Morgan Stanley Single Commodity Indices (MSCY) Index ... · PROPRIETARY & CONFIDENTIAL ... Morgan Stanley Single Commodity Indices (MSCY) Index Methodology ... part of the ME Group

PROPRIETARY & CONFIDENTIAL

© 2017 Morgan Stanley All rights reserved Rev. February 2017

Morgan Stanley Single Commodity Indices (MSCY) Index Methodology

February 2017


© 2017 Morgan Stanley All rights reserved Rev. February 2017


© 2017 Morgan Stanley 1 All Rights Reserved Rev. February 2017

Table of Contents 1. Overview ............................................................................................................................................... 3

2. Determining Eligibility ........................................................................................................................... 4

a. Eligible Commodities ............................................................................................................................................. 4

b. Eligible Futures Contracts .................................................................................................................................... 4

c. Selected Futures Contracts .................................................................................................................................. 4

3. Calculation of the MSCY Single Indices ................................................................................................. 5

a. Steps for calculating the MSCY Single Indices .............................................................................................. 5

b. Selected Exchanges ................................................................................................................................................. 5

c. MSCY Single Indices ................................................................................................................................................ 5

d. Calculation of MSCY Single Indices ................................................................................................................... 8

4. Disruption Events and Disruption Event Fallback Procedures ............................................................ 11

a. Disruption Events .................................................................................................................................................. 11

b. Disruption Event Fallback Procedures ......................................................................................................... 11

5. Risk Factors ......................................................................................................................................... 12

a. Commodity Prices May Change Unpredictably, Affecting the Value of the Indices in

Unforeseeable Ways ............................................................................................................................................. 12

b. Trading and Other Transactions by MSCG and its Affiliates in Instruments Linked to the

Indices or Eligible Commodities May Affect the Value of the Indices .............................................. 12

c. Suspension or Disruptions of Market Trading in Commodities and Related Futures May

Adversely Affect the Value of the Indices .................................................................................................... 13

d. New Regulations May Affect the Value of the Indices ............................................................................ 14

e. Non-U.S. Investment May Affect the Value of the Indices ..................................................................... 14

f. Future Prices of the Eligible Commodities That Are Different Relative to Their Current

Prices May Affect the Value of the Indices ................................................................................................... 14

g. Potential for Insufficient Diversification May Affect the Value of the Indices .............................. 15

h. Data Sourcing, and Data Publication Risks Associated with the Indices May Adversely Affect

the Index Level or the Value of an Investment Linked to the Indices .............................................. 15

i. Continuity of the Indices ..................................................................................................................................... 16

j. Other Considerations ........................................................................................................................................... 16

6. Conflicts of Interest ............................................................................................................................. 16

7. Disclaimers .......................................................................................................................................... 17

8. Definitions ........................................................................................................................................... 18

9. Exhibits ................................................................................................................................................ 23



Exhibit A – Eligible Commodities ........................................................................................................................ 23

Exhibit B – Eligible Futures Contracts and Selected Futures Contracts .............................................. 24

Exhibit C1 – MSCY Single Indices R0 ................................................................................................................. 25





Exhibit C6 – MSCY Single Indices RY ................................................................................................................. 30

Exhibit D1 – MSCY Single Indices RD ................................................................................................................ 31

Exhibit E1 – MSCY Single Indices R0P ............................................................................................................... 33

Exhibit F1 – MSCY1 Single Indices D1 ............................................................................................................... 34



Exhibit G1 – MSCY2 Single Indices D0 .............................................................................................................. 37

Exhibit H1 – MSCY3 Single Indices ..................................................................................................................... 38

Exhibit I1 – MSCY4 Single Indices ....................................................................................................................... 39

Exhibit J1 – MSCY5 Single Indices ....................................................................................................................... 40

Exhibit K1 – MSCY Custom Single Indices ....................................................................................................... 41



1. Overview

The MSCY Single Indices (each, a “MSCY Single Index”) are a proprietary suite of commodity

indices conceived, developed and sponsored by Morgan Stanley Capital Group Inc. (“MSCG” or

the “Index Sponsor”). The MSCY Single Indices are comprised of specific commodity futures

contracts selected according to a rules-based methodology emphasizing contracts with widely-

published closing settlement prices and well-developed open interest. MSCG is a direct, wholly-

owned subsidiary of Morgan Stanley, a publicly-traded Delaware corporation. MSCG is

registered with the National Futures Association as a “swap dealer” as such term is defined in

the Commodity Exchange Act, as amended.

This Index Methodology (the “Methodology”) details the principal rules and mechanics behind

the calculation of the MSCY Single Indices, including the procedures to modify such indices

under certain circumstances. Where market conditions occur that are not contemplated by this

Methodology, the Index Sponsor may be required to exercise discretion. MSCG has established

a governance structure, which includes a standing index committee comprised of senior

executives, to supervise and guide the Index Sponsor. Finally, this Methodology describes

potential risk factors inherent in the MSCY Single Indices, including conflicts of interests, as well

as contains important disclaimers and limitations of liability.



2. Determining Eligibility

a. Eligible Commodities

The Index Sponsor applies a set of basic criteria to the universe of relevant commodity

futures contracts to broadly identify eligible commodities (“Eligible Commodities”).

Specifically, to be an Eligible Commodity:

the commodity must be the subject of a commodity futures contract that is

listed and traded on one or more designated contract markets or boards of

trade (each, a “Selected Exchange”); and

such commodity futures contract must have a daily officially published

closing settlement price (the “Futures Settlement Price”) which is publicly

disseminated directly from the Selected Exchange on the dates and times

such Selected Exchange is open for trading.

An example of an Eligible Commodity is “gold” traded on the Commodity Exchange, Inc.

designated contract market (“COMEX”), part of the CME Group (“CME”).

Exhibit A contains a current list of Eligible Commodities as of the date of this

Methodology.

b. Eligible Futures Contracts

From the universe of Eligible Commodities, the Index Sponsor next maps the discrete

commodity futures contracts available for trading in each Eligible Commodity (the

“Eligible Futures Contracts”). For example, COMEX lists specific “gold” futures contracts

calling for delivery/receipt of gold in the months of February, April, June, August,

October and December of certain discrete years.

Exhibit B contains a current list of Eligible Futures Contracts as of the date of this

Methodology.

c. Selected Futures Contracts

After determining the scope of Eligible Commodities and Eligible Futures Contracts, the

Index Sponsor next determines through a discretionary process which Eligible Futures

Contracts of the Eligible Commodities are the most liquid (the “Selected Futures

Contracts”). Liquidity is a function of the number of outstanding open contracts as

reported by the respective Selected Exchange for each Eligible Futures Contract (“Open

Interest”).



Exhibit B contains a current list of Selected Futures Contracts as of the date of this

Methodology. The Index Sponsor may, at any point of time, be required to modify the

Selected Futures Contracts due to a Disruption Event (as explained in Section 4.

“Disruption Events and Disruption Event Fallback Procedures”) or due to a change in

liquidity in any of the Selected Futures Contracts.

3. Calculation of the MSCY Single Indices

a. Steps for calculating the MSCY Single Indices

Determine the Selected Exchanges;

Create the MSCY Single Indices; and

Calculate the MSCY Single Indices.

b. Selected Exchanges

The Selected Exchanges, as of the date of this Methodology, are listed below. The

Selected Exchanges represent the sources of the most liquid commodity futures

contracts in Europe and North America and have been chosen in a discretionary basis.

The Index Sponsor may amend the list of Selected Exchanges at any point in time based

on developments in the markets, including, for example, the development of new

exchanges or the discontinuation of existing exchanges.

Chicago Board of Trade

Chicago Mercantile Exchange

Commodity Exchange, Inc.

Euronext Derivatives Paris

ICE Futures Europe

ICE Futures U.S.

LIFFE

London Metal Exchange

Minneapolis Grain Exchange, Inc.

New York Mercantile Exchange, Inc.

c. MSCY Single Indices

The MSCY Single Indices never hold Selected Futures Contracts to maturity and

therefore have a pre-defined mechanism to transfer the exposure from the Selected

Futures Contract that is being held prior to the roll (the “Prompt Futures Contract”) to



the Selected Futures Contract that is being held following the roll (the “Next Futures

Contract”). A day in which (a) the Index Sponsor is open for business during normal

trading hours in New York and (b) the New York Mercantile Exchange Inc. (“NYMEX”) is

open for business during normal trading hours shall be considered an “MSCY Business

Day”. The sequence of the transfer of exposure from the Prompt Futures Contract to

the Next Futures Contract is predetermined (the “MSCY Single Index Roll Schedule”),

and occurs from and including the fifth (5th) MSCY Business Day to and including the

ninth (9th) MSCY Business Day of each calendar month (the “Roll Period”). The exposure

that is scheduled to be transferred on each MSCY Business Day during the Roll Period is

20% (the “Roll Weight”), subject to the occurrence of a “Disruption Event” as defined

below in Section 4 (“Disruption Events and Disruption Event Fallback Procedures”).

Each MSCY Single Index has predefined Roll Periods, Roll Weights and MSCY Single Index

Roll Schedules, which may be changed to generate a multitude of modified MSCY Single

Indices. Those modifications can be static or chosen on a predetermined MSCY Business

Day (a “MSCY Single Index Rebalance Date”).

Exhibit C1 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule that

have been chosen to provide constant exposure on the closest-to-expire Selected

Futures Contract (each, a “MSCY Single Index R0”, and collectively, the “MSCY Single

Index R0 Roll Schedule”). A zero (0) suffix after a Selected Futures Contract denotes a

contract in the current calendar year, while a one (1) suffix denotes a contract in the

following calendar year.

Exhibit C2 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in

which the Prompt Futures Contract is one (1) contract forward with respect to the MSCY

Single Index R0 Roll Schedule (each, a “MSCY Single Index R1”, and collectively, the

“MSCY Single Index R1 Roll Schedule”).


which the Prompt Futures Contract is two (2) contracts forward with respect to the

MSCY Single Index R0 Roll Schedule (each, a “MSCY Single Index R2”, and collectively,

the “MSCY Single Index R2 Roll Schedule”).


which the Prompt Futures Contract is three (3) contracts forward with respect to the

MSCY Single Index R0 Roll Schedule (each, “MSCY Single Index R3”, and collectively, the



which the Prompt Futures Contract is four (4) contracts forward with respect to the

MSCY Single Index R0 Roll Schedule (each, “MSCY Single Index R4”, and collectively, the





which the Prompt Futures Contract is one (1) year later with respect to the MSCY Single

Index R0 Roll Schedule (each, a “MSCY Single Index RY”, and collectively, the “MSCY

Single Index RY Roll Schedule”).

Exhibit D1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY

Single Index Roll Schedule in which the Next Futures Contract is determined each month

according to a specified methodology (each, a “MSCY Single Index RD”).

Exhibit E1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY

Single Index R0 Roll Schedule (each, a “MSCY Single Index R0P”).

