RISK FACTORS
The ETNs are unsecured promises of Barclays Bank PLC and are not secured debt. The ETNs are riskier than ordinary unsecured debt securities. The return
on the ETNs is linked to the performance of the Index. Investing in the ETNs is not equivalent to investing directly in Index Components or the Index itself. See The Index below for more information.
This section describes the most significant risks relating to an investment in the ETNs.
We urge you to read the following information about these
risks, together with the other information in this pricing supplement and the accompanying prospectus and prospectus supplement, before investing in the ETNs.
Even If the Value of the Index at Maturity or upon Early Redemption Exceeds the Initial Level, You May Receive Less Than the Principal Amount of Your ETNs
Because the investor fee and the futures execution cost reduces the amount of your return at maturity or upon early redemption, the value of the Index
must increase significantly in order for you to receive at least the principal amount of your investment at maturity or upon early redemption of your ETNs. Because the investor fee is calculated and subtracted from the closing indicative value on a
daily basis, the net effect of the fee accumulates over time and is subtracted at the rate of 0.75% per year. Similarly, the futures execution cost is subtracted from the applicable closing indicative value on a daily basis on each calendar
day, and the net effect of the futures execution cost accumulates over time and is subtracted at the rate of 0.10% per year. Therefore, if the value of the Index decreases or does not increase sufficiently to offset the investor fee and the
futures execution cost, you will receive less than the principal amount of your investment at maturity or upon early redemption of your ETNs.
You Will Not Benefit from Any Increase in the Value of the Index If Such Increase Is Not Reflected in the Value of the Index on the Applicable
Valuation Date
If the Index does not increase by an amount sufficient to offset the investor fee and the futures execution cost between
the inception date and the applicable valuation date (including the final valuation date), we will pay you less than the principal amount of your ETNs at maturity or upon early redemption. This will be true even if the value of the Index as of some
date or dates prior to the applicable valuation date would have been sufficiently high to offset the investor fee and futures execution cost.
The Barclays Pure Beta Series 2 Methodology May Produce Returns that Underperform the Reference Index
The Index is a proprietary index designed to reflect the total returns available through the application of the Barclays Pure Beta Series 2 Methodology
to exchange-traded futures contracts for a basket of physical commodities corresponding to the commodities included in the Reference Index. Although the Barclays Pure Beta Series 2 Methodology seeks to mitigate distortions in the commodities markets
associated with investment flows and supply distortions, there can be no guarantee that the Barclays Pure Beta Series 2 Methodology will succeed in these objectives. If the Barclays Pure Beta Series 2 Methodology does not succeed in these
objectives, then an investment in the ETNs may underperform compared to a corresponding investment in instruments linked to the Reference Index, possibly by a substantial margin.
The Barclays Pure Beta Series 2 Methodology May Result in Allocation to Index Components that Increase Negative Roll Yields
Unlike traditional commodity indices, which roll into futures contracts that are nearest to expiration (and that meet the relevant indexs rolling criteria), the futures contracts underlying the
Index may be rolled into futures contracts with more distant expiration dates, as selected by the Barclays Pure Beta Series 2 Methodology. The Barclays Pure Beta Series 2 Methodology may result in the selection of a longer-dated futures contract
that results in negative roll yield when that futures contract is rolled, even if positive roll yield or less negative roll yield would have resulted by investing in and rolling into futures contracts with a nearer expiration. If this were to occur,
your investment in the ETNs may underperform compared to a corresponding investment in instruments linked to traditional commodity indices or linked to the Reference Index.
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The Intra-month Daily Weightings of the Commodities Underlying the Index may Diverge Substantially from
the Daily Weightings of The Commodities Underlying the Reference Index
As described in the section entitled The
IndexRebalancing of the Index Commodities in the Index, the relative weightings of each of the Index Commodities underlying the Index are adjusted during the monthly Roll Period to approximate closely the relative weightings of the
corresponding Index Commodities in the Reference Index. As the target weights for the Index Commodities in the Index for purposes of this rebalancing are determined immediately preceding each Roll Period and are based on estimates of the expected
weights of the Index Commodities of the Reference Index immediately subsequent to the Roll Period, the actual weights of the Index Commodities underlying the Index and the Reference Index will in most cases differ immediately following the Roll
Period, although such differences are not expected to be material. Additionally, as the Index and the Reference Index may be linked to futures contracts with different delivery months, the intra-month relative weightings of the Index Commodities
underlying the Index and the Reference Index may differ, perhaps substantially, as a result of the relative price performance of the relevant futures contracts. A significant divergence in weightings between the Index and the Reference Index may
adversely impact the level of the Index, or its level relative to that of the Reference Index, and the value of the ETNs.
There Are
Restrictions on the Minimum Number of ETNs You May Redeem and on the Dates on Which You May Redeem Them
You must redeem at least 50,000
ETNs at one time in order to exercise your right to redeem your ETNs on any redemption date. You may only redeem your ETNs on a redemption date if we receive a notice of holder redemption from you by no later than 4:00 p.m., New York City time, and
a confirmation of holder redemption by no later than 5:00 p.m., New York City time, on the business day prior to the applicable valuation date. If we do not receive your notice of holder redemption by 4:00 p.m., New York City time, or your
confirmation of holder redemption by 5:00 p.m., New York City time, on the business day prior to the applicable valuation date, your notice will not be effective and we will not redeem your ETNs on the applicable redemption date. Your notice of
holder redemption and confirmation of holder redemption will not be effective until we confirm receipt. See Specific Terms of the ETNsRedemption Procedures for more information.
We May Redeem the ETNs at Any Time on or after the Inception Date
We have the right to redeem or call the ETNs (in whole but not in part) at our sole discretion without your consent on any trading day on or after the inception date until and including
maturity. If we elect to redeem the ETNs, we will deliver written notice of such election to redeem to the holders of the ETNs not less than ten calendar days prior to the redemption date specified by us in such notice. In this scenario, the ETNs
will be redeemed on the date specified by us in the issuer redemption notice, but in no event prior to the tenth calendar day following the date on which we deliver such notice.
If we exercise our right to redeem the ETNs, the payment you receive may be less than the payment that you would have otherwise been entitled to receive at maturity, and you may not be able to reinvest
any amounts received on the redemption date in a comparable investment. Our right to redeem the ETNs may also adversely impact your ability to sell your ETNs, and/or the price at which you may be able to sell your ETNs, following delivery of the
issuer redemption notice.
The Market Value of the ETNs May Be Influenced by Many Unpredictable Factors, Including Volatile Commodities
Prices
The market value of your ETNs may fluctuate between the date you purchase them and the applicable valuation date. You may also
sustain a significant loss if you sell the ETNs in the secondary market. Several factors, many of which are beyond our control, will influence the market value of the ETNs. We expect that generally the value of the Index Components and the Index
will affect the market value of the ETNs more than any other factor. Other factors that may influence the market value of the ETNs include:
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prevailing prices for the commodities underlying the Index Components;
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the time remaining to the maturity of the ETNs;
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supply and demand for the ETNs, including inventory positions with Barclays Capital Inc. or any market maker;
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economic, financial, political, regulatory, geographical, biological, or judicial events that affect the level of the Index or the market price of the
Index Components;
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the general interest rate environment; or
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the creditworthiness of Barclays Bank PLC.
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These factors interrelate in complex ways, and the effect of one factor on the market value of your ETNs may offset or enhance the effect of another factor.
Suspension or Disruption of Market Trading in Commodities and Related Futures or Forwards May Adversely Affect the Value of Your ETNs
The markets trading futures and forward contracts on commodities, including the Index Components, are subject to temporary distortions or other
disruptions due to various factors, including the lack of liquidity in the markets, the participation of speculators and government regulation and intervention. In addition, U.S. futures exchanges and some foreign exchanges have regulations that
limit the amount of fluctuation in some futures contract prices that 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 price beyond the limit, or trading may be limited for a set period of time.
Limit prices have the effect of precluding trading in a particular contract or forcing the liquidation of contracts at potentially disadvantageous times or prices. These circumstances could adversely affect the value of the Index and, therefore, the
value of your ETNs.
