The data and information (the “Information”) presented in this methodology (this “Methodology”) reflect the

methodology for determining the composition and calculation of the Bloomberg Commodity Index
(“BCOM” or the “Index”) and related sector, ex-sector, forward, roll select and currency-hedged
Bloomberg Commodity Indices (the “Subindices”), which is calculated, administered and pub lished by
Bloomberg Index Services Limited (“BISL” or the “Index Administrator” and, collectively with its affiliates,
“Bloomberg”). This Methodology is the successor document to the Dow Jones -UBS Commodity Index
Handbook published in prior years and replaces it in its entirety.

By accepting this Methodology, you agree that you will not reproduce the Methodology, in whole or part,
in any form or by any means, or disclose, reproduce, redistribute or transmit, in whole or part, in any form
or by any means, the Information without the written consent of BISL. The Information may not be used as
the basis of any product without the express prior written consent of BISL.

Nothing contained in this Methodology should be construed as a solicitation of any transaction or as a

representation regarding the potential success of any transaction that is based on the Index. Bloomberg
does not act as a fiduciary or financial, investment or commodity trading advisor for its
counterparties, each of which is responsible for its own investment and trading decisions.

This Methodology contains information as of the date appearing on its cover, and such information may
change from time to time. While this Methodology will be updated periodically, no assurance can be given
that this Methodology reflects information subsequent to the date appearing above.

Information for inclusion in, or for use in, the calculation of the Index (including historic price, liquidity and
production data) is obtained from sources whose accuracy is believed to be reliable but which may be
subject to errors in data sources or errors that may affect the calculation of the Index weights. Any
discrepancies requiring revision will not be applied retroactively but will be reflected in the weighting
calculations of the Index for the following year.

Neither Bloomberg nor any of its respective subsidiaries or affiliates: (i) makes any representation or
warranty, express or implied, regarding the Index, related indices, Subindices or any data included therein;
(ii) guarantees the accuracy and/or completeness of the Index, related indices, Subindices or any data
included therein; (iii) shall have any liability for any errors, omissions or interruptions with respect to the
Index, related indices, Subindices or related data; (iv) makes any warranty, express or implied, as to the
results to be obtained by any person or entity, and each of them expressly disclaims all warranties of
merchantability or fitness for a particular purpose or use, with respect to the Index, related indices,
Subindices or any data included therein; and (v) without limiting any of the foregoing, in no event shall
Bloomberg or any of its subsidiaries or affiliates have any liability for any lost profits or indirect, punitive,
special or consequential damages or losses, even if notified of the possibility thereof.

SEE “CERTAIN RISKS ASSOCIATED WITH THE BLOOMBERG COMMODITY INDEX” BEGINNING ON
PAGE 10 FOR IMPORTANT RISKS AND DISCLAIMERS RELATING TO THE INDEX AND THE
INFORMATION CONTAINED HEREIN.

2
Each of the following is a trademark or service mark of Bloomberg:
• Bloomberg
• Bloomberg Indices
• Bloomberg Commodity Index
• BCOM
• Each of the Subindex names set forth in, or referenced by, Appendix H and Appendix K
• Each of the Currency Converted, Monthly Currency Hedged and Daily Currency Hedged Indices set
forth in Appendix I
• Each of the Forward Month BCOM and BCOMTR names set forth in Appendix J
• Each of the index names set forth in Appendix L or Appendix M

3
CHAPTER 1 OVERVIEW OF THE INDEX 5
SECTION 1.1 INTRODUCTION 5
SECTION 1.2 CONSTRUCTION PRINCIPLES 6
SECTION 1.3 GOVERNANCE 9
SECTION 1.4 INDEX LIMITATIONS AND RISKS 11

CHAPTER 2 INDEX CONSTRUCTION 15

SECTION 2.1 INDEX CONSTRUCTION OVERVIEW 15
SECTION 2.2 COMMODITY SELECTION 16
Commodities Available for Inclusion 17
Designated Contracts 17
Commodity Groups 20
Commodity Sectors 21
SECTION 2.3 CALCULATION OF COMMODITY LIQUIDITY PERCENTAGES 21
SECTION 2.4 COMMODITY PRODUCTION PERCENTAGES 24
SECTION 2.5 ALLOCATION OF COMMODITY PRODUCTION TO DERIVATIVE COMMODITIES 28
SECTION 2.6 CALCULATION OF THE COMMODITY INDEX PERCENTAGES 29
SECTION 2.7 CALCULATION OF THE COMMODITY INDEX MULTIPLIERS 33
SECTION 2.8 ONGOING CALCULATION OF WAV1 AND WAV2 36

CHAPTER 3 CALCULATION OF THE INDICES 38

SECTION 3.1 CALCULATION OF THE BLOOMBERG COMMODITY INDEX 38
SECTION 3.2 CALCULATION OF BCOM TOTAL RETURN INDEX 39
SECTION 3.3 MARKET DISRUPTION EVENTS 41

APPENDIX 43
APPENDIX A GLOSSARY 43
APPENDIX B ADDITIONAL NOTES ON INDEX CONSTRUCTION 47
APPENDIX C EXAMPLE ROLL PERIOD CALCULATIONS 49
APPENDIX D CALCULATION OF COMMODITY INDEX PERCENTAGES 50
APPENDIX E SUMMARY OF CALCULATIONS 58
APPENDIX F CPWS AND LEAD FUTURES PRICES FOR 2022 BCOM 61
APPENDIX G MARKET DISRUPTION EVENT INDEX CALCULATIONS 63
APPENDIX H INDIVIDUAL SUBINDEX CALCULATIONS 65
APPENDIX I CALCULATION OF NON-USD BCOM AND BCOMTR 69
APPENDIX J CALCULATION OF FORWARD MONTH INDICES 77
APPENDIX K CALCULATION OF 50:50 AGRICULTURE AND ENERGY INDEX 82
APPENDIX L CALCULATION OF ROLL SELECT INDEX 83
APPENDIX M CALCULATION OF 2-4-6 FORWARD BLEND 86
APPENDIX N CALCULATION OF SETTLEMENT INDICES 88
APPENDIX O CALCULATION OF EX-AG & LIVESTOCK CAPPED INDICES 89
APPENDIX P CALCULATION OF SINGLE COMMODITY CAPPED INDICES 93
APPENDIX Q BLOOMBERG COMMODITY INDEX FILES 94
APPENDIX R CALCULATION OF LEVERAGED AND INVERSE INDICES 95
APPENDIX S POLICIES & PROCEDURES 97

4
Certain defined terms used in this Methodology are described in Appendix A.

SECTION 1.1 INTRODUCTION

The Bloomberg Commodity Index (“BCOM” or the “Index”) is designed to be a highly liquid and diversified
benchmark for commodity investments. BCOM provides broad-based exposure to commodities and no
single commodity or sector dominates the Index.

Representativeness

The indices use a consistent, systematic process to represent the commodity markets. A commodity index
should fairly represent the importance of a diversified group of commodities to the world economy. To
achieve a fair representation, BCOM uses both liquidity data and U.S. -dollar-weighted production data in
determining the relative quantities of included commodities. BCOM Index purports to provide diversified
exposure to commodities as an asset class. The explicit inclusion of liquidity as a weighting factor helps to
ensure that BCOM can accommodate substantial investment flows.

The Index was created by AIG International Inc. in 1998, acquired by UBS in May 2009, administered by
Bloomberg starting in 2014, which later acquired the Index in September 2020. BISL calculates and
administers BCOM (which is calculated on an excess return basis), a total return index based on BCOM
(the “BCOMTR”) and each of the related indices and Subindices described in this Methodology.2

This Methodology describes the calculation methodology for the Index and its related indices and
Subindices. Material changes or amendments to this Methodology are subject to approval by the Product,
Risk & Operations Committee (further described in Section 1.3). Questions and issues relating to the
application and interpretation of terms contained in this document generally and calculations during periods
of extraordinary circumstances in particular will be resolved or determined by BISL.

Throughout this Methodology, references to “BCOM” and “Index” shall also refer to its related indices
and Subindices, except if the context does not so require.

1. See, e.g., E. Ankrim, and C. Hensel C., “Commodities in Asset Allocation: A Real-Asset Alternative to Real Estate,
Financial Analysts Journal, May/June 1993: 20–29; K. Froot, “Hedging Portfolios with Real Assets,” Journal of Portfolio
Management Summer 1995: 60–77; G. Huberman, “The Desirability of Investment in Commodities via Commodities
Futures,” Derivatives Quarterly, Fall 1995: 65–67.

2. Values of BCOM, BCOMTR and related indices and Subindices are currently distributed by various major market
data vendors.

5
SECTION 1.2 CONSTRUCTION PRINCIPLES

The value of the Index is computed on the basis of hypothetical investments in the basket of commodities
that make up the Index. The Index embodies four main principles in its design:

• Economic Significance
• Diversification
• Continuity
• Liquidity

(1) Economic Significance

A commodity index should fairly represent the importance of a diversified group of commodities to the world
economy. To achieve a fair representation, BCOM uses both liquidity data and U.S.-dollar-weighted
production data in determining the relative quantities of included commodities.

BCOM primarily relies on liquidity data, or the relative amount of trading activity of a particular commodity,
as an important indicator of the value placed on that commodity by financial and physical market
participants. BCOM also relies on production data as a useful measure of the importance of a commodity to
the world economy. Production data alone, however, may underestimate the economic significance of
storable commodities (e.g., gold) at the expense of relatively non-storable commodities (e.g., live cattle).
Production data alone may also underestimate the investment value that financial market participants place
on certain commodities and/or the amount of commercial activity that is centered on various commodities.
Accordingly, production statistics alone do not necessarily provide as accurate a reflection of economic
importance as the pronouncements of the markets themselves. BCOM thus relies on data that is both
endogenous to the futures markets (liquidity) and exogenous to the futures markets (production) in
determining relative weightings.

Gold clearly illustrates the potential shortcomings of exclusive reliance on production data and the greater
balance provided by reliance on liquidity data. Since time immemorial, gold has played a unique role in the
world of commodities that is not effectively captured by current production data. For example, although only
2,340 metric tons of gold were produced in 2007, approximately 29,900 metric tons were held as official
government reserves. Of the approximately 155,000 tons of gold that has historically been mined, as of
2007, approximately 85% was still held by central banks and by nongovernmental entities in bullion, coin,
and jewelry form.3

Based on production data, a production-based ranking of commodities would result in a relatively low weight
of approximately 1.6% for gold. Conversely, a relatively non-storable commodity, such as live cattle, would
receive an approximate weighting of 6.5% under a production-based ranking.4 This 4:1 approximate ratio of
live cattle to gold may not appropriately reflect the relative economic significance of the two commodities.
For example, a 100% increase in the price of gold may be a more significant global economic event than a
25% increase in the price of live cattle, yet the two events would have a nearly identical impact on a
production-weighted index. Primary reliance on liquidity data as a weighting measure reduces this type of
distortion.

3. U.S. Geological Survey 2007 Minerals Yearbook–Gold, Table 1 & Table 8, 31.2.
4. See Appendix D.

6
(2) Diversification
A second major goal of BCOM is to provide diversified exposure to commodities as an asset class.
Disproportionate weighting of any particular commodity or sector increases volatility and negates the
concept of a broad-based commodity index. Instead of diversified commodities exposure, the investor is
unduly subjected to micro-economic shocks in one commodity or sector.

The following diversification rules have been established and are applied annually:

• No single commodity (e.g., natural gas, silver) may constitute more than 15% of the Index;
• No single commodity, together with its derivatives (e.g., WTI crude oil and Brent crude oil, together
with ULS diesel, Unleaded gas, and Low Sulfur Gas Oil), may constitute more than 25% of the Index;
• No related group of commodities (e.g., energy, precious metals, livestock or grains) may constitute
more than 33% of the Index;
• No single commodity (e.g., natural gas, silver) may constitute less than 2% of the Index as liquidity
allows.

The last rule helps to increase the diversification of the Index by giving even the smallest commodity within
the basket a reasonably significant weight. Commodities with small weights initially may have their weights
increased to higher than 2% by prior steps.

In addition to the above rules, BCOM is rebalanced annually on a price-percentage basis to maintain
diversified commodities exposure over time.5

(3) Continuity
A third goal of BCOM is to be responsive to the changing nature of commodity markets in a manner that
does not completely reshape the character of the Index from year to year. BCOM is intended to provide a
stable benchmark, so that end-users may be reasonably confident that historical performance data
(including such diverse measures as correlation, spot yield, roll yield and volatility) is based on a structure
that bears some resemblance to both the current and future composition of the Index. Several Index
features, including annual rebalancing, five-year averaging 6 of liquidity and production data, and the
diversification rules set forth below,7 should allow for a smooth response to future market developments.

(4) Liquidity
Another goal of BCOM is to provide a highly liquid index, suitable for institutional investment. The explicit
inclusion of liquidity as a weighting factor helps to ensure that BCOM can accommodate substantial
investment flows. The liquidity of an index not only affects transaction costs associated with current
investments, but may also affect the reliability of historical price performance data. That is, to the extent that
market inefficiencies may result from substantial inflows of investment capital, these inefficiencies—and
corresponding distortions in index performance—will be minimized by weighting distributions that more
closely mirror actual liquidity in the markets.

(5) Summary

5. See Section 2.7.

6. See Sections 2.3 and 2.4.
7. See Section 2.6.

7
Table 1 illustrates the percentage weights for certain commodities and commodity groups in BCOM as of
January 2022,8 based on the principles described above. It should be noted that no single commodity or
group dominates the Index, creating a truly diversified commodities benchmark. Additional details in respect
to the percentage weights are set forth in Appendix D.

UCITS Compliance—The diversification rules of the Index are structurally compatible with the European
Union’s UCITS 35/20 requirements. The history of BCOM is well within the parameters set by the European
Union UCITS 35/20 directives.

Table 1: The Bloomberg Commodity Index—2022 Target Weights

Livestock Softs Industrial Metals Precious Metals Grains Energy

Livestock
5.34% Softs
7.03%
Energy
29.83%

Industrial Metals
15.48%

Precious Metals
Grains 19.75%
22.58%

8. Rounded target weightings as of January 2022. Actual percentages on any Business Day may vary from the target weights due
to market price fluctuations. The labeled categories are based on the Subindices described in Appendix H, with Natural Gas and
Soybean Meal and Soybean Oil in separate categories

8
1.3 BENCHMARK GOVERNANCE

Benchmark Governance, Audit and Review Structure

BISL uses two primary committees to provide overall governance and effective oversight of its benchmark
administration activities:

➢ The Product, Risk & Operations Committee (“PROC”) provides direct governance and is responsible for the
first line of controls over the creation, design, production and dissemination of benchmark indices, strategy
indices and fixings administered by BISL, including the Indices. The PROC is composed of Bloomberg
personnel with significant experience or relevant expertise in relation to financial benchmarks. Meetings are
attended by Bloomberg Legal & Compliance personnel. Nominations and removals are subject to review by
the BOC, discussed below.

➢ The oversight function is provided by Bloomberg’s Benchmark Oversight Committee (“BOC”). The BOC is
independent of the PROC and is responsible for reviewing and challenging the activities carried out by the
PROC. In carrying out its oversight duties, the BOC receives reports of management information both from
the PROC as well as Bloomberg Legal & Compliance members engaged in second level controls.

On a quarterly basis, the PROC reports to the BOC on governance matters, including but not limited to client
complaints, the launch of new benchmarks, operational incidents (including errors & restatements), major
announcements and material changes concerning the benchmarks, the results of any reviews of the benchmarks
(internal or external) and material stakeholder engagements.

Internal and External Reviews

BISL’s Index administration is also subject to Bloomberg’s Compliance function which periodically reviews various
aspects of its businesses in order to determine whether it is adhering to applicable policies and procedures, and
assess whether applicable controls are functioning properly. In addition, Bloomberg may from time to time appoint
an independent external auditor with appropriate experience and capability to review adherence to benchmark
regulation. The frequency of such external reviews will depend on the size and complexity of the operations and
the breadth and depth of the Index use by stakeholders.

Conflicts of Interest

The Index confers on the Index Administrator discretion in making certain determinations, calculations and
corrections from time to time. In making those determinations, calculations and corrections, the Index Administrator
has no obligation to take the needs of any holders of financial products based on or tracking the Indices (such
products, “Index Products” with the holders of such product, “Index Product Investors”) into consideration at any
time.

The Index Administrator is committed to avoiding and, where necessary, managing actual or potential conflicts of
interest in its decision-making process and has established a Conflicts of Interest Policy to minimize or resolve
actual or potential conflicts of interest.

The Index Administrator does not create, trade or market Index Products.

9
 For additional information regarding BCOM's policies and procedures, see Appendix 6.

SECTION 1.4. INDEX LIMITATIONS AND RISKS

Though the Indices are designed to be representative of the markets they measure or otherwise align with
their stated objective, they may not be representative in every case or achieve their stated objective in all
instances. They are designed and calculated strictly to follow the rules of this Methodology, and any index
level or other output is limited in its usefulness to such design and calculation.

Markets can be volatile, including those market interests which the Indices intend to measure or upon which
the Indices are dependent in order to achieve their stated objective. For example, illiquidity can have an impact
on the quality or amount of data available to the Index Administrator for calculation and may cause the Indices
to produce unpredictable or unanticipated results.

In addition, market trends and changes to market structure may render the objective of the Index unachievable
or to become impractical to replicate by investors.

The following is a summary of certain risks associated with BCOM but is not meant to be an exhaustive list of
all risks associated with the Index or an investment in commodities, commodity futures or commodity-linked or
commodity index-linked products generally.

Commodity Prices May Change Unpredictably, Affecting the Value of the Index in Unforeseeable
Ways

Trading in futures contracts on physical commodities, including trading in the Index components, is speculative
and can be extremely volatile. Market prices of the Index components and the underlying physical
commodities may fluctuate rapidly based on numerous factors, including changes in supply and demand
relationships (whether actual, perceived, anticipated, unanticipated or unrealized); weather; agriculture; trade;
fiscal, monetary and exchange control programs; domestic and foreign political and economic events and
policies; disease; pestilence; technological developments; changes in interest rates, whether through
government action or market movements; and monetary and other government policies, action and inaction.
The current or “spot” prices of the underlying physical commodities may also affect, in a volatile and inconsistent
manner, the prices of futures contracts in respect to the relevant commodity. These factors may affect the
value of the Index, related indices and Subindices in varying ways, and different factors may cause the
prices of the Index components, and the volatilities of their prices, to move in inconsistent directions at
inconsistent rates.

Suspension or Disruptions of Market Trading in Commodities and Related Futures May Adversely
Affect the Value of the Index

The futures markets occasionally experience disruptions in trading (including temporary distortions or other
disruptions due to various factors such as the lack of liquidity in markets, the participation of speculators
and government regulation and intervention) referred to in this Methodology as “Market Disruption Events.”
Market Disruption Events include the cessation, for a material time, of trading in futures contracts included
in the Index or the imposition by the futures exchange on which one or more such futures contracts are
traded of a “limit price,” a range outside of which such futures contracts are not permitted to trade. In
addition, a futures exchange may replace or delist a futures contract included in the Index. Procedures have
10
been established to address such events; such procedures are set forth in this Methodology.9 There can be
no assurance, however, that a Market Disruption Event, the replacement or delisting of a commodity
contract or any other force majeure event will not have an adverse or distortive effect on the value of the
Index or the manner in which it is calculated.

Future Prices of the Index Components That Are Different Relative to Their Current Prices May
Affect the Value of the Index

The Index is composed of commodity futures contracts rather than physical commodities. Unlike equities,
which typically entitle the holder to a continuing stake in a corporation, commodity futures contracts
normally specify a certain date for delivery of the underlying physical commodity. As the exchange-traded
futures contracts that compose the Index approach expiration, they are replaced by similar contracts that have
a later expiration. Thus, for example, a futures contract purchased and held in August may specify an October
expiration date. As time passes, the contract expiring in October may be replaced by a contract for delivery in
December. This process is referred to as “rolling.”

If the market for these contracts is in “backwardation,” which means that the prices are lower in the distant
delivery months than in the nearer delivery months, the purchase of the December contract would take
place at a price that is lower than the sale price of the October contract. Conversely, if the market for these
contracts is in “contango,” which means that the prices are higher in the distant delivery months than in the
nearer delivery months, the purchase of the December contract would take place at a price that is higher
than the sale price of the October contract. The difference between the prices of the two contracts when
they are rolled is sometimes referred to as a “roll yield,” and the change in price that contracts experience while
they are components of the Index is sometimes referred to as a “spot return.” An investor in the Index cannot
receive either the roll yield or the spot return separately.

The presence of contango in the commodity markets could result in negative roll yields, which could
adversely affect the value of the Index. Because of the potential effects of negative roll yields, it is possible
for the value of the Index to decrease significantly over time, even when the near-term or spot prices of
underlying commodities are stable or increasing. It is also possible, when near-term or spot prices of the
underlying commodities are decreasing, for the value of the Index to decrease significantly over time even
when some or all of the constituent commodities are experiencing backwardation.

Certain commodities included in the Index, such as gold, have historically traded in contango markets and
the Index has experienced periods in which many of the commodities in the Index are in contango. Although
certain of the contracts included in the Index have historically experienced periods of backwardation, it is
possible that such backwardation will not be experienced in the future.

The Index May in the Future Include Contracts That Are Not Traded on Regulated Futures
Exchanges

The Index was originally based solely on futures contracts traded on regulated futures exchanges (referred to
in the United States as “designated contract markets”). At present, the Index is comprised exclusively of
regulated futures contracts. As described below, however, the Index, related indices or Subindices may in
the future include over-the-counter contracts (such as swaps and forward contracts) traded on trading facilities
that are subject to lesser degrees of regulation or, in some cases, no substantive regulation. As a result, trading

11
in such contracts and the manner in which prices and volumes are reported by the relevant trading facilities
may not be subject to the provisions of and the protections afforded by the U.S. Commodity Exchange Act or
other applicable statutes and related regulations that govern trading on regulated U.S. futures exchanges or
similar statutes and regulations that govern trading on regulated U.K. futures exchanges. In addition, many
electronic trading facilities have only recently initiated trading and do not have significant trading histories. As
a result, the trading of contracts on such facilities and the inclusion of such contracts in the Index, related
indices or Subindices may be subject to certain risks not presented by U.S. or U.K. exchange-traded futures
contracts, including risks related to the liquidity and price histories of the relevant contracts.

Data Sourcing, Data Publication and Calculation Risks Associated with the Index May Adversely
Affect the Level of the Index or the Value of an Investment Linked to the Index

The composition of the Index, related indices or Subindices is recalculated annually relying on historic price,
liquidity and production data that are subject to potential errors in data sources or other errors that may
affect the weighting of components of the Index, related indices or Subindices. Any discrepancies that
require revision are not applied retroactively but will be reflected in the weighting calculations of the Index,
related indices or Subindices for the following year. Additionally, BISL may not discover every discrepancy.

Furthermore, the weightings for the Index, related indices or Subindices are determined by BISL, which
has a significant degree of discretion with respect to the Index, related indices and Subindices. This discretion
would permit, among other things, changes to the composition of the Index, related indices or Subindices or
changes to the manner or timing of the publication of the values of such indices at any time during the year if
BISL deemed the changes necessary in light of factors that include, but are not limited to: (i) changes in
liquidity of the underlying futures contracts that are included in the Index, related indices or Subindices or (ii)
changes in legal, regulatory, sourcing or licensing matters relating to publication or replication of the Index,
related indices or Subindices. In particular, without limitation, BISL’s access to and rights to use data in
connection with calculating, publishing and licensing the Index, related indices and Subindices remain subject
to the ongoing consent of the sources of such data (including, without limitation, exchanges), which consent can
be revoked at any time. Further, the sources of such data reserve the right to revise the terms and conditions of
access and use of their data upon notice to BISL. BISL reserves the right to modify the composition of the
Index, related indices or Subindices on an as-needed basis to minimize the impact of any loss of access to
or revised terms of use with respect to such source data on the indices.

BISL has no obligation to take the needs of any parties to transactions involving the Index, related indices
or Subindices into consideration when reweighting or making any other changes to the Index, related
indices or Subindices.

Other Considerations

The provisions and procedures set forth in this Methodology grant a significant degree of discretion BISL, as
administrator of the Index, in a number of respects. BISL may exercise this discretion as it determines to
be most appropriate. Furthermore, this Methodology does not address all possible issues relating to the
Index, related indices or Subindices and any omissions or exceptions may be addressed as deemed to
be appropriate. In addition, this Methodology and any other provisions or procedures relating to such indices
may be amended at any time.

12
BCOM is composed of futures contracts on physical commodities. Unlike equities, which typically entitle the
holder to a continuing stake in a corporation, commodity futures contracts normally specify a certain date for
the delivery of the underlying physical commodity. To avoid the delivery process and maintain a long futures
position, nearby contracts must be sold and contracts that have not yet reached the delivery period must be
purchased. This process is known as “rolling” a futures position. BCOM is a “rolling index.”

Section 2.1. INDEX CONSTRUCTION OVERVIEW

The following overview does not purport to be a complete description of the Index and is qualified in
its entirety by reference to the detailed information provided in applicable sections of this
Methodology.

The composition of the Index is rebalanced by BISL each year pursuant to the procedures set forth in this
Methodology by index managers operating within the PROC (defined below) governance body under the
oversight of the BOC (defined below) oversight function. Any material deviations or changes from
established procedures are subject to review by such bodies. In addition, to the extent practicable, BISL
may solicit stakeholder feedback, including by means of the Index Advisory Council. Once approved, the
new composition of the Index is publicly announced and takes effect in the month of January immediately
following the announcement.

The first step in constructing BCOM is to determine the relative liquidity and production percentages. The
Commodity Liquidity Percentage (“CLP”) for each futures contract (a “Designated Contract”) selected as a
reference contract for commodity designated for potential inclusion in the Index (collectively, “Commodities”)
is determined by taking a five-year average of the product of trading volume and the historic U.S. dollar value
of such futures contract and dividing the result by the sum of such products for all Designated Contracts. The
Commodity Production Percentage (“CPP”) is also determined for each Commodity by taking a five-year
average of production figures, adjusted by the historic U.S. dollar value of the applicable Designated
Contract, and dividing the result by the sum of such products for all Commodities.

