Commodity Agriulture Index ER NASDAQ Commodity Agriulture Index TR NASDAQ Commodity 2nd Front Agriulture Index ER NASDAQ Commodity 2nd Front Agriulture Index TR NASDAQ Commodity 3rd Front Agriulture Index ER NASDAQ Commodity 3rd Front Agriulture Index TR NASDAQ Commodity 2nd Hold Agriulture Index ER NASDAQ Commodity 2nd Hold Agriulture Index TR NASDAQ Commodity 3rd Hold Agriulture Index ER NASDAQ Commodity 3rd Hold Agriulture Index TR NASDAQ Commodity Div Agriulture ER NASDAQ Commodity Div Agriulture TR NASDAQ Commodity 2nd Front Div Agriulture ER NASDAQ Commodity 2nd Front Div Agriulture TR NASDAQ Commodity 3rd Front Div Agriulture ER NASDAQ Commodity 3rd Front Div Agriulture TR NASDAQ Commodity 2nd Hold Div Agriulture ER NASDAQ Commodity 2nd Hold Div Agriulture TR NASDAQ Commodity 3rd Hold Div Agriulture ER NASDAQ Commodity 3rd Hold Div Agriulture TR NASDAQ Commodity Energy Index ER NASDAQ Commodity Energy Index TR NASDAQ Commodity 2nd Front Energy Index ER NASDAQ Commodity 2nd Front Energy Index TR NASDAQ Commodity 3rd Front Energy Index ER NASDAQ Commodity 3rd Front Energy Index TR NASDAQ Commodity 2nd Hold Energy Index ER NASDAQ Commodity 2nd Hold Energy Index TR NASDAQ Commodity 3rd Hold Energy Index ER NASDAQ Commodity 3rd Hold Energy Index TR NASDAQ Commodity Grains Index ER NASDAQ Commodity Grains Index TR NASDAQ Commodity 2nd Front Grains Index ER NASDAQ Commodity 2nd Front Grains Index TR NASDAQ Commodity 3rd Front Grains Index ER NASDAQ Commodity 3rd Front Grains Index TR NASDAQ Commodity 2nd Hold Grains Index ER NASDAQ Commodity 2nd Hold Grains Index TR NASDAQ Commodity 3rd Hold Grains Index ER NASDAQ Commodity 3rd Hold Grains Index TR NASDAQ Commodity Industrial Metals ER NASDAQ Commodity Industrial Metals TR NASDAQ Commodity 2nd Front Industrial Metals ER NASDAQ Commodity 2nd Front Industrial Metals TR NASDAQ Commodity 3rd Front Industrial Metals ER NASDAQ Commodity 3rd Front Industrial Metals TR NASDAQ Commodity 2nd Hold Industrial Metals ER NQCIACER NQCIACTR NQCI2ACER NQCI2ACTR NQCI3ACER NQCI3ACTR NQCI2HACER NQCI2HACTR NQCI3HACER NQCI3HACTR NQCIDAER NQCIDATR NQCI2DAER NQCI2DATR NQCI3DAER NQCI3DATR NQCI2HDAER NQCI2HDATR NQCI3HDAER NQCI3HDATR NQCIENER NQCIENTR NQCI2ENER NQCI2ENTR NQCI3ENER NQCI3ENTR NQCI2HENER NQCI2HENTR NQCI3HENER NQCI3HENTR NQCIGRER NQCIGRTR NQCI2GRER NQCI2GRTR NQCI3GRER NQCI3GRTR NQCI2HGRER NQCI2HGRTR NQCI3HGRER NQCI3HGRTR NQCIIMER NQCIIMTR NQCI2IMER NQCI2IMTR NQCI3IMER NQCI3IMTR NQCI2HIMER 31 P a g e