Future Prices of the Index Components That Are Different Relative to Their Current Prices May Result in a Reduced
Amount Payable at Maturity or Upon Early Redemption
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 comprise 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. As time passes, the
contract expiring in October may be replaced by a contract for delivery in November. This process is referred to as rolling. If the market for these contracts is (putting aside other considerations) in backwardation, which
means that the prices are lower in the distant delivery months than in the nearer delivery months, the sale of the October contract would take place at a price that is higher than the price of the November contract, thereby creating a roll
yield. The actual realization of a potential roll yield will be dependent upon the level of the related spot price relative to the unwind price of the commodity futures contract at the time of sale of the contract. While many of the contracts
included in the Index have historically exhibited consistent periods of backwardation, backwardation will most likely not exist at all times. Moreover, certain of the commodities reflected in the Index have historically traded in
contango markets. Contango markets are those in which the prices of contracts are higher in the distant delivery months than in the nearer delivery months. The absence of backwardation in the commodity markets could result in negative
roll yields, which could adversely affect the value of the Index and, accordingly, decrease the payment you receive at maturity or upon early redemption.
Changes in Law or Regulation Relating to Commodities Futures Contracts May Adversely Affect the Market Value of the ETNs and the Amounts Payable on Your ETNs.
The commodities futures contracts that underlie certain securities are subject to legal and regulatory regimes that are in the process of changing in the
United States and, in some cases, in other countries. The Dodd-Frank Wall Street Reform and Consumer Protection Act, commonly known as the Dodd-Frank Act, provides for substantial changes in the regulation of the futures and
over-the-counter derivatives markets. Among other things, the Dodd-Frank Act is intended to limit speculation
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and increase transparency in the commodity derivative markets and regulate the over-the-counter derivatives markets. The legislation requires regulators, including the Commodity Futures Trading
Commission (the CFTC), to adopt rules on a variety of issues and many provisions of the legislation have not yet become effective, pending the effective dates of such rules and, in some cases, the adoption of additional rules. Therefore,
the Dodd-Frank regulatory scheme has not yet been fully implemented, although certain requirements, including registration and reporting requirements, as well as centralized clearing requirements for certain products and market participants, are in
effect. However, the ultimate impact of the regulations on the markets and market participants cannot yet be determined.
Among other things,
the legislation requires that most over-the-counter transactions be executed on organized exchanges or facilities and be cleared through regulated clearing houses, and requires registration of, and imposes regulations on, swap dealers and major swap
participants. The legislation also requires the CFTC to adopt rules with respect to the establishment of limits on futures and swap positions that are not entered into or maintained for bona fide hedging purposes, as defined in the
legislation, and the CFTC had previously adopted such rules. The legislation also requires the CFTC to apply its position limits across the futures positions held by a market participant on any exchange or trading facility, together with its
positions in swaps that are economically equivalent to the specified exchange-traded futures that are subject to the position limits. The enactment of the Dodd-Frank Act, and the CFTCs adoption of rules on position limits, could
limit the extent to which entities can enter into transactions in exchange-traded futures contracts as well as related swaps and could make participation in the markets more burdensome and expensive. Any such limitations could restrict or prevent
our ability to hedge our obligations under the ETNs.
Industry trade groups filed a lawsuit against the CFTC challenging the rules adopted by
the CFTC on position limits. On September 28, 2012, the U.S. District Court for the District of Columbia granted a summary judgment motion in favor of the industry trade groups that vacated and remanded the position limit rules adopted by the
CFTC. However, the CFTC may contest this ruling. If the ruling is reversed, the proposed position limits may become effective in the future. In addition, if the ruling is not reversed, the CFTC will promulgate further rules, which may be
similar to the rules previously adopted. The rules ultimately adopted by the CFTC will likely limit transactions in the futures and over-the-counter derivative markets and could substantially reduce liquidity and increase market volatility in the
commodities futures contracts such as those underlying certain securities. This could in turn adversely affect the prices of such contracts and, in turn, the market value of the ETNs and the amounts payable on the ETNs. In addition, other parts of
the legislation, by increasing regulation of, and imposing additional costs on, swap transactions, could reduce trading in the swap market and therefore in the futures markets, which would further restrict liquidity, increase volatility and
adversely affect prices, which could in turn adversely affect asset prices.
Other regulatory organizations have proposed, and in the future
may propose, further reforms similar to those enacted by the Dodd-Frank Act or other legislation which could have an adverse impact on the liquidity and depth of the commodities, futures and derivatives markets. For example, the European Commission
recently published a proposal developed by the European Securities and Markets Authority (ESMA), which updates the Markets in Financial Instruments Directive, commonly known as MiFID II, and the Markets in Financial
Instruments Regulation, commonly known as MiFIR. The scope of the final regulations and the degree to which member states will be allowed discretion in implementing the directive is yet to be seen. If these regulations are adopted,
including, for example, regulations requiring position limits, they could substantially reduce liquidity and increase volatility in the commodities futures contracts such as those underlying certain securities, which could adversely affect the
prices of such contracts and, in turn, the market value of the ETNs and the amounts payable on the ETNs at maturity. The European Commission has also adopted the European Market Infrastructure Regulation (EMIR), which requires many OTC
derivatives to be centrally cleared and, together with technical standards published and to be published by ESMA, will establish margin and capital requirements for non-centrally cleared OTC derivatives. There exists potential for
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inconsistency between regulations issued by the CFTC and technical standards adopted under EMIR, which could lead to market fragmentation.
Concentration Risks Associated with the Index May Adversely Affect the Value of the ETNs
Because the ETNs are linked to the Index, which is comprised of futures contracts on physical commodities, they will be less diversified than other funds, investment portfolios or indices investing in or
tracking a broader range of products and, therefore, could experience greater volatility. You should be aware, in particular, that other commodities indices may be more diversified in terms of both the number of and variety of futures contracts on
commodities than the Index. Your investment may carry risks similar to a concentrated securities investment in a limited number of industries or sectors.
The Index May in the Future Include Contracts That Are Not Traded on Regulated Futures Exchanges
The Index is currently based solely on futures contracts traded on regulated futures exchanges (referred to in the United States as designated contract markets). However, the Index 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 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 of 1936, 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, 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.
Prices of the Index Components May
Change Unpredictably, Affecting the Value of the Index and the Value of Your ETNs 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 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. 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 of the relevant commodity. These factors may affect the value of the Index and therefore the value of your ETNs in varying ways, and
different factors may cause the prices of Index Components, and the volatilities of their prices, to move in inconsistent directions at inconsistent rates.
Supply of and Demand for Physical Commodities Tends to be Particularly Concentrated, So Prices Are Likely to Be Volatile
The prices of physical commodities, including the commodities underlying Index Components, can fluctuate widely due to supply and demand disruptions in major producing or consuming regions or industries.
Certain commodities are used primarily in one industry, and fluctuations in levels of activity in (or the availability of alternative
resources to) one industry may have a disproportionate effect on global demand for a particular commodity. Moreover, recent growth in industrial production and gross domestic product has made China and other developing nations oversized users of
commodities and has increased the extent to which certain commodities rely on the those markets. Political, economic and other developments that affect those countries may affect the value of the commodities underlying the Index Components and,
thus, the value of the ETNs.
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In addition, because certain of the commodities underlying Index Components may be produced in a limited
number of countries and may be controlled by a small number of producers, political, economic and supply-related events in such countries or with such produces could have a disproportionate impact on the prices of such commodities and therefore the
value of the ETNs.
Historical Values of the Index or Any Index Component Should Not Be Taken as an Indication of the Future Performance of
the Index During the Term of the ETNs
The actual performance of the Index or any Index Component over the term of the ETNs, as well as
the amount payable at maturity or upon early redemption, may bear little relation to the historical values of the Index or the Index Components, which have been highly volatile.
Changes in the Treasury Bill Rate of Interest May Affect the Value of the Index and the ETNs
Because the value of the Index is linked, in part, to the Treasury Bill rate of interest that could be earned on cash collateral invested in specified Treasury Bills, changes in the Treasury Bill rate of
interest may affect the amount payable on the ETNs at maturity or upon early redemption and, therefore, the market value of the ETNs. Assuming the trading prices of the Index Components to which the ETNs are linked remain constant, an increase in
the Treasury Bill rate of interest will increase the value of the Index and, therefore, the value of the ETNs. A decrease in the Treasury Bill rate of interest will adversely impact the value of the Index and, therefore, the value of the ETNs.
Changes in Our Credit Ratings May Affect the Market Value of Your ETNs
Our credit ratings are an assessment of our ability to pay our obligations, including those on the ETNs. Consequently, actual or anticipated changes in our credit ratings may affect the market value of
your ETNs. However, because the return on your ETNs is dependent upon certain factors in addition to our ability to pay our obligations on your ETNs, an improvement in our credit ratings will not reduce the other investment risks related to your
ETNs.