The Commodity Liquidity Percentage and the Commodity Production Percentage are then combined (using
a ratio of 2:1) to establish the Commodity Index Percentage (“CIP”) for each Commodity. This Commodity
Index Percentage is then adjusted in accordance with the diversification rules described in Section 1.2
above and Section 2.6 below to determine the Commodities that will be included in the Index (“Index
Commodities”) and their respective percentage weights.

On the fourth Business Day of the month of January (the “CIM Determination Date”) following the
calculation of the CIPs, the CIPs are combined with the Settlement Prices of all Designated Contracts for such
day to create the Commodity Index Multiplier (“CIM”) for each Designated Contract. The Commodity Index
Multipliers remain in effect throughout the ensuing year.

Once the CIMs are determined, the calculation of BCOM is an arithmetic process whereby the CIMs for the
Index Commodities are multiplied by the respective prices in U.S. dollars for the applicable Designated
Contracts. The products are then summed. The daily percentage change in this sum is then applied to the
prior day’s BCOM value to calculate the then-current BCOM value.10
13
10. See Sections 2.8 and 3.1.

SECTION 2.2. COMMODITY SELECTION

(1) Commodities Available for Inclusion in the Index

Commodities have been selected that are believed to be both sufficiently significant to the world economy to
merit consideration and that are tradable through a qualifying related futures contract. With the exception of
several metals contracts (aluminum, lead, tin, nickel and zinc) that trade on the London Metals Exchange
(“LME”) and the contract for Brent crude oil and Low Sulphur Gas Oil, each of the Commodities is the
subject of at least one futures contract that trades on a U.S. exchange.

The following 25 Commodities are eligible for inclusion in the Index:

1. Aluminum
2. Cocoa
3. Coffee
4. Copper
5. Corn
6. Cotton
7. Crude Oil
8. Gold
9. Lead
10. Lean Hogs
11. Live Cattle
12. Low Sulphur Gas Oil
13. Natural Gas
14. Nickel
15. Platinum
16. RBOB Gasoline
17. Silver
18. Soybean Meal
19. Soybean Oil
20. Soybeans
21. Sugar
22. Tin
23. ULS Diesel
24. Wheat
25. Zinc

The following 21 Commodities are in the Index for 2022 year following application of the index rules:
1. Aluminum
2. Coffee
3. Copper
4. Corn
5. Cotton
6. Crude Oil
7. Gold
8. Lean Hogs
9. Live Cattle
14
 10. Low Sulphur Gas Oil
11. Natural Gas
12. Nickel
13. RBOB Gasoline
14. Silver
15. Soybean Meal
16. Soybean Oil
17. Soybeans
18. Sugar
19. Wheat
20. ULS Diesel
21. Zinc

(2) Designated Contracts

One or more Designated Contracts is selected by BISL for each of the 25 Commodities eligible for inclusion
in the Index. This selection process is subject to review by the Benchmark Oversight Committee and, if
practicable, input from the Index Advisory Council.

Historically, through and including the composition of the Index for 2022, BISL has chosen for each Commodity
one Designated Contract that is traded in North America and denominated in U.S. dollars (with the exception
of several LME contracts, which are traded in London, and with the exception of crude oil, for which two
Designated Contracts have been selected starting in 2012, and wheat, for which two Designated Contracts
that are traded in North America have been selected starting in 2013).

It is possible that BISL will in the future select more than one Designated Contract for additional commodities
or may select Designated Contracts that are traded outside of the United States or in currencies other
than the U.S. dollar. For example, in the event that changes in regulations concerning position limits materially
affect the ability of market participants to replicate the Index in the underlying futures markets, it may
become appropriate to include multiple Designated Contacts for one or more Commodities (in addition to crude
oil and wheat) to enhance liquidity.

The termination or replacement of a futures contract on an established exchange occurs infrequently; were a
Designated Contract to be terminated or replaced, a comparable futures contract would be selected, if
available, to replace that Designated Contract.

15
The Designated Contracts for the Commodities are listed in Table 2.

Table 2: Designated Contracts for the Commodities11:

Commodity Designated Contract Exchange Units Price Quote

Natural Gas Henry Hub Natural Gas NYMEX 10,000 mmbtu USD/mmbtu
WTI Crude Oil Light, Sweet Crude Oil NYMEX 1,000 barrels USD/barrel
Brent Crude Oil Brent Crude Oil ICE Futures Europe 1,000 barrels USD/barrel
Low Sulphur Gas Oil Gas Oil ICE Futures Europe 100 tonnes USD/MT
Unleaded Gasoline RBOB NYMEX 42,000 gal U.S. cents/gallon
ULS Diesel ULS Diesel NYMEX 42,000 gallons U.S. cents/gallon
Live Cattle Live Cattle CME 40,000 lbs U.S. cents/pound
Lean Hogs Lean Hogs CME 40,000 lbs U.S. cents/pound
Wheat (Chicago) Soft Wheat CBOT 5,000 bushel U.S. cents/bushel
Wheat (KC HRW) Hard Red Winter Wheat CBOT 5,000 bushel U.S. cents/bushel
Corn Corn CBOT 5,000 bushels U.S. cents/bushel
Soybeans Soybeans CBOT 5000 bu U.S. cents/bushel
Soybean Meal Soybean Meal CBOT 100 short tons USD/short ton
Soybean Oil Soybean Oil CBOT 60,000 lbs U.S. cents/pound
Aluminum High Grade Primary Aluminum LME 25 metric tons USD/metric ton
Copper Copper COMEX 25,000 lbs U.S. cents/pound
Zinc Special High Grade Zinc LME 25 metric tons USD/metric ton
Nickel Primary Nickel LME 6 metric tons USD/metric ton
Lead Refined Standard Lead LME 25 metric tons USD/metric ton
Tin Refined Tin LME 5 metric tons USD/metric ton
Gold Gold COMEX 100 troy oz. USD/troy oz.
Silver Silver COMEX 5000 troy oz. U.S. cents/troy oz.
Platinum Platinum NYMEX 50 troy oz. USD/troy oz.
Sugar Sugar No. 11 ICE Futures U.S. 112,000 lbs U.S. cents/pound
Cotton Cotton No.2 ICE Futures U.S. 50,000 lbs U.S. cents/pound
Coffee Coffee “C” ICE Futures U.S. 37,500 lbs U.S. cents/pound
Cocoa Cocoa ICE Futures U.S . 10 metric tons USD/metric ton

BCOM utilizes the Copper contract traded on the COMEX division of the C M E G r o u p (“COMEX”) as the
Designated Contract for copper but utilizes COMEX prices for this Designated Contract and LME copper
contract volume data for purposes of Index calculation. The Index incorporates volume data for the LME
copper contract as it is more actively traded than the COMEX High Grade Copper contract and provides a
better indication of the relative significance of this commodity.

11. Contract specifications for frozen concentrated orange juice (FCOJ) and feeder cattle are included solely for
purposes of the single- commodity Subindices described in, or referenced by, Appendix H.
16
 Price Information
The trading period for the COMEX High Grade Copper contract extends until 1:00 pm ET, whereas the daily
settlement price for LME copper is determined at 12:00 p.m. ET12. Most of the Designated Contracts that
are not LME contracts are actively traded for several hours after 12:00pm ET. The additional one-hour
period of daily exchange trading in copper gained from referring to the COMEX contract should enhance the
transparency and liquidity of the Index compared with a reference to the prices of LME copper contracts.
Furthermore, likely end-users of BCOM have significantly less access to updated information on LME
copper monthly spread quotes than that available on a real-time basis for COMEX copper.

Liquidity
An adjustment is made to the overall U.S. dollar LME copper contract trading volume to compensate for
trading volume distribution of the LME contract relative to the COMEX High Grade contract. Although
overall U.S. dollar volume figures for the LME copper contract are higher than those for the COMEX High
Grade Copper contract, for purposes of the calculation of BCOM, these relative volume numbers may
overstate the potential difference in “useful” liquidity. All COMEX trading activity, like that of other U.S.
exchanges, is centered on particular monthly contracts. A large percentage of LME copper volume reflects
trading for particular dates other than those potentially designated for inclusion in the Index and an
adjustment is made to compensate for this when utilizing LME volume numbers for the calculation of the
Index.13

12. Generally in respect of LME contracts for the calculation of the BCOM, Final Closing Prices (as defined in the LME
rules) are utilized as a proxy for daily settlement prices on U.S. exchanges. These prices are determined by the LME
on the basis of trading that concludes during the P.M. Kerb Session, which extends between 11:35am-12:00 ET.
13. For aluminum, lead, nickel, tin and zinc, no liquid U.S.-dollar-denominated futures contracts exist outside of the
LME. Should such contracts become available in the future, the BOC may consider them as potential Designated
Contracts for BCOM.
17
(3) Commodity Groups
For purposes of applying the diversification rules referred to in Section 1.2 above and described in Section
2.6 below, each of the Commodities eligible for inclusion in the Index are assigned to “Commodity Groups.”
The Commodity Groups, and the Commodities composing each Commodity Group, are as follows:

Commodity Group Commodities

Crude Oil (WTI and Brent)
Natural Gas
Energy RBOB Gasoline
Low Sulphur Gas Oil
ULS Diesel
Gold
Precious Metals Platinum
Silver

Aluminum
Copper
Industrial Metals Lead Nickel
Tin
Zinc

Live Cattle
Livestock
Lean Hogs

Corn Soybeans
Soybean Oil
Grains
Soybean Meal
Wheat (Chicago and KC HRW)

Cocoa
Coffee
Softs
Cotton
Sugar

18
 (4) Commodity Sectors
The Index includes both “Primary Commodities” (i.e., base Commodities that are not principally derived or
produced from other Commodities) and “Derivative Commodities” (i.e., Commodities that are principally
derived or produced from other Commodities). Together with its Derivative Commodities, each Primary
Commodity is referred to in this Methodology as a “Commodity Sector.” The Index Commodities that
constitute Primary Commodities and their respective Derivative Commodities currently are as follows:

Primary Commodity Derivative Commodities

Crude Oil (WTI and Brent) ULS Diesel, RBOB Gasoline, Low Sulphur Gas Oil
Soybeans Soybean Oil and Soybean Meal

Adjustments are made, as described in Section 2.6 below, to avoid the “double-counting” of Primary
Commodities that would result if Primary Commodities and Derivative Commodities were viewed as wholly
separate categories. BISL, as Index Administrator, may determine that other Index Commodities qualify
as Derivative Commodities, and the adjustments described in Section 2.6 below will then be made with
respect to those Derivative Commodities as well.

SECTION 2.3. CALCULATION OF THE COMMODITY LIQUIDITY PERCENTAGES

(1) DESCRIPTION OF CALCULATION

Each Designated Contract eligible for inclusion in the Index is assigned a liquidity weighting (the
“Commodity Liquidity Percentage” or “CLP”) based on the average volume of trading. 14 To ensure that
aberrant trading years do not distort the Commodity Liquidity Percentage, the average is computed on the
basis of historical annual volume data for the five years (the “Liquidity Averaging Period”) up to and
including the year prior to the applicable Calculation Period.15 Thus, for the Calculation Period for 2022 (i.e.,
2021), the Liquidity Averaging Period was the years 2016 to 2020, inclusive. The volume data used in the
calculation of the Commodity Liquidity Percentages was obtained from Futures Industry Association (the
“FIA”).16

In contrast to U.S. futures, which are typically listed on a monthly or bimonthly basis and trade only during
specific hours, LME contracts can be traded over-the-counter, 24 hours a day, for value on any Business
Day within a three-month window extending out from spot. In addition, LME contracts can be traded for
settlement on the third Wednesday of each month extending out 27 months from the date the contract is
made. Accordingly, historical data comparable to that of U.S. futures contracts is not available for these
LME contracts and certain adjustments to the available data are made for purposes of calculating this
component of the Index. In particular, LME contracts that trade on the third Wednesday of each month will
serve as a proxy for U.S. futures contracts. The calculation of BCOM will utilize the LME contracts that trade
on the third Wednesday of every other month, starting with January.

14. Although BCOM incorporates the prices of the COMEX High Grade Copper contract, the more actively traded LME
copper contracts are used for determining the CLP for copper because the LME copper contracts provide a better
indication of the relative significance of this commodity. See Section 2.2(2) above.
15. The “Calculation Period” for each year for which the Index is calculated is typically the third or fourth calendar
quarter of the year preceding such year of calculation.
16. Volume Data Source: U.S. and International Monthly Volume reports; published by the Futures Industry Association,
electronic data used.

19
Furthermore, because of the greater flexibility of trading times and dates, reported LME volume figures
cannot be directly compared with those for traditional futures contracts traded on U.S. exchanges. To
equate LME volume data with U.S. exchanges, BCOM will use one-third of reported LME volume in its
calculation. This discounting allows a fair comparison of LME volume data with U.S. volume data for
purposes of measuring the relative liquidity of various Designated Contracts.

Table 3 sets forth the most recent five years of volume data as reported by the FIA, Bloomberg, and the
adjusted LME data.
Table 3: Contract Volume Data

Table 4 sets forth the corresponding average Settlement Prices for Lead Futures on the first Business Day
of each month, these figures are used in combination with the volume data above to calculate the
Commodity Liquidity Percentages. The Lead Future is the contract month set forth under the corresponding
WAV month in Table 9. These Settlement Prices have all been converted into U.S. dollars per unit.

Commodity 2016 2017 2018 2019 2020

Natural Gas 105,913,138 109,431,523 106,522,038 124,039,187 100,871,427
Crude Oil 296,643,163 326,020,063 290,661,917 307,735,999 228,706,904
Brent Crude 230,085,976 241,446,398 223,729,369 242,090,359 221,882,226
RBOB Gasoline 48,438,670 49,632,409 51,964,997 47,689,429 45,024,780
ULS Diesel (HO) 41,118,037 46,790,885 42,045,644 47,501,309 37,664,918
Low Sulphur Gas Oil 70,700,870 79,935,447 79,620,359 88,144,330 76,444,202
Live Cattle 15,607,886 16,056,376 16,855,778 16,816,875 14,151,284
Lean Hogs 10,364,029 12,726,042 15,298,152 14,034,376 11,452,188
Wheat (Chicago) 32,848,308 36,362,717 32,887,314 30,559,039 32,417,637
Wheat (KC HRW) 11,724,522 14,898,934 14,849,441 14,318,332 13,328,698
Corn 85,358,965 96,905,996 104,195,035 86,235,398 94,372,841
Soybeans 53,446,445 60,538,732 51,568,751 55,003,639 61,738,361
Soy Meal 24,810,514 30,554,621 28,938,415 30,027,467 27,771,412
Soybean Oil 29,770,226 31,909,666 29,786,816 33,764,008 33,481,306
Aluminum 17,022,664 20,688,308 21,486,427 22,248,858 18,416,104
Copper 11,385,014 12,486,967 12,319,254 11,385,406 10,120,373
Zinc 9,226,461 11,389,303 10,505,236 8,706,220 6,851,304
Nickel 6,579,559 7,941,323 7,769,177 7,304,796 5,299,969
Lead 3,330,633 4,408,275 4,146,388 3,904,813 3,401,805
Tin 423,493 412,004 435,524 436,530 353,542
Gold 61,189,546 86,046,628 74,729,159 89,770,849 66,164,455
Silver 20,852,803 24,670,455 22,268,830 25,128,146 25,043,554
Platinum 4,454,155 5,434,305 5,479,030 5,439,329 4,308,386
Sugar No. 11 31,135,413 34,355,223 37,520,946 41,435,902 32,356,491
Cotton No.2 7,612,476 8,926,821 8,125,074 8,687,138 8,066,413
Coffee “C” 9,263,226 11,493,925 14,813,412 13,785,982 12,130,141
Cocoa 10,447,548 12,172,990 11,448,012 11,696,967 10,060,448

20
 Table 4: Average Lead Futures Price on First Business Day of Each Month
Commodity 2016 2017 2018 2019 2020
Natural Gas $3.08 $2.90 $2.90 $2.08 $2.87
Crude Oil $48.95 $59.60 $60.44 $45.79 $52.85
Brent Crude $51.40 $64.87 $68.26 $50.50 $55.54
Unleaded Gasoline $1.53 $1.85 $1.78 $1.36 $1.61
ULS Diesel (HO) $1.54 $1.95 $2.02 $1.54 $1.59
Low Sulphur Gas Oil $455.88 $582.52 $617.88 $468.00 $450.92
Live Cattle $1.13 $1.14 $1.16 $1.08 $1.15
Lean Hogs $0.65 $0.70 $0.67 $0.63 $0.81
Wheat (Chicago) $4.31 $4.65 $5.04 $5.17 $6.23
Wheat (KC HRW) $4.37 $4.73 $4.86 $4.46 $5.74
Corn $3.58 $3.67 $3.79 $3.66 $4.98
Soybeans $9.82 $9.88 $8.89 $8.87 $12.52
Soy Meal $316.84 $342.12 $314.11 $300.17 $383.31
Soybean Oil $0.33 $0.33 $0.29 $0.29 $0.46
Aluminum $1,793.79 $1,787.04 $1,914.52 $1,677.27 $2,074.75
Copper $5,478.49 $6,784.63 $6,073.74 $5,635.66 $8,081.78
Zinc $2,595.90 $3,192.75 $2,630.52 $2,171.23 $2,695.03
Nickel $10,094.48 $12,799.85 $12,295.67 $14,058.92 $16,599.02
Lead $2,152.85 $2,455.75 $1,996.10 $1,876.85 $2,021.21
Tin $20,015.58 $20,585.83 $19,752.08 $16,278.69 $23,109.61
Gold $1,255.49 $1,300.76 $1,274.80 $1,582.14 $1,860.70
Silver $17.83 $16.71 $15.00 $17.18 $26.25
Platinum $984.91 $934.72 $831.83 $882.42 $1,064.51
Sugar $0.19 $0.14 $0.12 $0.12 $0.15
Cotton $0.73 $0.77 $0.76 $0.61 $0.77
Coffee $1.43 $1.25 $1.03 $1.07 $1.29
Cocoa $2,315.92 $2,238.50 $2,261.00 $2,438.92 $2,489.58

(2) Calculating Commodity Liquidity Percentages

Using the data obtained as described above, the Commodity Liquidity Percentage for each Designated
Contract is calculated as follows:
1. Determine the total annual volume for each year using the calendar months of August to July; ie August 2020
to July 2021 of the Liquidity Averaging Period.17
2. For each such year, using the calendar months of August to July; ie August 2020 to July 2021, calculate the
average of the Settlement Prices for the Lead Future on the first Business Day of each month.
3. Determine the number of units for the Designated Contract (e.g., 1,000 Barrels, 60,000 Metric Tons,
etc.).
4. Convert the average Settlement Price into U.S. dollars.
5. For each year of the Liquidity Averaging Period, multiply the related annual volume by such average
Settlement Price in U.S. dollars, and then multiply that result by the number of units per contract.18
6. Take the average of the results of Step 5 for each Designated Contract.
17. Divide the LME Volume by 3 as described in Section 2.3(1).
18. The COMEX price for copper must also be converted into metric tons, which corresponds with the LME volume data; multiply the COMEX
price by 2,204.622 and then multiply by the LME volume.

21
 Once the above steps have been completed for each Designated Contract:

7. Take the sum of all Step 6 results.

8. For each Designated Contract, divide the results of Step 6 by the total from Step 7.

The percentages calculated in Step 8 are the Commodity Liquidity Percentages. The total of all the
Commodity Liquidity Percentages should be 100%.

SECTION 2.4. CALCULATION OF COMMODITY PRODUCTION PERCENTAGES

(1) Description of the Calculation

Each Designated Contract will also be assigned a Commodity Production Percentage based on its average
U.S.-dollar-adjusted value of production. As with the calculation of the Commodity Liquidity Percentages,
the Commodity Production Percentages are calculated over a five-year period (the “Production Averaging
Period”). However, because of the greater time lag in obtaining production data, the Production Averaging
Period is the most recent five-year period for which production figures for all Index Commodities are
available. For the Calculation Period for 2022 (i.e., 2021), the Production Averaging Period comprises the
years 2014 to 2018, inclusive. BISL may in the future use data with a shorter lag period should such data
become available and may use data with a longer lag period if necessary due to publication schedules of the
relevant sources.

On the following page, Table 5 outlines the sources from which the production data for each Commodity are
derived. Note that the sources from which the data are derived may use different terminology than that used in
this Methodology.

Table 5: Sources Used for Production Data

Commodity Source Table

Natural Gas U.S. EIA Annual Statistical Supplement Gross Natural Gas Production
Crude Oil U.S. EIA Annual Statistical Supplement World Crude Oil Production
Food and Agriculture Organization of the UN
Live Cattle Statistical Data Service (“FAOSTAT”) Cattle Meat
Lean Hogs FAOSTAT Pig Meat
Wheat FAOSTAT Wheat Production
Corn FAOSTAT Maize
Soybeans FAOSTAT Soybeans
U.S. Geological Survey, National Minerals
Aluminum Information Center Aluminum Primary World Production
Copper MYDI Copper, World Refinery Production
Zinc MYDI Zinc World Smelter Production
Nickel MYDI Nickel World Plant Production
Lead MYDI Lead World Refinery Production
Tin MYDI Tin World Smelter Production
Gold MYDI World Mine Production
Silver MYDI World Mine Production
Platinum—Group Metals, World
Platinum MYDI Production
Table 1 World Production, supply, and
Sugar USDA Sugar and Sweeteners Yearbook Tables
distribution, centrifugal sugar
Cotton FAOSTAT (2013-2014) & USDA (2015-2017) Cotton Lint
Coffee FAOSTAT Coffee, Green
Cocoa FAOSTAT Cocoa Beans

22
As described more fully below, production weightings are adjusted by the Designated Contract values in
U.S. dollars. This adjustment helps ensure that the relative production weightings in the Index more closely
approximate the economic value of production over time.

(2) Calculating Commodity Production Percentages

Two procedures are required to determine the Commodity Production Percentage (“CPP”) for each
Commodity:

Calculate the Commodity Production Weight (“CPW”):

1. The production data for each year in the Production Averaging Period is determined for all Commodities
eligible for inclusion in the Index; however, data for Derivative Commodities is not included to avoid
double-counting and, where there are multiple Designated Contracts for a particular Commodity, the
production data is allocated at this stage to only one Designated Contract also to avoid double-counting.
Data for all Commodities is drawn from the same five-year period.
2. For each Commodity, a conversion factor is determined to convert the production data into the pricing
terms of each Designated Contract. For example, crude oil production is reported in metric tons,
whereas crude oil futures are denominated in barrels. By multiplying the production data by the crude oil
conversion factor, such data is converted into barrels. Next, this product is multiplied by the production-
reporting-size factor, if applicable. The result is the Commodity Production Weight, or CPW. See
Appendix B for a list of sources used for obtaining these conversion factors.
3. Each CPW is divided by 1,000,000. This reduces all weightings to a manageable size without affecting
the relative percentages.

For the same five years used in calculating the CPWs:

1. Calculate the average of the Settlement Prices of the Lead Future on the first Business Day of each
month for each year using the calendar months August to July; ie August 2018 to July 2019 in the
Production Averaging Period.19
2. Convert each average of the Settlement Prices into U.S. dollar terms.
3. Multiply the CPW for each year by such average price in U.S. dollar terms.
4. Take the average of the results of Step 3 for each Commodity.

Once the above steps have been completed for each Commodity:

5. Take the sum of all Step 4 results.

6. For each Commodity, divide the results of Step 4 by the total from Step 5.

The percentages calculated in Step 6 are the Commodity Production Percentages. The total of the Commodity
Production Percentages should be 100%. Note that the Derivative Commodities and any Designated Contracts
that are additional to the first Designated Contract for a particular Commodity will have Commodity
Production Percentages of zero at this point. Values from the Primary Commodities are allocated to the
Derivative Commodities and such additional Designated Contracts in a later step, as described in Section 2.5
below.

19. Note that due to greater lag time, the production data is multiplied by different Settlement Prices than those
Settlement Prices used to calculate CLPs. Price data corresponds to the year of observation for both production and
liquidity rankings.
20. Prior to 2010, aluminum, gold, cattle and hogs production data was normalized to conform new data sources to
data sources for prior years and to adjust for incompleteness of data. This normalization was discontinued in 2010 in
respect of the determination of the Commodity Index Percentages for 2011 and thereafter. Concurrently, the data
23
source for production of cattle meat and pig meat was switched from ICSY to FAOSTAT (see Table 5 above).
Table 6 below sets forth the production data for each Commodity used in calculating the
Commodity
Production Percentages.20 World production data is used with the following exception:

For natural gas, only North American production is used. Due to a lack of economically viable transportation
systems across continents, and between North America and Eurasia, natural gas is a uniquely regional
commodity.

Table 6: Production Data

Commodity Reporting Unit 2014 2015 2016 2017 2018
Natural Gas Billion Cubic Feet 40,603 42,003 41,464 41,959 45,927
Crude Petroleum Thous. Barrels 34,415,485 35,448,435 35,625,095 35,834,240 36,775,184
Beef & Fresh Veal Thous. Met Tons 64,471 63,924 64,568 65,416 67,321
Pork Thous. Met Tons 117,055 119,407 118,956 119,930 120,960
Wheat Thous. Met Tons 728,730 741,643 748,392 773,477 733,386
Corn Thous. Met Tons 1,039,227 1,052,127 1,126,991 1,164,401 1,124,722
Soybeans Thous. Met Tons 306,349 323,307 335,614 353,027 344,642
Aluminum Thous. Met Tons 54,100 57,700 58,600 59,500 63,200
Copper Thous. Met Tons 22,600 23,000 23,000 23,000 24,400
Zinc Thous. Met Tons 13,500 13,700 13,800 13,800 13,300
Nickel Metric Tons 2,000,000 2,000,000 1,930,000 1,930,000 2,040,000
Lead Thous. Met Tons 10,600 10,600 11,000 11,000 11,400
Tin Metric Tons 394,000 354,000 341,000 341,000 367,000
Gold Kilograms 3,050,000 3,120,000 3,180,000 3,230,000 3,310,000
Silver Metric Tons 26,700 27,000 26,600 26,600 27,000
Platinum Kilograms 150,000 195,000 191,000 199,000 190,000
Sugar Thous. Met Tons 175,971 177,582 164,972 174,050 194,193
Cotton Thous. Met Tons 26,157 20,937 23,226 26,989 25,818
Coffee Thous. Met Tons 8,762 8,866 9,354 9,162 10,412
Cocoa Thous. Met Tons 4,757 4,808 4,714 5,278 5,573

24
As an example of the production data conversion process, Table 7 below lists the production data and
Commodity Production Weights for 2022 and the conversion factors used to convert the production data
into the Commodity Production Weights.