32 NASDAQ Commodity 2nd Hold Industrial Metals TR NASDAQ Commodity 3rd Hold Industrial Metals ER NASDAQ Commodity 3rd Hold Industrial Metals TR NASDAQ Commodity Live Stok Index ER NASDAQ Commodity Live Stok Index TR NASDAQ Commodity 2nd Front Live Stok Index ER NASDAQ Commodity 2nd Front Live Stok Index TR NASDAQ Commodity 3rd Front Live Stok Index ER NASDAQ Commodity 3rd Front Live Stok Index TR NASDAQ Commodity 2nd Hold Live Stok Index ER NASDAQ Commodity 2nd Hold Live Stok Index TR NASDAQ Commodity 3rd Hold Live Stok Index ER NASDAQ Commodity 3rd Hold Live Stok Index TR NASDAQ Commodity Metals Index ER NASDAQ Commodity Metals Index TR NASDAQ Commodity 2nd Front Metals Index ER NASDAQ Commodity 2nd Front Metals Index TR NASDAQ Commodity 3rd Front Metals Index ER NASDAQ Commodity 3rd Front Metals Index TR NASDAQ Commodity 2nd Hold Metals Index ER NASDAQ Commodity 2nd Hold Metals Index TR NASDAQ Commodity 3rd Hold Metals Index ER NASDAQ Commodity 3rd Hold Metals Index TR NASDAQ Commodity Petroleum Index ER NASDAQ Commodity Petroleum Index TR NASDAQ Commodity 2nd Front Petroleum Index ER NASDAQ Commodity 2nd Front Petroleum Index TR NASDAQ Commodity 3rd Front Petroleum Index ER NASDAQ Commodity 3rd Front Petroleum Index TR NASDAQ Commodity 2nd Hold Petroleum Index ER NASDAQ Commodity 2nd Hold Petroleum Index TR NASDAQ Commodity 3rd Hold Petroleum Index ER NASDAQ Commodity 3rd Hold Petroleum Index TR NASDAQ Commodity Preious Metals ER NASDAQ Commodity Preious Metals TR NASDAQ Commodity 2nd Front Preious Metals ER NASDAQ Commodity 2nd Front Preious Metals TR NASDAQ Commodity 3rd Front Preious Metals ER NASDAQ Commodity 3rd Front Preious Metals TR NASDAQ Commodity 2nd Hold Preious Metals ER NASDAQ Commodity 2nd Hold Preious Metals TR NASDAQ Commodity 3rd Hold Preious Metals ER NASDAQ Commodity 3rd Hold Preious Metals TR NASDAQ Commodity Softs Index ER NASDAQ Commodity Softs Index TR NASDAQ Commodity 2nd Front Softs Index ER NASDAQ Commodity 2nd Front Softs Index TR NASDAQ Commodity 3rd Front Softs Index ER NASDAQ Commodity 3rd Front Softs Index TR NQCI2HIMTR NQCI3HIMER NQCI3HIMTR NQCILSER NQCILSTR NQCI2LSER NQCI2LSTR NQCI3LSER NQCI3LSTR NQCI2HLSER NQCI2HLSTR NQCI3HLSER NQCI3HLSTR NQCIMEER NQCIMETR NQCI2MEER NQCI2METR NQCI3MEER NQCI3METR NQCI2HMEER NQCI2HMETR NQCI3HMEER NQCI3HMETR NQCIPEER NQCIPETR NQCI2PEER NQCI2PETR NQCI3PEER NQCI3PETR NQCI2HPEER NQCI2HPETR NQCI3HPEER NQCI3HPETR NQCIPMER NQCIPMTR NQCI2PMER NQCI2PMTR NQCI3PMER NQCI3PMTR NQCI2HPMER NQCI2HPMTR NQCI3HPMER NQCI3HPMTR NQCISOER NQCISOTR NQCI2SOER NQCI2SOTR NQCI3SOER NQCI3SOTR 32 P a g e

33 NASDAQ Commodity 2nd Hold Softs Index ER NASDAQ Commodity 2nd Hold Softs Index TR NASDAQ Commodity 3rd Hold Softs Index ER NASDAQ Commodity 3rd Hold Softs Index TR NQCI2HSOER NQCI2HSOTR NQCI3HSOER NQCI3HSOTR 33 P a g e