Exhibit F1 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in

which the Prompt Futures Contract is one (1) month deferred with respect to the MSCY

Single Index R0 Roll Schedule (each, “MSCY1 Single Index D1”, and collectively, the

“MSCY1 Single Index D1 Roll Schedule”).


which the Prompt Futures Contract is three (3) months deferred with respect to the

MSCY Single Index R0 Roll Schedule (each, “MSCY1 Single Index D3”, and collectively,

the “MSCY1 Single Index D3 Roll Schedule”).


which the Prompt Futures Contract is six (6) months deferred with respect to the MSCY

Single Index R0 Roll Schedule (each, “MSCY1 Single Index D6”, and collectively, the


Exhibit G1 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule that

has been chosen to provide exposure on the second closest-to-expire Selected Futures

Contract every other month (each, a “MSCY2 Single Index D0”, and collectively, the


Exhibit H1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY

Single Index Roll Schedule that has been chosen to provide exposure on long dated

Selected Futures Contracts (each, “MSCY3 Single Index”, and collectively, the “MSCY3

Single Index Roll Schedule”).



Exhibit I1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY

Single Index R0 Roll Schedule (each, “MSCY4 Single Index”).

Exhibit J1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY2

Single Index D0 Roll Schedule (each, “MSCY5 Single Index”).

Exhibit K1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY

Single Index Custom Roll Schedule (each, “MSCY Custom Single Index”, and collectively,

the “MSCY Custom Index Roll Schedule”).

d. Calculation of MSCY Single Indices

MSCY Single Indices are by definition excess return, in other words, providing returns

associated with the Prompt Futures Contract and Next Futures Contract. The calculation

of the excess return version of an MSCY Single Index during the Roll Period is set forth in

Equation 1 below.

Equation 1:

𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡 = 𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡−1 ∗ (𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡

∗ 𝑅𝑊1𝑛𝑏𝑘,𝑡−1+ 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡

∗ 𝑅𝑊2𝑛𝑏𝑘,𝑡−1

𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡−1∗ 𝑅𝑊1𝑛𝑏𝑘,𝑡−1

+ 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡−1∗ 𝑅𝑊2𝑛𝑏𝑘,𝑡−1

)

Where:

𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡 is the Index Level for the MSCY Single Index of Eligible Commodity "𝑘"

on MSCY Business Day "𝑡"

𝑘 is the Eligible Commodity

𝑡 is MSCY Business Day

𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡 is the Futures Settlement Price for the Prompt Futures Contract "1𝑛𝑏" of Eligible

Commodity "𝑘" on MSCY Business Day "𝑡" 1𝑛𝑏 is the Prompt Futures Contract

𝑅𝑊1𝑛𝑏𝑘,𝑡 is the Roll Weight for the Prompt Futures Contract "1𝑛𝑏" of Eligible Commodity

"𝑘" on MSCY Business Day "𝑡" 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡

is the Futures Settlement Price for the Next Futures Contract "2𝑛𝑏" of Eligible

Commodity "𝑘" on MSCY Business Day "𝑡" 2𝑛𝑏 is the Next Futures Contract

𝑅𝑊2𝑛𝑏𝑘,𝑡 is the Roll Weight for the Next Futures Contract "2𝑛𝑏" of Eligible Commodity

"𝑘" on MSCY Business Day "𝑡"

Instead of excess return, MSCY Single Indices also can use a spot calculation (each, a

“MSCY Single Spot Return Index”). The calculation of a MSCY Single Spot Return Index

during a Roll Period is set forth in Equation 2 below.



Equation 2:

𝑀𝑆𝐶𝑌𝑆𝑆𝑆𝑃𝑂𝑇𝑘,𝑡 = 𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡∗ 𝑅𝑊1𝑛𝑏𝑘,𝑡

+ 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡∗ 𝑅𝑊2𝑛𝑏𝑘,𝑡

Where:

𝑀𝑆𝐶𝑌𝑆𝑆𝑆𝑃𝑂𝑇𝑘,𝑡 is the Index Level for the MSCY Single Spot Return Index of Eligible

Commodity "𝑘" on MSCY Business Day "𝑡"



𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡 is the Futures Settlement Price for the Prompt Futures Contract "1𝑛𝑏" of Eligible

Commodity "𝑘" on MSCY Business Day "𝑡" 1𝑛𝑏 is the Prompt Futures Contract

𝑅𝑊1𝑛𝑏𝑘,𝑡 is the Roll Weight for the Prompt Futures Contract "1𝑛𝑏" of Eligible Commodity

"𝑘" on MSCY Business Day "𝑡" 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡

is the Futures Settlement Price for the Next Futures Contract "2𝑛𝑏" of Eligible

Commodity "𝑘" on MSCY Business Day "𝑡" 2𝑛𝑏 is the Next Futures Contract

𝑅𝑊2𝑛𝑏𝑘,𝑡 is the Roll Weight for the Next Futures Contract "2𝑛𝑏" of Eligible Commodity

"𝑘" on MSCY Business Day "𝑡"

MSCY Single Indices also can be determined on a total return basis, in other words, the

excess return version of the relevant MSCY Single Index with the addition of the 13-

week U.S. Treasury Bills High Rate quoted at the most recent weekly auction and

published by the Bureau of the Public Debt of the U.S. Treasury available on this website

http://www.treasurydirect.gov/instit/annceresult/annceresult.htm (the “T-Bill Rate”)

(each being a “MSCY Single Total Return Index”). The calculation of a MSCY Single Total

Return Index is set forth in Equation 3 below.

Equation 3:

𝑀𝑆𝐶𝑌𝑆𝑆𝑇𝑅𝑘,𝑡 = 𝑀𝑆𝐶𝑌𝑆𝑆𝑇𝑅𝑘,𝑡−1 ∗ (𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡

𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡−1

+ 𝐷𝐶𝑌𝑡) ∗ (1 + 𝐷𝐶𝑌𝑡)(𝑑𝑎𝑦𝑠)

Where:

𝑀𝑆𝐶𝑌𝑆𝑆𝑇𝑅𝑘,𝑡 is the Index Level for the MSCY Single Total Return Index of Eligible Commodity "𝑘" on

MSCY Business Day "𝑡"



𝐷𝐶𝑌𝑡 is the Daily Collateral Yield on MSCY Business Day "𝑡"

Daily Collateral Yield = [1

1 − (91

360) 𝑇𝐵𝐼𝐿𝐿𝑡−1

]

191

− 1

𝑇𝐵𝐼𝐿𝐿𝑡−1 is on any MSCY Business Day "𝑡" , the T-Bill Rate on the most recent weekly auction

date prior to such MSCY Business Day "𝑡"

http://www.treasurydirect.gov/instit/annceresult/annceresult.htm



MSCY Single Indices, MSCY Single Spot Return Indices and MSCY Single Total Return

Indices are rounded to 8 decimal places. Each respective Official Index Level is rounded

to 4 decimal places.



4. Disruption Events and Disruption Event Fallback Procedures

a. Disruption Events

In certain circumstances, an event may occur that will hinder the Index Sponsor from

properly calculating an MSCY Single Index. Each of the below represents such an event

(each a “Disruption Event”):

Any of the source data required in calculating a MSCY Single Index is not available,

including any permanent cancellation, suspension, disappearance of, or of trading

in, any Selected Futures Contract underlying a MSCY Single Index.

If the Selected Exchange for a Selected Futures Contract in a MSCY Single Index,

establishes limits on the range within which the price of the Selected Futures

Contract may fluctuate, and the Futures Settlement Price is at the upper or lower

limit of such range.

If there has been a change in applicable law or regulation that prevents the Index

Sponsor from calculating a MSCY Single Index.

If the Index Sponsor determines that an event or circumstance has occurred that is

beyond the reasonable control of the Index Sponsor. Such event or circumstance

may include (without limitation) a systems failure, fire, building evacuation, natural

or man-made disaster, act of state, armed conflict, act of terrorism, riot or labor

disruption.

b. Disruption Event Fallback Procedures

Upon the occurrence of a Disruption Event, certain procedures have been developed to

properly calculate a MSCY Single Index. Each of these procedures (“Disruption Event

Fallback Procedures”) is listed below:

i) Disruption Event Fallback Procedure outside of the Roll Period;

If a Disruption Event occurs with respect to an Selected Futures Contract underlying an

MSCY Single Index on an MSCY Business Day that is not during any Roll Period, the MSCY

Single Indices that depend on the disrupted Selected Futures Contracts, are flagged as

disrupted and the Index Level published that day for these indices are calculated using

the disrupted Futures Settlement Price, if available.

ii) Disruption Event Fallback Procedure during the Roll Period;

If a Disruption Event occurs with respect to a Selected Futures Contract underlying an

MSCY Single Index on a MSCY Business Day that is during the Roll Period, the respective



MSCY Single Index is not rolled on such day. That portion of the roll will be performed

on the following MSCY Business Day. If on the following MSCY Business Day, there is

another Disruption Event with respect to the same Selected Futures Contract, then the

portion of roll is accumulated for one more day. The rolls are thus accumulated until

the next subsequent MSCY Business Day that the respective Selected Futures Contract

does not experience a Disruption Event. On such MSCY Business Day, all of the

accumulated roll for the corresponding will be performed.

5. Risk Factors

The following is a summary of certain risks associated with the Indices but is not meant to be an

exhaustive list of all risks associated with the Indices or an investment in commodities,

commodity futures or commodity-linked or commodity index-linked products generally.

a. Commodity Prices May Change Unpredictably, Affecting the Value of

the Indices in Unforeseeable Ways

Trading in futures contracts on physical commodities, including trading in the Eligible

Commodities, is speculative and can be extremely volatile. Market prices of the Eligible

Commodities and the Selected Futures Contracts 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 governmental action or market movements; and monetary and other governmental

policies, action and inaction. These price changes may be magnified by computer-driven

trading, which is becoming more prevalent in the commodities markets. The current or

“spot” prices of the Eligible Commodities may also affect, in a volatile and inconsistent

manner, the prices of the relevant Selected Futures Contracts. These factors may affect the

value of the Indices in varying ways, and different factors may cause the prices of the

Eligible Commodities, and the volatilities of their prices, to move in inconsistent directions

at inconsistent rates.

b. Trading and Other Transactions by MSCG and its Affiliates in

Instruments Linked to the Indices or Eligible Commodities May Affect

the Value of the Indices



MSCG and its respective affiliates also may transact in Eligible Commodities, Eligible Futures

Contracts, the physical commodities underlying such Eligible Commodities, the Indices, and

other investments relating to Eligible Commodities, on a regular basis as part of its general

business, for proprietary accounts, for other accounts under management, to facilitate

transactions for customers, or to hedge obligations under products linked to the Indices.

Although they are not intended to, any of these activities could adversely affect the market

price of the Eligible Commodities or the value of the Indices. It is possible that the Index

Sponsor and its respective affiliates could receive substantial returns from these hedging

activities while the market value of the components of the Indices and the value of the

Indices decline.