Table 7: 2022 Production Data Converted into Commodity Production Weights

Production Size Contract Conversion
Commodity Production 2018 CPW
Units Factor Terms Factor
45,927,060,465.0
Natural Gas Cubic Feet 45,927 1 10000 mmbtu 1,000,000.00
0
Crude Petroleum Barrels 36,775,184 1000 1000 bbl 1 36,775,183.81
Beef & Fresh Veal Thous Met Tons 67,321 1000 40000 lbs 3,449.61 232,230,911.83
Pork Thous Met Tons 120,960 1000 40000 lbs 2,204.62 266,669,997.44
Wheat Thous Met Tons 733,386 1000 5000 bu 36.7437 26,947,321.67
Corn Thous Met Tons 1,124,722 1000 5000 bu 39.3683 44,278,388.47
Soybeans Thous Met Tons 344,642 1000 5000 bu 36.7437 12,663,429.71
Aluminum Thous Met Tons 63,200 1000 25 mtons 1 63,200.00
Copper Thous Met Tons 24,400 1000 25000 lbs 1 24,400.00
Zinc Thous Met Tons 13,300 1000 25 mtons 1 13,300.00
Nickel Metric Tons 2,040,000 1 6 mtons 1 2,040,000.00
Lead Thous Met Tons 11,400 1000 25 mtons 1 11,400.00
Tin Metric Tons 367,000 1 5 mtons 1 367,000.00
Gold Kilograms 3,310,000 1 100 oz 32.1508 106,419,148.00
Silver Metric Tons 27,000 1 5000 oz 32,150.75 868,070,250.00
Platinum Kilograms 190,000 1 50 oz 32.1508 6,108,652.00
Sugar Thous Met Tons 194,193 1000 112000 lbs 2,204.62 428,121,771.66
Cotton Thous Met Tons 25,818 1000 50000 lbs 2,204.62 56,918,843.64
Coffee Thous Met Tons 10,412 1000 37500 lbs 2,204.62 22,954,911.29
Cocoa Thous Met Tons 5,573 1000 10 tons 1 5,573.39

Appendix F contains a table of the Commodity Production Weights and average Settlement Prices used to
calculate the Commodity Production Percentages for 2022.

25
SECTION 2.5. ALLOCATION OF COMMODITY PRODUCTION TO DERIVATIVE COMMODITIES AND
ADDITIONAL DESIGNATED CONTRACTS

As discussed in Section 2.2(4) above, certain Index Commodities are Primary Commodities, whereas
others are Derivative Commodities within the same Commodity Sector. The production weightings for Derivative
Commodities are not calculated in the manner described in Section 2.4 above. Instead, the Commodity
Production Percentages within each Commodity Sector must be reassigned among the Primary Commodities
and its Derivative Commodities to eliminate the double-counting of production figures for the Primary
Commodity that would otherwise occur if no adjustment were made. The same process is applied when more
than one Designated Contract has been selected for a particular Commodity (an “Additional Designated
Contract”). To allocate Commodity Production Percentages to any such Derivative Commodity set forth in
Section 2.2(4) or Additional Designated Contract, the following steps are taken:

1. Take the sum of the Commodity Liquidity Percentages for all the Primary Commodities, Additional
Designated Contracts and Derivative Commodities in each Commodity Sector.
2. Divide the Commodity Liquidity Percentage for each Primary Commodity, Additional Designated
Contract and Derivative Commodity in each Commodity Sector by the sum calculated in step 1 above for
that Commodity Sector. The result is the “Commodity Sector Allocation Percentage,” or “CSAP,” for that
Index Commodity. The Commodity Sector Allocation Percentages should sum to 100%.

3. Set the new Commodity Production Percentage for each Primary Commodity, Additional Designated
Contract and Derivative Commodity within that Commodity Sector to equal the Commodity Production
Percentage for the Primary Commodity multiplied by the individual Commodity Sector Allocation
Percentages. For example:

Once the Primary Commodity’s Commodity Production Percentage has been reallocated to that Primary
Commodity, Additional Designated Contracts and Derivative Commodities, all the Commodity Production
Percentages should continue to sum to 100%.
WTI Crude Oil CPP = Crude Oil CPP x WTI Crude Oil CSAP
Brent Crude Oil CPP = Crude Oil CPP x Brent Crude Oil CSAP
Heating Oil CPP = Crude Oil CPP x ULS Diesel CSAP
RBOB Gas CPP = Crude Oil CPP x RBOB Gas CSAP
Low Sulphur Gas Oil = Crude Oil CPP x Low Sulphur Gas Oil CSAP

These calculations are explained in further detail in Appendix D.

26
SECTION 2.6. CALCULATION OF THE COMMODITY INDEX PERCENTAGES

BISL calculates the Commodity Index Percentages for each year in the third or fourth quarter of the year
immediately prior to the year the relevant Commodity Index Percentages are effective and publishes the
results as promptly as practicable following the calculation. These new Commodity Index Percentages are
implemented in January of the effective year. Early publication allows users of the Index ample time to make
any necessary adjustments. Continuity of the Commodity Index Percentages is one goal in the design of
BCOM.

The Commodity Index Percentage for each Designated Contract included in the Index is calculated as follows:

Step A – Allocating 2/3 liquidity, 1/3 production

For each Designated Contract, calculate the sum of (a) 2/3 multiplied by the Commodity Liquidity
Percentage for that Designated Contract plus (b) 1/3 multiplied by the Commodity Production Percentage
for that Designated Contract. This sum is the “Interim Commodity Index Percentage,” or “ICIP.” The sum of
the ICIPs should be 100%.

Step B – Eliminating Commodities Under 0.4%21

1. Once all the ICIPs are calculated, set any ICIPs that are less than 0.4% to zero. The related
Commodities are not included in the Index for the related year, and none of the Index calculation
procedures that follow are performed with respect to these Commodities. The remaining Designated
Contracts are the Index Designated Contracts.
2. Calculate the sum of the ICIPs discarded in procedure 1 of this step B. Allocate this sum equally among
the Commodity Sectors. For any Commodity Sector that has more than one contract, the allocation will
be equally split among these contracts (Primary Commodities, Derivative Commodities and
Commodities with Multiple Designated Contracts receive equal split). The sum of the ICIPs should
continue to be 100%.

21. The rule set forth as step B of this Section 2.6 used in 2022 a minimum-inclusion threshold of 0.4% to create the
composition of BCOM for 2022. It is anticipated that BISL may, from time to time, exercise discretion in setting the
threshold for this rule in furtherance of the objectives underlying BCOM. In particular, when considering marginal
commodities not currently included in BCOM for potential future inclusion, BISL has the discretion to raise or lower
the minimum-inclusion threshold from 0.4% up to a maximum of 3% from year to year.
Step C – Reducing Any Commodity Sector over 25% Down to 25%
27
 Take the sum of the ICIPs for each Commodity Sector. If the ICIPs for any Commodity Sector sum to
greater than 25%:

1. Subtract 25% from each Commodity Sector sum that exceeds 25%.
2. Allocate the total difference equally among the other Index Commodities not affected by this rule, while
treating sectors as one asset when distributing the excess. For any Index Commodity that has more than
one Designated Contract, the allocation for this Index Commodity will be equally split among its
Designated Contracts. Do not allocate to any Commodity that was eliminated by the minimum threshold
rule (step B of this Section 2.6).
3. Allocate 25% to the Commodity Sectors that exceeded 25% in proportion to the original distribution within
this Commodity Sector (i.e., the new ICIP = 25% x original ICIP/sum of Commodity Sector original ICIPs).

The total of all the ICIPs should continue to equal 100%.

Step D – Reducing Any Index Commodity ICIP over 15% to 15%

If the ICIP of any Index Commodity is over 15%22:

1. Subtract 15% from that Commodity’s ICIP.

2. Allocate this difference equally among the other Index Commodities not affected by this rule, while
treating sectors as one asset when distributing the excess. For any Commodity Sector that has more than
one underlying contract or Commodities with Multiple Designated Contracts, the allocation will be equally
split among their underlying contracts. Do not allocate to any Commodity that was eliminated by the
minimum rule (Step B of this Section 2.6) or to any Index Commodity if the allocation would cause the
25% Commodity Sector Maximum limit to be exceeded.
3. Set this ICIP to 15%.

The total of all the ICIPs should continue to equal 100%.

Step E – Reducing Any Commodity Group ICIP to Under 33%

Take the sum of the ICIPs for each Commodity Group. If any Commodity Group’s ICIP sums to greater than
33%:

1. Subtract 33% from the sum of the Commodity Group’s ICIP.

2. Allocate this difference equally among the other Index Commodities not affected by this rule, while
treating sectors as one asset when distributing the excess. For any Commodity Sector that has more than
one underlying contract or Commodities with Multiple Designated Contracts, the allocation will be equally
split among their underlying contracts. Do not allocate to any Commodity that was eliminated by the
minimum rule (Step B of this Section 2.6) or to any Designated Contract if the allocation would
cause the 25% Commodity Sector or the 15% Commodity maximum limits to be exceeded.
3. Allocate 33% to the Designated Contracts in this Commodity Group in proportion to the original
distribution within this Commodity Group (i.e., the new ICIP = 33% x original ICIP/sum of Commodity
Group original ICIP).

The total of all the ICIPs should continue to equal 100%.

28
 Step F – Setting Gold and Silver Weights to Equal Their Commodity Liquidity Percentages

As discussed in Section 1.2(1) above, reliance on production data for gold, and similarly for silver, understates
the relative economic significance of these Commodities. Accordingly, the Commodity Index Percentages
for gold and silver are adjusted to reflect only the Commodity Liquidity Percentages. The adjustment is made
as follows:

1. Take the difference between the ICIPs for gold and silver and their respective Commodity Liquidity
Percentages. Sum these differences.
2. Set the gold and silver ICIPs to equal their respective Commodity Liquidity Percentages (the ICIP
cannot exceed the 15% Commodity limit or cause the Commodity Sector to exceed 25%).
3. Change the ICIPs of the remaining Designated Contracts by allocating the sum derived in procedure 1
of this Step F equally among them, while treating Sectors as one asset when distributing the excess. For
any Commodity Sector that has more than one underlying contract or Commodities with Multiple
Designated Contracts, the allocation will be equally split among their underlying contracts. Do not
change any ICIPs for Index Commodities eliminated under the minimum threshold rule (Step B of this
Section 2.6) or reduced by the 25% Commodity Sector, 15% Commodity or 33% Commodity Group
limits.

The sum of the ICIPs should continue to be 100%.

Step G – Increasing Any Sector ICIP Under 2% to 2%

If any remaining Commodity Sector has an ICIP under 2%:

1. Take the difference between each of these Index Commodities’ ICIPs and 2%. Sum all these
differences.
2. Decrease the ICIPs of the remaining Designated Contracts by allocating the sum derived in procedure 1
of this Step G, so that each Designated Contract receives an equal allocation. Do not decrease any ICIPs
for Index Commodities eliminated under the minimum threshold rule (Step B of this Section 2.6) or
reduced by the 25% Commodity Sector, 15% Commodity or 33% Commodity Group maximum limits.
3. Set the ICIPs that were under 2% to 2%.

The sum of the ICIPs should continue to be 100%.

It is possible that this Step G reduces the ICIPs for some Index Commodities to under 2%. If this occurs,
repeat Step G, but do not reduce those ICIPs that were adjusted up to 2% in the prior iteration. If necessary,
continue repeating Step G until no ICIP is under 2%.

22. Note that Brent and WTI are considered together as one Commodity for purposes of applying the 15% limit. Chicago
Wheat and KC HRW Wheat are also considered together for the same purposes.

Please note that Step G often does not have an effect on ICIPs, as individual Commodities with small ICIPs may have had their ICIPs

29
increased to above 2% by previous steps. The minimum allocation of 2% imposed by Step G may be reduced due to liquidity concerns
by Step H below.

Step H – Adjusting for the Commodity Liquidity Threshold

1. Divide (x) - the ICIP resulting from Step G for each Designated Contract by (y) the associated
Commodity Liquidity Percentage determined for that Index Commodity.
2. If this result (x/y) is greater than 3.5, then the related ICIP will be reduced such that it will equal 3.5
times the relevant Commodity Liquidity Percentage.
3. The amount of weight reduction for all affected Designated Contracts is aggregated, and the value of
this amount is allocated evenly to the ICIPs of the Designated Contracts with such ratio below a number,
currently set at 2.0, which is determined from time to time by BISL (excluding any Designated Contract
that, were the ICIP so increased, would cause any of the maximum weight rules in Steps C, D or E to be
exceeded) by adding such aggregate amount equally to the relevant ICIPs.

The percentages calculated in the final Step H, rounded to 8 decimal places, are the CIPs, which should
sum to 100%.

The effect of the above steps is to distribute the weights of the Index into a broader allocation among
Commodity Groups while still maintaining a strong relationship to the original Commodity Liquidity
Percentages and Commodity Production Percentages. The specific calculations for 2019 are set forth in
Appendix D.

SECTION 2.7. CALCULATION OF THE COMMODITY INDEX MULTIPLIERS

On the CIM Determination Date, the CIPs determined during the related Calculation Period, along with the
Settlement Prices determined on such CIM Determination Date 23, are used to determine a “Commodity
Index Multiplier” or “CIM” for each Designated Contract. This CIM is used to achieve the percentage weightings
of the Designated Contracts, in U.S. dollar terms, indicated by their respective CIPs. The weighted
average value, or “WAV,” of the Index is then determined by adding the product of these Settlement
Prices and their respective CIMs.

To determine the respective CIMs, first calculate Initial Commodity Index Multipliers (“ICIMs”) as follows:
each CIP will be multiplied by 1,000 and then divided by the Settlement Price (converted into U.S. dollars
for the Lead Future) for the applicable Designated Contract on the CIM Determination Date. This Settlement
Price is referred to in the calculations below as “FPD_S.”

The ICIMs are then adjusted by the previous year’s WAV1 value (divided by 1,000) to maintain WAV continuity
from one year to the next. A summary of the Commodity Index Multiplier calculations is as follows:

Step A – Determine the Initial Commodity Index Multiplier

ICIM = CIP * 1,000/FPD_S

Step B – Determine an Adjustment Factor (the “Adjustment Factor”) to Maintain Continuity

23. See Section 3.3 for the Settlement Prices to be used if a Market Disruption Event has occurred for any Designated
Contract used in the calculation of the CIMs on the CIM Determination Date.
30
“CIM_last_year” is defined as the CIM that was in effect for the year immediately prior to the CIM
Determination Date.
“CIM_new_year” is defined as the new CIM calculated for the year in which the CIM Determination Date
falls.

1. Calculate the WAV1 settlement using CIM_last_year and FPD_S for each Designated Contract.
2. The Adjustment Factor equals this WAV1 divided by 1,000.

Step C – Calculate the New Commodity Index Multiplier

CIM_new_year is then determined by multiplying the ICIM for each Designated Contract by the Adjustment
Factor derived in Step B of this Section 2.7.24 Set the new CIM to equal the CIM_new_year. Round the
CIMs to 8 decimal places.

The CIM_last_year continues to be used for the calculation of WAV1 until the end of the roll period falling in
the month of January.

After the CIMs are calculated on the CIM Determination Date in a given year, they remain fixed throughout
such year. As a result, the observed price percentage of each Designated Contract will float throughout the
year until the CIMs are reset the following year based on new CIPs.

Prior to a CIM Determination Date, users of the Index will be able to estimate the CIMs for the year in which
such CIM Determination Date will fall by using then-available prices for the Designated Contracts that will
be the Lead Futures for the month of January in which such CIM Determination Date will fall.

24. The effect of the adjustment to the ICIMs is to set the WAV1 value using the CIM_last_year equal to the WAV1
using the CIM_new_year as of the CIM Determination Date. The CIM_new_year, redesignated the CIM, is then used
to calculate the WAV2 value.
31
Table 8 below illustrates the calculations of the Commodity Index Percentages and Commodity Index
Multipliers for 2022 (official CIP and CIM calculations use additional decimal precision than provided in Table
8).

Table 8: CIM Calculations for the 2022 Bloomberg Commodity Index

2022 FPD_S
2021 CIM x 2022
Commodity 2021 CIM January 7th 2022 ICIM 2022 CIM
FPD_S Weights
2021
Natural Gas 122.47079 3.67 449.4677868 7.95% 406.0400184 110.6376072
WTI Crude Oil 6.5370999 78.88 515.6464401 8.04% 410.2263073 5.20063777
Brent Crude Oil 5.1468751 81.99 421.9922886 6.96% 355.4182067 4.33489702
Unleaded Gas 59.870184 2.3103 138.3180872 2.17% 110.906211 48.00511233
ULS Diesel 55.22365 2.4493 135.2592851 2.05% 104.7724797 42.77649928
Low Sulphur Gas Oil 0.2437279 703.75 171.5234885 2.65% 135.2446693 0.19217715
Live Cattle 136.58912 1.3735 187.6051513 3.58% 182.7722083 133.0704101
Lean Hogs 101.96937 0.8295 84.58359592 1.75% 89.56254308 107.9717216
Wheat (Chicago) 18.340332 7.46 136.8188746 2.85% 145.2867123 19.4754306
Wheat (KC HRW) 10.719734 7.685 82.38115533 1.66% 84.91778616 11.04980952
Corn 46.173114 6.0375 278.7701764 5.59% 285.3252376 47.25883853
Soybeans 17.525681 13.8725 243.1250147 5.79% 295.4797767 21.29967754
Soybean Meal 0.3399643 411 139.7253355 3.52% 179.6725751 0.43715955
Soybean Oil 297.94825 0.589 175.4915185 3.17% 161.8884375 274.8530348
Aluminum 0.084517 2921.51 246.9172607 4.25% 216.7165893 0.07417965
Copper 59.583365 4.3545 259.4557642 5.40% 275.5448436 63.27818201
Zinc 0.045958 3561.75 163.6907996 3.12% 159.1992904 0.04469693
Nickel 0.0061223 20418 125.0045089 2.71% 138.5014194 0.0067833
Gold 0.3124865 1789.2 559.1008816 15.00% 765.6445193 0.42792562
Silver 6.5208287 22.19 144.6971893 4.75% 242.2955056 10.91913049
Sugar 781.78568 0.1819 142.2068153 2.79% 142.6306914 784.1159508
Cotton 77.352119 1.1472 88.73835072 1.50% 76.73222961 66.88653209
Coffee 92.264562 2.317 213.7769898 2.73% 139.5185507 60.21517077

WAV1, Close on 4th Business Day 2022 5104.296759

Adjustment Factor 5.104296759

32
SECTION 2.8. ONGOING CALCULATION OF WAV1 AND WAV2

WAV1 and WAV2 are calculated on the basis of prices for the Lead Future and the Next Future,
respectively. Table 9 below lists the Designated Contract months that are to be used to determine the Lead
Future and Next Future for each Index Commodity for this calculation. To illustrate, the Lead Future for
natural gas in January is March, as is the Next Future, and in February the Lead Future is March and the
Next Future is May. Thus, in February, WAV1 will incorporate the price for the March natural gas contract,
and WAV2 will incorporate the price for the May contract. Note that as a new month begins, the Next Future
(as indicated in Table 9 below) becomes the Lead Future. Similarly, as a new month begins, the WAV2 from
the prior month is redesignated as WAV1.

Table 9: Bloomberg Commodity Index Contract Calendar25

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Commodity
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Natural Gas Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
WTI Crude Oil Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Brent Crude Oil Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
RBOB Gasoline Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
ULS Diesel Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Live Cattle Feb Apr Apr Jun Jun Aug Aug Oct Oct Dec Dec Feb
Lean Hogs Feb Apr Apr Jun Jun Jul Aug Oct Oct Dec Dec Feb
Wheat (Chicago) Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Wheat (KC HRW) Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Corn Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Soybeans Mar Mar May May Jul Jul Nov Nov Nov Nov Jan Jan
Soybean Oil Mar Mar May May Jul Jul Dec Dec Dec Dec Jan Jan
Soybean Meal Mar Mar May May Jul Jul Dec Dec Dec Dec Jan Jan
Aluminum Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Copper Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Zinc Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Nickel Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Lead Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Tin Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Gold Feb Apr Apr Jun Jun Aug Aug Dec Dec Dec Dec Feb
Silver Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Platinum Apr Apr Apr Jul Jul Jul Oct Oct Oct Jan Jan Jan
Sugar No.11 Mar Mar May May Jul Jul Oct Oct Oct Mar Mar Mar
Cotton No.2 Mar Mar May May Jul Jul Dec Dec Dec Dec Dec Mar
Coffee "C" Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Cocoa Mar Mar May May Jul Jul Sep Sep Dec Dec Dec Mar
Low Sulphur Gas Oil Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
FCOJ Mar Mar May May Jul Jul Sep Sep Nov Nov Jan Jan
Feeder Cattle Mar Mar May May Aug Aug Aug Oct Oct Jan Jan Jan
Palladium Mar Mar Jun Jun Jun Sep Sep Sep Dec Dec Dec Mar

25. Table 9 includes, Platinum, frozen concentrated orange juice (FCOJ), Cocoa, Palladium, and Feeder Cattle, which are
currently not part of the Index, but are used in calculating single-commodity Subindices as described in Appendix H.

33
 Once the applicable futures month is determined, the price for each Designated Contract used to calculate
WAV1 and WAV2 for each Business Day is obtained and converted into U.S. dollars. Some quote systems
and data sources may report contract prices with decimals omitted or in a format that is not reflective of the
actual U.S. dollar value. It is important to correctly convert each reported price into U.S. dollars per unit of
the underlying contract. Table 10 below lists the reported Settlement Prices for the Lead Futures converted
into U.S. dollars per unit for the 2022 CIM Determination Date.

Table 10: 2022 CIM Determination Date Futures Settlement Prices Converted into U.S. Dollars
Contract
Price on January 7th Price in
Commodity Quotation Price Conversion
2022 dollars
Terms
Natural Gas $/mmbtu 3.67 1 3.67
WTI Crude Oil $/bbl 78.88 1 78.88
Brent Crude Oil $/bbl 81.99 1 81.99
Unleaded Gas ¢/100 gallon 231.03 100 2.3103
ULS Diesel ¢/100 gallon 244.93 100 2.4493
Low Sulphur Gas Oil $/mertic ton 703.75 1 703.75
Live Cattle ¢/lb 137.35 100 1.3735
Lean Hogs ¢/lb 82.95 100 0.8295
Wheat (Chicago) ¢/bu 746 100 7.46
Wheat (KC HRW) ¢/bu 768.5 100 7.685
Corn ¢/bu 603.75 100 6.0375
Soybeans ¢/bu 1387.25 100 13.8725
Soybean Meal $/short ton 411 1 411
Soybean Oil ¢/lb 58.9 100 0.589
Aluminum $/mtons 2921.51 1 2921.51
Copper ¢/lb 435.45 100 4.3545
Zinc $/mertic ton 3561.75 1 3561.75
Nickel $/metric ton 20418 1 20418
Gold $/troy Oz 1789.2 1 1789.2
Silver $/troy Oz 22.19 1 22.19
Sugar ¢/lb 18.19 100 0.1819
Cotton ¢/lb 114.72 100 1.1472
Coffee ¢/lb 231.7 100 2.317

Once Settlement Prices are obtained for the Lead Future and Next Future for each Index Commodity, the
WAVs are calculated in respect of each Business Day as follows: WAV1 is calculated by multiplying each
Commodity Index Multiplier by the Settlement Price for the respective Lead Future for that day and
summing the results. WAV2 is calculated by multiplying each Commodity Index Multiplier by the Settlement
Price for the respective Next Future for that day and summing the results. The WAVs are rounded to 8
decimal places.

34
BISL calculates BCOM (which is calculated on an “excess return” basis), a “total return” index based on
BCOM (“BCOMTR”) and the non-U.S. dollar denominated versions of BCOM and BCOMTR identified in
Appendix I.

In addition, BISL publishes a “spot price” version of BCOM (“BCOMSP”). BCOMSP provides a general
estimate of the trend in commodity prices, without the positive or negative return effects caused by rolling
futures or the costs involved in actually holding physical commodities. BCOMSP is not “investable”, in the
sense that returns of BCOMSP cannot be actually replicated in the underlying futures markets. See
Appendix E for calculation details for BCOMSP.

BISL also calculates Subindices and forward month versions of the Index and selected Subindices on an
excess return and total return basis. Additional information in respect of these Subindices and forward month
versions of the Indices is set forth in Appendices H and J, respectively.

SECTION 3.1. CALCULATION OF THE BLOOMBERG COMMODITY INDEX

The BCOM Settlement Price is calculated on each Business Day using the applicable Settlement Prices for
WAV1 and WAV2 on the current Business Day and the prior Business Day. The suffix “_PS” designates the
Settlement Price for the previous Business Day, and the suffix “_S” designates the Settlement Price for the
current Business Day. “BCOM_S” indicates the value of BCOM on the current Business Day. The manner in
which BCOM is calculated on a given Business Day depends on which of three periods during the month in
which this day falls: the period prior to the Roll Period, the Roll Period, or the period following the Roll
Period. The “Roll Period” is used in this Methodology to refer to the sixth through tenth Business Days of the
month, during which time the value of BCOM is gradually shifted from the utilization of WAV1 for Index
calculation to the utilization of WAV2, at the rate of 20% per Business Day.