34 SINGLE COMMODITY INDEXES NASDAQ Commodity Aluminum Index ER NASDAQ Commodity Aluminum Index TR NASDAQ Commodity 2nd Front Aluminum Index ER NASDAQ Commodity 2nd Front Aluminum Index TR NASDAQ Commodity 3rd Front Aluminum Index ER NASDAQ Commodity 3rd Front Aluminum Index TR NASDAQ Commodity 2nd Hold Aluminum Index ER NASDAQ Commodity 2nd Hold Aluminum Index TR NASDAQ Commodity 3rd Hold Aluminum Index ER NASDAQ Commodity 3rd Hold Aluminum Index TR NASDAQ Commodity Brent Crude Index ER NASDAQ Commodity Brent Crude Index TR NASDAQ Commodity 2nd Front Brent Crude Index ER NASDAQ Commodity 2nd Front Brent Crude Index TR NASDAQ Commodity 3rd Front Brent Crude Index ER NASDAQ Commodity 3rd Front Brent Crude Index TR NASDAQ Commodity 2nd Hold Brent Crude Index ER NASDAQ Commodity 2nd Hold Brent Crude Index TR NASDAQ Commodity 3rd Hold Brent Crude Index ER NASDAQ Commodity 3rd Hold Brent Crude Index TR NASDAQ Commodity Cooa Index ER NASDAQ Commodity Cooa Index TR NASDAQ Commodity 2nd Front Cooa Index ER NASDAQ Commodity 2nd Front Cooa Index TR NASDAQ Commodity 3rd Front Cooa Index ER NASDAQ Commodity 3rd Front Cooa Index TR NASDAQ Commodity 2nd Hold Cooa Index ER NASDAQ Commodity 2nd Hold Cooa Index TR NASDAQ Commodity 3rd Hold Cooa Index ER NASDAQ Commodity 3rd Hold Cooa Index TR NASDAQ Commodity Coffee Index ER NASDAQ Commodity Coffee Index TR NASDAQ Commodity 2nd Front Coffee Index ER NASDAQ Commodity 2nd Front Coffee Index TR NASDAQ Commodity 3rd Front Coffee Index ER NASDAQ Commodity 3rd Front Coffee Index TR NASDAQ Commodity 2nd Hold Coffee Index ER NASDAQ Commodity 2nd Hold Coffee Index TR NQCIALER NQCIALTR NQCI2ALER NQCI2ALTR NQCI3ALER NQCI3ALTR NQCI2HALER NQCI2HALTR NQCI3HALER NQCI3HALTR NQCICBER NQCICBTR NQCI2CBER NQCI2CBTR NQCI3CBER NQCI3CBTR NQCI2HCBER NQCI2HCBTR NQCI3HCBER NQCI3HCBTR NQCICCER NQCICCTR NQCI2CCER NQCI2CCTR NQCI3CCER NQCI3CCTR NQCI2HCCER NQCI2HCCTR NQCI3HCCER NQCI3HCCTR NQCIKCER NQCIKCTR NQCI2KCER NQCI2KCTR NQCI3KCER NQCI3KCTR NQCI2HKCER NQCI2HKCTR 34 P a g e

35 NASDAQ Commodity 3rd Hold Coffee Index ER NASDAQ Commodity 3rd Hold Coffee Index TR NASDAQ Commodity Copper Index ER NASDAQ Commodity Copper Index TR NASDAQ Commodity 2nd Front Copper Index ER NASDAQ Commodity 2nd Front Copper Index TR NASDAQ Commodity 3rd Front Copper Index ER NASDAQ Commodity 3rd Front Copper Index TR NASDAQ Commodity 2nd Hold Copper Index ER NASDAQ Commodity 2nd Hold Copper Index TR NASDAQ Commodity 3rd Hold Copper Index ER NASDAQ Commodity 3rd Hold Copper Index TR NASDAQ Commodity Corn Index ER NASDAQ Commodity Corn Index TR NASDAQ Commodity 2nd Front Corn Index ER NASDAQ Commodity 2nd Front Corn Index TR NASDAQ Commodity 3rd Front Corn Index ER NASDAQ Commodity 3rd Front Corn Index TR NASDAQ Commodity 2nd Hold Corn Index ER NASDAQ Commodity 2nd Hold