With respect to any of the activities described above, neither the Index Sponsor nor its

affiliates has any obligation to take into consideration at any time the needs of any buyer,

seller, holder, issuer, market maker of any product linked to the Indices or any other person.

The Index Sponsor and its affiliates may also issue or underwrite securities or financial or

derivative instruments with returns linked or related to changes in the performance of any

of the foregoing.

c. Suspension or Disruptions of Market Trading in Commodities and

Related Futures May Adversely Affect the Value of the Indices

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 governmental regulation and intervention)

referred to in this Methodology as “Disruption Events.” Disruption Events include the

cessation, for a material time, of trading in Eligible Futures Contracts or the imposition by

the Selected Exchange on which one or more such Eligible Futures Contracts are traded of a

“limit price,” a range outside of which such Eligible Futures Contracts are not permitted to

trade.

United States futures exchanges and some foreign exchanges have regulations that limit the

amount of fluctuation in futures contract prices, which may occur during a single business day.

These limits are generally referred to as “daily price fluctuation limits” and the maximum or

minimum price of a contract on any given day as a result of these limits is referred to as a

“limit price.” Once the limit price has been reached in a particular contract, no trades may be

made at a different price. Limit prices have the effect of precluding trading in a particular

contract or forcing the liquidation of contracts at disadvantageous times or prices. These

circumstances could adversely affect the value of the commodity-linked investments.



In addition, a Selected Exchange may replace or delist an Eligible Futures Contract.

Procedures have been established to address such events, and such procedures are set forth

in this Methodology. There can be no assurance, however, that a 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 Indices or the manner in which it is

calculated.

d. New Regulations May Affect the Value of the Indices

Pursuant to legislation adopted in response to the global financial crisis, various regulatory

authorities are in the process of implementing a new and comprehensive regulatory

framework for the derivatives market. The impact of recently adopted and pending

regulations is still unknown, but has the potential to increase the costs of using derivatives,

may limit the availability of some forms of derivatives and may adversely affect the

performance of some derivative instruments, including some Selected Futures Contracts or

the commodities markets in general, by decreasing market liquidity, increasing market

fragmentation, and having other negative effects. Similarly, the enactment of new

legislation and adoption of new regulations may adversely affect the Indices in the future.

e. Non-U.S. Investment May Affect the Value of the Indices

The Indices may include Eligible Futures Contracts traded on Selected Exchanges located

outside of the U.S., which present risk because they may not be subject to the same degree

of regulation as their U.S. counterparts.

f. Future Prices of the Eligible Commodities That Are Different Relative

to Their Current Prices May Affect the Value of the Indices

The Indices are purely synthetic. There is no pool of commodity futures to which any person

is entitled or in which any person has any ownership interest or which serve as collateral for

the return on any product referencing the Indices.

The Indices are 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 Selected Futures Contracts that comprise the Indices

approach expiration, they are replaced by similar Selected Futures Contracts that have a

later expiration. Thus, for example, a Selected Futures Contract purchased and held in



August may specify an October expiration date. As time passes, the Selected Futures

Contract expiring in October may be replaced by a Selected Futures Contract for delivery in

December. This process is referred to as “rolling”. The Selected Futures Contracts that

comprise the Indices have a variety of maturity dates selected on the basis of historical open

interest. The difference between the prices of the two Selected Futures Contracts when

they are rolled is sometimes referred to as a “roll yield”. 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 longer dated Selected Futures

Contract would take place at a price that is lower than the sale price of the shorter dated

Selected Futures Contract, also commonly referred to as “positive roll yield”. Conversely, if

the market for Selected Futures 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 longer dated Selected Futures Contract would take place at a price that is higher than

the sale price of the shorter dated Selected Futures Contract, also commonly referred to as

“negative roll yield”.

The presence of contango in the commodity markets could result in negative roll yields,

which could adversely affect the value of the Indices. Because of the potential effects of

negative roll yields, it is possible for the value of the Indices to decrease significantly over

time even when the near-term or spot prices of Eligible Commodities are stable or

increasing. It is also possible, when near-term or spot prices of the Eligible Commodities are

decreasing, for the value of the Indices to increase significantly over time even if some or all

of the Eligible Commodities are experiencing backwardation.

g. Potential for Insufficient Diversification May Affect the Value of the

Indices

Diversification is generally considered to reduce the amount of risk associated with

investment returns. The Indices contain a variety of commodity futures with different

maturities. However, each of the Indices references only one commodity. Therefore, there

can be no assurance that a MSCY Single Index will be sufficiently diversified at any time to

reduce or minimize risks to any extent.

h. Data Sourcing, and Data Publication Risks Associated with the

Indices May Adversely Affect the Index Level or the Value of an

Investment Linked to the Indices

The Selected Futures Contracts of the Indices are verified annually in reliance upon historic

price, liquidity and Open Interest data that are subject to potential errors in data sources or



other errors. Any discrepancies that require revision are not applied retroactively but will

be reflected in the Selected Futures Contracts of the Indices for the following year.

Additionally, the Index Sponsor may not discover every discrepancy

i. Continuity of the Indices

The Index Sponsor is under no obligation to continue the calculation, publication and

dissemination of the Indices. Should the Indices cease to exist, this may have a negative

impact on the return of any product linked to the Indices.

j. Other Considerations

The provisions and procedures set forth in this Methodology grant a significant degree of

discretion to the Index Sponsor in a number of respects. The Index Sponsor may exercise

this discretion as it determines to be most appropriate. Furthermore, this Methodology

does not address all possible issues relating to the Indices, 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 the Indices may be amended at any time. Any

such amendment may have an effect, positive or negative, on the level of an MSCY Single

Index.

6. Conflicts of Interest

Actual and potential conflicts of interest may exist in the structure and operation of the Indices

and the course of normal business activities for the Index Sponsor or any of its affiliates or

subsidiaries or their respective directors, officers, employees, representatives, delegates or

agents of their normal business activities. During the course of their normal business, the Index

Sponsor or any of its affiliates or subsidiaries or their respective directors, officers, employees,

representatives, delegates or agents may enter into or promote, offer or sell transactions or

investments (structured or otherwise) linked to the Indices or any of their components. In

addition, any of the foregoing entities or persons may have, or may have had, interests or

positions, or may buy, sell or otherwise trade positions in or relating to the Indices or any of

their components, or may invest or engage in transactions with other persons, or on behalf of

such persons relating to any of these items. Such activity could give rise to a conflict of interest,

and such conflict may have an impact, positive or negative, on the level of the Indices. Neither

the Index Sponsor nor any of its affiliates or subsidiaries or their respective directors, officers,



employees, representatives, delegates or agents has any duty to consider the circumstances of

any person when participating in such transactions or to conduct themselves in a manner that is

favorable to anyone with exposure to the Indices through any product referencing the Indices.

7. Disclaimers

Capitalized terms used in this section and not defined herein shall have the respective meaning

ascribed to each in the Methodology. The MSCY Single Indices are a suite of indices and are

collectively referred to herein as (the “Indices”), except as where otherwise noted.

IMPORTANT NOTICE: THE FOLLOWING LIST OF RISKS DOES NOT PURPORT TO BE A COMPLETE

ENUMERATION OR EXPLANATION OF ALL THE RISKS ASSOCIATED WITH THE INDICES. IT IS NOT

INTENDED TO BE AND SHOULD NOT BE RELIED UPON AS A SUBSTITUTE FOR READING THE

METHODOLOGY. YOU SHOULD CAREFULLY READ THE METHODOLOGY IN ITS ENTIRETY TO

UNDERSTAND THE TERMS OF THE INDICES. IN ADDITION, IF YOU ARE CONSIDERING ENTERING

INTO A LICENSE AGREEMENT FOR THE USE OF ANY OF THE INDICES OR PURCHASING OR

INVESTING IN A PRODUCT (INCLUDING WITHOUT LIMITATION A FUND, NOTE, SWAP OR OTHER

DERIVATIVE INSTRUMENT) OR ENTERING INTO A TRANSACTION REFERENCING ANY OF THE

INDICES, YOU SHOULD ALSO READ THE OFFERING DOCUMENT OR AGREEMENT FOR SUCH INDEX,

PRODUCT OR TRANSACTION TO FULLY UNDERSTAND THE TERMS OF, AND THE RISKS ASSOCIATED

WITH, SUCH INDEX, PRODUCT OR TRANSACTION BEFORE MAKING A DECISION ABOUT WHETHER

TO LICENSE SUCH INDEX, INVEST OR PARTICIPATE IN ANY SUCH PRODUCT OR TRANSACTION.

YOUR DECISION TO LICENSE ANY INDEX OR INVEST IN ANY PRODUCT OR PARTICIPATE IN ANY

TRANSACTION REFERENCING ANY OF THE INDICES SHOULD BE MADE WITHOUT RELIANCE ON THE

INDEX SPONSOR OR ANY OF ITS AFFILIATES OR THE CONTINUED AVAILABILITY OF ANY SELECTED

COMMODITIES, AND YOU SHOULD CONSULT WITH YOUR PROFESSIONAL ADVISORS TO THE

EXTENT YOU DEEM NECESSARY. NEITHER THE INDEX SPONSOR NOR ANY OF ITS OR ITS

AFFILIATES’ AGENTS (INCLUDING WITHOUT LIMITATION CALCULATION AGENTS), DATA LICENSORS

OR PROVIDERS (INCLUDING WITHOUT LIMITATION ICE DATE LLP, CHICAGO MERCANTILE

EXCHANGE INC. AND THE LONDON METAL EXCHANGE (INDIVIDUALLY AND COLLECTIVELY, THE

“SPONSOR RELATED ENTITIES”)) SPONSORS, ENDORSES OR PROMOTES ANY PRODUCT OR

TRANSACTION REFERENCING ANY OF THE INDICES AND THE SPONSOR RELATED ENTITIES MAKE

NO REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF ANY PRODUCT

OR THE PARTIES TO ANY TRANSACTION REFERENCING THE INDICES OR ANY MEMBER OF THE

PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN ANY PRODUCT OR TRANSACTION

REFERENCING THE INDICES OR ANY PRODUCT OR TRANSACTION GENERALLY. NEITHER THE

SPONSOR, ITS AFFILIATES NOR ANY OTHER SPONSOR RELATED ENTITY HAS ANY OBLIGATION TO

TAKE THE NEEDS OF ANY INDEX LICENSEE, OWNERS OF ANY PRODUCT OR THE PARTIES TO ANY

TRANSACTION REFERENCING ANY OF THE INDICES OR ANY MEMBER OF THE PUBLIC INTO



CONSIDERATION IN DETERMINING, COMPOSING OR CALCULAITNG THE INDEX. NEITHER THE

SPONSOR, ITS AFFILIATES NOR ANY OTHER SPONSOR RELATED ENTITY IS RESPONSIBLE FOR AND

HAS NOT PARTICIPATED IN THE DETERMINATION OF THE TIMING OR PRICES OF ANY PRODUCT OR

ASSETS RELATED TO ANY TRANSACTION REFERENCING ANY OF THE INDICES. NOTHING HEREIN

CONSTITUTES OR SHOULD BE CONSTRUED AS AN OFFER TO BUY OR SELL ANY SECURITIES,

PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX,

REGULATORY OR ACCOUNTING ADVICE.