Prior to the Roll Period

On Business Day 1 of the month, the Index is calculated as follows:

BCOM _S= BCOM_PS* WAV1_S/WAV2_PS26

On Business Days 2 through 5 of the month, BCOM is calculated as follows:

BCOM _S= BCOM_PS * WAV1_S / WAV1_PS

During the Roll Period

On each day of the Roll Period, the dependence of BCOM is shifted, at the rate of 20% per day, from WAV1
to WAV2 as follows:

26
On the first Business Day of the month, WAV1 is comprised of the same group of Designated Contracts that
comprised the WAV2 of the prior month. Therefore, when calculating the change in the WAV1, it is divided by the
WAV2 from the last Business Day of the prior month. This does not represent a “roll”, but rather a redesignation of the
WAV2 to WAV1.

35
Day 1 of Roll Period (Business Day 6 of Month):

BCOM_S = BCOM _PS*(WAV1_S*.80 + WAV2_S*.20)/(WAV1_PS * .80+ WAV2_PS*.20)

Day 2 of Roll Period (Business Day 7 of Month):

BCOM_S = BCOM _PS*(WAV1_S*.60 + WAV2_S*.40)/(WAV1_PS * .60+ WAV2_PS*.40)

Day 3 of Roll Period (Business Day 8 of Month):

BCOM_S = BCOM _PS*(WAV1_S*.40 + WAV2_S*.60)/(WAV1_PS * .40+ WAV2_PS*.60)

Day 4 of Roll Period (Business Day 9 of Month):

BCOM_S = BCOM _PS*(WAV1_S*.20 + WAV2_S*.80)/(WAV1_PS * .20+ WAV2_PS*.80)

Day 5 of Roll Period (Business Day 10 of Month):

BCOM _S = BCOM _PS *(WAV2_S / WAV2_PS)

(3) After the Roll Period

For the remainder of the month, the calculation of BCOM will be

BCOM _S = BCOM _PS *(WAV2_S / WAV2_PS)

Following the preceding calculations, BCOM is rounded to 8 decimal places.

See Appendix G for special calculation procedures to be used if a Market Disruption Event occurs.

SECTION 3.2. CALCULATION OF BCOM TOTAL RETURN INDEX

The BCOM Total Return Index reflects the returns on a fully collateralized investment in BCOM. This combines
the returns of BCOM with the returns on cash collateral invested in Treasury Bills. These returns are calculated
by using the most recent weekly auction high rate for 13 week (3 Month) U.S. Treasury Bills, as reported on
the website http://www.treasurydirect.gov/ published by the Bureau of the Public Debt of the U.S. Treasury,
or any successor source, which is generally published once per week on Monday. The auction results
are also available on the Bloomberg Terminal using the ticker: USB3MTA Index. To calculate BCOMTR:

36
Definitions:
Calculation Date = date for which calculation is made.
BCOM t = BCOM value on the Calculation Date.
BCOM t - 1 = BCOM value on the Business Day prior to the Calculation Date.
BCOMTR t = BCOMTR value on the Calculation Date.
BCOMTR t - 1 = BCOMTR value on the Business Day prior to the Calculation Date.
3MR t = With respect to a Business Day d, the most recent weekly auction High
Rate for 13 week (3 Month) U.S. Treasury Bills, as reported on the website
http://www.treasurydirect.gov/instit/annceresult/annceresult.htm published
by the Bureau of the Public Debt of the U.S. Treasury, or any successor
page, on such Business Day d, provided, that if such auction High Rate is
published on such Business Day d, TBill(d-1) shall be the rate published for
the most recent previous auction.

This rate is then used for every day until the next rate is released; provided,
however, that if a new rate is scheduled to be released on a given day, the
prior rate is used for purposes of calculations in respect of such release
date. The new rate is generally obtained on Monday and, accordingly, is
first used in respect of Tuesday’s settlement calculations. In the event of a
holiday or other disruption in the Treasury auction schedule, the last
available rate is used until the next rate becomes available. Note that the
prior day's rate is used in calculating the value of TBD, to reflect the
realization of an investment at that rate on day “t”.
TBD = Treasury Bill Daily Return.
DAYS = Number of calendar days from and including the prior Calculation Date to
but excluding the current Calculation Date.
Suffix _S = Denotes the Settlement Price for the relevant index for the day indicated.

Step 1 - Calculate the Daily Excess Return (“DER”) as follows:

DER t = BCOM t / BCOM_S t - 1 - 1

Step 2 - Calculate the Treasury Bill Daily Return as follows:

Step 3 - Calculate the Total Return as follows:

BCOM TR t = BCOM TR_S t - 1 x ( 1 + DER t + TBD t )

BCOMTR t is rounded to 8 decimal places.

37
SECTION 3.3. MARKET DISRUPTION EVENTS

BCOM is a futures-based index. From time to time, disruptions can occur in trading futures contracts on
various commodity exchanges. The following rules will govern the means by which BCOM accommodates
potential market disruptions:

“Market Disruption Event” means (a) the termination or suspension of, or material limitation or disruption in,
the trading of any Lead Future or Next Future used in the calculation of the Index on that day, (b) the Settle-
ment Price of any such contract reflects the maximum permitted price change from the previous day’s
Settlement Price, (c) the failure of an exchange to publish official Settlement Prices for any such contract, or
(d) with respect to any such contract that trades on the LME, a Business Day on which the LME is not open
for trading. The existence of a Market Disruption Event shall be determined by BISL.

If a Market Disruption Event occurs during the “Hedge Roll Period” (defined herein as the fifth through the
ninth Business Days of each month) in any month other than January affecting any Index Commodity, then
the daily roll of the relevant Designated Contract for such Index Commodity will be postponed until the next
available Business Day on which a Market Disruption Event does not occur, and the calculation of BCOM
will be adjusted to reflect this, as set forth in Appendix G. The Hedge Roll Period will be extended only if a
Market Disruption Event affects an Index Commodity on the scheduled final Business Day comprising the
Hedge Roll Period.

Note that a Market Disruption Event for any individual Index Commodity in BCOM during the Hedge Roll
Period will not postpone the roll for any other Index Commodity for which a Market Disruption Event has not
occurred.

If a Market Disruption Event occurs during the “Hedge Roll Period” scheduled for January of each year
affecting any Index Commodity, then the rolling or rebalancing of the relevant Designated Contract will
occur in all cases over five Business Days on which no Market Disruption Event exists at a rate of 20% per
day, using the methodology set forth in Appendix G for the calculation of BCOM for every Business Day
following a Market Disruption Event until the extended Hedge Roll Period is complete. The Hedge Roll
Period in January, and the resulting rebalancing that is scheduled to occur, will be extended in all cases
until the affected Designated Contract finishes rolling over five Business Days not affected by a Market
Disruption Event. This means that the amounts of a particular Designated Contract rolled or rebalanced in
January will always be distributed over five Business Days and will not, for example, “double up” on the
Business Day following a Market Disruption Event.

Table 11 below shows an example of how the Applied Roll Percentage “ARP” that would be used in
Appendix G, for two Index Commodities “1” and “2”, if a Market Disruption Event were to affect the Designated
Contract for Index Commodity “2” on Business Day 7. During the months of February through and including
December, the calculation methodology in Appendix G would be used only on Business Day
8. In January, however, the calculation methodology in Appendix G would be used on Business Days 8, 9
and 10, until Index Commodity “2” had finished rolling.

38
 Table 11: Example of Applied Roll Percentage if Market Disruption Event
February – December January
Business Business
ARP 2, Day “t” ARP 1, ARP 2, t
Day “t” ARP 1, t
1 100% 100% 1 100% 100%
2 100% 100% 2 100% 100%
3 100% 100% 3 100% 100%
4 100% 100% 4 100% 100%
5 100% 100% 5 100% 100%
6 80% 80% 6 80% 80%
MDE 7 60% 60% MDE-> 7 60% 60%
Use Appendix G 8 40% 60% Use Appendix G 8 40% 60%
9 20% 20% Use Appendix G 9 20% 40%
10 0% 0% Use Appendix G 10 0% 20%
11 0% 0% 11 0% 0%
12 0% 0% 12 0% 0%

If a Market Disruption Event occurs on a CIM Determination Date in respect of the applicable futures contract
for an Index Commodity that is caused by a "limit event" (as defined by the applicable futures exchange), BISL
will use the current day's settlement price of such futures contract to determine the new Commodity Index
Multipliers (CIM) with respect to such Index Commodity. If a Market Disruption Event occurs due to an
exchange's failure to produce a settlement price of such futures contract, BISL will use the first prior Business
Day's settlement price on which a Market Disruption Event had not occurred with respect to such Index
Commodity. .

39
APPENDIX A GLOSSARY OF TERMS

“Adjustment Factor” or “AF” means the factor by which the Commodity Index Multipliers are adjusted to
provide continuity in WAV values from one year to the next. The Adjustment Factor is computed in
accordance with Section 2.7 of the Methodology.

“Bloomberg” means Bloomberg Finance L.P. and its affiliates.

“BCOM” means the Bloomberg Commodity IndexSM.

“BCOM Total Return Index” or “Bloomberg Commodity Index Total Return” or “BCOMTR” means the Index
calculated on a total return basis as described in Section 3.2 of the Methodology.

“BFIX” or “Bloomberg FX Fixings” mean Bloomberg Generic Price (BGN) for currencies used in the index.
This FX source is snapped at 30 minute intervals throughout the day and the London 16:00 fixings are used in
calculation of the Bloomberg Commodity Indices. If an individual London 16:00 fixing is not available, BISL
will use expert judgment in determining the FX rates for the current business day.

“Bloomberg Commodity Index 1 Month Forward” or “BCOMF1” means a one-month forward version of
BCOM calculated as described in Appendix J of the Methodology.

“Bloomberg Commodity Index 2 Month Forward” or “BCOMF2” means a two-month forward version of
BCOM calculated as described in Appendix J of the Methodology.

“Bloomberg Commodity Index 3 Month Forward” or “BCOMF3” means three-month forward versions of
BCOM and Subindices calculated as described in Appendix J of the Methodology.

“Bloomberg Commodity Index Total Return 1 Month Forward” or “BCOMF1T” means a one month forward
version of BCOMTR calculated as described in Appendix J of the Methodology.

“Bloomberg Commodity Index Total Return 2 Month Forward” or “BCOMF2T” means a two month forward
version of BCOMTR calculated as described in Appendix J of the Methodology.

“Bloomberg Commodity Index Total Return 3 Month Forward” or “BCOMF3T” means a three month forward
version of BCOMTR calculated as described in Appendix J of the Methodology.

“Business Day” means any day on which the sum of the CIPs for those Index Commodities that are open for
trading is greater than 50%. For purposes of this definition, the CIPs used during any calendar year are
those calculated in the preceding year and applied on the CIM Determination Date for that year; provided,
however, that on any day during such calendar year falling prior to or on the CIM Determination Date, the
preceding year’s CIPs will be used for purposes of determining the existence of a Business Day.

“Calculation Period” means, for each year for which the Index is calculated, the sixth month of the year
preceding such year of calculation.

40
“CBOT” means the Chicago Board of Trade, a division of the CME Group.

“CIM Determination Date” means the date from which the values used in calculating the Commodity Index
Multipliers will be determined for each year that the Index is calculated. This will be the fourth Business Day
of that year, or as otherwise determined in accordance with Section 3.3 of the Methodology.

“COMEX” means the Commodities Exchange division of the CME Group

“Commodities” means the commodities listed in Section 2.2 of the Methodology as eligible for inclusion in
the Index.

“Commodity Group” means the group of Commodities to which each Commodity is assigned for the
purpose of applying the diversification rules discussed in the Methodology. Section 2.2 of the Methodology
lists the Commodity Groups and their corresponding Commodities.

“Commodity Index Multiplier” or “CIM” is a factor that is computed annually on the CIM Determination Date
for each Index Commodity for purposes of implementing the annual re-weighting of the Index. It is
calculated in accordance with Section 2.7 of the Methodology.

“Commodity Index Percentage” or “CIP” is derived by summing (i) 2/3 of the Commodity Liquidity
Percentage for each Index Commodity and (ii) 1/3 of the Commodity Production Percentage for that Index
Commodity, to determine the percentage weighting of each Index Commodity. The Commodity Index
Percentages are adjusted in accordance with Section 2.6 of the Methodology.

“Commodity Liquidity Percentage” or “CLP” is the liquidity weighting assigned to each Index Commodity that
is combined with the production weighting, or Commodity Production Percentage, assigned to each Index
Commodity to derive the Commodity Index Percentage for that Index Commodity. The Commodity Liquidity
Percentages are calculated in accordance with Section 2.3 of the Methodology.

“Commodity Production Percentage” or “CPP” is the production weighting assigned to each Index
Commodity that is combined with the liquidity weighting, or the Commodity Liquidation Weighing, assigned
to each Index Commodity to derive the Commodity Index Percentage for that Index Commodity. The
Commodity Production Percentages are calculated in accordance with Section 2.4 of the Methodology.

“Commodity Production Weight” or “CPW” as set forth in Section 2.4 is the production data, adjusted to the
same unit terms as the Designated Contract for that Commodity. This number is then divided by 1,000,000.

“Commodity Sector” refers to a Primary Commodity along with its Derivative Commodities. Commodity
Sectors are described in Section 2.2 of the Methodology.

“Commodity Sector Allocation Percentage” or “CSAP” means, for each Index Commodity in a given
Commodity Sector, (i) the Commodity Liquidity Percentage for that Index Commodity divided by (ii) the sum
of the Commodity Liquidity Percentages for all Index Commodities in that Commodity Sector. The
Commodity Sector Allocation Percentage is calculated as described in Section 2.5 of the Methodology.

“Derivative Commodity” means an Index Commodity that is principally produced or derived from another
Index Commodity.

41
 “Designated Contract” means, with respect to a Commodity, the futures contract selected as the reference
contract from which price and trading volume data for the Commodity will be obtained to calculate the Index.
The Designated Contracts, and the futures exchanges on which they trade, are identified in Section 2.2 of
the Methodology.

“FIA” means the Futures Industry Association.

“Index Oversight Committee” means the oversight committee created to provide oversight and
accountability over all aspects of the Index determination process.

“Hedge Roll Period” means the period of five Business Days, beginning with the fifth Business Day through
and including the ninth Business Day of each month, subject to adjustment as described in Section 3.3.

“Index” means the Bloomberg Commodity IndexSM.

“Index Commodity” means a Commodity included in the Index. The Commodities currently included in the
Index are listed in Section 2.2 of the Methodology.

"Index Administrator" means Bloomberg Index Services Limited

“Initial Commodity Index Multiplier” or “ICIM” means for each Index Commodity, the initial Commodity Index
Multiplier, which is then adjusted by the Adjustment Factor to determine the Commodity Index Multiplier.
The Initial Commodity Index Multipliers are calculated in accordance with Section 2.7 of the Methodology.

“Interim Commodity Index Percentage” or “ICIP” means the initial percentage weighting assigned to each
Commodity, which, when adjusted to reduce, increase, or eliminate a percentage weighting that would
otherwise have either a disproportionate or negligible impact on the Index, constitutes the Commodity Index
Percentage assigned to each Index Commodity. The Interim Commodity Index Percentages are calculated
in accordance with Section 2.6 of the Methodology.

“ICE” means the Intercontinental Exchange

“Index Levels” means, in respect of the Index and an index Business Day, the value of the Index on such index
Business Day, calculated in accordance with the methodology described herein.

“Lead Future” means, for each Index Commodity, the futures contract month designated in Table 9 of the
Methodology under the current month for each Designated Contract.

“Liquidity Averaging Period” means the five years up to and including the year prior to the applicable
Calculation Period. For example, the Calculation Period for the determination of the CIPs in respect of the
calculation of the Index for 2022 (i.e., 2021), the applicable Liquidity Averaging Period is the years 2016 to
2020, inclusive.

“LME” means the London Metals Exchange.

“Next Future” means, for each Commodity, the futures contract month designated in Table 9 of the
Methodology, set forth in the column next to the current month. In December, the first column, January,
designates the column for the Next Future.
42
“NYMEX” means the New York Mercantile Exchange, a division of the CME Group

“Primary Commodity” means an Index Commodity from which another Index Commodity is principally
produced or derived.

“Production Averaging Period” means the most recent five-year period for which world production data for
all Index Commodities are available as of the applicable Calculation Period. For example, the Calculation
Period for the determination of the CIPs for the calculation of the Index for 2022 (i.e., 2021), the Production
Averaging Period comprises the years 2014 to 2018, inclusive.

“Roll Period” means the period of five Business Days, beginning with and including the sixth Business Day
through and including the tenth Business Day of each month.

“Settlement Price” means, for each Designated Contract and a given day, the official settlement price for the
relevant contract month as published by the futures exchange on which the Index Commodity trades for
such day.

“UBS” means UBS Securities LLC and its affiliates.

“WAV” means the weighted average values used in calculation of the Index, which can be in the form of
“WAV1” or “WAV2”.

“WAV1” means the weighted average value that is calculated by summing the product for each Index
Commodity of (i) the price for the applicable Lead Future in U.S. dollars and (ii) the applicable Commodity
Index Multiplier. WAV1 is calculated in accordance with Section 2.8 of the Methodology; additional
calculations are described in Appendix E to the Methodology.

“WAV2” means the weighted average value calculated by summing the product for each Index Commodity
of (i) the price for the applicable Next Future in U.S. dollars and (ii) the applicable Commodity Index
Multiplier. WAV2 is calculated in accordance with Section 2.8 of the Methodology; additional calculations
are described in Appendix E to the Methodology.

43
APPENDIX B ADDITIONAL NOTES ON INDEX CONSTRUCTION

Historical Data

All data used in the calculation of the CLPs, CPWs, CPPs and in any historical returns of BCOM (including
all related indices and Subindices) prior to the launch of BCOM on July 14, 1998, which are set forth herein
or in any other materials produced by UBS, Bloomberg or any of their respective affiliates, are historical
estimations using available data. While such data is believed to be accurate, none of UBS, Bloomberg or
any of their respective affiliates makes any representation as to its accuracy or completeness.

In general, where settlement prices for certain trading days were unavailable, interpolation was employed.

LME Third Wednesday settlement data from January 1991 through October 1993 was not available. As a
result, prices for Aluminum, Zinc, Nickel, Lead and Tin over this time period were estimated using
interpolation from available LME settlement price data. For the period covering January 1991 through
December 1992, cash and 3 month settlement data was used. For the period January 1993 through
October 1993, Cash, 1 month, 2 month, 3 month and 6 month data were used.

All historical index calculations prior to original Index launch on July 14, 1998 apply annually the Commodity
Index Percentages that were in effect upon launch of the Index. The 1998 Commodity Index Multipliers
were applied in 1998 and 1999, and the first actual reweighting of the Index took effect in January 2000.

44
Conversion Factors
Table 12 illustrates the source of the data used to derive the Conversion Factors.

Table 12: Source of the data used to derive the Conversion Factors
Commodity Source Table Location
Basic Petroleum Data Gallon, Barrel, Pound and Ton
Book, Volume XXII, Equivalents for Converting Section XVI Table
Crude Oil
Number 1, February Measures of Crude Petroleum and 3
2006 Refined Petroleum Products

Agricultural Statistics
2009 United States
Wheat, Corn and
Department of Weights and Measures Page vii, viii
Soybeans
Agriculture, 2009
(ASUS)
Table 7-9 Cattle and calves:
Production, disposition, cash
receipts and gross income, United
Cattle ASUS VII-7, VII-40
States, (2000-2000) and 7-66 Red
Meat: Production, by class of
slaughter, United States 2000-2009
Statistical Yearbook Annex II A. Equivalents of Metric,
Gold 49th Issue, United British Imperial, and United States Page 847
Nations 2005 (SYUN) Units of Measure
Annex II A. Equivalents of Metric,
Silver SYUN British Imperial, and United States Page 847
Units of Measure
Annex II A. Equivalents of Metric,
Platinum SYUN British Imperial, and United States Page 847
Units of Measure
Sugar ASUS Weights and Measures Page vii
Cotton ASUS Weights and Measures Page vii
Coffee ASUS Weights and Measures Page vii
Standard Metric Practice Guide -- (A
American Society for
Natural Gas Guide to the Use of SI -- the Page 21
Testing and Materials
International System of Units, 1974)

45
APPENDIX C EXAMPLE OF ROLL PERIOD CALCULATIONS

Table 13: Example of Roll Period Calculations

Business Roll Roll
Unit Date WAV1 WAV2 BCOM
Day Weight1 Weight2
2-Jan-97 1 1196.764 1 1195.469 0 122.574
3-Jan-97 2 1196.121 1 1195.107 0 122.509
6-Jan-97 3 1214.668 1 1213.927 0 124.408
7-Jan-97 4 1214.314 1 1214.285 0 124.372
8-Jan-97 5 1220.453 1 1220.608 0 125.001
9-Jan-97 6 1218.382 0.8 1219.878 0.2 124.816
10-Jan-97 7 1216.373 0.6 1220.351 0.4 124.712
13-Jan-97 8 1207.51 0.4 1214.11 0.6 123.966
14-Jan-97 9 1209.179 0.2 1214.664 0.8 124.046
15-Jan-97 10 1226.924 0 1230.74 1 125.687
16-Jan-97 11 1212.804 0 1218.939 1 124.482
17-Jan-97 12 1206.098 0 1213.536 1 123.93
21-Jan-97 13 1194.815 0 1203.879 1 122.944
22-Jan-97 14 1197.584 0 1206.081 1 123.169
23-Jan-97 15 1197.393 0 1206.424 1 123.204

46
APPENDIX D CALCULATING THE COMMODITY INDEX PERCENTAGES

Step 1: Allocate Commodity Production Percentages for Derivative Commodities and Additional Designated
Contracts by utilizing the Commodity Liquidity Percentages as an allocation weighting. Multiply the Commodity
Production Percentage for the Primary Commodity by the percentage that its Commodity Liquidity Percentage
comprises of the total Commodity Liquidity Percentages for the Commodity Sector.

Table 14: Example of Reallocating Commodity Production Percentages

Petroleum Sector

Commodity Liquidity
Commodity Allocation World Prod. Reallocate = CPP
%

WTI Crude Oil 22.9041% 39.7799% 57.2873% 22.7888%

Brent Crude Oil 19.2751% 33.4771% 19.1781%
Unleaded Gasoline 4.8519% 8.4269% 4.8275%
Low Sulphur Gas Oil 5.9181% 10.2785% 5.8883%
ULS Diesel 4.6279% 8.0377% 4.6046%
Total 57.5770% 57.2873%

Soybean Sector
Commodity
Commodity Allocation World Prod. Reallocate = CPP
Liquidity %
Soybeans 4.0429% 64.1233% 3.2591% 2.0899%
Soybean Meal 1.3386% 21.2317% 0.6920%
Soybean Oil 0.9234% 14.6450% 0.4773%
Total 6.3049% 3.2591%

Wheat Sector
Commodity
Commodity Allocation World Prod. Reallocate = CPP
Liquidity %
Wheat (Chicago) 1.1891% 71.4410% 3.6525% 2.6094%
Wheat (KC HRW) 0.4753% 28.5590% 1.0431%
Total 1.6644% 3.6525%

47
Step 2: Combine the CLPs and CPPs using 2/3 and 1/3 weighting. The combined weighting is called the
Interim Commodity Index Percentage (ICIP).

Table 15: Example of Determining Interim Commodity Index Percentages

2/3: Commodity 1/3: Commodity Production
Commodity Combined:
Liquidity % CLP % CPP
Natural Gas 4.2645% 3.4093% 3.9794%
WTI Crude Oil 22.0999% 21.6488% 21.9495%
Brent Crude Oil 19.1453% 18.7545% 19.0151%
Unleaded 4.7209% 4.6245% 4.6888%
Heating Oil 4.4504% 4.3595% 4.4201%
Low Sulphur Gas Oil 5.7944% 5.6761% 5.7549%
Live Cattle 1.0231% 7.8581% 3.3014%
Lean Hogs 0.5013% 5.1977% 2.0668%
Wheat (Chicago) 1.1891% 2.6094% 1.6625%
Wheat (KC HRW) 0.4753% 1.0431% 0.6646%
Corn 2.6196% 4.4273% 3.2222%
Soybeans 4.0429% 2.0899% 3.3919%
Soybean Oil 0.9234% 0.4773% 0.7747%
Soybean Meal 1.3386% 0.6920% 1.1231%
Aluminum 1.3096% 3.0149% 1.8780%
Copper 2.6159% 3.8598% 3.0306%
Zinc 0.8911% 0.9253% 0.9025%
Nickel 0.7753% 0.6646% 0.7384%
Lead 0.2878% 0.6321% 0.4026%
Tin 0.0581% 0.1975% 0.1045%
Gold 15.6202% 3.5323% 11.5909%
Silver 3.1392% 0.4036% 2.2273%
Platinum 0.3329% 0.1562% 0.2740%
Sugar 0.7984% 1.5781% 1.0583%
Cotton 0.4295% 1.0634% 0.6408%
Coffee 0.7810% 0.7484% 0.7701%
Cocoa 0.3723% 0.3564% 0.3670%

Step 3: Eliminate any Commodities that have a combined ICIP of under 0.4%. The remaining
Commodities are the Index Commodities.