Corn Index TR NASDAQ Commodity 3rd Hold Corn Index ER NASDAQ Commodity 3rd Hold Corn Index TR NASDAQ Commodity Cotton Index ER NASDAQ Commodity Cotton Index TR NASDAQ Commodity 2nd Front Cotton Index ER NASDAQ Commodity 2nd Front Cotton Index TR NASDAQ Commodity 3rd Front Cotton Index ER NASDAQ Commodity 3rd Front Cotton Index TR NASDAQ Commodity 2nd Hold Cotton Index ER NASDAQ Commodity 2nd Hold Cotton Index TR NASDAQ Commodity 3rd Hold Cotton Index ER NASDAQ Commodity 3rd Hold Cotton Index TR NASDAQ Commodity Crude Oil Index ER NASDAQ Commodity Crude Oil Index TR NASDAQ Commodity 2nd Front Crude Oil Index ER NASDAQ Commodity 2nd Front Crude Oil Index TR NASDAQ Commodity 3rd Front Crude Oil Index ER NASDAQ Commodity 3rd Front Crude Oil Index TR NASDAQ Commodity 2nd Hold Crude Oil Index ER NQCI3HKCER NQCI3HKCTR NQCICUER NQCICUTR NQCI2CUER NQCI2CUTR NQCI3CUER NQCI3CUTR NQCI2HCUER NQCI2HCUTR NQCI3HCUER NQCI3HCUTR NQCICER NQCICTR NQCI2CER NQCI2CTR NQCI3CER NQCI3CTR NQCI2HCER NQCI2HCTR NQCI3HCER NQCI3HCTR NQCICTER NQCICTTR NQCI2CTER NQCI2CTTR NQCI3CTER NQCI3CTTR NQCI2HCTER NQCI2HCTTR NQCI3HCTER NQCI3HCTTR NQCICLER NQCICLTR NQCI2CLER NQCI2CLTR NQCI3CLER NQCI3CLTR NQCI2HCLER 35 P a g e

36 NASDAQ Commodity 2nd Hold Crude Oil Index TR NASDAQ Commodity 3rd Hold Crude Oil Index ER NASDAQ Commodity 3rd Hold Crude Oil Index TR NASDAQ Commodity Feeder Cattle Index ER NASDAQ Commodity Feeder Cattle Index TR NASDAQ Commodity 2nd Front Feeder Cattle Index ER NASDAQ Commodity 2nd Front Feeder Cattle Index TR NASDAQ Commodity 3rd Front Feeder Cattle Index ER NASDAQ Commodity 3rd Front Feeder Cattle Index TR NASDAQ Commodity 2nd Hold Feeder Cattle Index ER NASDAQ Commodity 2nd Hold Feeder Cattle Index TR NASDAQ Commodity 3rd Hold Feeder Cattle Index ER NASDAQ Commodity 3rd Hold Feeder Cattle Index TR NASDAQ Commodity Gasoil Index ER NASDAQ Commodity Gasoil Index TR NASDAQ Commodity 2nd Front Gasoil Index ER NASDAQ Commodity 2nd Front Gasoil Index TR NASDAQ Commodity 3rd Front Gasoil Index ER NASDAQ Commodity 3rd Front Gasoil Index TR NASDAQ Commodity 2nd Hold Gasoil Index ER NASDAQ Commodity 2nd Hold Gasoil Index TR NASDAQ Commodity 3rd Hold Gasoil Index ER NASDAQ Commodity 3rd Hold Gasoil Index TR NASDAQ Commodity Gasoline Index ER NASDAQ Commodity Gasoline Index TR NASDAQ Commodity 2nd Front Gasoline Index ER NASDAQ Commodity 2nd Front Gasoline Index TR NASDAQ Commodity 3rd Front Gasoline Index ER NASDAQ Commodity 3rd Front Gasoline Index TR NASDAQ Commodity 2nd Hold Gasoline Index ER NASDAQ Commodity 2nd Hold Gasoline Index TR NASDAQ Commodity 3rd Hold Gasoline Index ER NASDAQ Commodity 3rd Hold Gasoline Index TR NASDAQ Commodity Gold Index ER NASDAQ Commodity Gold