You Will Not Receive Interest Payments on the ETNs or Have Rights in the Index Components
You will not receive any periodic interest payments on the ETNs. As an owner of the ETNs, you will not have rights that investors in the Index Components
may have. Your ETNs will be paid in cash, and you will have no right to receive delivery of any Index Components or commodities underlying the Index Components.
There May Not Be an Active Trading Market in the ETNs; Sales in the Secondary Market May Result in Significant Losses
Although we have listed the ETNs on NYSE Arca, a trading market for the ETNs may not exist at any time. Even if there is a secondary market for the ETNs, it may not provide enough liquidity to trade or
sell your ETNs easily. In addition, although certain affiliates of Barclays Bank PLC may engage in limited purchase and resale transactions in the ETNs, they are not required to do so, and if they decide to engage in such transactions, they may stop
at any time. We are not required to maintain any listing of the ETNs on any securities exchange.
Trading and Other Transactions by
Barclays Bank PLC or Its Affiliates in Instruments Linked to the Index or Index Components May Impair the Market Value of the ETNs
As
described in the section entitled Use of Proceeds and Hedging in this pricing supplement, we or one or more of our affiliates may hedge our obligations under the ETNs by purchasing Index Components (including the underlying physical
commodities), futures or options on Index Components, the Reference Index or the Index, or other derivative instruments with returns linked to the performance of Index Components, the Reference Index or the Index, and we may adjust these hedges by,
among other things, purchasing or selling any of the foregoing. Although they are not expected to, any of these hedging activities may adversely affect the market price of Index Components and the value of the Index and, therefore, the market value
of the ETNs. It is possible that we or one or more of our affiliates could receive substantial returns from these hedging activities while the market value of the ETNs declines.
We or one or more of our affiliates may also engage in trading in Index Components, futures
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or options on Index Components, the physical commodities underlying the Index Components or the Index, and other investments relating to Index Components, the Reference Index or the Index on a
regular basis as part of our general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for customers. Any of these activities could adversely affect the market price of
the Index Components or the value of the Index and, therefore, the market value of the ETNs. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to
changes in the performance of any of the foregoing. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the market value of the ETNs. With respect to any of the activities
described above, neither Barclays Bank PLC nor its affiliates has any obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.
The Liquidity of the Market for the ETNs May Vary Materially Over Time
As stated on the
cover of this pricing supplement, we sold a portion of the ETNs on the inception date, and the remainder of the ETNs may be offered and sold from time to time through Barclays Capital Inc., our affiliate, as agent. Also, the number of ETNs
outstanding or held by persons other than our affiliates could be reduced at any time due to holder redemptions of the ETNs. Accordingly, the liquidity of the market for the ETNs could vary materially over the term of the ETNs. While you may elect
to redeem your ETNs prior to maturity, holder redemption is subject to the conditions and procedures described elsewhere in this pricing supplement, including the condition that you must redeem at least 50,000 ETNs at one time in order to exercise
your right to redeem your ETNs on any redemption date.
Our Business Activities May Create Conflicts of Interest
We and our affiliates expect to play a variety of roles in connection with the issuance of the ETNs. As noted above, we and our affiliates expect to
engage in trading activities related to the Index Components (including the underlying physical commodities), futures or options on Index Components, the Reference Index or the Index, or other derivative instruments with returns linked to the
performance of Index Components, the Reference Index or the Index that are not for the account of holders of the ETNs or on their behalf. These trading activities may present a conflict between the holders interest in the ETNs and the
interests that we and our affiliates will have in our and our affiliates proprietary accounts, in facilitating transactions, including options and other derivatives transactions, for our and our affiliates customers and in accounts under
our and our affiliates management. These trading activities, if they influence the value of the Index, could be adverse to the interests of the holders of the ETNs. Moreover, we and our affiliates have published and in the future expect to
publish research reports with respect to some or all of the commodities underlying the Index Components and commodities generally. This research is modified from time to time without notice and may express opinions or provide recommendations that
are inconsistent with purchasing or holding the ETNs. The research should not be viewed as a recommendation or endorsement of the ETNs in any way and investors must make their own independent investigation of the merits of this investment. Any of
these activities by us, Barclays Capital Inc. or our other affiliates may affect the market price of the Index Components and the value of the Index and, therefore, the market value of the ETNs. With respect to any of the activities described above,
neither Barclays Bank PLC nor its affiliates has any obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.
As Index Sponsor, Barclays Bank PLC Will Have the Authority to Make Determinations That Could Materially Affect the ETNs in Various Ways and Create Conflicts of Interest
Barclays Bank PLC is the index sponsor. The index sponsor is responsible for the composition, calculation and maintenance of the Index. As discussed in
Specific Terms of the ETNsDiscontinuance or Modification of the Index in this pricing supplement, the index sponsor has the discretion in a number of circumstances to make judgments and take actions in connection with the
composition, calculation and maintenance of the Index, and any such judgments or actions may adversely affect the value of the ETNs.
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The role played by the index sponsor, and the exercise of the kinds of discretion described above and in
Specific Terms of the ETNsDiscontinuance or Modification of the Index could present it with significant conflicts of interest in light of the fact that Barclays Bank PLC is the issuer of the ETNs. The index sponsor has no
obligation to take the needs of any buyer, seller or holder of the ETNs into consideration at any time.
The Policies of the Index Sponsor
and Changes That Affect the Composition and Valuation of the Index or the Index Components Could Affect the Amount Payable on the ETNs and Their Market Value
The policies of the index sponsor concerning the calculation of the level of the Index, additions, deletions or substitutions of Index Components and the manner in which changes affecting the Index
Components are reflected in the Index could affect the value of the Index and, therefore, the amount payable on the ETNs at maturity or upon early redemption and the market value of the ETNs prior to maturity.
The mechanisms included in the Index, the related Index Components and the weighting of the Index Components may be changed from time to time in
accordance with the Indexs methodology. In addition, the index sponsor, with the approval of the Index Committee, may modify the methodology for determining the composition and weighting of the Index in order to assure that the Index
represents an adequate measure of market performance or for other reasons, or for calculating the value of the Index. The index sponsor may also discontinue or suspend calculation or publication of the Index, in which case it may become difficult to
determine the market value of the Index. Any such changes could adversely affect the value of your ETNs.
There Are Potential Conflicts of
Interest Between You and the Calculation Agent
Currently, Barclays Bank PLC serves as the calculation agent. The calculation agent will,
among other things, decide the amount of the return paid out to you on the ETNs at maturity or upon early redemption. For a more detailed description of the calculation agents role, see Specific Terms of the ETNsRole of Calculation
Agent in this pricing supplement.
If the index sponsor were to discontinue or suspend calculation or publication of the Index, it may
become difficult to determine the market value of the ETNs. If events such as these occur, or if the value of the Index is not available or cannot be calculated because of a market disruption event or for any other reason, the calculation agent may
be required to make a good faith estimate in its sole discretion of the value of the Index. The circumstances in which the calculation agent will be required to make such a determination are described more fully under Specific Terms of the
ETNsRole of Calculation Agent in this pricing supplement.
The calculation agent will exercise its judgment when performing its
functions. For example, the calculation agent may have to determine whether a market disruption event affecting the Index has occurred or is continuing on a valuation date, including the final valuation date. This determination may, in turn, depend
on the calculation agents judgment as to whether the event has materially interfered with our ability to unwind our or our affiliates hedge positions. Since these determinations by the calculation agent may affect the market value of the
ETNs, the calculation agent may have a conflict of interest if it needs to make any such decision.
If a Market Disruption Event Has
Occurred or Exists on a Valuation Date, the Calculation Agent Can Postpone the Determination of the Closing Indicative Value or the Maturity Date or a Redemption Date
The determination of the closing indicative value on a valuation date, including the final valuation date, may be postponed if the calculation agent determines that a market disruption event has occurred
or is continuing on such valuation date. If such a postponement occurs, the Index Components unaffected by the market disruption event shall be determined on the scheduled valuation date and the value of the affected Index Component shall be
determined using the closing value of the affected Index Component on the first trading day after that day on which no market disruption event occurs or is continuing. In no event, however, will a valuation date for the ETNs be postponed by more
than five trading days. As a result, the maturity date or a redemption date (in the case of either holder redemption or issuer redemption) for the ETNs could also be postponed, although not by more than five trading days. If a valuation date is
postponed until the fifth trading day following the
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scheduled valuation date but a market disruption event occurs or is continuing on such day, that day will nevertheless be the valuation date and the calculation agent will make a good faith
estimate in its sole discretion of the value of the Index for such day. See Specific Terms of the ETNsMarket Disruption Event in this pricing supplement.