ALTHOUGH THE SPONSOR OR SPONSOR RELATED ENTITIES OBTAIN INFORMATION FOR

INCLUSION IN OR USE IN THE CALCULATION OF ANY OF THE INDICES FROM SOURCES WHICH

SPONSOR CONSIDERS RELIABLE, NEITHER SPONSOR, ANY OF ITS OR ITS AFFILIATES’ NOR ANY

OTHER SPONSOR RELATED ENTITY GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF

ANY OF THE INDICES OR ANY DATA INCLUDED THEREIN. NONE OF THE SPONSOR, ANY OF ITS

AFFILIATES OR ANY OTHER SPONSOR RELATED ENTITY SHALL HAVE ANY LIABILITY FOR ANY

ERRORS, OMISSIONS, UNAVAILABILITY OF OR INTERRUPTIONS IN ANY OF THE INDICES OR THE

CALCULATION OF ANY THEREOF. NONE OF THE SPONSOR, OR ANY OF ITS AFFILIATES OR ANY

OTHER SPONSOR RELATED ENTITY MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO THE

RESULTS TO BE OBTAINED BY THE PARTIES TO ANY LICENSE OR TRANSACTION INVOLVING ANY OF

THE INDICES OR BY ANY OTHER PERSON OR ENTITY FROM ANY OF THE INDICES OR ANY DATA

INCLUDED THEREIN. NONE OF THE SPONSOR, ANY OF ITS AFFILIATES OR ANY OTHER SPONSOR

RELATED ENTITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL

WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH

RESPECT TO THE INDICES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE

FOREGOING, IN NO EVENT SHALL THE SPONSOR, ANY OF ITS AFFILIATES OR ANY OTHER SPONSOR

RELATED ENTITY HAVE ANY LIABILITY TO ANY PERSON OR ENTITY FOR ANY DAMAGES, LOST

PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF

NOTIFIED OF THE POSSIBILITY THEREOF. THE INDICES ARE THE EXCLUSIVE PROPERTY OF THE

INDEX SPONSOR AND THE INDEX SPONSOR RETAINS ALL PROPRIETARY RIGHTS THEREIN.

8. Definitions

“Chicago Board of Trade” means the Chicago Mercantile Exchange and its successors and

permitted assigns.

“Chicago Mercantile Exchange” means the Chicago Mercantile Exchange and its successors and

permitted assigns.

“CME” means the CME Group and its successors and permitted assigns.

“COMEX” means the Commodity Exchange, Inc. and its successors and permitted assigns.

“Commodity Code” means the code for each Eligible Commodity, as listed in Exhibit A below.



“Daily Collateral Yield” is the theoretical on day T-Bill Rate using the 91 day discount rate for

U.S. Treasury Bills.

“Denominated Currency” means the currency in which the Eligible Commodity is denominated

as determined by the Selected Exchange, and listed in Exhibit A below.

“Disruption Event” an event that may hinder the Index Sponsor from properly calculating an

MSCY Single Index, and gives rise to a Disruption Event Fallback Procedure.

“Disruption Event Fallback Procedures” are procedures that have been developed to properly

calculate an MSCY Single Index, upon the occurrence of a Disruption Event.

“Eligible Commodities” are the commodities listed in Exhibit A below, which have met the

criteria stated in Section 2.a (“Eligible Commodities”).

“Eligible Futures Contracts” means the discrete commodity futures contracts available for

trading in each Eligible Commodity, as determined by the Index Sponsor, and listed in Exhibit B

below.

“Futures Settlement Price” is the officially published closing settlement price of an Eligible

Futures Contract, as published by the Selected Exchange.

“ICE Futures Europe” means the ICE Futures Europe and its successors and permitted assigns.

“ICE Futures U.S.” means the ICE Futures U.S. and its successors and permitted assigns.

“Index Level” means the level of an MSCY Single Index rounded to 8 decimal places, as

determined by the Index Sponsor.

“Index Sponsor” means MSCG.

“LIFFE” means the London International Financial Futures and Options Exchange and its

successors and permitted assigns.

“London Metal Exchange” means the London Metal Exchange and its successors and permitted

assigns.

“Methodology” refers to this Index Methodology, which details the principal rules and

mechanics behind the calculation of the MSCY Single Indices and the procedures to modify such

indices under certain circumstances.

“Minneapolis Grain Exchange, Inc.” means the Minneapolis Grain Exchange, Inc. and its

successors and permitted assigns.

“MSCG” means Morgan Stanley Capital Group Inc.



“MSCY Business Day” means a day that a) the Index Sponsor is open for business during normal

trading hours in New York and b) the New York Mercantile Exchange Inc. is open for business

during normal trading hours.

“MSCY Custom Single Index” means a MSCY Single Index that utilizes a custom Roll Period, Roll

Weight and a custom MSCY Single Index Roll Schedule.

“MSCY Single Index” means any of the possible indices that encompass a single Eligible

Commodity.

“MSCY Single Index Rebalance Date” is an MSCY Business Day in which an MSCY Single Index

changes its Roll Period, Roll Weight and/or MSCY Single Index Roll Schedule.

“MSCY Single Index RD” means an MSCY Single Index that utilizes the MSCY Single Index RD Roll

Schedule, specific Roll Period and Roll Weight, each as listed in Exhibit D1 below.

“MSCY Single Index Roll Schedule” is the sequence of exposure transfer regarding a MSCY

Single Index, from the Prompt Futures Contract to the Next Futures Contract.

“MSCY Single Index RY” means an MSCY Single Index that utilizes the MSCY Single Index RY Roll

Schedule, each as listed in Exhibit C6 below.

“MSCY Single Index R0” means an MSCY Single Index that utilizes the MSCY Single Index R0 Roll


“MSCY Single Index R0P” means an MSCY Single Index that utilizes the MSCY Single Index R0

Roll Schedule and a specific Roll Period, each listed in Exhibit E1 below.









“MSCY1 Single Index D1” is a specific MSCY Single Index that utilizes the MSCY1 Single Index

Roll Schedule, each listed in Exhibit F1 below.

“MSCY1 Single Index D3” is a specific MSCY Single Index that utilized the MSCY1 Single Index




“MSCY1 Single Index D6” is a specific MSCY Single Index that utilized the MSCY1 Single Index


“MSCY2 Single Index D0” means an MSCY Single Index that utilizes the MSCY2 Single Index D0

Roll Schedule, each as listed in Exhibit G1 below.

“MSCY3 Single Index” is a specific MSCY Single Index that utilizes a custom Roll Period, Roll

Weight and the MSCY3 Single Index Roll Schedule, each listed in Exhibit H1 below.

“MSCY4 Single Index” is a specific MSCY Single Index that utilizes the MSCY Single Index R0 Roll

Schedule with a specific Roll Period and Roll Weight, each listed in Exhibit I1 below.

“MSCY5 Single Index” is a specific MSCY Single Index that utilizes the MSCY2 Single Index D0

Roll Schedule with a specific Roll Period and Roll Weight, each listed in Exhibit J1 below.

“MSCY Single Spot Return Index” is a version of the MSCY Single Index using a different

calculation for the derivation of its Index Level, as specified in Equation 4 of Section 3.d.

(“Calculation of MSCY Single Indices”).

“MSCY Single Total Return Index” is a version of the MSCY Single Index which incorporates the

T-Bill Rate, as specified in Equation 5 of Section 3.d. (“Calculation of MSCY Single Indices”).

“Next Futures Contract” means the Selected Futures Contract of an MSCY Single Index, which is

held by such MSCY Single Index following the Roll Period.

“NYMEX” means the New York Mercantile Exchange, Inc. and its successors and permitted

assigns.

“Official Index Level” is the Index Level rounded to 4 decimal places.

“Open Interest” means the number of outstanding open contracts as reported by the respective

Selected Exchange for an Eligible Futures Contract.

“Prompt Futures Contract” means the Selected Futures Contract of an MSCY Single Index, which

is held by such MSCY Single Index before the Roll Period.

“Roll Period” is from and including the 5th MSCY Business Day to and including the 9th MSCY

Business Day of each calendar month.

“Roll Weight” means 20% for each MSCY Business Day during the Roll Period, subject to the

occurrence of a Disruption Event.

“Selected Exchange” means a designated contract market or board of trade that lists or trades a

commodity futures contract, as listed in Section 3.b. (“Selected Exchanges”).

“Selected Futures Contract” is a liquid Eligible Futures Contract of an Eligible Commodity, as

listed in Exhibit B below.



“T-Bill Rate” is the 13-week U.S. Treasury Bills High Rate quoted at the most recent weekly

auction and published by the Bureau of the Public Debt of the U.S. Treasury available on this

website: http://www.treasurydirect.gov/instit/annceresult/annceresult.htm.

http://www.treasurydirect.gov/instit/annceresult/annceresult.htm



9. Exhibits

Exhibit A – Eligible Commodities

Eligible Commodity Selected Exchange Commodity Code

Denominated Currency

Contract Size

Gold Commodity Exchange, Inc. GC U.S. Dollars 100

Silver Commodity Exchange, Inc. SI U.S. Dollars 5,000

Platinum New York Mercantile Exchange Inc. PL U.S. Dollars 50

Palladium New York Mercantile Exchange Inc. PA U.S. Dollars 100

Aluminum London Metal Exchange LA U.S. Dollars 25

Copper London Metal Exchange LP U.S. Dollars 25

Copper (HG) Commodity Exchange, Inc. HG U.S. cents 25,000

Nickel London Metal Exchange LN U.S. Dollars 6

Lead London Metal Exchange LL U.S. Dollars 25

Zinc London Metal Exchange LX U.S. Dollars 25

Tin London Metal Exchange LT U.S. Dollars 5

Crude Oil New York Mercantile Exchange Inc. CL U.S. Dollars 1,000

Brent Oil ICE Futures Europe CO U.S. Dollars 1,000

Heating Oil New York Mercantile Exchange Inc. HO U.S. cents 42,000

Gasoil ICE Futures Europe QS U.S. Dollars 100

RBOB New York Mercantile Exchange Inc. XB U.S. cents 42,000

Ethanol Chicago Board of Trade DL U.S. Dollars 29,000

Coal New York Mercantile Exchange Inc. MF U.S. Dollars 1,000

Natural Gas New York Mercantile Exchange Inc. NG U.S. Dollars 10,000

Corn Chicago Board of Trade CN U.S. cents 5,000

Wheat Chicago Board of Trade WH U.S. cents 5,000

Kansas Wheat Chicago Board of Trade KW U.S. cents 5,000

Milling Wheat Euronext Derivatives Paris CA EUR 50

Minneapolis Wheat Minneapolis Grain Exchange, Inc. MW U.S. cents 5,000

Soybeans Chicago Board of Trade SY U.S. cents 5,000

Soybean Oil Chicago Board of Trade BO U.S. cents 60,000

Soybean Meal Chicago Board of Trade SM U.S. Dollars 100

Cotton ICE Futures U.S. CT U.S. cents 50,000

Coffee (Arabica) ICE Futures U.S. KC U.S. cents 37,500

Coffee (Robusta) LIFFE DF U.S. Dollars 10

Sugar ICE Futures U.S. SB U.S. cents 112,000

White Sugar LIFFE QW U.S. Dollars 50

Cocoa ICE Futures U.S. CC U.S. Dollars 10

Orange Juice ICE Futures U.S. JO U.S. cents 15,000

Milk Chicago Mercantile Exchange DA U.S. Dollars 200,000

Lean Hogs Chicago Mercantile Exchange LH U.S. cents 40,000

Live Cattle Chicago Mercantile Exchange LC U.S. cents 40,000

Feeder Cattle Chicago Mercantile Exchange FC U.S. cents 50,000



Exhibit B – Eligible Futures Contracts and Selected Futures Contracts

Eligible Commodity Commodity Code Eligible Futures Contracts Selected Futures Contracts