Take the sum of the total of all ICIPs that fall under the 0.4% threshold. Allocate this sum to all Index
Commodities that are at or above this 0.4% threshold. For any Commodity Sector that has more than one
contract, the allocation will be equally split among these contracts (primary commodities, derivative
commodities, and commodities with multiple designated contracts, receive equal split).Set the ICIP of the
Commodities that fall under 0.4% to zero. The sum of all the ICIPs should be 100%. The following table
illustrates this step:
48
 Table 16: Example of Eliminating Commodities under 0.4% and Reallocating ICIPs
Commodity Combined 0.4% Cutoff Reallocated ICIP
Natural Gas 3.9794% 0.0000% 4.0512%
WTI Crude Oil 21.9495% 0.0000% 21.9639%
Brent Crude Oil 19.0151% 0.0000% 19.0294%
RBOB Gasoline 4.6888% 0.0000% 4.7031%
ULS Diesel 4.4201% 0.0000% 4.4344%
Low Sulphur Gas Oil 5.7549% 0.0000% 5.7693%
Live Cattle 3.3014% 0.0000% 3.3732%
Lean Hogs 2.0668% 0.0000% 2.1386%
Wheat (Chicago) 1.6625% 0.0000% 1.6984%
Wheat (KC HRW) 0.6646% 0.0000% 0.7005%
Corn 3.2222% 0.0000% 3.2939%
Soybeans 3.3919% 0.0000% 3.4158%
Soybean Oil 0.7747% 0.0000% 0.7986%
Soybean Meal 1.1231% 0.0000% 1.1470%
Aluminum 1.8780% 0.0000% 1.9498%
Copper 3.0306% 0.0000% 3.1023%
Zinc 0.9025% 0.0000% 0.9743%
Nickel 0.7384% 0.0000% 0.8101%
Lead 0.4026% 0.4026% 0.0000%
Tin 0.1045% 0.1045% 0.0000%
Gold 11.5909% 0.0000% 11.6626%
Silver 2.2273% 0.0000% 2.2991%
Platinum 0.2740% 0.2740% 0.0000%
Sugar 1.0583% 0.0000% 1.1300%
Cotton 0.6408% 0.0000% 0.7126%
Coffee 0.7701% 0.0000% 0.8419%
Cocoa 0.3670% 0.3670% 0.0000%
Total 1.1482% 100.0000%

Step 4: Reduce any Commodity Sector that has a total ICIP greater than 25% down to 25%. Take the
difference between the Commodity Sector total and 25%, and equally allocate this difference among the
remaining ICIPs, but not to the ICIPs reduced to zero in the preceding step. For any Commodity Sector
that has more than one contract, the allocation will be equally split among these contracts (primary
commodities, derivative commodities, and commodities with multiple designated contracts, receive equal
split).

Once this reallocation is done, allocate 25% back to this Commodity Sector, in proportion to the original
distribution of ICIPs within this Commodity Sector. This proportion weighting is calculated by summing the
original ICIPs within this Commodity Sector, then dividing each ICIP within this Commodity Sector by that
sum. Multiply 25% by this quotient, which then equals the ICIP for each Index Commodity in the Commodity
Sector. The following table illustrates this step:

49
 Table 17: Example of Reducing Sectors over 25% and Reallocating ICIPs

Step 5: The next step is to reduce any ICIP or ICIPs for a single Commodity over 15% down to 15%, and
allocate the difference equally to the other Designated Contracts, except for those eliminated under the
0.4% threshold rule. For any Commodity Sector that has more than one contract, the allocation will be
equally split among these contracts (primary commodities, derivative commodities, and commodities with
multiple designated contracts, receive equal split).

Difference
Commodity ICIP Sector Totals Allocation ICIP
with 25%
Natural Gas 4.0790% 6.1112%
WTI Crude Oil 22.9881% 59.1763% 34.1763% 9.8228% 9.8228%
Brent Crude Oil 20.1651% 8.5104% 8.5104%
RBOB Gasoline 5.1863% 2.1034% 2.1034%
Heating Oil 4.8440% 1.9832% 1.9832%
Low Sulphur Gas Oil 5.9929% 2.5802% 2.5802%
Live Cattle 3.2493% 5.4332%
Lean Hogs 2.1094% 4.1986%
Wheat (Chicago) 1.7514% 2.3865% 2.7284%
Wheat (KC HRW) 0.6351% 1.7305%
Corn 3.2515% 5.3539%
Soybeans 3.4767% 5.3504% 4.1025%
Soybean Oil 0.7386% 1.4853%
Soybean Meal 1.1351% 1.8337%
Aluminum 1.7450% 4.0098%
Copper 3.0795% 5.1623%
Zinc 0.9526% 3.0343%
Nickel 0.8035% 2.8701%
Lead 0.0000% 0.0000%
Tin 0.0000% 0.0000%
Gold 9.2990% 13.7226%
Silver 1.8592% 4.3591%
Platinum 0.0000% 0.0000%
Sugar 1.1673% 3.1900%
Cotton 0.6727% 2.7726%
Coffee 0.8188% 2.9019%
Cocoa 0.0000% 0.0000%
Total 34.1763% 100.0000%

50
 Table 18: Example of Reducing Single Commodities over 15% and Reallocating ICIPs
Commodity ICIP > 15%? New ICIP
Natural Gas 6.1112% 6.3195%
WTI Crude Oil 9.8228% 3.3333% 8.0369%
Brent Crude Oil 8.5104% 6.9631%
RBOB Gasoline 2.1034% 2.1728%
Heating Oil 1.9832% 2.0526%
Low Sulphur Gas Oil 2.5802% 2.6496%
Live Cattle 5.4332% 5.6415%
Lean Hogs 4.1986% 4.4069%
Wheat (Chicago) 2.7284% 2.8325%
Wheat (KC HRW) 1.7305% 1.8346%
Corn 5.3539% 5.5623%
Soybeans 4.1025% 4.1719%
Soybean Oil 1.4853% 1.5547%
Soybean Meal 1.8337% 1.9031%
Aluminum 4.0098% 4.2181%
Copper 5.1623% 5.3707%
Zinc 3.0343% 3.2426%
Nickel 2.8701% 3.0785%
Lead 0.0000% 0.0000%
Tin 0.0000% 0.0000%
Gold 13.7226% 13.9310%
Silver 4.3591% 4.5674%
Platinum 0.0000% 0.0000%
Sugar 3.1900% 3.3984%
Cotton 2.7726% 2.9809%
Coffee 2.9019% 3.1102%
Cocoa 0.0000% 0.0000%
Total 3.3333% 100.0000%

Step 6: The next step is to reduce any Commodity Group ICIP sum over 33% down to 33%. Once this
reallocation is done, allocate 33% back to this Commodity Group, in proportion to the previous distribution
of ICIPs within this Commodity Group. Then reallocate the difference of this group above 33% to the other
commodities, except for those which were eliminated by the 0.4% threshold rule. For any Commodity Sector
that has more than one contract, the allocation will be equally split among these contracts (primary
commodities, derivative commodities, and commodities with multiple designated contracts, receive equal
split).

51
 Table 19: Example of Reducing Commodity Groups over 33% and Reallocating ICIPs
Commodity ICIP > 33%? Allocation New ICIP
Natural Gas 6.3195% 28.1946% 0.0000% 6.3195%
WTI Crude Oil 8.0369% 0.0000% 8.0369%
Brent Crude Oil 6.9631% 0.0000% 6.9631%
RBOB Gasoline 2.1728% 0.0000% 2.1728%
Heating Oil 2.0526% 0.0000% 2.0526%
Low Sulphur Gas Oil 2.6496% 0.0000% 2.6496%
Live Cattle 5.6415% 10.0484% 0.0000% 5.6415%
Lean Hogs 4.4069% 0.0000% 4.4069%
Wheat (Chicago) 2.8325% 17.8592% 0.0000% 2.8325%
Wheat (KC HRW) 1.8346% 0.0000% 1.8346%
Corn 5.5623% 0.0000% 5.5623%
Soybeans 4.1719% 0.0000% 4.1719%
Soybean Oil 1.5547% 0.0000% 1.5547%
Soybean Meal 1.9031% 0.0000% 1.9031%
Aluminum 4.2181% 15.9099% 0.0000% 4.2181%
Copper 5.3707% 0.0000% 5.3707%
Zinc 3.2426% 0.0000% 3.2426%
Nickel 3.0785% 0.0000% 3.0785%
Lead 0.0000% 0.0000% 0.0000%
Tin 0.0000% 0.0000% 0.0000%
Gold 13.9310% 18.4984% 0.0000% 13.9310%
Silver 4.5674% 0.0000% 4.5674%
Platinum 0.0000% 0.0000% 0.0000%
Sugar 3.3984% 9.4895% 0.0000% 3.3984%
Cotton 2.9809% 0.0000% 2.9809%
Coffee 3.1102% 0.0000% 3.1102%
Cocoa 0.0000% 0.0000% 0.0000%
Total 100.0000% 100.0000%

Step 7: Set the ICIPs for gold and silver to equal their Commodity Liquidity Percentages. Take the
difference of the ICIP and the CLP for gold and silver, and take the sum of these differences. Equally
allocate this difference by adjusting all the other ICIPs except for those affected by the 0.4% cutoff, the 25%
sector, the 15% commodity, or 33% group maximums. For any Commodity Sector that has more than one
contract, the allocation will be equally split among these contracts (primary commodities, derivative
commodities, and commodities with multiple designated contracts, receive equal split).

52
 Table 20: Example of Gold and Silver ICIP adjustments
Commodity ICIP Precious CLP Difference New ICIP
Natural Gas 6.3195% 6.3472%
WTI Crude Oil 8.0369% 8.0369%
Brent Crude Oil 6.9631% 6.9631%
RBOB Gasoline 2.1728% 2.1728%
Heating Oil 2.0526% 2.0526%
Low Sulphur Gas Oil 2.6496% 2.6496%
Live Cattle 5.6415% 5.6692%
Lean Hogs 4.4069% 4.4345%
Wheat (Chicago) 2.8325% 2.8464%
Wheat (KC HRW) 1.8346% 1.8485%
Corn 5.5623% 5.5899%
Soybeans 4.1719% 4.1811%
Soybean Oil 1.5547% 1.5639%
Soybean Meal 1.9031% 1.9123%
Aluminum 4.2181% 4.2458%
Copper 5.3707% 5.3983%
Zinc 3.2426% 3.2702%
Nickel 3.0785% 3.1061%
Lead 0.0000% 0.0000%
Tin 0.0000% 0.0000%
Gold 13.9310% 15.0000% -1.0690% 15.0000%
Silver 4.5674% 3.1392% 1.4282% 3.1392%
Platinum 0.0000% 0.0000%
Sugar 3.3984% 3.4260%
Cotton 2.9809% 3.0085%
Coffee 3.1102% 3.1378%
Cocoa 0.0000% 0.0000%
Total 0.3592% 100.0000%

Step 8: The next step is to increase any ICIP that falls below the 2% minimum up to 2%. Calculate the
difference between each of these Commodities' ICIPs and 2%. Decrease the ICIPs of the remaining Index
Commodities by allocating the sum of all these differences so that each such Index Commodity receives an
equal allocation. Do not reduce those ICIPs affected by the 25%, 33%, 15%, 0.5%, gold and silver, or 2%
rules. Repeat this step if necessary so that no ICIP falls below 2%.

Step 9: The next step is to adjust the weight of any Index Commodity if the ratio of the ICIP compared to its
liquidity percentage is greater than a threshold currently set at 3.5, though this threshold is subject to
revision by BISL from time to time. The weight that is taken from any such Index Commodity is allocated to
the Index Commodities that have such ratio below a threshold to be determined each year by BISL (excluding
any Index Commodity that, were the ICIP so increased, would cause any of the
maximum weight rules in Steps C, D or E of Section 2.6 to be exceeded) by adding such aggregate amount
to the relevant ICIPs in equal amounts.

53
 Table 21: Example CIP Adjustment if the ICIP to Liquidity Percentage is Greater than 3.5
Ranked By Ratio <
Commodity Ratio > 3.5? ICIP Final CIP
2.0?
Natural Gas 1.488381 TRUE 6.3472% 7.9549%
WTI Crude Oil 0.363661 8.0369%
Brent Crude Oil 0.363698 6.9631%
RBOB Gasoline 0.460252 2.1728%
Heating Oil 0.461229 2.0526%
Low Sulphur Gas
0.457275 2.6496%
Oil
Live Cattle 5.541307 TRUE 3.5808% 3.5808%
Lean Hogs 8.845557 TRUE 1.7547% 1.7547%
Wheat (Chicago) 2.393811 2.8464%
Wheat (KC HRW) 3.888794 TRUE 1.6637% 1.6637%
Corn 2.133883 5.5899%
Soybeans 1.03419 TRUE 4.1811% 5.7888%
Soybean Oil 1.693734 TRUE 1.5639% 3.1716%
Soybean Meal 1.42856 TRUE 1.9123% 3.5200%
Aluminum 3.241985 4.2458%
Copper 2.063623 5.3983% 5.3983%
Zinc 3.669805 TRUE 3.1189% 3.1189%
Nickel 4.006514 TRUE 2.7134% 2.7134%
Lead 0 0.0000%
Tin 0 0.0000%
Gold 0.960296 15.0000% 15.0000%
Silver 1 TRUE 3.1392% 4.7469%
Platinum 0 0.0000%
Sugar 4.291206 TRUE 2.7943% 2.7943%
Cotton 7.004554 TRUE 1.5033% 1.5033%
Coffee 4.017924 TRUE 2.7334% 2.7334%
Cocoa 0 0.0000%
Total 100.0000%

54
APPENDIX E SUMMARY OF CALCULATIONS

Definitions:

Lead Futures Futures contracts included in the WAV1 calculation, as shown in Tables 25, 26 and 27.
Next Futures Futures contracts included in the WAV2 calculation, as shown in Tables 25, 26 and 27.
Array Indexed list of values. Variables defined in Bold type are Arrays. When the Array variable
is followed by a subscript i, this indicates the ith value of that array.

Other non-array variables may be followed by the subscript t, or t - 1. This denotes the Business Day of the
month, with t - 1 denoting the prior Business Day's values. When t is the first Business Day of the month, t -
1 is the last Business Day of the prior month.

Afyr Adjustment Factor used to normalize the CIMs for that year. This is calculated on the
fourth Business Day of the year.
CIPyr The CIPs to be implemented for the new year.
CIM1 Commodity Index Multiplier Array applied to the Lead Futures.
CIM2 Commodity Index Multiplier Array applied to the Next Futures.
ICIM Interim Commodity Index Multiplier Array used in calculating the final CIM.
FPD1 Lead Futures contract price Array in U.S. dollars.
FPD2 Next Futures contract price Array in U.S. dollars.
WAV1 Weighted Average Value of FPD1 x CIM1.
TWAV Value of WAV1 as of the CIM Determination Date.
WAV2 Weighted Average Value of FPD2 x CIM2.
N Total number of Index Commodities.
BCOM Bloomberg Commodity Index.
BCOMTR BCOM Total Return Index.
_S Denotes Settlement Price.
DER Daily Excess Return.
TBD Treasury Bill Daily Return.
RW Roll Weights Array, {1, 1, 1, 1, 1, .80, .60, .40, .20, 0, 0, 0,....0}.
This designates the percentage weightings applied to the WAV1 and WAV2 during the
Roll. For WAV2, (1 - RW t) is used as described below.
BCOM SP A “spot price” version of BCOM, based on the futures contract prices used to calculate
BCOM. This index is not “investable”, but provides a general estimate of the trend in
commodity prices without the positive or negative return effects which may be caused by
the rolling process, or the costs involved in actually holding physical commodities.

Note on Array Size:

The CIM1, CIM2, ICIM, FPD1 and FPD2 array sizes are the number of commodity futures contracts. For
the 2022 BCOM, this number is 23. The RW, Roll Weights Array size is 31, which is the maximum possible
Business Days per month.

Note on Rounding:
The CIM1, CIM2, WAV1, WAV2, BCOM, BCOMTR and BCOM SP values are rounded to 8 decimal places
following calculation.

55
Formulas:

ICIM i = CIPyr i x 1000 / FPD1_S i , i = 1 to N. This calculation is done on the fourth Business Day of
the year, using prices from the CIM Determination
Date, once all Designated Contracts have published
Settlement Prices for that day.
N
WAV1 =  CIM1i x FPD1 i
i=1

N
WAV2 =  CIM2i x FPD2 i
i=1

AFyr = TWAV / 1000

CIM2i = ICIM i x AFyr , i = 1 to N

CIM1 = CIM2 on day after last day of Roll Period in January

BCOMt = BCOM_S t-1 x (WAV1t/ WAV2_St-1) on Business Day 1 of the month

[WAV1 t x RW t + WAV2 t x (1-RW t)]

BCOMt = BCOM_S t-1 x
[WAV1_S t-1 x RW t + WAV2_S t-1 x (1-RW t)]

{where t = 2nd Business Day to the last Business Day of month}

BCOMTR t = BCOMTR_S t-1 x ( 1 + DER t+ TBD t){Complete calculations in Section 3.2}
BCOM = 100 on January 2, 1991
BCOMTR = 100 on January 2, 1991

Calculation of Spot Price Version of BCOM

BCOM SPt = [WAV1 t x RW t + WAV2 t x (1-RW t)]/10

Calculation of Spot Price Versions of BCOM Subindices

For each year “t”, on the CIM Determination Date, the fourth business day of the year, calculate a Subindex
Adjustment Factor “SAF” as follows:

SAF t = ( SAF t-1 x ∑ ( FPD_S i t x CIM_Old i) ) / ( ∑ FPD_S i t x CIM_New i )

SAF t is then rounded to 8 decimal places.

FPD_S is the front month futures price in U.S. dollars.

To calculate the Spot Subindices:

On January 2, 1991 the value equals 100.000

56
On each Business Day “v”

[SubWAV1 v x (RWv) +SubWAV2 v x (1 - RWv)]

Sp otSubv = Sp otSubv - 1 x
[SubWAV1 v - 1 x (RWv - 1) + SubWAV2 v - 1 x (1 - RWv - 1)]

SpotSubv is then rounded to 8 decimal places

Additional note regarding SubWAV1 and SubWAV2:

SubWav1 and SubWav2 are calculated using the CIM for each Index Commodity multiplied by the SAF t for
that year:

N
SubWAVj =  CIM j, i x FPDj, i x SAF t
i=1

where j = 1 and 2
where i corresponds to the specific commodity in the Subindex, and t corresponds to the same year as that
in which the CIM was calculated.

SubWAVj is rounded to 8 decimal places

57
APPENDIX F CPWS AND LEAD FUTURES PRICES FOR 2022 BCOM

Table 22: CPWs for 2022 BCOM

Commodity 2014 2015 2016 2017 2018
Natural Gas 40,603,792.689 42,002,715.290 41,463,324.621 41,893,633.017 45,927,060.465
Crude Petroleum 34,400.983 35,407.605 35,559.563 35,784.628 36,775.184
Beef and Fresh Veal 222,041.234 220,249.120 222,010.864 226,265.962 232,230.912
Pork 258,113.083 263,149.471 261,882.005 264,090.702 266,670.239
Wheat 26,777.257 27,264.917 27,502.457 28,377.009 26,947.322
Corn 40,928.007 41,439.361 44,381.847 44,826.814 44,278.332
Soybeans 11,254.643 11,879.543 12,342.166 13,210.550 12,663.430
Aluminum 57.800 59.500 59.500 63.600 63.200
Copper 22.800 23.200 23.600 23.900 24.400
Zinc 13.300 13.700 13.500 13.400 13.300
Nickel 2,000.000 2,030.000 2,020.000 1,990.000 2,040.000
Lead 10.700 10.600 11.000 11.400 11.400
Tin 401.000 370.000 365.000 377.000 367.000
Gold 97,738.280 99,988.833 102,560.893 105,132.953 106,418.983
Silver 900,221.000 887,360.700 903,436.075 877,715.475 868,070.250
Platinum 4,661.859 6,140.793 6,044.341 5,915.738 6,108.643
Sugar No.11 387,949.538 391,501.184 363,700.901 379,499.222 428,122.160
Cotton No.2 57,223.693 46,157.863 51,204.542 59,500.314 56,918.895
Coffee "C" 19,421.437 19,603.259 20,735.125 20,646.960 22,954.932
Cocoa 4.745 4.828 4.651 5.268 5.573

58
 Table 23: Lead Futures Prices for 2022 BCOM
Commodity 2014 2015 2016 2017 2018
Natural Gas $3.27 $2.38 $3.08 $2.90 $2.90
Crude Petroleum $67.56 $42.62 $48.95 $59.60 $60.44
Beef & Fresh Veal $1.57 $1.31 $1.13 $1.14 $1.16
Pork $0.84 $0.70 $0.65 $0.70 $0.67
Wheat $5.31 $4.78 $4.31 $4.65 $5.04
Corn $3.73 $3.73 $3.58 $3.67 $3.79
Soybeans $9.95 $9.37 $9.82 $9.88 $8.89
Aluminum $1,894.06 $1,559.63 $1,793.79 $1,787.04 $1,914.52
Copper $6,320.29 $4,839.61 $5,478.49 $6,784.63 $6,073.74
Zinc $2,211.69 $1,797.42 $2,595.90 $3,192.75 $2,630.52
Nickel $15,029.25 $9,281.04 $10,094.48 $12,799.85 $12,295.67
Lead $1,980.50 $1,732.25 $2,152.85 $2,455.75 $1,996.10
Tin $18,595.00 $15,769.92 $20,015.58 $20,585.83 $19,752.08
Gold $1,214.60 $1,170.78 $1,255.49 $1,300.76 $1,274.80
Silver $17.05 $15.36 $17.83 $16.71 $15.00
Platinum $1,229.69 $954.70 $984.91 $934.72 $831.83
Sugar $0.14 $0.15 $0.19 $0.14 $0.12
Cotton $0.63 $0.62 $0.73 $0.77 $0.76
Coffee $1.64 $1.23 $1.43 $1.25 $1.03
Cocoa $2,988.33 $3,092.33 $2,315.92 $2,238.50 $2,261.00

59
APPENDIX G MARKET DISRUPTION EVENT INDEX CALCULATIONS

If there is a Market Disruption Event during the Hedge Roll Period, a change is made to the calculation of
BCOM to reflect the fact that the “roll” of certain Designated Contracts may need to be postponed.

For a Market Disruption Event occurring in the Hedge Roll Period falling in the months February through
December, inclusive, this special calculation is applied on the Business Day following such Market
Disruption Event.

For a Market Disruption Event occurring in the Hedge Roll Period falling in the month of January, this
special calculation is applied on every remaining Business Day during such Hedge Roll Period, starting on
the Business Day following such Market Disruption Event, and ending on the last day of the extended
Hedge Roll Period.

For purposes of the calculations in this Appendix G, the clause “an Index Commodity is involved in a Market
Disruption Event” means that there was a Market Disruption Event affecting that Index Commodity on the
previous Business Day.

(This same procedure is used to calculate any affected subindex, by applying the following formulas only to
those commodities included in such Subindex, and substituting the appropriate Subindex designation for
BCOM.)

Definitions:

AC Adjusted Change, which is the factor that will be applied to the prior BCOM value to
calculate the current BCOM value.

Subscript i i designates the Index Commodity.

Subscript t t designates the Business Day of the month.

N Total number of Index Commodities.

RW Roll Weights, defined as{1, 1, 1, 1, 1, .80, .60, .40, .20, 0,0, 0,....0}
This array is indexed by the Business Day of the month t.

FPD1_S i , t Lead Futures Settlement Price in U.S. dollars for Index Commodity i, on day t.

FPD2_S i , t Next Futures Settlement Price in U.S. dollars for Index Commodity i, on day t.

ARP i , t Actual Roll Percentage for Index Commodity i on day t.

CIM1 i Commodity Index Multipliers used to calculate WAV1.

CIM2 i Commodity Index Multipliers used to calculate WAV2.

Suffix _S Denotes Settlement Price.

60
(1) Determine the Actual Roll Percentage applied to each Index Commodity. For any Index Commodity
not involved in a Market Disruption Event, this ARP is equal to the RW t.

For any Index Commodity that is involved in a Market Disruption Event, the ARP is equal to the prior
Business Day’s ARP.

For all Index Commodities 1 through N:

ARP i , t = RW t if NOT involved in a Market Disruption Event, otherwise

ARP i , t = ARP i , t-1 if involved in a Market Disruption Event

During the month of January the following special rule is applied for all Index Commodities 1 through N:

For Business Days 1 through 5, ARP i , t equals 1 for all Index Commodities. For Business Days 6
through the end of the Hedge Roll Period, the following rule will apply:

ARP i , t = The maximum of 0 (Zero) or (ARP i , t-1 - 20%), if NOT involved in a Market Disruption
Event, otherwise

ARP i , t = ARP i , t-1 if involved in a Market Disruption Event

(2) Calculate the Adjusted Change (“AC”) as follows. For each Lead Future in BCOM, calculate the
Settlement Price in U.S. dollars for day t, multiplied by the Actual Roll Percentage for this Index Commodity,
multiplied by the CIM1 for that commodity.

For each Next Future in BCOM, calculate the Settlement Price in U.S. dollars for day t, multiplied by the (1-
Actual Roll Percentage for this commodity), multiplied by the CIM2 for that commodity.

Sum these products for all Index Commodities. This sum is the numerator.

The denominator is calculated in the same fashion, substituting the prior day's Settlement Prices for all
Index Commodities. (Continue to use the current day's ARPs and (1-ARP)s.)

The formula is expressed as follows:

N
 {FPD1_S i, t x CIM1 i x ARP i , t + FPD2_S i, t x CIM2 i x (1 - ARP i , t ) }
i=1

AC = N
 {FPD1_S i, t-1 x CIM1 i x ARP i , t + FPD2_S i, t-1 x CIM2 i x (1 - ARP i , t )}
i=1

(3) Calculate the Settlement Price for BCOM t :

BCOM_S t = AC x BCOM _S t -1
BCOM_S t value is rounded to 8 decimal places.