Postponement of a Valuation Date May Result in a Reduced Amount Payable at Maturity or Upon Early Redemption
As the payment at maturity or upon early redemption is a function of, among other things, the applicable daily index commodity return on the final valuation date or applicable valuation date, as the case
may be, the postponement of any valuation date may result in the application of a different applicable daily index commodity return and, accordingly, decrease the payment you receive at maturity or upon early redemption.
The Tax Consequences Are Uncertain
The
U.S. federal income tax treatment of the ETNs is uncertain and the Internal Revenue Service could assert that the ETNs should be taxed in a manner that is different than described in this pricing supplement. As discussed further below, the Internal
Revenue Service issued a notice in 2007 indicating that it and the Treasury Department are actively considering whether, among other issues, you should be required to accrue interest over the term of an instrument such as the ETNs and whether all or
part of the gain you may recognize upon the sale, early redemption or maturity of an instrument such as the ETNs should be treated as ordinary income. Similarly, the Internal Revenue Service and the Treasury Department have current projects open
with regard to the tax treatment of pre-paid forward contracts and contingent notional principal contracts. While it is impossible to anticipate how any ultimate guidance would affect the tax treatment of instruments such as the ETNs (and while any
such guidance may be issued on a prospective basis only), such guidance could be applied retroactively and could in any case increase the likelihood that you will be required to accrue income over the term of an instrument such as the ETNs even
though you will not receive any payments with respect to the ETNs until maturity. The outcome of this process is uncertain. Similarly, in 2007, legislation was introduced in Congress that, if enacted, would have required holders that acquired
instruments such as the ETNs after the bill was enacted to accrue interest income on a current basis. It is not possible to predict whether a similar or identical bill will be enacted in the future, or whether any such bill would affect the tax
treatment of your ETNs.
Moreover, it is possible that the Internal Revenue Service could seek to tax your ETNs by reference to your deemed
ownership of the underlying assets that comprise the Index. In such a case, it is possible that Section 1256 of the Internal Revenue Code could apply to your ETNs, in which case any gain or loss that you recognize with respect to the ETNs that
is attributable to the regulated futures contracts represented in the Index could be treated as 60% long-term capital gain or loss and 40% short-term capital gain or loss, without regard to your holding period in the ETNs. You would also be required
to mark any regulated futures contracts in the Index to market at the end of each taxable year (i.e., recognize gain or loss as if the relevant portion of your ETNs had been sold for fair market value). Under this alternative treatment, you could
also be required to (i) currently recognize gain or loss, at least some of which could be short-term capital gain or loss, each time the Index rebalances or each time a futures contract tracked by the Index rolls, and (ii) accrue ordinary
interest income in respect of the notional interest component of your ETNs on a current basis.
For a discussion of the U.S. federal income
tax treatment applicable to your ETNs as well as other potential alternative characterizations for your ETNs, please see the discussion under Material U.S. Federal Income Tax Considerations below. You should consult your tax advisor as
to the possible alternative treatments in respect of the ETNs.
PS-17
THE INDEX
The Index is designed to give investors exposure to total returns of the underlying physical commodities (each an
Index Commodity
),
while mitigating the effects of certain distortions in the commodity markets on such returns through the application of the Barclays Pure Beta Series 2 Methodology. The Index is comprised of a basket of exchange traded futures contracts for the same
commodities that are included in the Reference Index, as adjusted from time to time.
As described further in the section entitled The
Commodities Futures Markets below, futures contracts are, by their terms, subject to expiration and investors seeking to maintain exposure to a particular futures contract are required to close out their position in the expiring futures
contract and establish a new position in a futures contract with a later expiry date, a process referred to as rolling. Traditional commodity indices, such as the Reference Index, generally roll into the next nearby futures
contract (or the contract closest to expiration that satisfies such indices pre-determined roll schedule). As a result, the next nearby futures contract may be subject to market speculation, which may affect the price of such futures contract.
In addition, supply disruptions in the market for the given commodity may affect the price of the next nearby futures contract for that commodity more significantly than prices for futures contracts expiring in later months. The Pure Beta Series 2
Methodology seeks to mitigate the potential effect of these investment flow and supply disruption distortions by allowing the Index to roll into one of a series of futures contracts for the relevant underlying commodity with more distant
expirations, selected using certain rules-based allocation criteria described below. Through the application of the Pure Beta Series 2 Methodology, the Index thus seeks to provide returns that are more representative of the price performance of the
underlying Index Commodities than those that are available through the traditional commodity indices.
In addition, the rolling process
described above generates roll yield. When contracts with more distant expiration dates are priced higher than contracts with earlier expiration dates, the commodity markets are in contango and rolling the futures contract
may result in a loss that is referred to as a negative roll yield. When the opposite is true, the commodity markets are in backwardation and rolling the futures contract may result in a gain that is referred to as
positive roll yield. Because the Index may roll into more distant contract expirations, it offers the potential to reduce negative roll yield.
The Commodity Futures Markets
Futures contracts on physical commodities and commodity
indices are traded on regulated futures exchanges, and physical commodities and other derivatives on physical commodities and commodity indices are traded in the over-the-counter market and through various types of physical and electronic trading
facilities and markets. At present, all of the contracts reflected in the Index are exchange-traded futures contracts. An exchange-traded futures contract provides for the purchase and sale of a specified type and quantity of a commodity or
financial instrument during a stated delivery month for a fixed price. A futures contract on an index of commodities provides for the payment and receipt of cash based on the level of the index at settlement or liquidation of the contract. A futures
contract provides for a specified settlement month in which the cash settlement is made or in which the commodity or financial instrument is to be delivered by the seller (whose position is therefore described as short) and acquired by
the purchaser (whose position is therefore described as long).
There is no purchase price paid or received on the purchase or
sale of a futures contract. Instead, an amount of cash or cash equivalents must be deposited with the broker as initial margin. This amount varies based on the requirements imposed by the exchange clearing houses, but may be lower than
5% of the notional value of the contract. This margin deposit provides collateral for the obligations of the parties to the futures contract.
By depositing margin, which may vary in form depending on the exchange, with the clearing house or broker involved, a market participant may be able to
earn interest on the cash or cash equivalents constituting its margin deposit, thereby increasing the total return that it may
PS-18
realize from an investment in futures contracts. The market participant normally makes to, and receives from, the broker subsequent daily margin payments as the price of the futures contract
fluctuates. These payments are called variation margin and are made as the existing positions in the futures contract become more or less valuable, a process known as marking to the market. Futures contracts are traded on
organized exchanges, known as designated contract markets in the United States. At any time prior to the expiration of a futures contract, subject to the availability of a liquid secondary market, a market participant may elect to close
out its position by taking an opposite position on the exchange on which the market participant obtained its position. This operates to terminate the position and fix the market participants profit or loss.
Futures contracts are cleared through the facilities of a centralized clearing house and a brokerage firm, referred to as a futures commission
merchant, which is a member of the clearing house. The clearing house guarantees the performance of each clearing member that is a party to a futures contract by, in effect, taking the opposite side of the transaction. Clearing houses do not
guarantee the performance by clearing members of their obligations to their customers.
Unlike equity securities, futures contracts, by their
terms, have stated expirations and, at a specified point in time prior to expiration, trading in a futures contract for the current delivery month will cease. As a result, a market participant wishing to maintain its exposure to a futures contract
on a particular commodity must close out its position in the expiring contract (the
nearby futures contract
) and establish a new position in a contract with a later-dated delivery month, a process referred to as
rolling. For example, a market participant with a long position in November crude oil futures that wishes to maintain a position in the nearest delivery month may, as the November contract nears expiration, sell November futures, which
serves to close out the existing long position, and buy December futures. This would roll the November position into a December position, and, when the November contract expires, the market participant would still have a long position in
the first nearby delivery month.