Gold GC G, J, M, Q, V, Z G, J, M, Q, Z

Silver SI F, H, K, N, U, Z F, K, N, U, Z

Platinum PL F, J, N, V F, J, N, V

Palladium PA H, M, U, Z H, M, U, Z

Aluminum LA F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Copper LP F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Copper (HG) HG H, K, N, U, Z H, K, N, U, Z

Nickel LN F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Lead LL F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Zinc LX F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Tin LT F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Crude Oil CL F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Brent Oil CO F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Heating Oil HO F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Gasoil QS F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

RBOB XB F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Ethanol DL F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Coal MF F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Natural Gas NG F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Corn CN H, K, N, U, Z H, K, N, U, Z

Wheat WH H, K, N, U, Z H, K, N, U, Z

Kansas Wheat KW H, K, N, U, Z H, K, N, U, Z

Milling Wheat CA H, K, U, Z H, K, U, Z

Minneapolis Wheat MW H, K, N, U, Z H, K, N, U, Z

Soybeans SY F, H, K, N, Q, U, X F, H, K, N, X

Soybean Oil BO F, H, K, N, X, Z F, H, K, N, Z

Soybean Meal SM F, H, K, N, Q, U, V, Z F, H, K, N, Z

Cotton CT H, K, N, V, Z H, K, N, Z

Coffee (Arabica) KC H, K, N, U, Z H, K, N, U, Z

Coffee (Robusta) DF F, H, K, N, U, X F, H, K, N, U, X

Sugar SB H, K, N, V H, K, N, V

White Sugar QW H, K, Q, V, Z H, K, Q, V, Z

Cocoa CC H, K, N, U, Z H, K, N, U, Z

Orange Juice JO F, H, K, N, U, X F, H, K, N, U, X

Milk DA F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z

Lean Hogs LH G, J, K, M, N, Q, V, Z G, J, M, N, Q, V, Z

Live Cattle LC G, J, M, Q, V, Z G, J, M, Q, V, Z

Feeder Cattle FC F, H, J, K, Q, U, V, X F, H, J, K, Q, U, V, X



Exhibit C1 – MSCY Single Indices R0 MSCY Single Indices R0

Selected Futures Contract held before the Roll Period, the MSCY Single Index R0 Roll Schedule

Eligible Commodity

Commodity Code

MSCY Single Indices R0 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Gold GC MSCYGC0 G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1

Silver SI MSCYSI0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Platinum PL MSCYPL0 J0 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1

Palladium PA MSCYPA0 H0 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1

Aluminium LA MSCYLA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Copper LP MSCYLP0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Copper (HG) HG MSCYHG0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Nickel LN MSCYLN0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Lead LL MSCYLL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Zinc LX MSCYLX0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Tin LT MSCYLT0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Crude Oil CL MSCYCL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Brent Oil CO MSCYCO0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Heating Oil HO MSCYHO0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Gasoil QS MSCYQS0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

RBOB XB MSCYXB0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Ethanol DL MSCYDL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Coal MF MSCYXA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Natural Gas NG MSCYNG0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Corn CN MSCYCN0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Wheat WH MSCYWH0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Kansas Wheat KW MSCYKW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 Minneapolis Wheat MW MSCYMW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Soybeans SY MSCYSY0 H0 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1

Soybean Oil BO MSCYBO0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1

Soybean Meal SM MSCYSM0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1

Cotton CT MSCYCT0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1

Coffee (Arabica) KC MSCYKC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Coffee (Robusta) DF MSCYDF0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Sugar SB MSCYSB0 H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1

White Sugar QW MSCYQW0 H0 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1

Cocoa CC MSCYCC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Orange Juice JO MSCYJO0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Milk DA MSCYDA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Lean Hogs LH MSCYLH0 G0 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1

Live Cattle LC MSCYLC0 G0 J0 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1

Feeder Cattle FC MSCYFC0 H0 H0 J0 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1



Exhibit C2 – MSCY Single Indices R1

MSCY Single Indices R1


Eligible Commodity Commodity Code


Gold GC MSCYGC1 J0 M0 M0 Q0 Q0 Z0 Z0 G1 G1 G1 G1 J1

Silver SI MSCYSI1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Platinum PL MSCYPL1 N0 N0 N0 V0 V0 V0 F1 F1 F1 J1 J1 J1

Palladium PA MSCYPA1 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1

Aluminium LA MSCYLA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Copper LP MSCYLP1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Copper (HG) HG MSCYHG1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Nickel LN MSCYLN1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Lead LL MSCYLL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Zinc LX MSCYLX1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Tin LT MSCYLT1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Crude Oil CL MSCYCL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Brent Oil CO MSCYCO1 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Heating Oil HO MSCYHO1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Gasoil QS MSCYQS1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

RBOB XB MSCYXB1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Ethanol DL MSCYDL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Coal MF MSCYXA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Natural Gas NG MSCYNG1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Corn CN MSCYCN1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Wheat WH MSCYWH1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Kansas Wheat KW MSCYKW1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Minneapolis Wheat MW MSCYMW1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Soybeans SY MSCYSY1 K0 K0 N0 N0 X0 X0 F1 F1 F1 F1 H1 H1

Soybean Oil BO MSCYBO1 K0 K0 N0 N0 Z0 Z0 F1 F1 F1 F1 H1 H1

Soybean Meal SM MSCYSM1 K0 K0 N0 N0 Z0 Z0 F1 F1 F1 F1 H1 H1

Cotton CT MSCYCT1 K0 K0 N0 N0 Z0 Z0 H1 H1 H1 H1 H1 K1

Coffee (Arabica) KC MSCYKC1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Coffee (Robusta) DF MSCYDF1 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1

Sugar SB MSCYSB1 K0 K0 N0 N0 V0 V0 H1 H1 H1 K1 K1 K1

White Sugar QW MSCYQW1 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1 K1 K1

Cocoa CC MSCYCC1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1

Orange Juice JO MSCYJO1 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1

Milk DA MSCYDA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Lean Hogs LH MSCYLH1 J0 M0 M0 N0 N0 Q0 V0 Z0 Z0 G1 G1 J1

Live Cattle LC MSCYLC1 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1 G1 J1

Feeder Cattle FC MSCYFC1 J0 J0 K0 Q0 U0 U0 U0 V0 X0 F1 H1 H1








Gold GC MSCYGC2 M0 Q0 Q0 Z0 Z0 G1 G1 J1 J1 J1 J1 M1

Silver SI MSCYSI2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Platinum PL MSCYPL2 V0 V0 V0 F1 F1 F1 J1 J1 J1 N1 N1 N1

Palladium PA MSCYPA2 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1 M1 M1 U1

Aluminium LA MSCYLA2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Copper LP MSCYLP2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Copper (HG) HG MSCYHG2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Nickel LN MSCYLN2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Lead LL MSCYLL2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Zinc LX MSCYLX2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Tin LT MSCYLT2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Crude Oil CL MSCYCL2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Brent Oil CO MSCYCO2 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Heating Oil HO MSCYHO2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Gasoil QS MSCYQS2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

RBOB XB MSCYXB2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Ethanol DL MSCYDL2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Coal MF MSCYXA2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Natural Gas NG MSCYNG2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Corn CN MSCYCN2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Wheat WH MSCYWH2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Kansas Wheat KW MSCYKW2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Minneapolis Wheat MW MSCYMW2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Soybeans SY MSCYSY2 N0 N0 X0 X0 F1 F1 H1 H1 H1 H1 K1 K1

Soybean Oil BO MSCYBO2 N0 N0 Z0 Z0 F1 F1 H1 H1 H1 H1 K1 K1

Soybean Meal SM MSCYSM2 N0 N0 Z0 Z0 F1 F1 H1 H1 H1 H1 K1 K1

Cotton CT MSCYCT2 N0 N0 Z0 Z0 H1 H1 K1 K1 K1 K1 K1 N1

Coffee (Arabica) KC MSCYKC2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Coffee (Robusta) DF MSCYDF2 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1

Sugar SB MSCYSB2 N0 N0 V0 V0 H1 H1 K1 K1 K1 N1 N1 N1

White Sugar QW MSCYQW2 Q0 Q0 V0 V0 Z0 Z0 H1 H1 K1 K1 Q1 Q1

Cocoa CC MSCYCC2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1

Orange Juice JO MSCYJO2 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1

Milk DA MSCYDA2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Lean Hogs LH MSCYLH2 M0 N0 N0 Q0 Q0 V0 Z0 G1 G1 J1 J1 M1

Live Cattle LC MSCYLC2 M0 Q0 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1

Feeder Cattle FC MSCYFC2 K0 K0 Q0 U0 V0 V0 V0 X0 F1 H1 J1 J1








Gold GC MSCYGC3 Q0 Z0 Z0 G1 G1 J1 J1 M1 M1 M1 M1 Q1

Silver SI MSCYSI3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Platinum PL MSCYPL3 F1 F1 F1 J1 J1 J1 N1 N1 N1 V1 V1 V1

Palladium PA MSCYPA3 Z0 Z0 H1 H1 H1 M1 M1 M1 U1 U1 U1 Z1

Aluminium LA MSCYLA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Copper LP MSCYLP3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Copper (HG) HG MSCYHG3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Nickel LN MSCYLN3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Lead LL MSCYLL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Zinc LX MSCYLX3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Tin LT MSCYLT3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Crude Oil CL MSCYCL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Brent Oil CO MSCYCO3 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Heating Oil HO MSCYHO3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Gasoil QS MSCYQS3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

RBOB XB MSCYXB3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Ethanol DL MSCYDL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Coal MF MSCYXA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Natural Gas NG MSCYNG3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Corn CN MSCYCN3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Wheat WH MSCYWH3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Kansas Wheat KW MSCYKW3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Minneapolis Wheat MW MSCYMW3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Soybeans SY MSCYSY3 X0 X0 F1 F1 H1 H1 K1 K1 K1 K1 N1 N1