61
APPENDIX H INDIVIDUAL SUBINDEX CALCULATIONS

Launched in July 1998, the Bloomberg Commodity Index family includes eight sector Subindices, multiple
forward month indices, indices for each individual commodity, indices excluding an individual commodity or
sector, currency hedged versions, a Roll Select index series, 2-4-6 Forward Blend, and other specialty indices.
Also available are total return versions of each of the excess return indices and sub-indices as well as Spot
indices for the benchmark and sector indices. For an up-to-date comprehensive list of Bloomberg Commodity
Indices, please refer to the link below.

https://www.bloomberg.com/professional/product/indices/

In addition, BISL calculates a Subindex in respect of every individual Index Commodity. The individual
commodity Subindex utilizes the CIM that applies to that commodity. In addition, although Cocoa was deleted
from the composite index as of the January 2005 reweighting period, an individual Subindex is calculated for
Cocoa, as well as for Platinum, Lead, Tin, Frozen Concentrated Orange Juice (FCOJ), Feeder Cattle, and
Palladium in order to facilitate historical and future data analysis. Individual Subindices will continue, subject
to BISL’s discretion as Index Administrator, to be calculated for each of the Index Commodities comprising the
2022
BCOM even if in the future a commodity is deleted from the Index. When Brent Crude Oil was added to the
Index in 2012, UBS launched the Bloomberg Composite Crude Oil Subindex. The Bloomberg Composite
Crude Oil Subindex tracks the performance of the historical crude components of the index: i.e. WTI only prior
to the January 2012 rebalance and Brent Crude Oil and WTI Crude Oil in their respective relative weights from
and after the January 2012 rebalancing. This means that the Bloomberg WTI Crude Oil Subindex and the
Bloomberg Composite Crude Oil Subindex are identical in their reported data prior to January 2012. Similarly,
in 2013, UBS launched the Bloomberg Composite Wheat Subindex. The Bloomberg Composite Wheat
Subindex tracks the performance of the historical Wheat components of the index: i.e. Chicago Wheat (CBOT)
only prior to the January 2013 rebalance and KC HRW Wheat (CBOT) and Chicago Wheat (CBOT) in their
respective relative weights from and after the January 2013 rebalancing. This means that the Bloomberg
Wheat Subindex and the Bloomberg Composite Wheat Subindex are identical in their reported data prior to
January 2013.

Calculation Method:
The calculation of the Subindices will follow the same rules, including rounding conventions, as the
calculation of BCOM, with the following difference:

A Sub-WAV1 and Sub-WAV2 for each Subindex is calculated on a daily basis using the Lead Future and
Next Future for each Index Commodity included in that Subindex. These Sub-WAVs are the sum of the
product of the prices of the Index Commodities included in that Subindex and their respective CIMs, as
determined for BCOM on the CIM Determination Date 27 . In the event that a CIM is zero for an Index
Commodity, the individual Subindex calculated in respect of that particular commodity will continue to use
the most recent non-zero CIM for all future calculations or, 1.00, in respect of commodities that have never
been included in the Index.

62
27
There will be no modifications or additional normalizations to the CIMs for use in the Sub-Indices.

63
 Excess Total
Subindex Sub-WAVs
Return Return

Energy EnWAV1, EnWAV2 BCOMEN BCOMENTR

Petroleum PeWAV1, PeWAV2 BCOMPE BCOMPETR
Livestock LiWAV1, LiWAV2 BCOMLI BCOMLITR
Grains GrWAV1, GrWAV2 BCOMGR BCOMGRTR
Industrial Metals InWAV1, InWAV2 BCOMIN BCOMINTR
Precious Metals PrWAV1, PrWAV2 BCOMPR BCOMPRTR
Softs SoWAV1 , SoWAV2 BCOMSO BCOMOTR
Ex-Energy ExWAV1, ExWAV2 BCOMXE BCOMXETR
Ex-Ag & Livestock XvWAV1, XvWAV2 BCOMXAL BCOMXALT
Ex-Industrial Metals XiWAV1, XiWAV2 BCOMXIM BCOMXIMT
Ex-Precious XbWAV1, XbWAV2 BCOMXPM BCOMXPMT
Ex-Agriculture XaWAV1, XaWAV2 BCOMXAG BCOMXAGT
Ex-Livestock XlWAV1, XlWAV2 BCOMXLI BCOMXLIT
Ex-Softs XsWAV1, XsWAV2 BCOMXSO BCOMXSOT
Ex-Grains XgWAV1, XgWAV2 BCOMXGR BCOMXGRT
Ex-Petroleum XpWAV1, XpWAV2 BCOMXPE BCOMXPET
Agriculture AgWAV1, AgWAV2 BCOMAG BCOMAGTR
Composite Crude CrWAV1, CrWAV2 BCOMCR BCOMCRT
Composite Wheat WhWAV1, CrWAV2 BCOMCW BCOMCWT
Natural Gas NgWAV1, NgWAV2 BCOMNG BCOMNGTR
WTI Crude Oil ClWAV1, ClWAV2 BCOMCL BCOMCLTR
Brent Crude Oil CoWAV1, CoWAV2 BCOMCO BCOMCOT
Unleaded Gasoline RBWAV1, RBWAV2 BCOMRB BCOMRBTR
ULS Diesel HoWAV1, HoWAV2 BCOMHO BCOMHOTR
Live Cattle LcWAV1, LcWAV2 BCOMLC BCOMLCTR
Lean Hogs LhWAV1, LhWAV2 BCOMLH BCOMLHTR
Wheat (Chicago) W_WAV1, W_WAV2 BCOMWH BCOMWHTR
Wheat (KC HRW) KW_WAV1, W_WAV2 BCOMKW BCOMKWT
Corn C_WAV1, C_WAV2 BCOMCN BCOMCNTR
Soybeans S_WAV1, S_WAV2 BCOMSY BCOMYSTR
Aluminum AlWAV1, AlWAV2 BCOMAL BCOMALTR
Copper HgWAV1, HgWAV2 BCOMHG BCOMHGTR
Zinc ZnWAV1, ZnWAV2 BCOMZS BCOMZSTR
Nickel NiWAV1, NiWAV2 BCOMNI BCOMNITR
Gold GcWAV1, GcWAV2 BCOMGC BCOMGCTR
Silver SiWAV1, SiWAV2 BCOMSI BCOMITR
Sugar SbWAV1, SbWAV2 BCOMSB BCOMBSTR
Cotton CtWAV1, CtWAV2 BCOMCT BCOMCTTR
Coffee KcWAV1, KcWAV2 BCOMKC BCOMKCTR
Cocoa CcWAV1, CcWAV2 BCOMCC BCOMCCTR
Soybean Meal SmWAV1, SmWAV2 BCOMSM BCOMSMT
Soybean Oil BoWAV1, BoWAV2 BCOMBO BCOMBOTR
Lead PbWAV1, PbWAV2 BCOMPB BCOMPBTR
Platinum PlWAV1, PlWAV2 BCOMPL BCOMPLTR
Tin SnWAV1, SnWAV2 BCOMSN BCOMNTR
Gas Oil GoWAV1, GoWAV2 BCOMGO BCOMGOT
Orange Juice OjWAV1, OjWAV2 BCOMOJ BCOMOJT
Feeder Cattle FcWAV1, FcWAV2 BCOMFC BCOMFCT

64
The following are the full names for each Subindex (“Bloomberg” may be substituted for “BCOM”, except in
the acronyms for the spot Subindices):

Subindex Subindex
Excess Return Total Return
BCOM Energy Subindex BCOM Energy Total Return Subindex
BCOM Petroleum Subindex BCOM Petroleum Total Return Subindex
BCOM Livestock Subindex BCOM Livestock Total Return Subindex
BCOM Grains Subindex BCOM Grains Total Return Subindex
BCOM Industrial Metals Subindex BCOM Industrial Metals Total Return Subindex
BCOM Precious Metals Subindex BCOM Precious Metals Total Return Subindex
BCOM Softs Subindex BCOM Softs Total Return Subindex
BCOM ex-Energy Subindex BCOM ex-Energy Total Return Subindex
BCOM ex-Ag & Livestock Subindex BCOM ex-Ag & Livestock Total Return Subindex
BCOM ex-Industrial Metals Subindex BCOM ex-Industrial Metals Total Return Subindex
BCOM ex-Precious Subindex BCOM ex-Precious Total Return Subindex
BCOM ex-Agriculture Subindex BCOM ex-Agriculture Total Return Subindex
BCOM ex-Livestock Subindex BCOM ex-Livestock Total Return Subindex
BCOM ex-Softs Subindex BCOM ex-Softs Total Return Subindex
BCOM ex-Grains Subindex BCOM ex-Grains Total Return Subindex
BCOM ex-Petroleum Subindex BCOM ex-Petroleum Total Return Subindex
BCOM Agriculture Subindex BCOM Agriculture Total Return Subindex
BCOM Composite Crude Oil Subindex BCOM Composite Crude Oil Total Return Subindex
BCOM Composite Wheat Subindex BCOM Composite Wheat Total Return Subindex
BCOM Natural Gas Subindex BCOM Natural Gas Total Return Subindex
BCOM WTI Crude Oil Subindex BCOM WTI Crude Oil Total Return Subindex
BCOM Brent Crude Oil Subindex BCOM Brent Crude Oil Total Return Subindex
BCOM Unleaded Gasoline Subindex BCOM Unleaded Gasoline Total Return Subindex
BCOM Heating Oil Subindex BCOM Heating Oil Total Return Subindex
BCOM Live Cattle Subindex BCOM Live Cattle Total Return Subindex
BCOM Lean Hogs Subindex BCOM Lean Hogs Total Return Subindex
BCOM Chicago Wheat Subindex BCOM Chicago Wheat Total Return Subindex
BCOM Kansas Wheat Subindex BCOM Kansas Wheat Total Return Subindex
BCOM Corn Subindex BCOM Corn Total Return Subindex
BCOM Soybeans Subindex BCOM Soybeans Total Return Subindex
BCOM Soybean Meal Subindex BCOM Soybean Meal Total Return Subindex
BCOM Soybean Oil Subindex BCOM Soybean Oil Total Return Subindex
BCOM Aluminum Subindex BCOM Aluminum Total Return Subindex
BCOM Copper Subindex BCOM Copper Total Return Subindex
BCOM Nickel Subindex BCOM Nickel Total Return Subindex
BCOM Zinc Subindex BCOM Zinc Total Return Subindex
BCOM Gold Subindex BCOM Gold Total Return Subindex
BCOM Silver Subindex BCOM Silver Total Return Subindex
BCOM Sugar Subindex BCOM Sugar Total Return Subindex
BCOM Cotton Subindex BCOM Cotton Total Return Subindex
BCOM Coffee Subindex BCOM Coffee Total Return Subindex
BCOM Cocoa Subindex BCOM Cocoa Total Return Subindex
BCOM Platinum Subindex BCOM Platinum Total Return Subindex
BCOM Lead Subindex BCOM Lead Total Return Subindex
BCOM Tin Subindex BCOM Tin Total Return Subindex
BCOM Gas Oil Subindex BCOM Gas Oil Total Return Subindex
BCOM Orange Juice Subindex BCOM Orange Juice Total Return Subindex
BCOM Feeder Cattle Subindex BCOM Feeder Cattle Total Return Subindex
65
 Spot Subindex Name Spot Subindex Ticker
BCOM Energy Spot Subindex BCOMXESP
BCOM Petroleum Spot Subindex BCOMPESP
BCOM Livestock Spot Subindex BCOMLISP
BCOM Grains Spot Subindex BCOMGRSP
BCOM Industrial Metals Spot Subindex BCOMINSP
BCOM Precious Metals Spot Subindex BCOMPRSP
BCOM Softs Spot Subindex BCOMOSP
BCOM ExEnergy Spot Subindex BCOMXESP
BCOM Agriculture Spot Subindex BCOMAGSP

Please note that while the specifications for the HO contract were changed by the CME group in 2013 from
heating oil to ultra-low sulfur diesel, the index names including “Heating Oil” will be retained in their original
form, and future indices using the HO contract will be specified as “Heating Oil” indices.

66
APPENDIX I CALCULATION OF NON-U.S.-DOLLAR-DENOMINATED BCOM AND BCOMTR

BISL calculates (i) several non-US Dollar denominated (or currency converted) versions of BCOM and
BCOMTR, (ii) several non-US Dollar currency daily hedged versions of BCOM and BCOMTR and (iii)
several non-US Dollar currency monthly hedged versions of BCOM and BCOMTR.

The currency converted versions of the Indices reflect the performance that an investor who measures his
investments in the foreign currency would receive by making a US Dollar denominated investment in the
Indices. For example, consider a EUR-based investor who starts with 100 EUR to invest, converts the EUR
into USD at the prevailing spot rate and invests the proceeds in an investment that tracks BCOMTR. At the
end of the investment period, the investor sells the investment and converts the USD proceeds back into
EUR at the prevailing spot rate. If, during the investment period, BCOM has increased by 5%, but the USD
has weakened by 2% against the EUR, the investor would expect to have received an investment return of
approximately 3% in EUR terms. The Bloomberg Commodity Index Euro Total Return could be expected to
have increased by approximately 3% over the same investment period.

BCOM currency hedged versions aim to measure the performance of the Bloomberg Commodity Index
(calculated in US Dollars), where currency exposures affecting index principal are hedged against the
currencies indicated by the index names. Two variations of currency hedged versions are provided:
monthly hedged and daily hedged. The different variations may be appropriate for different uses,
depending on the nature of the needed benchmark or index-linked product.

I. Names and Acronyms for Non-US Dollar Denominated Indices

Currency Converted Index

Currency Converted Index Name
Ticker
Bloomberg Commodity Index Euro BCOMEU
Bloomberg Commodity Index Euro Total Return BCOMEUTR
Bloomberg Commodity Index Yen BCOMJY
Bloomberg Commodity Index Yen Total Return BCOMJYTR
Bloomberg Commodity Index Pound Sterling BCOMGB
Bloomberg Commodity Index Pound Sterling Total Return BCOMGBT
Bloomberg Commodity Index Swiss Franc BCOMCH
Bloomberg Commodity Index Swiss Franc Total Return BCOMCHT
Bloomberg Commodity Index Australian Dollar BCOMAU
Bloomberg Commodity Index Australian Dollar Total Return BCOMAUTR

Monthly Currency Hedged Index Name Currency Hedged Index Ticker

Bloomberg Commodity Index Euro Hedged BCOMHE
Bloomberg Commodity Index Euro Hedged Total Return BCOMHET
Bloomberg Commodity Index Yen Hedged BCOMHY
Bloomberg Commodity Index Yen Hedged Total Return BCOMHYT
Bloomberg Commodity Index Pound Sterling Hedged BCOMHP
Bloomberg Commodity Index Pound Sterling Hedged Total BCOMHPT
Return
Bloomberg Commodity Index Swiss Franc Hedged BCOMHF
Bloomberg Commodity Index Swiss Franc Hedged Total Return BCOMHFT

67
Daily Currency Hedged Index Name Currency Hedged Index Ticker
Bloomberg Commodity Index Australian Dollar Hedged Daily BCOMDA
Bloomberg Commodity Index Australian Dollar Hedged Daily Total Return BCOMDAT
Bloomberg Commodity Index Canadian Dollar Hedged Daily BCOMDC
Bloomberg Commodity Index Canadian Dollar Hedged Daily Total Return BCOMDCT
Bloomberg Commodity Index Swiss Franc Hedged Daily BCOMDF
Bloomberg Commodity Index Swiss Franc Hedged Daily Total Return BCOMDFT
Bloomberg Commodity Index Euro Hedged Daily BCOMDE
Bloomberg Commodity Index Euro Hedged Daily Total Return BCOMDET
Bloomberg Commodity Index Pound Sterling Hedged Daily BCOMDP
Bloomberg Commodity Index Pound Sterling Hedged Daily Total Return BCOMDPT
Bloomberg Commodity Index Yen Hedged Daily BCOMDY
Bloomberg Commodity Index Yen Hedged Daily Total Return BCOMDYT

II. Calculation of Currency Converted Indices

The calculation of the currency converted versions of the Indices will be accomplished by multiplying BCOM
and BCOMTR values by the FX Reference Rate, divided by a fixed FX Starting Rate.

The FX Reference Rates are sourced from BFIX using the daily 16:00 London fix rate.

The calculation of the Daily Settlement values for the non-USD currency converted Indices will be as
follows:

BCOM FX = the applicable currency converted version of BCOM Excess Return

BCOM FXTR = the applicable currency converted version of BCOM Total Return

FXRR = The applicable FX Reference Rate, expressed as FX units per US Dollar, rounded to 8 decimal
places

FX Reference Rate Fallback: In the event that the FXRR is not available from the Bloomberg FX Fixings
(BFIX), then Bloomberg will use expert judgment in determining the fx rates for the current business day.

BCOM FX = BCOM FX (t-1) x (BCOM /BCOM (t-1)) x (FXRR/FXRR(t-1))

BCOM FXTR= BCOMTR FX (t-1) x (BCOMTR/BCOMTR (t-1)) x (FXRR/FXRR(t-1))

68
Both the BCOM FX and the BCOM FXTR are rounded to 8 decimal places.

III. Calculation of Monthly Currency Hedged Indices

The three components used to calculate the hedged return of each currency hedged Index are as follows:
1. Performance of the unhedged Index in the hedge currency
2. Impact on return from the cost of the hedge
3. Return of the spot exchange rate

Impact on return due to the cost of the currency i hedge:

Where:

FXRatei1 = Spot exchange rate of currency i at the close of the previous month
FFRatei1 = One month forward rate of currency i at the close of the previous month

The return due to changes in the spot exchange rate of currency i:

Where:

FXRatei2 = Spot exchange rate of currency i at the close of the current month

Combining the above two formulas, the total return of the hedge can be calculated as:

Where

FXRatei1 = Spot exchange rate of currency i at the close of the previous month
FXRatei2 = Spot exchange rate of currency i at the close of the current month
FFRatei1 = One month forward rate for currency i at the close of the previous month

The performance of the hedged index is the sum of the performance of the unhedged index and the hedge
impact. The simplified formula is as follows:

Performance of Hedged Index =

Where

Unhedged Index1 = Unhedged index at the close of the previous month in the hedge currency
Unhedged Index2 = Unhedged index at the close of the current month in the hedge currency

69
To calculate the hedged index, the formula can be simplified as follows:

Where

Hedged Index1 = Hedged index at the close of the previous month

Hedged Index2 = Hedged index at the close of the current month

To calculate a daily currency hedged index, the value of the forward contract for the remaining period needs
to be estimated. This can be expressed as follows:

Where

D = Total calendar days in the current month

d = Current day of the current month
FXRated = Spot exchange rate as of the current day
FFRated = Forward exchange rate as of the current day

Combining the above formula with the previously discussed formulas, the daily currency hedge index is
calculated as follows:

Where

D = Total calendar days in the current month

d = Current day of the current month
FXRatei0 = Spot exchange rate of currency i at the close of the previous month
FXRateid = Spot exchange rate of currency i as of the current day
FFRatei0 = One month forward rate for currency i at the close of the previous month
FFRateid = One month forward rate for currency i as of the current day
Hedged Index0 = Hedged index at the close of the previous month
Hedged Indexd = Hedged index at the current day
Unhedged Index0 = Unhedge index at the close of the previous month in the hedge currency
Unhedged Indexd = Unhedge index at the close of the current month in the hedge currency
70
IV. Calculation of Daily Currency Hedged Indices

The purpose of the Daily Currency Hedged Bloomberg Indices is to provide a benchmark for non-US investors
with respect to investments in BCOM for which the effects of foreign exchange risk are hedged. The daily
hedged indices may provide a more easily replicable (and thus more readily investable) hedging structure
than a transaction (sometimes called a “quanto”) in which an investor receives the performance payable
in one currency in respect of an index or asset that is denominated in another currency.

There are 3 versions of this index, an excess return, total return, and modified total return version. The
excess return currency hedged index is calculated from the excess return USD version of the Index. The
total return currency hedged version of the Index is calculated from the excess return currency hedged
Index by adding the local interest of the currency which is hedged. Also available is a modified version of
the total return currency hedged which is calculated from the excess return currency hedged Index by
adding the US 3-Month T-Bill return adjusted by the 1-Week FX Carry return of the currency which is
hedged. For all of these, the notional hedging position is rebalanced daily.

In the unlikely event that a market disruption or publication failure affects the FX rates used to calculate the
Daily Hedged Currency Indices, then the Index Sponsors will determine the rates in a commercially
reasonable manner, which could include averaging prices obtained from one or more foreign exchange
dealers. As Index Administrator, BISL retains the flexibility to apply different methodologies or to make
other changes to the calculations of the Daily Hedged Currency Indices in the event that a currency control
mechanism is implemented or other material disruptions occur in the relevant foreign exchange markets.

The Applicable Reference Rates are defined based on the most recently published values, so a disruption
to the publication of the values would normally result in the rates remaining unchanged during the disruption
period. However, BISL retains the flexibility to make changes to the Applicable Reference Rate or
substitute alternate rates in the event of an extended or material disruption.

The daily currency hedged versions are available for the following currencies: AUD, CAD, CHF, EUR, JPY,
and GBP.

Excess return index calculation

The general formula for calculating Daily Currency Hedged Excess Return Indices is:

Where:

HIER,t is the value of the Daily Currency Hedged Excess Return Index on index business day t.
FXt FX Spot price as obtained from the source and time summarized in the table below.
IUSD,ER,t is the value of the USD Excess Return Index on Business Day t.
A Quotation Exponent as defined in the table below:

71
 Currency A FX Fixing Source FX Fixing Time
EUR 1 Bloomberg BFIX 16:00 London
GBP 1 Bloomberg BFIX 16:00 London
CHF -1 Bloomberg BFIX 16:00 London
AUD 1 Bloomberg BFIX 16:00 London
JPY -1 Bloomberg BFIX 16:00 London
CAD -1 Bloomberg BFIX 16:00 London

Total return index calculations

The general formula for calculating Daily Currency Hedged Total Return Indices using local interest rates is:

Where:

HITR,t is the value of the Daily Currency Hedged Total Return Index on Business Day t.
HIER,t is the value of the Daily Currency Hedged Excess Return Index on Business Day t.
IRRt is the Interest Rate Return index business day t, generally defined as:

ARRt is the Applicable Reference Rate on Business Day t defined as the latest reference rate published
as of a previous day prior to such Business Day t.
N is the currency market convention Numerator as defined in the table below.
D is the currency market convention Denominator as defined in the table below.
dt-1–dt is the number of calendar days from index business day t-1 to index business day t
Spread is the Spread as defined in the table below:

Currency N D Reference Rate Spread28*

EUR 1 360 euro short-term rate €STR + 8.5 bps – ESTRON Index 0
GBP 1 365 SONIA O/N Deposit rate 0
CHF 1 360 Swiss Average Rate Overnight 0
AUD 1 365 RBA Cash Overnight Rate 0
JPY 1 360 Japan Overnight Call Rate 0
Canadian Overnight Repo Rate Average -
CAD 1 365 0
CORRA
USD 360 91-Day US Treasury Bill Rate 0

72
Market data codes are summarized in the table below:
Reference Rate Bloomberg Code
euro short-term rate €STR + 8.5 bps ESTRON Index
SONIA O/N Deposit rate SONIO/N Index
Swiss Average Rate Overnight SRFXON3 Index
RBA Cash Overnight Rate RBACOR Index
Japan Overnight Call Rate MUTKCALM Index

Effective January 2, 2018, the TOIS fixing was replaced with the SARON (Swiss Average Rate Overnight) fixing.
Effective October 29, 2020, the EONIA was replaced with the euro short-term rate €STR + 8.5 bps.

28
The Spreads applicable to each ARR have initially been set to zero, though they may periodically be adjusted where the BOC
determines that there have been material changes to the funding cost or rate differential applicable to a hypothetical investment
grade issuer of Index-linked products and that changes are therefore warranted to maintain the applicable Index as a benchmark for
a currency hedged investment in commodities.

73
The general formula for calculating Daily Currency Hedged Modified Total Return Indices is:

Where:

HITR,t is the value of the Daily Currency Hedged Total Return Index on Business Day t.
HIER,t is the value of the Daily Currency Hedged Excess Return Index on Business Day t.
IRRt is the Interest Rate Return index business day t, generally defined as:

3MR t = the most recent weekly auction High Rate for 13 week (3 Month) U.S. Treasury Bills, as
reported on the website http://www.treasurydirect.gov/instit/annceresult/annceresult.htm
published by the Bureau of the Public Debt of the U.S. Treasury, or any successor page,
on such Business Day, provided, that if such auction High Rate is published on such
Business Day d, TBill(d-1) shall be the rate published for the most recent previous
auction.

This rate is then used for every day until the next rate is released; provided, however, that
if a new rate is scheduled to be released on a given day, the prior rate is used for
purposes of calculations in respect of such release date. The new rate is generally
obtained on Monday and, accordingly, is first used in respect of Tuesday’s settlement
calculations. In the event of a holiday or other disruption in the Treasury auction
schedule, the last available rate is used until the next rate becomes available. Note that
the prior day's rate is used in calculating the value of TBD, to reflect the realization of an
investment at that rate on day “t”.

FX t = Spot Exchange Rate on Business Day t.

1WF t = 1-Week Forward Rate on Business Day t as obtained from the source and time
summarized in the table below.
A = Quotation Exponent as defined in the table below.

1 Week Forward FX
Currency A 1 Week Forward FX Fixing Time
Fixing Source

EUR -1 Bloomberg BFIX 16:00 London

GBP -1 Bloomberg BFIX 16:00 London
CHF 1 Bloomberg BFIX 16:00 London
AUD -1 Bloomberg BFIX 16:00 London
JPY 1 Bloomberg BFIX 16:00 London
CAD 1 Bloomberg BFIX 16:00 London

74
APPENDIX J CALCULATION OF THE FORWARD MONTH BCOM

BISL calculates, or may in the future calculate, forward month versions of BCOM and certain
Subindices.29.

These indices are calculated on an excess return and total return basis. Following are the names of the
forward month Indices:

Bloomberg Commodity Index 1 Month Forward (BCOMF1)

Bloomberg Commodity Index 2 Month Forward (BCOMF2)
Bloomberg Commodity Index 3 Month Forward (BCOMF3)
Bloomberg Commodity Index 4 Month Forward (BCOMF4)
Bloomberg Commodity Index 5 Month Forward (BCOMF5)
Bloomberg Commodity Index 6 Month Forward (BCOMF6)

Bloomberg Commodity Index Total Return 1 Month Forward (BCOMF1T)

Bloomberg Commodity Index Total Return 2 Month Forward (BCOMF2T)
Bloomberg Commodity Index Total Return 3 Month Forward (BCOMF3T)
Bloomberg Commodity Index Total Return 4 Month Forward (BCOMF4T)
Bloomberg Commodity Index Total Return 5 Month Forward (BCOMF5T)
Bloomberg Commodity Index Total Return 6 Month Forward (BCOMF6T)

These indices follow all the rules of BCOM as contained in this Methodology with the following modification:
the contracts defined as Lead Future and Next Future, as designated in Table 9, are advanced, such that

• For BCOMF1, the contracts that would be the Lead Future and Next Future in the next calendar
month are instead the Lead Future and Next Future in the current calendar month.