Traditional commodity indices generally roll into the futures contract expiring in the next nearest delivery
month (or the contract closest to expiration that satisfies such indices pre-determined roll schedule) (each such contract, the
next nearby futures contract
). However, in the case of the Index (as described further under the
section entitled The IndexContract Selection using the Pure Beta Series 2 Methodology below), the new contract that is selected each month might be any of a number of longer-dated futures contracts, and not necessarily the contract
with the next nearest delivery month.
Roll yield is generated as a result of holding futures contracts. When longer-dated contracts are
priced lower than the nearer contract and spot prices, the market is in backwardation, and positive roll yield may be generated when higher-priced near-term futures contracts are sold to buy and hold lower priced
longer-dated contracts. When the opposite is true and longer-dated contracts are priced higher than the nearer contracts and spot prices, the market is in contango, and negative roll yields may result from the sale of lower
priced near-term futures contracts to buy and hold higher priced longer-dated contracts.
Futures exchanges and clearing houses in
the United States are subject to regulation by the Commodities Futures Trading Commission. Exchanges may adopt rules and take other actions that affect trading, including imposing speculative position limits, maximum price fluctuations and trading
halts and suspensions and requiring liquidation of contracts in certain circumstances. Futures markets outside the United States are generally subject to regulation by comparable regulatory authorities. The structure and nature of trading on
non-U.S. exchanges, however, may differ from this description.
The Reference Index
The Reference Index is a related index of the S&P GSCI
®
Commodity Index (the
S&P GSCI
). Disclosure in this section relating to the methodology for compiling the S&P GSCI accordingly relates as
well to the methodology of compiling the Reference Index. The section S&P GSCI
®
Total Return
Index describes the
PS-19
features of the Index that differ from the S&P GSCI.
The S&P GSCI is an index
on a production-weighted basket of futures contracts on physical commodities traded on trading facilities in countries that are members of the Organization for Economic Cooperation and Development (
OECD
). The S&P GSCI is
designed to be a measure of the performance over time of the markets for these commodities. The only commodities represented in the S&P GSCI are those physical commodities on which active and liquid contracts are traded on trading facilities in
countries that are members of the OECD. The commodities represented in the S&P GSCI are weighted, on a production basis, to reflect their relative significance (in the view of S&P, in consultation with the Index Committee, which is described
below) to the world economy. The fluctuations in the value of the S&P GSCI are intended generally to correlate with changes in the prices of such physical commodities in global markets. The value of the S&P GSCI has been normalized such that
its hypothetical level on January 2, 1970 was 100.
The contracts to be included in the S&P GSCI at any given time must satisfy
several sets of eligibility criteria established by S&P. First, S&P identifies those contracts that meet the general criteria for eligibility. Second, the contract volume and weight requirements are applied and the number of contracts is
determined, which serves to reduce the list of eligible contracts. At that point, the list of designated contracts for the relevant period is complete. The composition of the S&P GSCI is also reviewed on a monthly basis by S&P.
Set forth below is a summary of the composition of and the methodology used to calculate the S&P GSCI. The methodology for determining the
composition and weighting of the S&P GSCI and for calculating its value is subject to modification in a manner consistent with the purposes of the S&P GSCI. S&P makes the official calculations of the S&P GSCI.
The Index Committee and the Index Advisory Panel
S&P has established an index committee (the
Index Committee
) to oversee the daily management and operations of the S&P GSCI, and is responsible for all analytical methods and
calculation in the indices. At each meeting, the Index Committee reviews any issues that may affect the components of the S&P GSCI, statistics comparing its composition to the market, commodities being considered for addition and any significant
market events. In addition, the Index Committee may revise index policy covering rules for selecting commodities, or other matters. S&P considers information about changes to the indices and related matters to be potentially market moving and
material. Therefore, all Index Committee discussions are confidential.
S&P has also established an index advisory panel (the
Index Advisory Panel
) to assist it in connection with the operation of the S&P GSCI. The Index Advisory Panel meets on an annual basis and at other times at the request of the Index Committee. The principal purpose of the
Index Advisory Panel is to advise the Index Committee with respect to, among other things, the calculation of the S&P GSCI, the effectiveness of the S&P GSCI as a measure of commodity futures market performance and the need for changes in
the composition or methodology of the S&P GSCI. The Index Advisory Panel acts solely in an advisory and consultative capacity; all decisions with respect to the composition, calculation and operation of the S&P GSCI are made by the Index
Committee. Certain of the members of the Index Advisory Panel may be affiliated with clients of S&P. Also, certain of the members of the Index Advisory Panel may be affiliated with entities which from time to time may have investments linked to
the S&P GSCI, either through transactions in the contracts included in the S&P GSCI, futures contracts on the S&P GSCI or derivative products linked to the S&P GSCI.
Composition of the S&P GSCI
In order to be included in the S&P GSCI, a contract
must satisfy the following eligibility criteria:
|
(a)
|
be in respect of a physical commodity (rather than a financial commodity);
|
|
(b)
|
have a specified expiration or term, or provide in some other manner for delivery or settlement at a specified time, or within a specified period, in the future; and
|
PS-20
|
(c)
|
at any given point in time, be available for trading at least five months prior to its expiration or such other date or time period specified for delivery or
settlement.
|
(2)
|
The commodity must be the subject of a contract that:
|
|
(a)
|
is denominated in U.S. dollars;
|
|
(b)
|
is traded on or through an exchange, facility or other platform (referred to as a trading facility) that has its principal place of business or operations
in a country that is a member of the OECD and:
|
|
|
|
makes price quotations generally available to its members or participants (and, if S&P is not such a member or participant, to S&P) in a manner
and with a frequency that is sufficient to provide reasonably reliable indications of the level of the relevant market at any given point in time;
|
|
|
|
makes reliable trading volume information available to S&P with at least the frequency required by S&P to make the monthly determinations;
|
|
|
|
accepts bids and offers from multiple participants or price providers; and
|
|
|
|
is accessible by a sufficiently broad range of participants; and
|
|
(c)
|
is traded on a trading facility which allows market participants to execute spread transactions through a single order entry between pairs of contract expirations
included in the S&P GSCI that, at any given point in time, will be involved in the rolls to be effected in the next three Reference Index Roll Periods.
|
(3)
|
The price of the relevant contract that is used as a reference or benchmark by market participants (referred to as the daily contract reference price)
generally must have been available on a continuous basis for at least two years prior to the proposed date of inclusion in the S&P GSCI. In appropriate circumstances, however, S&P, in consultation with the Index Committee, may determine that
a shorter time period is sufficient or that historical daily contract reference prices for such contract may be derived from daily contract reference prices for a similar or related contract. The daily contract reference price may be (but is not
required to be) the settlement price or other similar price published by the relevant trading facility for purposes of margining transactions or for other purposes.
|
(4)
|
At and after the time a contract is included in the S&P GSCI, the daily contract reference price for such contract must be published between 10:00 a.m. and 4:00
p.m., New York City time on each contract business day by the trading facility on or through which it is traded and must generally be available to all members of, or participants in, such facility (and S&P) on the same day from the trading
facility or through a recognized third-party data vendor. Such publication must include, at all times, daily contract reference prices for at least one expiration or settlement date that is five months or more from the date the determination is
made, as well as for all expiration or settlement dates during such five-month period.
|
(5)
|
Volume data with respect to such contract must be available for at least the three months immediately preceding the date on which the determination is made.
|
(6)
|
A contract that is not included in the S&P GSCI at the time of determination and that is based on a commodity that is not represented in the S&P GSCI at such
time must, in order to be added to the S&P GSCI at such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$15 billion. The total dollar value traded is the dollar value of the
total quantity of the commodity underlying transactions in the relevant contract over the period for which the calculation is made, based on the average of the daily contract reference prices on the last day of each month during the period.
|
(7)
|
A contract that is already included in the S&P GSCI at the time of determination and that is the only contract on the relevant commodity included
in the S&P GSCI must, in order to continue to be included in the S&P GSCI after such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$5 billion and at
|
PS-21
|
least US$10 billion during at least one of the three most recent annual periods used in making the determination.
|
(8)
|
A contract that is not included in the S&P GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already
included in the S&P GSCI at such time must, in order to be added to the S&P GSCI at such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$30 billion.
|
(9)
|
A contract that is already included in the S&P GSCI at the time of determination and that is based on a commodity on which there are one or more contracts already
included in the S&P GSCI at such time must, in order to continue to be included in the S&P GSCI after such time, have a total dollar value traded, over the relevant period, as the case may be and annualized, of at least US$10 billion and at
least US$20 billion during at least one of the three most recent annual periods used in making the determination.