Soybean Oil BO MSCYBO3 Z0 Z0 F1 F1 H1 H1 K1 K1 K1 K1 N1 N1

Soybean Meal SM MSCYSM3 Z0 Z0 F1 F1 H1 H1 K1 K1 K1 K1 N1 N1

Cotton CT MSCYCT3 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 N1 N1 Z1

Coffee (Arabica) KC MSCYKC3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Coffee (Robusta) DF MSCYDF3 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1

Sugar SB MSCYSB3 V0 V0 H1 H1 K1 K1 N1 N1 N1 V1 V1 V1

White Sugar QW MSCYQW3 V0 V0 Z0 Z0 H1 H1 K1 K1 Q1 Q1 V1 V1

Cocoa CC MSCYCC3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1

Orange Juice JO MSCYJO3 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1

Milk DA MSCYDA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Lean Hogs LH MSCYLH3 N0 Q0 Q0 V0 V0 Z0 G1 J1 J1 M1 M1 N1

Live Cattle LC MSCYLC3 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1

Feeder Cattle FC MSCYFC3 Q0 Q0 U0 V0 X0 X0 X0 F1 H1 J1 K1 K1








Gold GC MSCYGC4 Z0 G1 G1 J1 J1 M1 M1 Q1 Q1 Q1 Q1 Z1

Silver SI MSCYSI4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Platinum PL MSCYPL4 J1 J1 J1 N1 N1 N1 V1 V1 V1 F2 F2 F2

Palladium PA MSCYPA4 H1 H1 M1 M1 M1 U1 U1 U1 Z1 Z1 Z1 H2

Aluminium LA MSCYLA4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Copper LP MSCYLP4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Copper (HG) HG MSCYHG4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Nickel LN MSCYLN4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Lead LL MSCYLL4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Zinc LX MSCYLX4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Tin LT MSCYLT4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Crude Oil CL MSCYCL4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Brent Oil CO MSCYCO4 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1

Heating Oil HO MSCYHO4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Gasoil QS MSCYQS4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

RBOB XB MSCYXB4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Ethanol DL MSCYDL4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Coal MF MSCYXA4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Natural Gas NG MSCYNG4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Corn CN MSCYCN4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Wheat WH MSCYWH4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Kansas Wheat KW MSCYKW4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Minneapolis Wheat MW MSCYMW4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Soybeans SY MSCYSY4 F1 F1 H1 H1 K1 K1 N1 N1 N1 N1 X1 X1

Soybean Oil BO MSCYBO4 F1 F1 H1 H1 K1 K1 N1 N1 N1 N1 Z1 Z1

Soybean Meal SM MSCYSM4 F1 F1 H1 H1 K1 K1 N1 N1 N1 N1 Z1 Z1

Cotton CT MSCYCT4 H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 Z1 H2

Coffee (Arabica) KC MSCYKC4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Coffee (Robusta) DF MSCYDF4 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1 U1 U1

Sugar SB MSCYSB4 H1 H1 K1 K1 N1 N1 V1 V1 V1 H2 H2 H2

White Sugar QW MSCYQW4 Z0 Z0 H1 H1 K1 K1 Q1 Q1 V1 V1 Z1 Z1

Cocoa CC MSCYCC4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1

Orange Juice JO MSCYJO4 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1 U1 U1

Milk DA MSCYDA4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Lean Hogs LH MSCYLH4 Q0 V0 V0 Z0 Z0 G1 J1 M1 M1 N1 N1 Q1

Live Cattle LC MSCYLC4 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1 Q1 V1

Feeder Cattle FC MSCYFC4 U0 U0 V0 X0 F1 F1 F1 H1 J1 K1 Q1 Q1



Exhibit C6 – MSCY Single Indices RY

MSCY Single Indices RY

Selected Futures Contract held before the Roll Period, the MSCY Single Index RY Roll Schedule


MSCY Single Indices RY (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Gold GC MSCYGCY G1 J1 J1 M1 M1 Q1 Q1 Z1 Z1 Z1 Z1 G2

Silver SI MSCYSIY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Platinum PL MSCYPLY J1 J1 J1 N1 N1 N1 V1 V1 V1 F2 F2 F2

Palladium PA MSCYPAY H1 H1 M1 M1 M1 U1 U1 U1 Z1 Z1 Z1 H2

Aluminium LA MSCYLAY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Copper LP MSCYLPY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Copper (HG) HG MSCYHGY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Nickel LN MSCYLNY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Lead LL MSCYLLY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Zinc LX MSCYLXY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Tin LT MSCYLTY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Crude Oil CL MSCYCLY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Brent Oil CO MSCYCOY H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2

Heating Oil HO MSCYHOY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Gasoil QS MSCYQSY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

RBOB XB MSCYXBY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Ethanol DL MSCYDLY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Coal MF MSCYXAY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Natural Gas NG MSCYNGY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Corn CN MSCYCNY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Wheat WH MSCYWHY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Kansas Wheat KW MSCYKWY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Minneapolis Wheat MW MSCYMWY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Soybeans SY MSCYSYY H1 H1 K1 K1 N1 N1 X1 X1 X1 X1 F2 F2

Soybean Oil BO MSCYBOY H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 F2 F2

Soybean Meal SM MSCYSMY H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 F2 F2

Cotton CT MSCYCTY H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 Z1 H2

Coffee (Arabica) KC MSCYKCY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Coffee (Robusta) DF MSCYDFY H1 H1 K1 K1 N1 N1 U1 U1 X1 X1 F2 F2

Sugar SB MSCYSBY H1 H1 K1 K1 N1 N1 V1 V1 V1 H2 H2 H2

White Sugar QW MSCYQWY H1 H1 K1 K1 Q1 Q1 V1 V1 Z1 Z1 H2 H2

Cocoa CC MSCYCCY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2

Orange Juice JO MSCYJOY H1 H1 K1 K1 N1 N1 U1 U1 X1 X1 F2 F2

Milk DA MSCYDAY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2

Lean Hogs LH MSCYLHY G1 J1 J1 M1 M1 N1 Q1 V1 V1 Z1 Z1 G2

Live Cattle LC MSCYLCY G1 J1 J1 M1 M1 Q1 Q1 V1 V1 Z1 Z1 G2

Feeder Cattle FC MSCYFCY H1 H1 J1 K1 Q1 Q1 Q1 U1 V1 X1 F2 F2



Exhibit D1 – MSCY Single Indices RD MSCY Single Index RD Roll Period is from and including the 1st MSCY Business Day to and including the

4th MSCY Business Day of each calendar month.

MSCY Single Index RD Roll Weight is 25% for each MSCY Business Day during the MSCY Single Index RD

Roll Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events

and Disruption Event Fallback Procedures”).

MSCY Single Indices RD Selected Futures Contract held after the Roll Period, the MSCY Single Index RD Roll Schedule

Eligible Commodity

Commodity Code

MSCY Single Indices RD (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Gold GC MSCYGCD As specified under Methodology 1

Silver SI MSCYSID As specified under Methodology 1

Platinum PL MSCYPLD As specified under Methodology 1

Aluminium LA MSCYLAD As specified under Methodology 1

Copper LP MSCYLPD As specified under Methodology 1

Copper (HG) HG MSCYHGD As specified under Methodology 1

Nickel LN MSCYLND As specified under Methodology 1

Lead LL MSCYLLD As specified under Methodology 1

Zinc LX MSCYLXD As specified under Methodology 1

Crude Oil CL MSCYCLD As specified under Methodology 1

Brent Oil CO MSCYCOD As specified under Methodology 1

Heating Oil HO MSCYHOD As specified under Methodology 1

Gasoil QS MSCYQSD As specified under Methodology 1

RBOB XB MSCYXBD As specified under Methodology 1

Natural Gas NG MSCYNGD As specified under Methodology 1

Corn CN MSCYCND As specified under Methodology 2

Wheat WH MSCYWHD As specified under Methodology 2

Kansas Wheat KW MSCYKWD As specified under Methodology 2

Soybeans SY MSCYSYD As specified under Methodology 2

Soybean Oil BO MSCYBOD As specified under Methodology 1

Soybean Meal SM MSCYSMD As specified under Methodology 1

Cotton CT MSCYCTD As specified under Methodology 1

Coffee (Arabica) KC MSCYKCD As specified under Methodology 1

Sugar SB MSCYSBD As specified under Methodology 1

Cocoa CC MSCYCCD As specified under Methodology 1

Lean Hogs LH MSCYLHD As specified under Methodology 1

Live Cattle LC MSCYLCD As specified under Methodology 1

Feeder Cattle FC MSCYFCD As specified under Methodology 1

Methodology 1:

The following methodology is applied for selecting the Next Futures Contract each month for

those Eligible Commodities other than Corn, Wheat, Kansas Wheat and Soybeans:

On the 3rd to last MSCY Business Day of each month, the shape of the forward curve is measured out to 1 year.



The implied roll yield is calculated for all subsequent Selected Futures Contracts, pursuant to the formula below:

𝐼𝑅𝑌𝑓 = (𝑃𝑓−1

𝑃𝑓− 1) ×

12

𝑀𝑜𝑛𝑡ℎ𝑠(𝑓 − 1, 𝑓)

where:

“f” is the relevant Selected Futures Contract

𝐼𝑅𝑌𝑓 is implied roll yield of Selected Futures Contract "𝑓"

𝑃𝑓 is the price of Selected Futures Contract "𝑓"

𝑀𝑜𝑛𝑡ℎ𝑠(𝑓 − 1, 𝑓) is the number of months between Selected Futures Contracts "𝑓 − 1" and "𝑓"

𝑓 − 1 is the Selected Futures Contract preceding the Selected Futures Contract "𝑓"

The Next Futures Contract is the Selected Futures Contract with the highest implied roll yield.

Methodology 2:

The following methodology is applied for selecting the Next Futures Contract each month for the

Eligible Commodities Corn, Wheat, Kansas Wheat and Soybeans:

The subsequent Selected Futures Contracts N and U for Corn, Wheat and Kansas Wheat and N and X for Soybeans are excluded from the implied roll yield calculation.

The Next Futures Contract is the Selected Futures Contract that has the highest implied roll yield using the implied roll yield calculation of Methodology 1 on the remaining subsequent Selected Futures Contracts.



Exhibit E1 – MSCY Single Indices R0P MSCY Single Index R0P Roll Period is from and including the 1st MSCY Business Day to and including the

4th MSCY Business Day of each calendar month.

MSCY Single Index R0P Roll Weight is 25% for each MSCY Business Day during the MSCY Single Index R0P

Roll Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events

and Disruption Event Fallback Procedures”).