• For BCOMF2, the contracts that would be the Lead Future and Next Future in two calendar months
are instead the Lead Future and Next Future in the current calendar month.

• For BCOMF3, the contracts that would be the Lead Future and Next Future in three calendar
months are instead the Lead Future and Next Future in the current calendar month.

• For the other forward month Indices, a similar pattern is followed, except that, for liquidity reasons,
Live Cattle, Lean Hogs and Unleaded Gasoline will never follow a schedule advanced by more than
5 months. So, for example, in BCOMF6, (i) for each Index Commodity (other than Live Cattle, Lean
Hogs and Unleaded Gasoline), the contracts that would be the Lead Future and the Next Future in
six calendar months are instead the Lead Future and the Next Future in the current calendar month
and (ii) for Live Cattle, Lean Hogs and Unleaded Gasoline, the contracts that would be the Lead
Future and the Next Future in five calendar months are instead the Lead Future and the Next Future
in the current calendar month.

The Commodity Index Multipliers used in the calculation of the forward month versions of BCOM are
unchanged from that used for the calculation of the standard BCOM.

BISL calculates Subindex versions of BCOMF2, BCOMF3 and BCOMF6. The calculation methodology for the
Subindex versions of these indices is the same as for the Subindex versions of BCOM, but references
29
As of the date of this Methodology, forward indices beyond 6-months have not been launched but may be in the
future.
75
only the futures contracts relevant to the applicable Subindex. These Subindices are calculated on an excess
return and total return basis. A list of Indices and Subindices is available at the following URL:

https://www.bloomberg.com/professional/product/indices/
Table 24: Roll schedule for the Lead Future for Natural Gas

Lead Future
Calendar
Month BCOM BCOMF1 BCOMF2 BCOMF3
Jan M M M M
Feb ar
M ar
M ay
M ay
J
Mar ar
M ay
M ay
J u
J
Apr ay
M ay
J uJ ul
Se
May ay
J u
J ul
Se pl
Se
Jun u
J ul
Se pl
Se Np
Jul ul
Se pl
Se Np ov
N
Aug pl
Se Np ov
N ov
Ja
Sep Np ov
N ov
Ja n
Ja
Oct ov
N ov
Ja n
Ja Mn
Nov ov
Ja n
Ja Mn ar
M
Dec n
Ja Mn ar
M ar
M
n ar ar ay

76
For additional clarity, refer to the following Tables 25, 26 and 27 (Contract Months Included in WAV
Calculations) modified for the first three forward Indices:

Table 25 – Table 9 as modified for BCOMF1

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Commodity
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Natural Gas Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
WTI Crude Oil Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Brent Crude Oil May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Unleaded Gas Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
ULS Diesel Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Live Cattle Apr Apr Jun Jun Aug Aug Oct Oct Dec Dec Feb Feb
Lean Hogs Apr Apr Jun Jun Jul Aug Oct Oct Dec Dec Feb Feb
Wheat (Chicago) Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Wheat (KC HRW) Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Corn Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Soybeans Mar May May Jul Jul Nov Nov Nov Nov Jan Jan Mar
Soybean Oil Mar May May Jul Jul Dec Dec Dec Dec Jan Jan Mar
Soybean Meal Mar May May Jul Jul Dec Dec Dec Dec Jan Jan Mar
Aluminum Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Copper Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Zinc Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Nickel Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Lead Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Tin Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar
Gold Apr Apr Jun Jun Aug Aug Dec Dec Dec Dec Feb Feb
Silver Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Platinum Apr Apr Jul Jul Jul Oct Oct Oct Jan Jan Jan Apr
Sugar No.11 Mar May May Jul Jul Oct Oct Oct Mar Mar Mar Mar
Cotton No.2 Mar May May Jul Jul Dec Dec Dec Dec Dec Mar Mar
Coffee "C" Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Cocoa Mar May May Jul Jul Sep Sep Dec Dec Dec Mar Mar
Low Sulphur Gas Oil Mar May May Jul Jul Sep Sep Nov Nov Jan Jan Mar

77
Table 26 – Table 9 as modified for BCOMF2

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Commodity
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Natural Gas May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
WTI Crude Oil May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Brent Crude Oil May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Unleaded Gas May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
ULS Diesel May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Live Cattle Apr Jun Jun Aug Aug Oct Oct Dec Dec Feb Feb Apr
Lean Hogs Apr Jun Jun Jul Aug Oct Oct Dec Dec Feb Feb Apr
Wheat (Chicago) May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Wheat (KC HRW) May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Corn May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Soybeans May May Jul Jul Nov Nov Nov Nov Jan Jan Mar Mar
Soybean Oil May May Jul Jul Dec Dec Dec Dec Jan Jan Mar Mar
Soybean Meal May May Jul Jul Dec Dec Dec Dec Jan Jan Mar Mar
Aluminum May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Copper May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Zinc May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Nickel May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Lead May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Tin May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar
Gold Apr Jun Jun Aug Aug Dec Dec Dec Dec Feb Feb Apr
Silver May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Platinum Apr Jul Jul Jul Oct Oct Oct Jan Jan Jan Apr Apr
Sugar No.11 May May Jul Jul Oct Oct Oct Mar Mar Mar Mar Mar
Cotton No.2 May May Jul Jul Dec Dec Dec Dec Dec Mar Mar Mar
Coffee "C" May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Cocoa May May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar
Low Sulphur Gas Oil May May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar

78
Table 27 – Table 9 as modified for BCOMF3

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Commodity
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Natural Gas May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
WTI Crude Oil May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Brent Crude Oil Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May May
Unleaded Gas May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
ULS Diesel May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Live Cattle Jun Jun Aug Aug Oct Oct Dec Dec Feb Feb Apr Apr
Lean Hogs Jun Jun Jul Aug Oct Oct Dec Dec Feb Feb Apr Apr
Wheat (Chicago) May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Wheat (KC HRW) May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Corn May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Soybeans May Jul Jul Nov Nov Nov Nov Jan Jan Mar Mar May
Soybean Oil May Jul Jul Dec Dec Dec Dec Jan Jan Mar Mar May
Soybean Meal May Jul Jul Dec Dec Dec Dec Jan Jan Mar Mar May
Aluminum May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Copper May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Zinc May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Nickel May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Lead May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Tin May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May
Gold Jun Jun Aug Aug Dec Dec Dec Dec Feb Feb Apr Apr
Silver May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Platinum Jul Jul Jul Oct Oct Oct Jan Jan Jan Apr Apr Apr
Sugar No.11 May Jul Jul Oct Oct Oct Mar Mar Mar Mar Mar May
Cotton No.2 May Jul Jul Dec Dec Dec Dec Dec Mar Mar Mar May
Coffee "C" May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Cocoa May Jul Jul Sep Sep Dec Dec Dec Mar Mar Mar May
Low Sulphur Gas Oil May Jul Jul Sep Sep Nov Nov Jan Jan Mar Mar May

79
APPENDIX K CALCULATION OF THE BLOOMBERG 50:50 AGRICULTURE AND ENERGY SUBINDEX

BISL calculates a Subindex of BCOM that consists of 50% Agricultural commodities, and 50% Energy
commodities. The calculation rules are as follows:

(1) Each year BISL will define a set of “Commodity Index Percentages” (“CIPs”), which are the standard
BCOM CIPs, and are adjusted such that the CIPS for Energy commodities and for Agriculture commodities
each sum up to 50%. In order to calculate the adjusted CIPs, each included CIP within the Agriculture or
Energy group as applicable will be divided by the sum of all the CIPs for commodities included within
the group, then multiplied by 0.50, in order to pro-rate each CIP to a proportion within the subgroup based on
its CIP. In addition, the adjusted CIP for Natural Gas will be divided by 2, and half of the weight that would
otherwise go into Natural Gas will instead be split equally and allocated to ULS Diesel, RBOB Gasoline,
and Low Sulphur Gas Oil.

(2) All other rules will adhere to the rules of the standard BCOM as defined in this Methodology,
including using these “CIPs” on the “CIM Determination Date” to determine the special “Commodity Index
Multipliers” to be applied for calculating this special Subindex. As a result, the effective weighs of this Subindex
will vary from the target CIPs as prices move.

(3) BISL will publish only a daily settlement value of this custom Subindex.

(4) The initial value of this Subindex was set to 100 as of January 2, 1991.

(5) The following commodities comprise the Energy group: Natural Gas, Crude Oil, RBOB Gasoline,
ULS Diesel (HO), and Low Sulphur Gas Oil.

(6) The following commodities comprise the Agriculture group for the purposes of this Subindex:
Chicago Wheat, KC HRW Wheat, Corn, Soybeans, Soybean Oil, Soybean Meal, Live Cattle, Lean Hogs,
Sugar No.11, Cotton No.2, Coffee "C" and Cocoa (Cocoa is included the historical index when it was in
the standard BCOM, and has zero weight after the 2005 January roll/rebalancing period).

80
APPENDIX L CALCULATION OF THE BLOOMBERG ROLL SELECT COMMODITY INDEX
The Bloomberg Roll Select Commodity Index is a version of the Bloomberg Commodity Index that aims to
mitigate the effects of contango market structure on index performance. For each commodity, the index rolls
into the futures contract showing the most backwardation or least amount of contango, selecting from those
eligible contracts with 9 months or fewer until expiration.

On the fourth business day of each month (each a “contract selection date”) the contract selection
process is performed as follows:

1 Using Table 9 of the Methodology, for each index commodity “j” represented in the index in the current
year, the expiration date of each futures contract listed on Table 9 is determined for such index
commodity beginning with the next future and with 9 months or fewer until expiration as of the contract
selection date (using a period of 273 calendar days) (a “potential contract”) as well as the
expiration date of the futures contract immediately preceding each such contract as specified in Table
28 below (a “prior period contract”), which may be a contract not included in Table 9, it being
understood, however, that no contract shall be selected if there is no prior period contract.
The potential contract with the latest expiration date for the index commodity j is termed the “maximum
potential contract j” or “MPC j.”

Table 28 Prior Period Contracts

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Commodity
(F) (G) (H) (J) (K) (M) (N) (Q) (U) (V) (X) (Z)
Natural Gas Dec Feb Apr Jun Aug Oct
WTI Crude Oil Dec Feb Apr Jun Aug Oct
Brent Crude Oil Dec Feb Apr Jun Aug Oct
Unleaded Gas Dec Feb Apr Jun Aug Oct
ULS Diesel Dec Feb Apr Jun Aug Oct
Low Sulphur Gas
Dec Feb Apr Jun Aug Oct
Oil
Live Cattle Dec Feb Apr Jun Aug Oct
Lean Hogs Dec Feb Apr Jun Jul Aug Oct
Wheat (Chicago) Dec Mar May Jul Sep
Wheat (KC HRW) Dec Mar May Jul Sep
Corn Dec Mar May Jul Sep
Soybeans Nov Jan Mar May Jul
Soybean Oil Dec Jan Mar May Jul
Soybean Meal Dec Jan Mar May Jul
Aluminum Dec Feb Apr Jun Aug Oct
Copper Feb Apr Jun Aug Nov
Zinc Dec Feb Apr Jun Aug Oct
Nickel Dec Feb Apr Jun Aug Oct
Gold Dec Feb Apr Jun Oct
Silver Dec Mar May Jul Sep
Sugar No.11 Oct Mar May Jul
Cotton No.2 Dec Mar May Jul
Coffee "C" Dec Mar May Jul Sep

81
Note: Prior Period Contracts are shown under headings representing Potential Contracts

2 The annualized percentage spread is calculated between each potential contract and the prior period
contract for all index commodities “j” (using all potential contracts listed in Table 9 out to MPCj ):

N j = the number of listed contracts for Index Commodity j out to and including the MPCj.

C i, j = the “ith” numbered contract for Index Commodity j . The highest value of “i” is N j.

P i, j = the Settlement Price on the CSD for C i,j.

S i, j = the curve spread between C i-1, j and C i, j as calculated below:

Days i = Calendar days from expiration date of C i-1, j to expiration date of C i, j

For each “i” for which C i, j is a Potential Contract, S i, j = ([P i-1, j /P i, j]-1) x [365/Days i]

3 For each index commodity j, the contract to be defined as the “next” contract to be rolled into and used in
the calculation of the Bloomberg Roll Select Commodity Index (i.e., the contract which will be used to
determine the relevant index commodity j’s component of WAV2 during the current calendar month and
WAV1 during the following calendar month), is the potential contract which corresponds to the highest
value of S i, j. In the event that two values of S i, j for index commodity j are equal, the “next” contract will
be the potential contract of shorter maturity.

The Bloomberg Roll Select Indices, together with their Bloomberg tickers, are set out below.

Index Name Index Ticker

Bloomberg Roll Select Commodity Index BCOMRS
Bloomberg Roll Select Commodity Total Return Index BCOMRST
Bloomberg Roll Select Agriculture Subindex BCOMRAG
Bloomberg Roll Select Agriculture Subindex Total Return BCOMRAGT
Bloomberg Roll Select Energy Subindex BCOMREN
Bloomberg Roll Select Energy Subindex Total Return BCOMRENT
Bloomberg Roll Select Grains Subindex BCOMRGR
Bloomberg Roll Select Grains Subindex Total Return BCOMRGRT
Bloomberg Roll Select Industrial Metals Subindex BCOMRIN
Bloomberg Roll Select Industrial Metals Subindex Total Return BCOMRINT
Bloomberg Roll Select Livestock Subindex BCOMRLI
Bloomberg Roll Select Livestock Subindex Total Return BCOMRLIT
Bloomberg Roll Select Petroleum Subindex BCOMRPE
Bloomberg Roll Select Petroleum Subindex Total Return BCOMRPET
Bloomberg Roll Select Precious Metals Subindex BCOMRPR
Bloomberg Roll Select Precious Metals Subindex Total Return BCOMRPRT
Bloomberg Roll Select Softs Subindex BCOMRSO
Bloomberg Roll Select Softs Subindex Total Return BCOMRSOT
Bloomberg Roll Select ExEnergy Subindex BCOMRXE

82
Bloomberg Roll Select ExEnergy Subindex Total Return BCOMRXET
Bloomberg Roll Select Aluminum Subindex BCOMRAL
Bloomberg Roll Select Aluminum Subindex Total Return BCOMRALT
Bloomberg Roll Select Coffee Subindex BCOMRKC
Bloomberg Roll Select Coffee Subindex Total Return BCOMRKCT
Bloomberg Roll Select Copper Subindex BCOMRHG
Bloomberg Roll Select Copper Subindex Total Return BCOMRHGT
Bloomberg Roll Select Corn Subindex BCOMRCN
Bloomberg Roll Select Corn Subindex Total Return BCOMRCNT
Bloomberg Roll Select Cotton Subindex BCOMRCT
Bloomberg Roll Select Cotton Subindex Total Return BCOMRCTT
Bloomberg Roll Select Gold Subindex BCOMRGC
Bloomberg Roll Select Gold Subindex Total Return BCOMRGCT
Bloomberg Roll Select ULS Diesel (HO) Subindex BCOMRHO
Bloomberg Roll Select ULS Diesel (HO) Subindex Total Return BCOMRHOT
Bloomberg Roll Select Lean Hogs Subindex BCOMRLH
Bloomberg Roll Select Lean Hogs Subindex Total Return BCOMRLHT
Bloomberg Roll Select Live Cattle Subindex BCOMRLC
Bloomberg Roll Select Live Cattle Subindex Total Return BCOMRLCT
Bloomberg Roll Select Natural Gas Subindex BCOMRNG
Bloomberg Roll Select Natural Gas Subindex Total Return BCOMRNGT
Bloomberg Roll Select Nickel Subindex BCOMRNI
Bloomberg Roll Select Nickel Subindex Total Return BCOMRNIT
Bloomberg Roll Select Silver Subindex BCOMRSI
Bloomberg Roll Select Silver Subindex Total Return BCOMRSIT
Bloomberg Roll Select Soybeans Subindex BCOMRSY
Bloomberg Roll Select Soybeans Subindex Total Return BCOMRSYT
Bloomberg Roll Select Soybean Meal Subindex BCOMRSM
Bloomberg Roll Select Soybean Meal Subindex Total Return BCOMRSMT
Bloomberg Roll Select Soybean Oil Subindex BCOMRBO
Bloomberg Roll Select Soybean Oil Subindex Total Return BCOMRBOT
Bloomberg Roll Select Sugar Subindex BCOMRSB
Bloomberg Roll Select Sugar Subindex Total Return BCOMRSBT
Bloomberg Roll Select Unleaded Gasoline Subindex BCOMRRB
Bloomberg Roll Select Unleaded Gasoline Subindex Total Return BCOMRRBT
Bloomberg Roll Select Wheat Subindex BCOMRWH
Bloomberg Roll Select Wheat Subindex Total Return BCOMRWHT
Bloomberg Roll Select Kansas Wheat Subindex BCOMRKW
Bloomberg Roll Select Kansas Wheat Subindex Total Return BCOMRKWT
Bloomberg Roll Select WTI Crude Oil Subindex BCOMRCL
Bloomberg Roll Select WTI Crude Oil Subindex Total Return BCOMRCLT
Bloomberg Roll Select Zinc Subindex BCOMRZS
Bloomberg Roll Select Zinc Subindex Total Return BCOMRZST
Bloomberg Roll Select Commodity ex-Agriculture and Livestock Subindex BBURXAL
Bloomberg Roll Select Commodity ex-Agriculture and Livestock Subindex Total Return BBURXALT
Bloomberg Roll Select Brent Crude Oil Subindex BCOMRCO
Bloomberg Roll Select Brent Crude Oil Subindex Total Return BCOMRCOT

83
APPENDIX M CALCULATION OF THE BLOOMBERG COMMODITY INDEX 2-4-6 FORWARD BLENDSM

Bloomberg Commodity Index 2–4–6 Forward BlendSM (“2–4–6 Blend”) is an equally weighted basket of
positions in the Bloomberg Commodity Index 2 Month ForwardSM (“F2”), Bloomberg Commodity Index 4
Month ForwardSM (“F4”) and Bloomberg Commodity Index 6 Month ForwardSM (“F6”).

Exposure to each component index is rebalanced monthly on the Rebalancing Day i, which is the last
BCOM business day of every month.

The level of the Bloomberg Commodity Index 2–4–6 Forward Blend is determined by reference to (i) the
performance of the Bloomberg Commodity Index 2 Month ForwardSM, (ii) the performance of the Bloomberg
Commodity Index 4 Month ForwardSM and (iii) the performance of the Bloomberg Commodity Index 6 Month
ForwardSM.

On any BCOM Business Day t:

Where:

2–4–6Blendi is the closing level on the most recent Rebalancing Day i prior to BCOM
Business Day t.
F2t is the closing level in USD of the Bloomberg Commodity Index 2 Month ForwardSM on
BCOM Business Day t.
F2i is the closing level in USD of the Bloomberg Commodity Index 2 Month ForwardSM on the
most recent Rebalancing Day i prior to BCOM Business Day t.
F4t is the closing level in USD of the Bloomberg Commodity Index 4 Month ForwardSM on
BCOM Business Day t.

F4i is the closing level in USD of the Bloomberg Commodity Index 4 Month ForwardSM on the
most recent Rebalancing Day i prior to BCOM Business Day t.
F6t is the closing level in USD of the Bloomberg Commodity Index 6 Month ForwardSM on
BCOM Business Day t.
F6i is the closing level in USD of the Bloomberg Commodity Index 6 Month ForwardSM on the
most recent Rebalancing Day i prior to BCOM Business Day t.
Input prices for the F2, F4 and F6 are rounded to eight decimals.

84
Bloomberg Commodity Index 2–4–6 Forward Blend Total ReturnSM is calculated according to the following
formula:

On any BCOM Business Day t:

Where:

2-4-6 BlendTRi is the closing level on the most recent Rebalancing Day i prior to BCOM Business
Day t.

3MR is the most recent weekly auction High Rate for 13 week (3 Month) U.S. Treasury Bills, as
reported on the website http://www.treasurydirect.gov/instit/annceresult/annceresult.htm published
by the Bureau of the Public Debt of the U.S. Treasury, or any successor page, on such Business
Day d, provided, that if such auction High Rate is published on such Business Day d, TBill(d-1)
shall be the rate published for the most recent previous auction.
TBD = Treasury Bill Daily Return.
DAYS = Number of calendar days from and including the prior Calculation Date to but excluding
the current Calculation Date.
Calculation Date = date for which calculation is made.

85
APPENDIX N CALCULATION OF THE BLOOMBERG COMMODITY INDEX SETTLEMENT INDICES

The Bloomberg Commodity Index Settlement Indices are variations of the Bloomberg Commodity Indices
for which an exchange settlement price on each Business Day is adjusted in the event of a Market
Disruption Event. The indices are not official settlement prices for financial instruments but can be used as
a guideline for pricing a BCOM Index Level when a market disruption event occurs.

To determine the BCOM Settlement Index Levels, BISL shall utilize (i) the final settlement prices for those
futures included in the applicable Settlement Indices that are not subject to a Market Disruption Event on
such Business Day, and (ii) for a futures contract that is subject to a Market Disruption Event on such
Business Day, the final settlement price on the next available relevant Business Day on which a Market
Disruption Event is no longer continuing for such futures contract. If a Market Disruption Event does not
occur the BCOM Settlement Index level will equal the Bloomberg Commodity Index level.

In addition to the adjustments above, the Bloomberg Settlement Indices are subject to the other
adjustments set forth in Section 3.3 in respect of Market Disruption Events.

The current names and Bloomberg tickers of the published Settlement Indices are set out below.

Index Name Index Ticker

Bloomberg Settlement Index BCOMTL

Bloomberg Settlement TR Index BCOMTLT
Bloomberg Agriculture Settlement Index BCOMTAG
Bloomberg Agriculture Settlement TR Index BCOMTAT
Bloomberg Energy Settlement Index BCOMTEN
Bloomberg Energy Settlement TR Index BCOMTET
Bloomberg Grains Settlement Index BCOMTGR
Bloomberg Grains Settlement TR Index BCOMTGT
Bloomberg Livestock Settlement Index BCOMTLI
Bloomberg Livestock Settlement TR Index BCOMTLR
Bloomberg Softs Settlement Index BCOMTSO
Bloomberg Softs Settlement TR Index BCOMTST
Bloomberg ex-Energy Settlement Index BCOMTXE
Bloomberg ex-Energy Settlement TR Index BCOMTXT
Bloomberg Industrial Metals Settlement Index BCOMTIN
Bloomberg Industrial Metals Settlement TR Index BCOMTNT
Bloomberg Petroleum Settlement Index BCOMTPE
Bloomberg Petroleum Settlement TR Index BCOMTPT
Bloomberg Precious Metals Settlement Index BCOMTPM
Bloomberg Precious Metals Settlement TR Index BCOMTPR
Bloomberg ex-Agriculture and Livestock Settlement Index BCOMTXAL
Bloomberg ex-Agriculture and Livestock Settlement TR Index BBUTXALT
Bloomberg ex-Agriculture Settlement Index BCOMTXAG
Bloomberg ex-Agriculture Settlement TR Index BBUTXAGT
Bloomberg ex-Grains Settlement Index BCOMTXGR
Bloomberg ex-Grains TR Settlement Index BBUTXGRT
Bloomberg ex-Industrial Metals Settlement Index BCOMTXIM
Bloomberg ex-Industrial Metals Settlement TR Index BBUTXIMT
Bloomberg ex-Livestock Settlement Index BCOMTXLI
Bloomberg ex-Livestock Settlement TR Index BBUTXLIT
Bloomberg ex-Petroleum Settlement Index BCOMTXPE
Bloomberg ex-Petroleum Settlement TR Index BBUTXPET
Bloomberg ex-Precious Metals Settlement Index BCOMTXPM
Bloomberg ex-Precious Metals Settlement TR Index BBUTXPMT
Bloomberg ex-Softs Settlement Index BCOMTXSO
Bloomberg ex-Softs Settlement TR Index BBUTXSOT
86
APPENDIX O CALCULATION OF THE BLOOMBERG EX-AG & LIVESTOCK CAPPED INDICES

The Bloomberg Commodity Capped Index families are UCITS compliant while maintaining continuity and
proportion to the Bloomberg Commodity Index component weights. The Capped ex-Agriculture and Livestock
Indices, defined below, are versions of the Bloomberg Commodity ex-Agriculture and Livestock Index and
Bloomberg Commodity ex-Agriculture and Livestock Total Return Index (BCOMXAL and BCOMXALT). The
composition is derived from BCOM excluding the commodities within the “Grains”, “Softs” (i.e. agriculture) and
“Livestock” commodity groups defined in section 2.2(3) (“Commodity Groups”). The aim of the Capped ex-
Agriculture and Livestock Indices is to cap the weight of the larger components within the index based on the
rules described below. Historically, and currently, the largest component has been Petroleum. BISL maintains
two weighting variations of capping for the Capped ex-Agriculture and Livestock Indices:
• Bloomberg ex-Agriculture and Livestock 15/30 Capped Index Family (the “15/30 Index Family”)
• Bloomberg ex-Agriculture and Livestock 20/30 Capped Index Family (the “20/30 Index Family”)

(collectively, the “Capped ex-Agriculture and Livestock Indices”)

The capping is done on the 4th business day of each month. Prior to the launch of the Bloomberg ex-
Agriculture and Livestock 20/30 Capped Index (BBUXALC) in July of 2013, the CIMs were calculated on the
last business day of each month. All other BCOM ex- Agriculture and Livestock Capped Indices developed
by Bloomberg CIMs were calculated on the 4th business day of each month.

The forward (longer dated) versions of the Capped ex-Agriculture and Livestock Indices refer to the longer
dated commodity futures contracts described in Appendix J: Calculation of the Forward Month BCOM.