|
(10)
|
A contract that is already included in the S&P GSCI at the time of determination must, in order to continue to be included after such time, have a reference
percentage dollar weight of at least 0.10%. The reference percentage dollar weight of a contract is determined by multiplying the CPW (defined below) of a contract by the average of its daily contract reference prices on the last day of each month
during the relevant period. These amounts are summed for all contracts included in the S&P GSCI and each contracts percentage of the total is then determined.
|
(11)
|
A contract that is not included in the S&P GSCI at the time of determination must, in order to be added to the S&P GSCI at such time, have a reference
percentage dollar weight of at least 1.00%.
|
(12)
|
In the event that two or more contracts on the same commodity satisfy the eligibility criteria,
|
|
(a)
|
such contracts will be included in the S&P GSCI in the order of their respective total quantity traded during the relevant period (determined as the total quantity
of the commodity underlying transactions in the relevant contract), with the contract having the highest total quantity traded being included first, provided that no further contracts will be included if such inclusion would result in the portion of
the S&P GSCI attributable to such commodity exceeding a particular level; and
|
|
(b)
|
if additional contracts could be included with respect to several commodities at the same time, the procedure in paragraph 12(a) above is first applied with respect to
the commodity that has the smallest portion of the S&P GSCI attributable to it at the time of determination. Subject to the other eligibility criteria set forth above, the contract with the highest total quantity traded on such commodity will be
included. Before any additional contracts on the same commodity or on any other commodity are included, the portion of the S&P GSCI attributable to all commodities is recalculated. The selection procedure described above is then repeated with
respect to the contracts on the commodity that then has the smallest portion of the S&P GSCI attributable to it.
|
Currently,
24 contracts meet the requirements for inclusion in the S&P GSCI.
PS-22
Table 1. Contracts Included in the S&P GSCI for 2013
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Trading
Facility
|
|
Commodity
(Contract)
|
|
Ticker
(1)
|
|
2012
Contract
Production
Weight
|
|
|
2013
Contract
Production
Weight
|
|
|
2013
Average
Contract
Reference
Price ($)
|
|
|
2012
Percentage
Dollar
Weight
(2)
|
|
|
2013
Reference
Price
Dollar
Weight
|
|
|
2013 Total
Dollar
Value
Traded
(USD bn)
|
|
|
2013
Trading
Volume
Multiple
|
|
CBT
|
|
Wheat (Chicago)
|
|
W
|
|
|
18,217.58
|
|
|
|
19,699.65
|
|
|
|
6.944 bu
|
|
|
|
3.04
|
%
|
|
|
3.22
|
%
|
|
|
913.8
|
|
|
|
123.3
|
|
KBT
|
|
Wheat (Kansas)
|
|
KW
|
|
|
5,004.071
|
|
|
|
3,922.031
|
|
|
|
7.342 bu
|
|
|
|
0.88
|
%
|
|
|
0.68
|
%
|
|
|
192.4
|
|
|
|
123.3
|
|
CBT
|
|
Corn
|
|
C
|
|
|
29,648.15
|
|
|
|
30,371.03
|
|
|
|
6.549 bu
|
|
|
|
4.66
|
%
|
|
|
4.69
|
%
|
|
|
2,540.2
|
|
|
|
235.7
|
|
CBT
|
|
Soybeans
|
|
S
|
|
|
8,037.317
|
|
|
|
8,163.838
|
|
|
|
13.607 bu
|
|
|
|
2.63
|
%
|
|
|
2.62
|
%
|
|
|
3,553
|
|
|
|
590.4
|
|
ICE - US
|
|
Coffee C
|
|
KC
|
|
|
17,406.22
|
|
|
|
17,554.97
|
|
|
|
1.975 lbs
|
|
|
|
0.83
|
%
|
|
|
0.82
|
%
|
|
|
434.8
|
|
|
|
231.4
|
|
ICE - US
|
|
Sugar #11
|
|
SB
|
|
|
344,724.8
|
|
|
|
341,991.6
|
|
|
|
0.229 lbs
|
|
|
|
1.90
|
%
|
|
|
1.85
|
%
|
|
|
662
|
|
|
|
155.7
|
|
ICE - US
|
|
Cocoa
|
|
CC
|
|
|
4.116321
|
|
|
|
4.100944
|
|
|
|
2345.083 MT
|
|
|
|
0.23
|
%
|
|
|
0.23
|
%
|
|
|
137.2
|
|
|
|
263.4
|
|
ICE - US
|
|
Cotton #2
|
|
CT
|
|
|
53,411.21
|
|
|
|
52,490.38
|
|
|
|
0.869 lbs
|
|
|
|
1.12
|
%
|
|
|
1.07
|
%
|
|
|
249.9
|
|
|
|
101.1
|
|
CME
|
|
Lean Hogs
|
|
LH
|
|
|
72,823.44
|
|
|
|
76,883.59
|
|
|
|
0.872 lbs
|
|
|
|
1.52
|
%
|
|
|
1.58
|
%
|
|
|
394.1
|
|
|
|
108.5
|
|
CME
|
|
Cattle (Live)
|
|
LC
|
|
|
92,591.82
|
|
|
|
91,280.08
|
|
|
|
1.221 lbs
|
|
|
|
2.71
|
%
|
|
|
2.62
|
%
|
|
|
692
|
|
|
|
114.6
|
|
CME
|
|
Cattle (Feeder)
|
|
FC
|
|
|
13,596.46
|
|
|
|
14,819.78
|
|
|
|
1.497 lbs
|
|
|
|
0.49
|
%
|
|
|
0.52
|
%
|
|
|
137.8
|
|
|
|
114.6
|
|
NYM/ICE
|
|
Oil (WTI Crude)
|
|
CL
|
|
|
13,557.23
|
|
|
|
11,033.01
|
|
|
|
95.087 bbl
|
|
|
|
30.96
|
%
|
|
|
24.71
|
%
|
|
|
17,858.9
|
|
|
|
314.2
|
|
NYM
|
|
Oil (#2 Heating)
|
|
HO
|
|
|
71,569.8
|
|
|
|
87,775.28
|
|
|
|
2.986 gal
|
|
|
|
5.13
|
%
|
|
|
6.17
|
%
|
|
|
4,461.4
|
|
|
|
314.2
|
|
NYM
|
|
Oil (RBOB)
|
|
RB
|
|
|
73,694.1
|
|
|
|
88,342.87
|
|
|
|
2.837 gal
|
|
|
|
5.02
|
%
|
|
|
5.90
|
%
|
|
|
4,266.2
|
|
|
|
314.2
|
|
ICE UK
|
|
Oil (Brent Crude)
|
|
LCO
|
|
|
6,959.701
|
|
|
|
8,638.79
|
|
|
|
109.773bbl
|
|
|
|
18.35
|
%
|
|
|
22.34
|
%
|
|
|
16,143.1
|
|
|
|
314.2
|
|
ICE - UK
|
|
Oil (Gasoil)
|
|
LGO
|
|
|
359.2745
|
|
|
|
386.9597
|
|
|
|
939.521MT
|
|
|
|
8.11
|
%
|
|
|
8.56
|
%
|
|
|
6,188.9
|
|
|
|
314.2
|
|
NYM/ICE
|
|
Natural Gas
|
|
NG
|
|
|
28,984.31
|
|
|
|
29,450.21
|
|
|
|
2.910 MMBtu
|
|
|
|
2.03
|
%
|
|
|
2.02
|
%
|
|
|
4,275.2
|
|
|
|
920.7
|
|
LME
|
|
Aluminum (High Gd. Prim.)