Index TR NASDAQ Commodity 2nd Front Gold Index ER NASDAQ Commodity 2nd Front Gold Index TR NASDAQ Commodity 3rd Front Gold Index ER NASDAQ Commodity 3rd Front Gold Index TR NQCI2HCLTR NQCI3HCLER NQCI3HCLTR NQCIFCER NQCIFCTR NQCI2FCER NQCI2FCTR NQCI3FCER NQCI3FCTR NQCI2HFCER NQCI2HFCTR NQCI3HFCER NQCI3HFCTR NQCIGOER NQCIGOTR NQCI2GOER NQCI2GOTR NQCI3GOER NQCI3GOTR NQCI2HGOER NQCI2HGOTR NQCI3HGOER NQCI3HGOTR NQCIRBER NQCIRBTR NQCI2RBER NQCI2RBTR NQCI3RBER NQCI3RBTR NQCI2HRBER NQCI2HRBTR NQCI3HRBER NQCI3HRBTR NQCIGCER NQCIGCTR NQCI2GCER NQCI2GCTR NQCI3GCER NQCI3GCTR 36 P a g e

37 NASDAQ Commodity 2nd Hold Gold Index ER NASDAQ Commodity 2nd Hold Gold Index TR NASDAQ Commodity 3rd Hold Gold Index ER NASDAQ Commodity 3rd Hold Gold Index TR NASDAQ Commodity Heating Oil Index ER NASDAQ Commodity Heating Oil Index TR NASDAQ Commodity 2nd Front Heating Oil Index ER NASDAQ Commodity 2nd Front Heating Oil Index TR NASDAQ Commodity 3rd Front Heating Oil Index ER NASDAQ Commodity 3rd Front Heating Oil Index TR NASDAQ Commodity 2nd Hold Heating Oil Index ER NASDAQ Commodity 2nd Hold Heating Oil Index TR NASDAQ Commodity 3rd Hold Heating Oil Index ER NASDAQ Commodity 3rd Hold Heating Oil Index TR NASDAQ Commodity HG Copper Index ER NASDAQ Commodity HG Copper Index TR NASDAQ Commodity 2nd Front HG Copper Index ER NASDAQ Commodity 2nd Front HG Copper Index TR NASDAQ Commodity 3rd Front HG Copper Index ER NASDAQ Commodity 3rd Front HG Copper Index TR NASDAQ Commodity 2nd Hold HG Copper Index ER NASDAQ Commodity 2nd Hold HG Copper Index TR NASDAQ Commodity 3rd Hold HG Copper Index ER NASDAQ Commodity 3rd Hold HG Copper Index TR NASDAQ Commodity Kansas Wheat Index ER NASDAQ Commodity Kansas Wheat Index TR NASDAQ Commodity 2nd Front Kansas Wheat Index ER NASDAQ Commodity 2nd Front Kansas Wheat Index TR NASDAQ Commodity 3rd Front Kansas Wheat Index ER NASDAQ Commodity 3rd Front Kansas Wheat Index TR NASDAQ Commodity 2nd Hold Kansas Wheat Index ER NASDAQ Commodity 2nd Hold Kansas Wheat Index TR NASDAQ Commodity 3rd Hold Kansas Wheat Index ER NASDAQ Commodity 3rd Hold Kansas Wheat Index TR NASDAQ Commodity Lead Index ER NASDAQ Commodity Lead Index TR NASDAQ Commodity 2nd Front Lead Index ER NASDAQ Commodity 2nd Front Lead Index TR NASDAQ Commodity 3rd Front Lead Index ER NQCI2HGCER NQCI2HGCTR NQCI3HGCER NQCI3HGCTR NQCIHOER NQCIHOTR NQCI2HOER NQCI2HOTR NQCI3HOER NQCI3HOTR NQCI2HHOER NQCI2HHOTR NQCI3HHOER NQCI3HHOTR NQCIHGER NQCIHGTR NQCI2HGER NQCI2HGTR NQCI3HGER NQCI3HGTR NQCI2HHGER NQCI2HHGTR NQCI3HHGER NQCI3HHGTR NQCIKWER NQCIKWTR NQCI2KWER NQCI2KWTR NQCI3KWER NQCI3KWTR NQCI2HKWER NQCI2HKWTR NQCI3HKWER NQCI3HKWTR NQCIPBER NQCIPBTR NQCI2PBER NQCI2PBTR NQCI3PBER 37 P a g e