The capping procedures follow three steps:

Step 1: Initial weights are extracted from the Bloomberg Commodity Index excluding the commodities
within the “Grains”, “Softs” (i.e. agriculture) and “Livestock” commodity groups defined in section 2.2(3)
(“Commodity Groups”).
On the fourth business day of each month, the index weights are derived from taking the relevant commodity
futures contracts using the BCOM (CIMs) and settlement prices. This is the same process as is followed for the
non-capped Bloomberg Commodity ex-Agriculture and Livestock Index and Bloomberg Commodity ex-
Agriculture and Livestock Total Return Index (BCOMXAL and BCOMXALT).

Step 2: Only one component can reach a maximum weight of 30%.

The weight of the largest component from Step 1 is reviewed. If its weight exceeds 30%, the weight is capped
at 30%. The excess weight is redistributed on a relative basis among the remaining constituents. If its weight is
less than or equal to 30%, no capping is performed and it maintains its natural weight.

Step 3: No remaining component’s weight can exceed 15% or 20%.

If the weight of any component not reviewed in Step 2 is above 15% for the 15/30 Index or 20% for the 20/30
Index, it is capped at 15% or 20%, respectively, with excess weight redistributed on a relative basis among
remaining components not already capped at 15% or 20%, respectively. This process is iterative until the
weights of all remaining components are less than or equal to the respective 15% or 20% caps.

Implementation: The target weights determined above are used to calculate modified CIMs using the Next
Contract prices. The modified CIMs are implemented during the monthly roll based on the standard practice
for BCOM (see section 2.7).

Components: In the Bloomberg Commodity Index (BCOM), there are 17 components, with three containing
87
 more than one commodity based on their similarity (see table below). The 3 components with multiple
commodities are as follows:

• Petroleum: WTI Crude Oil, Brent Crude Oil, RBOB Gasoline, Low Sulphur Gasoil and ULS Diesel
• Wheat: Soft Red Winter Wheat (Chicago) and Hard Red Winter Wheat (KC HRW)
• Soybean Complex: Soybeans, and Soybean Meal

Annual correlation testing among commodities is preformed prior to the annual rebalance. The index is
rebalanced each year pursuant to any changes to BCOM, and commodities are added or excluded
accordingly.

Commodities available for inclusion in the Bloomberg Commodity Capped Index:

Symbol Commodity Group Component

CL WTI Crude Oil Energy Petroleum
HO ULS Diesel Energy Petroleum
CO Brent Crude Oil Energy Petroleum
XB RBOB Gasoline Energy Petroleum
QS Low Sulphur Gasoil Energy Petroleum
W Chicago Wheat Agriculture Wheat
KW KC HRW Wheat Agriculture Wheat
BO Soybean Meal Agriculture Soybean Complex
SM Soybeans Agriculture Soybean Complex
S Soybean Oil Agriculture Soybean Oil
C Corn Agriculture Corn
CT Cotton No.2 Agriculture Cotton
SB Sugar No.11 Agriculture Sugar
KC Coffee "C" Agriculture Coffee
LC Live Cattle Livestock Live Cattle
LH Lean Hogs Livestock Lean Hogs
NG Natural Gas Energy Natural Gas
HG Copper Industrial Metals Copper
LA Aluminum Industrial Metals Aluminum
LN Nickel Industrial Metals Nickel
LX Zinc Industrial Metals Zinc
SI Silver Precious Metals Silver
GC Gold Precious Metals Gold
Effective January 7, 2021, Low Sulphur Gas Oil became part of the Petroleum complex, and Soybean Oil will become its own component

88
Commodities available for inclusion in the Bloomberg Commodity ex-Agriculture and
Livestock Capped Index:

Symbol Commodity Group Component

CL WTI Crude Oil Energy Petroleum
HO ULS Diesel Energy Petroleum
CO Brent Crude Oil Energy Petroleum
XB RBOB Gasoline Energy Petroleum
QS Low Sulphur Gasoil Energy Petroleum
NG Natural Gas Energy Natural Gas
HG Copper Industrial Metals Copper
LA Aluminum Industrial Metals Aluminum
LN Nickel Industrial Metals Nickel
LX Zinc Industrial Metals Zinc
SI Silver Precious Metals Silver
GC Gold Precious Metals Gold
Effective January 7, 2021, Low Sulphur Gas Oil became part of the Petroleum complex, and Soybean Oil will become its own component

20/30 Index Family names and codes are as follows:

Index Name Bloomberg Ticker

Bloomberg ex-Agriculture and Livestock 20/30 Capped Index BBUXALC

Bloomberg ex-Agriculture and Livestock 20/30 Capped Total Return BBUXALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped 1 Month Forward Index BB1XALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped 1 Month Forward Total Return BB1XALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped 2 Month Forward Index BB2XALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped 2 Month Forward Total Return BB2XALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped 3 Month Forward Index BB3XALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped 3 Month Forward Total Return BB3XALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped 4 Month Forward Index BB4XALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped 4 Month Forward Total Return BB4XALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped 5 Month Forward Index BB5XALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped 5 Month Forward Total Return BB5XALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped 6 Month Forward Index BB6XALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped 6 Month Forward Total Return BB6XALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped CHF Excess Return Index BBCXALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped CHF Total Return Index BBCXALCT
Bloomberg ex-Agriculture and Livestock 20/30 Capped EUR Excess Return Index BBEXALC
Bloomberg ex-Agriculture and Livestock 20/30 Capped EUR Total Return Index BBEXALCT

89
15/30 Index Family names and codes are as follows:

Bloomberg
Index Name
Ticker

Bloomberg ex-Agriculture and Livestock 15/30 Capped Index BUUXALC

Bloomberg ex-Agriculture and Livestock 15/30 Capped Total Return BUUXALCT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 1 Month Forward Index BU1XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 1 Month Forward Index BU1XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 2 Month Forward Index BU2XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 2 Month Forward Total Return BU2XALCT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 3 Month Forward Index BU3XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 3 Month Forward Total Return BU3XALCT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 4 Month Forward Index BU4XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 4 Month Forward Total Return BU4XALCT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 5 Month Forward Index BU5XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 5 Month Forward Total Return BU5XALCT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 6 Month Forward Index BU6XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 6 Month Forward Total Return BU6XALCT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 3 Month Forward EUR Daily Hedged BUE3XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 3 Month Forward EUR Daily Hedged Total Return BUE3XALT
Bloomberg ex-Agriculture and Livestock 15/30 Capped 3 Month Forward GBP Daily Hedged BUG3XALC
Bloomberg ex-Agriculture and Livestock 15/30 Capped 3 Month Forward GBP Daily Hedged Total Return BUG3XALT

90
APPENDIX P CALCULATION OF THE BLOOMBERG SINGLE COMMODITY CAPPED SUBINDICES

The Bloomberg Single Commodity Capped Subindices of the Bloomberg Commodity Index intend to be
compliant with ESMA/UCITS guidelines while maintaining the diversification of the Bloomberg Commodity
Index component weights.

The methodology supplement for the Bloomberg Single Commodity Capped Subindices uses various terms
and definitions from the Bloomberg Commodity Index Methodology. Where not specifically noted otherwise
in this document, the rules of the Bloomberg Commodity Index Methodology prevail.

The namesake commodity is the commodity bearing the name of the Bloomberg Single Commodity
Subindex Capped. For example, Gold is the namesake commodity for the Bloomberg Gold Subindex
Capped. In general, any Bloomberg Single Commodity Subindex Capped consists of the namesake
commodity as well as most of the rest of the Bloomberg Commodity Index commodities, subject to the
Rule of Exclusion regarding commodities that belong to a given component.

The Rule of Exclusion states that when any commodity that belongs to a component is the namesake
commodity of the index, all other commodities of that same component are excluded in that particular single
commodity index. For instance, for the Bloomberg WTI Crude Oil Subindex Capped, the four remaining
commodities (Brent Crude Oil, Ultra-low Sulfur Diesel, Low Sulphur Diesel and Unleaded Gasoline) of the
Petroleum Component are not included in the index.

The weighting scheme of the Bloomberg Single Commodity Subindex Capped is as follows: in every
Bloomberg Single Commodity Subindex Capped, each namesake commodity is allocated 35% at each
rebalance, with the remaining 65% distributed among the eligible BCOM commodities according to the
weights derived from the CIMs of BCOM, subject to the Rule of Exclusion. During the January rebalance the
new CIMs are applied to calculate the weights for BCOM. In addition to the 35% cap on the namesake
commodity, the weights of the remaining components are reviewed. If the weight of any remaining
component exceeds 20%, its weight is reduced to 20% and any excess weight is distributed pro-rata across
all commodities with a weight under 20%. This step is repeated until the weight of each remaining
component does not exceed 20%. The effective weights are the weights for each commodity on the
determination date with the exception of the January rebalance where the weights are based on the new
Commodity Index Percentages.

The design of the Bloomberg Single Commodity Subindex Capped family intends to comply with the current
ESMA/UCITS guidelines, as the weights are balanced on a quarterly basis. In essence, each single
commodity subindex consists of a basket of individual Bloomberg Single Commodity Subindices, not just
one single individual commodity.

• Rebalancing Frequency: Quarterly

• Determination date: Fourth business day of January, April, July and October.
• Components: There are 17 components, with three containing more than one commodity based
on their similarity. The multiple commodity components are as follows:
o Petroleum: WTI Crude Oil, Brent Crude Oil, Unleaded Gasoline, Low Sulphur Gasoil and
Ultra-low Sulfur Diesel
o Wheat: Chicago and KC HRW Wheat
o Soybean: Soybeans, and Soybean Meal

91
APPENDIX Q BLOOMBERG COMMODITY INDEX FILES

Table 29: Overview of changes in Bloomberg Commodity Index files

File Types Description

Commodity Index Report
_CIR
This file provides official 8 decimal place
Index Levels and additional analytics
Commodity Components Report
_CCR
This file provides information on the index
constituents
Hedging Daily Analysis
_HDA
Hedged Index Level files
FX Daily Analysis
_FDA
BFIX FX rates and overnight rates used
for daily and monthly hedging
Currency rates
_XDA
BFIX FX rates used for daily and monthly
hedging
Change Files
Change_file
Constituent and Index Level information
Index Daily Analysis
_IDA
Bloomberg Commodity 2-4-6 Index levels
Roll Select Lead Contract File

ROLL SEL LEAD Monthly file with the new selected

CONTRACTS contracts for the upcoming roll period
(available 4th business day of each
month)

92
APPENDIX R CALCULATION OF BLOOMBERG COMMODITY LEVERAGED AND INVERSE INDICES

BISL offers leveraged and inverse indices on select Bloomberg Commodity Indices (BCOM). The
indices are calculated using a defined leverage or inverse factor. The Leveraged Indices aim to capture
two times the daily return of underlying BCOM Indices and the Inverse indices aim to capture the
inverse daily return.

The level of the Index t will be determined in accordance with the following formula each BCOM Index Business
Day;

𝐵𝐶𝑂𝑀_𝑈𝑛𝑑𝑒𝑟𝑙𝑦𝑖𝑛𝑔𝐼𝑛𝑑𝑒𝑥𝑡
𝐼𝑛𝑑𝑒𝑥𝑡 = 𝐼𝑛𝑑𝑒𝑥𝑟 × [1 + (𝐹𝑎𝑐𝑡𝑜𝑟 × ( − 1))]
𝐵𝐶𝑂𝑀_𝑈𝑛𝑑𝑒𝑟𝑙𝑦𝑖𝑛𝑔𝐼𝑛𝑑𝑒𝑥𝑟
Where:

r is the Rebalancing Date, if BCOM Index Business Day t , then r is the Rebalancing Date immediately prior to
Index Business Day t.

Factor is the leveraged or inverse ratio

▪ Factor = 2; leveraged is two times the return or 200%

▪ Factor = -1; inverse daily return or -100%

Underlying Index is the Index Level of the Bloomberg Commodity namesake index

Total Return Leveraged and Inverse calculations refer to Section 3.2 using steps 1 through 3.

BCOM Leveraged and Inverse indices are rounded to 8 decimal places.

BCOM headline Leveraged and Inverse indices start with a base Index Level of 100, BCOM single commodity
leveraged and inverse indices start with a base Index Level of 10,000.

93
Leveraged and Inverse index family names and codes as follows:

Bloomberg
Index Name
Ticker

Bloomberg Commodity 3 Month Forward 2X Leveraged BCOMF3L

Bloomberg Commodity 3 Month Forward 2X Leveraged Total Return BCOMF3LT
Bloomberg Copper 2X Leveraged Index BCOMHGL
Bloomberg Copper 2X Leveraged Total Return Index BCOMHGLT
Bloomberg Silver 2X Leveraged Index BCOMSIL
Bloomberg Silver 2X Leveraged Total Return Index BCOMSILT
Bloomberg Copper Inverse Index BCOMHGI
Bloomberg Copper Inverse Total Return Index BCOMHGIT
Bloomberg Silver Inverse Index BCOMSII
Bloomberg Silver Inverse Total Return Index BCOMSIIT
Bloomberg WTI Crude Oil 2X Leveraged Index BCOMCLL
Bloomberg WTI Crude Oil 2X Leveraged Total Return Index BCOMCLLT
Bloomberg WTI Crude Oil Inverse Index BCOMCLI
Bloomberg WTI Crude Oil Inverse Total Return Index BCOMCLIT
Bloomberg Gold 2X Leveraged Index BCOMGCL
Bloomberg Gold 2X Leveraged Total Return Index BCOMGCLT
Bloomberg Gold Inverse Index BCOMGCI
Bloomberg Gold Inverse Total Return Index BCOMGCIT

94
APPENDIX S: BLOOMBERG COMMODITY INDEX POLICIES & PROCEDURES

Data Providers and Data Extrapolation

The Bloomberg Commodity Index Family is rules-based, and its construction is designed to consistently produce
index levels without the exercise of discretion. BCOM Indices are produced without the interpolation or extrapolation
of input data.

In addition, the Index Administrator seeks to avoid contributions of input data that may be subject to the discretion
of the source of such data and instead uses input data from regulated exchanges. Accordingly, the Indices require
no ‘contributors’ to produce and no codes of conduct with any such sources are required.

Index and Data Reviews

The Index Administrator will review the Indices (both the rules of construction and data inputs) on a periodic basis,
not less frequently than annually, to determine whether they continue to reasonably measure the intended
underlying market interest, the economic reality or otherwise align with their stated objective. More frequent reviews
may result from extreme market events and/or material changes to the applicable underlying market interests.

Criteria for data inputs include reliable delivery and active underlying markets. Whether an applicable market is
active depends on whether there are sufficient numbers of transactions (or other indications of price, such as
indicative quotes) in the applicable constituents (or similar underlying constituent elements) that a price (or other
value, as applicable) may be supplied for such constituent(s). Except as otherwise described herein, there are no
minimum liquidity requirements for Index constituents and/or minimum requirements or standards for the quantity or
quality of the input data.

The review will be conducted by product managers of the Indices in connection with the periodic rebalancing of the
Indices or as otherwise appropriate.

Any resulting change to the Methodology deemed to be material (discussed below) will be subject to the review of
the PROC under the oversight of the BOC, each of which committees shall be provided all relevant information and
materials it requests relating to the change. Details regarding the PROC and BOC are described in Section 1.3 -
Benchmark Governance.

Material changes will be reflected and tracked in updated versions of this Methodology.

BISL’s Index administration is also subject to Bloomberg’s Compliance function which periodically reviews various
aspects of its businesses in order to determine whether it is adhering to applicable policies and procedures, and
assess whether applicable controls are functioning properly.

Material changes related to the Indices will be made available in advance to affected stakeholders whose input will
be solicited. The stakeholder engagement will set forth the rationale for any proposed changes as well as the
timeframe and process for responses. The Index Administrator will endeavour to provide at least two weeks for
review prior to any material change going into effect. In the event of exigent market circumstances, this period may
be shorter. Subject to obligations of confidentiality, stakeholder feedback and the Index Administrator’s responses
will be made accessible upon request.

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 In determining whether a change to an Index is material, the following factors shall be taken into account:

▪ The economic and financial impact of the change;

▪ Whether the change affects the original purpose of the Index; and/or
▪ Whether the change is consistent with the overall objective of the Index and the underlying market interest it
seeks to measure

In addition to material changes, BISL may from time to time terminate one or more Indices (“Discontinued
Indices”), whether due to changes in market structure, a lack of requisite data, insufficient usage, or for other
regulatory or practical concerns. The process for terminating such Discontinued Indices is as follows:

The PROC will review proposed terminations, taking into account the reasons for termination, the impact on
users (if any), the availability of alternative products and other such factors. If termination is approved, users
will be provided as much prior notice as is reasonable under the circumstances, typically 90 days. In the event
there is little or no known usage identified, the Discontinued Indices may be terminated with less (or no) notice,
as applicable. In the event the Discontinued Indices are licensed for use as the basis of an ETF or other
widely-available financial product or is otherwise determined by BISL to be an important benchmark without
reasonable substitutes, the notice period may be extended, as warranted. Any advance notice period is subject
to BISL being reasonably able to continue administering and calculating such benchmark during such period
(for example, BISL has access to requisite data on commercially reasonable terms, is not subject to any
litigation or other claims, has adequate internal resources and capabilities, etc.). Terminations and associated
user engagement decisions made by the PROC are subject to review by BISL's oversight function, the BOC

Bloomberg Commodity Index Announcements

BISL has developed various announcement types to notify clients of special occasions that apply to BCOM.

Announcement Type Notification Date/Period Frequency

BCOM Target Weights End of October Annual
BCOM Multipliers (CIMs) 4th Business Day of January Annual
BCOM ex Agriculture & Livestock Capped Index CIMs 4th Business Day each Month Monthly
BCOM Roll Select Contact Selection 4th Business Day each Month via FTP Monthly
BCOM Methodology Changes 4 Weeks Advance Notice As needed
BCOM File Format Changes 4 Weeks Advance Notice As needed
BCOM File Changes (adding indices) 5 Days As needed
BCOM Level & File Restatements (amendments) Within 30 Minutes of Discovery As needed
BCOM File Delays Prior to 5PM EST As needed

BCOM Error Corrections/Restatement Policy

BISL strives to provide accurate calculation of its indices. However, to the extent a material error in index values is
uncovered following publication and dissemination, a notification will be sent to index users alerting them of such
error and the expected date of a revised publication, if warranted.

BISL considers the following factors to determine whether to restate. Not all conditions need to be present to
warrant a restatement, and certain factors may be more determinative that others depending on the circumstances
of the given error.
The relative importance of the data field impacted by the error;

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 ▪ When the error occurred and when it was discovered;
▪ The number of indices and sub-indices affected;
▪ Whether the impacted indices are linked to tradable products;
▪ The magnitude of the error;
▪ The burden of restatement on client re-processing relative to the impact of the error;
▪ The impact of the restatement on analytical tools.

BCOM Exchange Settlement Price Delays

In the event an Exchange delays the pricing of future settlements pertaining to the Bloomberg Commodity Index
Family, BISL will delay the posting of BCOM Index Levels to vendors and the delivery of end-of-day ftp files.
BISL will notify clients via an index announcement if the files will be delayed after 5PM EST.

BCOM Exchange Settlement Price Amendments

On the occasion when an Exchange amends the settlement price of a contract used in the Bloomberg Commodity
Index family prior to 7 PM EST, BISL will send an index announcement within 30 minutes of the discovery to
inform all clients of the correction. BISL will then recalculate, republish, and redistribute the daily BCOM end-of
day files along with a follow-up index announcement.

Reinvestment of Dividends and Coupons

Dividends and coupon payments play no role in this Methodology, and are therefore not accounted for by the
Index.

Expert Judgment

The Indices are rules-based, and their construction is designed to consistently produce values without the
exercise of expert judgment or discretion. Nevertheless, BISL may use expert judgment or discretion with
regards to the following:

• Index restatements
• Extraordinary circumstances during a market emergency
• Data interruptions, issues, and closures

When expert judgment or discretion is required, BISL undertakes to be consistent in its application, with
recourse to written procedures outlined in the methodology of the Indices and internal procedures manuals. In
certain circumstances exercises of expert judgment or discretion are reviewed by senior members of BISL
management and Bloomberg Compliance teams, and are reported to the Product, Risk & Operations
Committee (PROC), BISL’s governance committee, which operates under the supervision of BISL’s oversight
function, the Benchmark Oversight Committee (BOC). BISL also maintains and enforces a code of ethics to
prevent conflicts of interest from inappropriately influencing index construction, production, and distribution,
including the use of expert judgment or discretion.

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Stress Events

In the event of an unforeseen market event whereby the commodity market is unexpectedly closed, the prior
day’s values will be used for underlying futures contracts.

Index Compliance

To request a copy of the Bloomberg Indices complaints policy or to submit a complaint regarding a Bloomberg
index or index determination, please send a correspondence to [email protected] or to the following
postal address:

Bloomberg Index Services Limited

c/o Bloomberg L.P.
3 Queen Victoria Street
London EC4N 4TQ
United Kingdom
Attn: Index Compliance

All such correspondence will be monitored by a member of the Bloomberg, L.P. compliance team.

BMR & IOSCO

BISL is a ‘benchmark administrator’ for purposes of IOSCO’s Principles for Financial Benchmarks (the “IOSCO
Principles”) and an ‘administrator’ under the European Union (EU) benchmark regulation (the “BMR”).

Bloomberg has historically embraced the IOSCO Principles and has conducted several external reviews of its
adherence with the IOSCO Principles.

Like the IOSCO Principles, the BMR aims to establish a framework to ensure benchmarks are robust and
reliable, and to minimize conflicts of interest in benchmark-setting processes. In BISL’s view, compliance with the
BMR meets (and in some respects may exceed) the standards and best practices set forth in the IOSCO
Principles.

BISL was authorized by the UK’s Financial Conduct Authority to conduct benchmark administration under the
BMR.

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This list is not intended to be an exhaustive list of changes.

Date Summary of Updates

Jan Tables were updated to reflect the announcement of the 2022 Target Weights and Commodity Index
2022 Multipliers (CIMs).
Oct Appendix I: Effective October 29, 2021, the EONIA was replaced with the euro short-term rate €STR
2021 + 8.5 bps for the calculation of all BCOM EUR daily-hedged total return indices.
Jan Tables were updated to reflect the announcement of the 2021 Target Weights and Commodity Index
2021 Multipliers (CIMs).
Nov Appendix O & P: Effective January 2, 2021, Low Sulpfur Gas Oil become part of the petroleum
2020 complex for capped indices.
Jan Tables were updated to reflect the announcement of the 2020 Target Weights and Commodity Index
2020 Multipliers (CIMs).
Jan Tables were updated to reflect the announcement of the 2019 Target Weights and Commodity Index
2019 Multipliers (CIMs).
The index methodology and tables were updated to reflect the announcement of the 2019 Target
Dec Weights with the inclusion of Low Sulphur Gas Oil. Appendix S (Bloomberg Commodity Index Policies
2018 and Procedures) was updated to include additional language pertaining to index data and reviews,
limitations of the index, and administrator transparency.
Appendix I: Effective January 2, 2018, the TOIS fixing was replaced with the SARON (Swiss Average
Jan Rate Overnight) fixing for the calculation of all BCOM Swiss franc daily-hedged total return indices.
2018 Tables were updated to reflect the announcement of the 2018 Target Weights and Commodity Index
Multipliers (CIMs).
Section 2.3 & Section 2.4: The calendar year cycle for price and volume used to calculate the
Oct Commodity Liquidity Percentages (CLP) and Commodity Production Percentages (CPP) will change
2017 to August-July from January-December. Section 2.4: The source for world sugar production changed
to the USDA Sugar and Sweeteners Yearbook from the ISO Sugar Yearbook.
Appendix R (‘Bloomberg Commodity Index Policies and Procedures’) became Appendix S. The new
Appendix R ('Calculation of the Bloomberg Commodity Leveraged and Inverse Indices') was added to
Jul reflect the 22 June 2017 launch of the Bloomberg Leveraged and Inverse Indices. Appendix O
2017 ('Calculation of the Bloomberg ex-Ag & Livestock Capped Indices') 15/30 Index Family names and
codes were updated to reflect the 6 July 2017 launch of the Bloomberg ex-Agriculture & Livestock
15/30 Capped Forward Indices.
Appendix O ('Calculation of the Bloomberg ex-Ag & Livestock Capped Indices') was updated to reflect
May the 28 April 2017 launch of the Bloomberg ex-Agriculture & Livestock 15/30 Capped 3 Month Forward
2017 Index. On 12 May 2017, the name of the 'Bloomberg Commodity ex-Agriculture & Livestock Capped
Index' was changed to 'Bloomberg ex-Agriculture and Livestock 20/30 Capped Index'.
Appendix H ('Individual Subindex Calculations') and Table 9 ('Bloomberg Commodity Index Contract
Calendar') were updated to include Palladium and reflect the 31 March 2017 launch of the Palladium
Apr
2017
Subindex. Appendix O ('Calculation of the Bloomberg ex-Ag & Livestock Capped Indices') was
updated with new index family names and tickers to reflect the 3 April 2017 launch of the BCOM ex-
Agriculture & Livestock Capped Forward Indices.

For additional information and licensing opportunities, please contact:

[email protected] or call +1 212 617 5020

INDEX <GO>
https://www.bloomberg.com/professional/product/indices/

99
“Bloomberg®”, “The Bloomberg Commodity Index” and “BCOM” are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index
Services Limited (“BISL”), the administrator of the indices (collectively, “Bloomberg”). Bloomberg and/or Bloomberg's licensors own all proprietary rights
in the Indices. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the Indices. Bloomberg
makes no warranty, express or implied, as to the Indices or any data or values relating thereto or results to be obtained therefrom, and expressly
disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an Index. Back-
tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law,
Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility
whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with the Indices
or any data or values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision of factual
information, rather than financial product advice. Nothing in the Indices shall constitute or be construed as an offering of financial instruments or as
investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into
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© 2022 Bloomberg. All rights reserved. This document and its contents may not be forwarded or redistributed without the prior consent of Bloomberg.

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a subsidiary of BFLP distributes these products.

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