|
|
MAL
|
|
|
42.53
|
|
|
|
43.64
|
|
|
|
2071.229 MT
|
|
|
|
2.12
|
%
|
|
|
2.13
|
%
|
|
|
3,200.5
|
|
|
|
653.5
|
|
LME
|
|
Copper (Grade A)
|
|
MCU
|
|
|
17.14
|
|
|
|
17.7
|
|
|
|
7873.938 MT
|
|
|
|
3.24
|
%
|
|
|
3.28
|
%
|
|
|
7,305.5
|
|
|
|
967.5
|
|
LME
|
|
Standard Lead
|
|
MPB
|
|
|
7.872
|
|
|
|
8.28
|
|
|
|
2031.708MT
|
|
|
|
0.38
|
%
|
|
|
0.40
|
%
|
|
|
650.2
|
|
|
|
713.3
|
|
LME
|
|
Primary Nickel
|
|
MNI
|
|
|
1.352
|
|
|
|
1.376
|
|
|
|
17810.750 MT
|
|
|
|
0.58
|
%
|
|
|
0.58
|
%
|
|
|
1,053.2
|
|
|
|
793.2
|
|
LME
|
|
Zinc (Spl. High Grade)
|
|
MZN
|
|
|
11.04
|
|
|
|
11.12
|
|
|
|
1952.000 MT
|
|
|
|
0.52
|
%
|
|
|
0.51
|
%
|
|
|
1,299.4
|
|
|
|
1,104.9
|
|
CMX
|
|
Gold
|
|
GC
|
|
|
76.58309
|
|
|
|
76.77599
|
|
|
|
1660.250 oz
|
|
|
|
3.05
|
%
|
|
|
3.00
|
%
|
|
|
7,571.1
|
|
|
|
1,096.3
|
|
CMX
|
|
Silver
|
|
SI
|
|
|
665.5205
|
|
|
|
676.4518
|
|
|
|
30.940 oz
|
|
|
|
0.49
|
%
|
|
|
0.49
|
%
|
|
|
2,072.6
|
|
|
|
1,827.7
|
|
(1)
|
Tickers are Reuters RIC Codes.
|
(2)
|
Using the ARCPs for the 2012 Annual Calculation Period.
|
PS-23
The quantity of each of the contracts included in the S&P GSCI is determined on the basis of a
five-year average (referred to as the world production average) of the production quantity of the underlying commodity as published by sources of information determined by S&P, including the United Nations Statistical Yearbook, the
United Nations Industrial Commodity Statistics Yearbook and other official sources. However, if a commodity is primarily a regional commodity, based on its production, use, pricing, transportation or other factors, S&P may calculate the weight
of such commodity based on regional, rather than world, production data.
The five-year moving average is updated annually for each commodity
included in the S&P GSCI, based on the most recent five-year period (ending approximately one-and-one-half years prior to the date of calculation and moving backwards) for which complete data for all commodities is available. The contract
production weights (
CPWs
) used in calculating the S&P GSCI are derived from world or regional production averages, as applicable, of the relevant commodities, and are calculated based on the total quantity traded for the
relevant contract and the world or regional production average, as applicable, of the underlying commodity.
However, if the volume of trading
in the relevant contract, as a multiple of the production levels of the commodity, is below specified thresholds, the CPW of the contract is reduced until the threshold is satisfied. This is designed to ensure that trading in each such contract is
sufficiently liquid relative to the production of the commodity.
In addition, S&P performs this calculation on a monthly basis and, if
the multiple of any contract is below the prescribed threshold, the composition of the S&P GSCI is reevaluated, based on the criteria and weighting procedure described above. This procedure is undertaken to allow the S&P GSCI to shift from
contracts that have lost substantial liquidity into more liquid contracts during the course of a given year. As a result, it is possible that the composition or weighting of the S&P GSCI will change on one or more of these monthly valuation
dates. In addition, regardless of whether any changes have occurred during the year, S&P reevaluates the composition of the S&P GSCI at the conclusion of each year, based on the above criteria. Other commodities that satisfy such criteria,
if any, will be added to the S&P GSCI. Commodities included in the S&P GSCI which no longer satisfy such criteria, if any, will be deleted.
S&P also determines whether modifications in the selection criteria or the methodology for determining the composition and weights of and for calculating the S&P GSCI are necessary or appropriate
in order to assure that the S&P GSCI represents a measure of commodity market performance and to preserve and enhance S&P GSCIs tradability. S&P has the discretion to make any such modifications. We do not have any obligation to
notify you if S&P changes the composition of the S&P GSCI, the methodology of calculating the value of the S&P GSCI or any other policies of S&P relevant to the S&P GSCI.
The following table illustrates the changes in the year-end percentage dollar weights of each subsector included in the S&P GSCI from December 31, 1991 until December 31, 2012:
PS-24
Table 2. Historical Composition of the S&P GSCI
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
|
Industrial Metals
|
|
|
Precious Metals
|
|
|
Agriculture
|
|
|
Livestock
|
|
December 31, 1991
|
|
|
48.0
|
%
|
|
|
5.9
|
%
|
|
|
2.4
|
%
|
|
|
21.1
|
%
|
|
|
22.7
|
%
|
December 31, 1992
|
|
|
48.9
|
%
|
|
|
6.1
|
%
|
|
|
2.4
|
%
|
|
|
18.6
|
%
|
|
|
24.0
|
%
|
December 31, 1993
|
|
|
39.6
|
%
|
|
|
6.3
|
%
|
|
|
3.0
|
%
|
|
|
24.7
|
%
|
|
|
26.4
|
%
|
December 31, 1994
|
|
|
48.8
|
%
|
|
|
8.2
|
%
|
|
|
2.6
|
%
|
|
|
20.8
|
%
|
|
|
19.6
|
%
|
December 31, 1995
|
|
|
53.5
|
%
|
|
|
7.9
|
%
|
|
|
2.6
|
%
|
|
|
25.3
|
%
|
|
|
10.6
|
%
|
December 31, 1996
|
|
|
61.5
|
%
|
|
|
6.4
|
%
|
|
|
2.4
|
%
|
|
|
19.6
|
%
|
|
|
10.1
|
%
|
December 31, 1997
|
|
|
55.3
|
%
|
|
|
7.2
|
%
|
|
|
2.4
|
%
|
|
|
24.0
|
%
|
|
|
11.1
|
%
|
December 31, 1998
|
|
|
46.9
|
%
|
|
|
9.2
|
%
|
|
|
3.8
|
%
|
|
|
28.1
|
%
|
|
|
12.0
|
%
|
December 31, 1999
|
|
|
60.3
|
%
|
|
|
8.5
|
%
|
|
|
2.6
|
%
|
|
|
18.1
|
%
|
|
|
10.5
|
%
|
December 31, 2000
|
|
|
66.8
|
%
|
|
|
6.4
|
%
|
|
|
2.0
|
%
|
|
|
16.1
|
%
|
|
|
8.7
|
%
|
December 31, 2001
|
|
|
58.6
|
%
|
|
|
7.8
|
%
|
|
|
2.8
|
%
|
|
|
19.6
|
%
|
|
|
11.2
|
%
|
December 31, 2002
|
|
|
67.3
|
%
|
|
|
5.6
|
%
|
|
|
2.5
|
%
|
|
|
16.9
|
%
|
|
|
7.7
|
%
|
December 31, 2003
|
|
|
66.8
|
%
|
|
|
7.4
|
%
|
|
|
2.5
|
%
|
|
|
17.0
|
%
|
|
|
6.3
|
%
|
December 31, 2004
|
|
|
71.1
|
%
|
|
|
7.8
|
%
|
|
|
2.2
|
%
|
|
|
12.2
|
%
|
|
|
6.6
|
%
|
December 31, 2005
|
|
|
74.9
|
%
|
|
|
6.8
|
%
|
|
|
1.9
|
%
|
|
|
10.9
|
%
|
|
|
5.6
|
%
|
December 31, 2006
|
|
|
68.4
|
%
|
|
|
11.1
|
%
|
|
|
2.5
|
%
|
|
|
13.4
|
%
|
|
|
4.7
|
%
|
December 31, 2007
|
|
|
73.8
|
%
|
|
|
7.1
|
%
|
|
|
2.2
|
%
|
|
|
13.3
|
%
|
|
|
3.6
|
%
|
December 31, 2008
|
|
|
74.7
|
%
|
|
|
7.3
|
%
|
|
|
2.0
|
%
|
|
|
12.7
|
%
|
|
|
3.4
|
%
|
December 31, 2009
|
|
|
69.3
|
%
|
|
|
6.8
|
%
|
|
|
3.2
|
%
|
|
|
15.7
|
%
|
|
|
5.1
|
%
|
December 31, 2010
|
|
|
66.5
|
%
|
|
|
8.3
|
%
|
|
|
3.4
|
%
|
|
|
17.4
|
%
|
|
|
4.3
|
%
|
December 30, 2011
|
|
|
70.5
|
%
|
|
|
6.6
|
%
|
|
|
3.5
|
%
|
|
|
14.7
|
%
|
|
|
4.7
|
%
|
December 31, 2012
|
|
|
69.71
|
%
|
|
|
6.9
|
%
|
|
|
3.5
|
%
|
|
|
15.2
|
%
|
|
|
4.7
|
%
|
Copyright S&P Dow Jones Indices LLC.. Used by permission
PS-25
Contract Expirations
Because the S&P GSCI is comprised of actively traded contracts with scheduled expirations, it can only be calculated by reference to the prices of contracts for specified expiration, delivery or
settlement periods, referred to as contract expirations. The contract expirations included in the S&P GSCI for each commodity during a given year are designated by S&P, provided that each such contract must be an active
contract. An active contract for this purpose is a liquid, actively traded contract expiration, as defined or identified by the relevant trading facility or, if no such definition or identification is provided by the relevant
trading facility, as defined by standard custom and practice in the industry. The relative liquidity of the various active contracts is one of the factors that may be taken into consideration in determining which of them S&P includes in the
S&P GSCI.