MSCY Single Indices R0P


Eligible Commodity

Commodity Code

MSCY Single Indices R0P (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Gold GC MSCYGCP G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1

Silver SI MSCYSIP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Platinum PL MSCYPLP J0 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1

Palladium PA MSCYPAP H0 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1

Aluminium LA MSCYLAP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Copper LP MSCYLPP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Copper (HG) HG MSCYHGP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Nickel LN MSCYLNP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Lead LL MSCYLLP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Zinc LX MSCYLXP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Tin LT MSCYLTP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Crude Oil CL MSCYCLP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Brent Oil CO MSCYCOP H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Heating Oil HO MSCYHOP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Gasoil QS MSCYQSP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

RBOB XB MSCYXBP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Ethanol DL MSCYDLP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Coal MF MSCYXAP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Natural Gas NG MSCYNGP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Corn CN MSCYCNP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Wheat WH MSCYWHP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Kansas Wheat KW MSCYKWP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 Minneapolis Wheat MW MSCYMWP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Soybeans SY MSCYSYP H0 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1

Soybean Oil BO MSCYBOP H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1

Soybean Meal SM MSCYSMP H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1

Cotton CT MSCYCTP H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1

Coffee (Arabica) KC MSCYKCP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Coffee (Robusta) DF MSCYDFP H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Sugar SB MSCYSBP H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1

White Sugar QW MSCYQWP H0 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1

Cocoa CC MSCYCCP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Orange Juice JO MSCYJOP H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Milk DA MSCYDAP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Lean Hogs LH MSCYLHP G0 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1

Live Cattle LC MSCYLCP G0 J0 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1

Feeder Cattle FC MSCYFCP H0 H0 J0 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1



Exhibit F1 – MSCY1 Single Indices D1

MSCY1 Single Indices D1

Selected Futures Contract held before the Roll Period, the MSCY1

Single Index D1 Roll Schedule

Eligible Commodity

Commodity

Code


(Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Gold GC MSCY1GC1 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1 G1

Silver SI MSCY1SI1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Platinum PL MSCY1PL1 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1 J1

Palladium PA MSCY1PA1 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1 H1

Aluminium LA MSCY1LA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Copper LP MSCY1LP1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Copper (HG) HG MSCY1HG1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Nickel LN MSCY1LN1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Lead LL MSCY1LL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Zinc LX MSCY1LX1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Tin LT MSCY1LT1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Crude Oil CL MSCY1CL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Brent Oil CO MSCY1CO1 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1

Heating Oil HO MSCY1HO1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Gasoil QS MSCY1QS1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

RBOB XB MSCY1XB1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Ethanol DL MSCY1DL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Coal MF MSCY1MF1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Natural Gas NG MSCY1NG1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Corn CN MSCY1CN1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Wheat WH MSCY1WH1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Kansas Wheat KW MSCY1KW1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Minneapolis Wheat MW MSCY1MW1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Soybeans SY MSCY1SY1 H0 K0 K0 U0 U0 X0 X0 Z0 Z0 Z0 H1 H1

Soybean Oil BO MSCY1BO1 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1 H1

Soybean Meal SM MSCY1SM1 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1

Cotton CT MSCY1CT1 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1

Coffee (Arabica) KC MSCY1KC1 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1 H1

Coffee (Robusta) DF MSCY1DF1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Sugar SB MSCY1SB1 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1

White Sugar QW MSCY1QW1 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1 H1

Cocoa CC MSCY1CC1 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1 H1

Orange Juice JO MSCY1JO1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Milk DA MSCY1DA1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1

Lean Hogs LH MSCY1LH1 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1

Live Cattle LC MSCY1LC1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Feeder Cattle FC MSCY1FC1 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1 G1





Selected Futures Contract held before the Roll Period, the MSCY1 Single Index D3 Roll Schedule


MSCY1 Single Indices D3 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Gold GC MSCY1GC3 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1 G1 J1 J1

Silver SI MSCY1SI3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Platinum PL MSCY1PL3 N0 N0 N0 V0 V0 V0 F1 F1 F1 J1 J1 J1

Palladium PA MSCY1PA3 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1

Aluminium LA MSCY1LA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Copper LP MSCY1LP3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Copper (HG) HG MSCY1HG3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Nickel LN MSCY1LN3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Lead LL MSCY1LL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Zinc LX MSCY1LX3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Tin LT MSCY1LT3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Crude Oil CL MSCY1CL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Brent Oil CO MSCY1CO3 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1

Heating Oil HO MSCY1HO3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Gasoil QS MSCY1QS3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

RBOB XB MSCY1XB3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Ethanol DL MSCY1DL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Coal MF MSCY1MF3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Natural Gas NG MSCY1NG3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Corn CN MSCY1CN3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Wheat WH MSCY1WH3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Kansas Wheat KW MSCY1KW3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Minneapolis Wheat MW MSCY1MW3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Soybeans SY MSCY1SY3 K0 N0 N0 X0 X0 X0 X0 F1 F1 H1 H1 K1

Soybean Oil BO MSCY1BO3 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1

Soybean Meal SM MSCY1SM3 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1

Cotton CT MSCY1CT3 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1 H1 H1 K1

Coffee (Arabica) KC MSCY1KC3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Coffee (Robusta) DF MSCY1DF3 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1

Sugar SB MSCY1SB3 K0 N0 N0 V0 V0 V0 H1 H1 H1 H1 H1 K1

White Sugar QW MSCY1QW3 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1 H1 H1 K1

Cocoa CC MSCY1CC3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1

Orange Juice JO MSCY1JO3 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1

Milk DA MSCY1DA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1

Lean Hogs LH MSCY1LH3 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1

Live Cattle LC MSCY1LC3 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1

Feeder Cattle FC MSCY1FC3 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1 H1 H1 J1





Selected Futures Contract held before the Roll Period, the MSCY1 Single

Index D6 Roll Schedule

Eligible Commodity

Commodity

Code



Gold GC MSCY1GC6 Q0 Z0 Z0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1

Silver SI MSCY1SI6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Platinum PL MSCY1PL6 V0 V0 V0 F1 F1 F1 J1 J1 J1 N1 N1 N1

Palladium PA MSCY1PA6 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1 M1 M1 U1

Aluminium LA MSCY1LA6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Copper LP MSCY1LP6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Copper (HG) HG MSCY1HG6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Nickel LN MSCY1LN6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Lead LL MSCY1LL6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Zinc LX MSCY1LX6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Tin LT MSCY1LT6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Crude Oil CL MSCY1CL6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Brent Oil CO MSCY1CO6 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1

Heating Oil HO MSCY1HO6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Gasoil QS MSCY1QS6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

RBOB XB MSCY1XB6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Ethanol DL MSCY1DL6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Coal MF MSCY1MF6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Natural Gas NG MSCY1NG6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Corn CN MSCY1CN6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Wheat WH MSCY1WH6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Kansas Wheat KW MSCY1KW6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Minneapolis Wheat MW MSCY1MW6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Soybeans SY MSCY1SY6 X0 X0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1

Soybean Oil BO MSCY1BO6 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1 K1 N1 N1

Soybean Meal SM MSCY1SM6 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1 K1 N1 N1

Cotton CT MSCY1CT6 Z0 Z0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Coffee (Arabica) KC MSCY1KC6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Coffee (Robusta) DF MSCY1DF6 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1

Sugar SB MSCY1SB6 V0 V0 V0 H1 H1 H1 H1 H1 K1 K1 N1 N1

White Sugar QW MSCY1QW6 V0 V0 Z0 Z0 H1 H1 H1 H1 K1 K1 Q1 Q1

Cocoa CC MSCY1CC6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1

Orange Juice JO MSCY1JO6 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1

Milk DA MSCY1DA6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1

Lean Hogs LH MSCY1LH6 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 N1

Live Cattle LC MSCY1LC6 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1

Feeder Cattle FC MSCY1FC6 Q0 U0 V0 X0 F1 F1 H1 H1 J1 K1 Q1 Q1



Exhibit G1 – MSCY2 Single Indices D0


Selected Futures Contract held before the Roll Period, the MSCY2

Single Index Roll Schedule

Eligible Commodity

Commodity

Code



Gold GC MSCY2GC0 G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1

Silver SI MSCY2SI0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Platinum PL MSCY2PL0 J0 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1

Palladium PA MSCY2PA0 H0 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1

Aluminium LA MSCY2LA0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Copper LP MSCY2LP0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Copper (HG) HG MSCY2HG0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Nickel LN MSCY2LN0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Lead LL MSCY2LL0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Zinc LX MSCY2LX0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Tin LT MSCY2LT0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Crude Oil CL MSCY2CL0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Brent Oil CO MSCY2CO0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1

Heating Oil HO MSCY2HO0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Gasoil QS MSCY2QS0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

RBOB XB MSCY2XB0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Ethanol DL MSCY2DL0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Coal MF MSCY2MF0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Natural Gas NG MSCY2NG0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Corn CN MSCY2CN0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Wheat WH MSCY2WH0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Kansas Wheat KW MSCY2KW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Minneapolis Wheat MW MSCY2MW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Soybeans SY MSCY2SY0 H0 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1

Soybean Oil BO MSCY2BO0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1

Soybean Meal SM MSCY2SM0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1

Cotton CT MSCY2CT0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1

Coffee (Arabica) KC MSCY2KC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Coffee (Robusta) DF MSCY2DF0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Sugar SB MSCY2SB0 H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1

White Sugar QW MSCY2QW0 H0 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1

Cocoa CC MSCY2CC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Orange Juice JO MSCY2JO0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1

Milk DA MSCY2DA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Lean Hogs LH MSCY2LH0 G0 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1

Live Cattle LC MSCY2LC0 G0 J0 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1

Feeder Cattle FC MSCY2FC0 H0 H0 J0 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1



Exhibit H1 – MSCY3 Single Indices

MSCY3 Single Indices

Selected Futures Contract held before the Roll Period, the

MSCY3 Single Index Roll Schedule

Eligible Commodity

Roll Period (MSCY

Business Day of the

Month)

Roll

Weight

MSCY3 Single Indices


Aluminium from 1st to 4th 25% MSCY3A0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Copper from 1st to 4th 25% MSCY3P0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Nickel from 1st to 4th 25% MSCY3N0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Zinc from 1st to 4th 25% MSCY3X0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Crude Oil from 1st to 4th 25% MSCY3W0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Brent Oil from 1st to 4th 25% MSCY3B0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Gasoil from 1st to 4th 25% MSCY3Q0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Heating Oil from 1st to 4th 25% MSCY3H0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

RBOB from 1st to 4th 25% MSCY3R0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1

Natural Gas from 1st to 4th 25% MSCY3G0 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1

Aluminium from 1st to 4th 25% MSCY3A1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Copper from 1st to 4th 25% MSCY3P1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Nickel from 1st to 4th 25% MSCY3N1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Zinc from 1st to 4th 25% MSCY3X1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Crude Oil from 1st to 4th 25% MSCY3W1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Brent Oil from 1st to 4th 25% MSCY3B1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Gasoil from 1st to 4th 25% MSCY3Q1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Heating Oil from 1st to 4th 25% MSCY3H1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

RBOB from 1st to 4th 25% MSCY3R1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Natural Gas from 1st to 4th 25% MSCY3G1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1

Corn from 1st to 4th 25% MSCY3C1 Z0 Z0 Z0 Z0 Z0 N1 N1 N1 N1 N1 N1 Z1

Soybeans from 1st to 4th 25% MSCY3S1 X0 X0 X0 X0 X0 N1 N1 N1 N1 N1 N1 X1

Aluminium from 1st to 4th 25% MSCY3A2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Copper from 1st to 4th 25% MSCY3P2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Nickel from 1st to 4th 25% MSCY3N2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Zinc from 1st to 4th 25% MSCY3X2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Crude Oil from 1st to 4th 25% MSCY3W2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Brent Oil from 1st to 4th 25% MSCY3B2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Gasoil from 1st to 4th 25% MSCY3Q2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Heating Oil from 1st to 4th 25% MSCY3H2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

RBOB from 1st to 4th 25% MSCY3R2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Natural Gas from 1st to 4th 25% MSCY3G2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2

Corn from 1st to 4th 25% MSCY3C2 Z1 Z1 Z1 Z1 Z1 N2 N2 N2 N2 N2 N2 Z2

Soybeans from 1st to 4th 25% MSCY3S2 X1 X1 X1 X1 X1 N2 N2 N2 N2 N2 N2 X2



Exhibit I1 – MSCY4 Single Indices MSCY4 Single Index Roll Period is a pre-determined MSCY Business Day as per table below.

MSCY4 Single Index Roll Weight is 100% for each MSCY Business Day during the MSCY4 Single Index Roll

Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events and

Disruption Event Fallback Procedures”).

MSCY4 Single Indices Roll Period


1st MSCY Business Day of month (Bloomberg Ticker)

9th MSCY Business Day of month (Bloomberg Ticker)

Gold GC MSCY4GC1 MSCY4GC9

Silver SI MSCY4SI1 MSCY4SI9

Platinum PL MSCY4PL1 MSCY4PL9

Palladium PA MSCY4PA1 MSCY4PA9

Aluminium LA MSCY4LA1 MSCY4LA9

Copper LP MSCY4LP1 MSCY4LP9

Copper (HG) HG MSCY4HG1 MSCY4HG9

Nickel LN MSCY4LN1 MSCY4LN9

Lead LL MSCY4LL1 MSCY4LL9

Zinc LX MSCY4LX1 MSCY4LX9

Tin LT MSCY4LT1 MSCY4LT9

Crude Oil CL MSCY4CL1 MSCY4CL9

Brent Oil CO MSCY4CO1 MSCY4CO9

Heating Oil HO MSCY4HO1 MSCY4HO9

Gasoil QS MSCY4QS1 MSCY4QS9

RBOB XB MSCY4XB1 MSCY4XB9

Ethanol DL MSCY4DL1 MSCY4DL9

Coal MF MSCY4MF1 MSCY4MF9

Natural Gas NG MSCY4NG1 MSCY4NG9

Corn CN MSCY4CN1 MSCY4CN9

Wheat WH MSCY4WH1 MSCY4WH9

Kansas Wheat KW MSCY4KW1 MSCY4KW9

Minneapolis Wheat MW MSCY4MW1 MSCY4MW9

Soybeans SY MSCY4SY1 MSCY4SY9

Soybean Oil BO MSCY4BO1 MSCY4BO9

Soybean Meal SM MSCY4SM1 MSCY4SM9

Cotton CT MSCY4CT1 MSCY4CT9

Coffee (Arabica) KC MSCY4KC1 MSCY4KC9

Coffee (Robusta) DF MSCY4DF1 MSCY4DF9

Sugar SB MSCY4SB1 MSCY4SB9

White Sugar QW MSCY4QW1 MSCY4QW9

Cocoa CC MSCY4CC1 MSCY4CC9

Orange Juice JO MSCY4JO1 MSCY4JO9

Milk DA MSCY4DA1 MSCY4DA9

Lean Hogs LH MSCY4LH1 MSCY4LH9

Live Cattle LC MSCY4LC1 MSCY4LC9

Feeder Cattle FC MSCY4FC1 MSCY4FC9



Exhibit J1 – MSCY5 Single Indices MSCY5 Single Index Roll Period is a pre-determined MSCY Business Day as per table below.

MSCY5 Single Index Roll Weight is 100% for each MSCY Business Day during the MSCY5 Single Index Roll

Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events and

Disruption Event Fallback Procedures”).

MSCY5 Single Indices Roll Period


1st MSCY Business Day of month (Bloomberg Ticker)

9th MSCY Business Day of month (Bloomberg Ticker)

Gold GC MSCY5GC1 MSCY5GC9

Silver SI MSCY5SI1 MSCY5SI9

Platinum PL MSCY5PL1 MSCY5PL9

Palladium PA MSCY5PA1 MSCY5PA9

Aluminium LA MSCY5LA1 MSCY5LA9

Copper LP MSCY5LP1 MSCY5LP9

Copper (HG) HG MSCY5HG1 MSCY5HG9

Nickel LN MSCY5LN1 MSCY5LN9

Lead LL MSCY5LL1 MSCY5LL9

Zinc LX MSCY5LX1 MSCY5LX9

Tin LT MSCY5LT1 MSCY5LT9

Crude Oil CL MSCY5CL1 MSCY5CL9

Brent Oil CO MSCY5CO1 MSCY5CO9

Heating Oil HO MSCY5HO1 MSCY5HO9

Gasoil QS MSCY5QS1 MSCY5QS9

RBOB XB MSCY5XB1 MSCY5XB9

Ethanol DL MSCY5DL1 MSCY5DL9

Coal MF MSCY5MF1 MSCY5MF9

Natural Gas NG MSCY5NG1 MSCY5NG9

Corn CN MSCY5CN1 MSCY5CN9

Wheat WH MSCY5WH1 MSCY5WH9

Kansas Wheat KW MSCY5KW1 MSCY5KW9

Minneapolis Wheat MW MSCY5MW1 MSCY5MW9

Soybeans SY MSCY5SY1 MSCY5SY9

Soybean Oil BO MSCY5BO1 MSCY5BO9

Soybean Meal SM MSCY5SM1 MSCY5SM9

Cotton CT MSCY5CT1 MSCY5CT9

Coffee (Arabica) KC MSCY5KC1 MSCY5KC9

Coffee (Robusta) DF MSCY5DF1 MSCY5DF9

Sugar SB MSCY5SB1 MSCY5SB9

White Sugar QW MSCY5QW1 MSCY5QW9

Cocoa CC MSCY5CC1 MSCY5CC9

Orange Juice JO MSCY5JO1 MSCY5JO9

Milk DA MSCY5DA1 MSCY5DA9

Lean Hogs LH MSCY5LH1 MSCY5LH9

Live Cattle LC MSCY5LC1 MSCY5LC9

Feeder Cattle FC MSCY5FC1 MSCY5FC9



Exhibit K1 – MSCY Custom Single Indices MSCY Custom

Single Indices

Selected Futures Contract held before the Roll Period, the MSCY

Single Index Custom Roll Schedule

Eligible

Commodity

Roll Period (MSCY

Business Day of the

Month)

Roll

Weight

MSCY Custom Single

Indices (Bloomberg

Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec

Crude Oil From 1st to 5th 20.00% MSCY1CLQ H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

RBOB From 1st to 15th 1/15 MSCY1XBX H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Crude Oil From 2nd to 6th 20.00% MSBXPCL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Crude Oil From 2nd to 3rd 100.00% MSBXPCL1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1

Crude Oil From 2nd to 3rd 100.00% MSBXPCL2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Brent Oil From 2nd to 6th 20.00% MSBXPCO0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1

Brent Oil From 2nd to 3rd 100.00% MSBXPCO1 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1 M1

Brent Oil From 2nd to 3rd 100.00% MSBXPCO2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1

RBOB From 2nd to 6th 20.00% MSBXPXB0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

RBOB From 2nd to 3rd 100.00% MSBXPXB1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1

RBOB From 2nd to 3rd 100.00% MSBXPXB2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Heating Oil From 2nd to 6th 20.00% MSBXPHO0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Heating Oil From 2nd to 3rd 100.00% MSBXPHO1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1

Heating Oil From 2nd to 3rd 100.00% MSBXPHO2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Natural Gas From 2nd to 6th 20.00% MSBXPNG0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Natural Gas From 2nd to 3rd 100.00% MSBXPNG1 N0 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1

Natural Gas From 2nd to 3rd 100.00% MSBXPNG2 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F2

Corn From 2nd to 6th 20.00% MSBXPCN0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Corn From 2nd to 3rd 100.00% MSBXPCN1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1

Corn From 2nd to 3rd 100.00% MSBXPCN0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1

Wheat From 2nd to 6th 20.00% MSBXPWH0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Wheat From 2nd to 3rd 100.00% MSBXPWH1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1

Wheat From 2nd to 3rd 100.00% MSBXPWH2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1

Soybeans From 2nd to 6th 20.00% MSBXPSY0 H0 H0 K0 K0 N0 U0 X0 X0 X0 X0 F1 F1

Soybeans From 2nd to 3rd 100.00% MSBXPSY1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1

Soybeans From 2nd to 3rd 100.00% MSBXPSY2 X0 X0 X0 X0 X0 X0 X1 X1 X1 X1 X1 X1

Sugar From 2nd to 6th 20.00% MSBXPSB0 H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1

Sugar From 2nd to 3rd 100.00% MSBXPSB1 V0 V0 V0 V0 V0 V0 V1 V1 V1 V1 V1 V1

Sugar From 2nd to 3rd 100.00% MSBXPSB2 H1 H1 H1 H1 H1 H1 H1 H1 H1 H2 H2 H2

Aluminium From 2nd to 6th 20.00% MSBXPLA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Aluminium From 2nd to 3rd 100.00% MSBXPLA1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1

Aluminium From 2nd to 3rd 100.00% MSBXPLA2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Copper From 2nd to 6th 20.00% MSBXPLP0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Copper From 2nd to 3rd 100.00% MSBXPLP1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1

Copper From 2nd to 3rd 100.00% MSBXPLP2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Zinc From 2nd to 6th 20.00% MSBXPLX0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1

Zinc From 2nd to 3rd 100.00% MSBXPLX1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1

Zinc From 2nd to 3rd 100.00% MSBXPLX2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1

Gold From 2nd to 6th 20.00% MSBXPGC0 G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1

Gold From 2nd to 3rd 100.00% MSBXPGC1 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1 M1

Gold From 2nd to 3rd 100.00% MSBXPGC2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1 Z1

Silver From 2nd to 6th 20.00% MSBXPSI0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1

Silver From 2nd to 3rd 100.00% MSBXPSI1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1

Silver From 2nd to 3rd 100.00% MSBXPSI2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1

Documents

Morgan Stanley Single Commodity Indices (MSCY) Index ... · PROPRIETARY & CONFIDENTIAL ... Morgan Stanley Single Commodity Indices (MSCY) Index Methodology ... part of the ME Group