If a trading facility deletes one or more contract expirations, the S&P GSCI will be calculated during the remainder of the
year in which such deletion occurs on the basis of the remaining contract expirations designated by S&P. If a trading facility ceases trading in all contract expirations relating to a particular contract, S&P may designate a replacement
contract on the commodity. The replacement contract must satisfy the eligibility criteria for inclusion in the S&P GSCI. To the extent practicable, the replacement will be effected during the next monthly review of the composition of the S&P
GSCI. If that timing is not practicable, S&P will determine the date of the replacement and will consider a number of factors, including the differences between the existing contract and the replacement contract with respect to contractual
specifications, contract expirations and other matters.
Value of the S&P GSCI
The value of the S&P GSCI on any given day is equal to the total dollar weight of the S&P GSCI
divided by
a normalizing constant that
assures the continuity of the S&P GSCI over time. The total dollar weights of the S&P GSCI is the sum of the dollar weight of each of the components of the S&P GSCI. The dollar weight of each such component of S&P GSCI on any
Reference Index Business Day (as defined herein) is equal to:
|
|
|
the daily contract reference price,
|
|
|
|
multiplied by
the appropriate CPW, and
|
|
|
|
during a Reference Index Roll Period, the appropriate roll weight (discussed below).
|
Daily Contract Reference Price
The
daily contract reference price used in calculating the dollar weight of each component of the S&P GSCI on any given day is the most recent daily contract reference price made available by the relevant trading facility, except that if the
exchange is closed or otherwise fails to publish a daily contract reference price on that day or if the trading facility fails to make a daily contract reference price available or publishes a daily contract reference price that, in the reasonable
judgment of S&P, reflects manifest error, the relevant calculation will be delayed until the price is made available or corrected. However, if the price is not made available or corrected by 4:00 p.m., New York City time, S&P, if it deems
such action to be appropriate under the circumstances, will determine the appropriate daily contract reference price for the applicable futures contract in its reasonable judgment for purposes of the relevant S&P GSCI Index calculation. The
initial value of the S&P GSCI was normalized such that its hypothetical level on January 2, 1970 was 100.
Roll Weights and Roll
Periods
The
roll weight
of a commodity reflects the fact that the positions in futures contracts must be liquidated or
rolled forward into more distant contract expirations as they approach expiration. If actual positions in the relevant markets were rolled forward, the roll would likely need to take place over a period of days. Since the S&P GSCI is designed to
replicate the performance of actual investments in the underlying contracts, the rolling process incorporated in the S&P GSCI takes place over a number of business days during each month (referred to as a
Reference Index Roll
Period
). On each day of the Reference Index Roll Period, the roll weights of the current contract expirations and the next contract expiration (the next contract as designated by the Reference Index rules) into which it is
rolled are adjusted, so that the hypothetical position in the contract on the commodity that is included in the index is gradually shifted from the current contract expiration to the next contract expiration (the next contract as so designated). The
Reference Index Roll Period applicable to the S&P GSCI
PS-26
occurs from the fifth to ninth Reference Index Business Days of each month. A Reference Index Business Day, is a day on which S&P GSCI and the Reference Index are calculated, as determined by
NYSE Euronext Holiday & Hours schedule.
If on any day during a Reference Index Roll Period any of the following conditions exists,
the portion of the roll that would have taken place on that day is deferred until the next day on which such conditions do not exist:
|
|
|
if, with respect to any current contract expiration and the next contract expiration, the Reference Index Business Day on which the roll is intended to
occur is not a day on which the trading facility on or through which the given contract expirations are traded is scheduled to be open for trading for at least three hours, these contract expirations are not available for trading during these hours
or no daily contract reference price is published by the trading facility for a given contract expiration;
|
|
|
|
any such price represents the maximum or minimum price for such contract month, based on exchange price limits (referred to as a Limit
Price);
|
|
|
|
the daily contract reference price published by the relevant trading facility, in the reasonable judgment of S&P, reflects manifest error and such
error is not corrected by the S&P GSCI settlement time or such price is not published by 4:00 p.m., New York City time. In that event, S&P may, but is not required to, determine a daily contract reference price and complete the relevant
portion of the roll based on such price;
provided
,
that
, if the trading facility publishes a price or a corrected price before the opening of trading on the next day, S&P will revise the portion of the roll accordingly; or
|
|
|
|
trading in the relevant contract terminates prior to its scheduled closing time and does not resume at least ten minutes prior to, and continue until,
the scheduled closing time.
|
S&P GSCI
®
Total Return Index
Contract Daily Return
Whereas the S&P GSCI is based on price levels of the contracts
it comprises, the Reference Index depends for its calculation on the contract daily return. The contract daily return is defined as the percentage change in the total dollar weight of the S&P GSCI from one Reference Index Business Day to the
next. The contract daily return on any given day is equal to the amount obtained on such day from an investment in the S&P GSCI on the immediately preceding Reference Index Business Day of the total dollar weight of the S&P GSCI on the
immediately preceding Reference Index Business Day, divided by the total dollar weight of the S&P GSCI on the immediately preceding Reference Index Business Day, minus one.
Value of the Reference Index
The Reference Index incorporates the returns of the S&P
GSCI, the discount or premium obtained by rolling hypothetical positions in those contracts forward as they approach delivery and the interest earned on hypothetical fully collateralized contract positions on the commodities included in the S&P
GSCI.
The value of the Reference Index on any Reference Index Business Day is equal to the product of (1) the value of the Reference
Index on the immediately preceding Reference Index Business Day multiplied by (2) one plus the sum of the contract daily return and the Treasury Bill return on the Reference Index Business Day on which the calculation is made multiplied by
(3) one plus the Treasury Bill return for each non- Reference Index Business Day since the immediately preceding Reference Index Business Day. The Treasury Bill return is the return on a hypothetical investment in the S&P GSCI at a rate
equal to the interest rate on a specified U.S. Treasury Bill.
PS-27
The Index
The following is a description of the Barclays Pure Beta Series-2 TR Index including, without limitation, its composition, method of calculation and changes in its components. The information in this
description reflects the policies of, and is subject to change by, the index sponsor. You, as an investor in the Notes, should make your own investigation into the Index and the index sponsor has no obligation to consider your interests as a holder
of the Notes. The index sponsor has no obligation to continue to publish the Index and may discontinue publication of the Index at any time in its sole discretion.
The Index is designed to give investors exposure to total returns of the Index Commodities, while mitigating the effects of certain distortions in the commodity markets on such returns through the
application of the Barclays Pure Beta Series 2 Methodology. The Index is comprised of a basket of exchange traded futures contracts for the same commodities that are included in the Reference Index, as adjusted from time to time. However, unlike the
Reference Index, which rolls monthly from the nearby futures contract to the next nearby futures contract for each Index Commodity in accordance with a pre-determined roll schedule, the Index may roll into the next nearby futures contract or one of
a number of futures contracts with more distant expiration dates, as selected using the Barclays Pure Beta Series 2 Methodology (except with respect to Precious Metal Group commodities). Each such contract chosen by the Barclays Pure Beta Series 2
Methodology is referred to as the
Selected Contract
. The Barclays Pure Beta Series 2 Methodology is not applied to commodities in the Precious Metals Group, and with respect to those commodities, the Index will roll monthly from
the nearby futures contract to the next nearby futures contract in accordance with the Reference Indexs pre-determined roll schedule.
The level of the Index is calculated using the same methodology as the Reference Index, except for adjustments to reflect the Selected Contracts for each
relevant commodity and the nearby futures contract and next nearby futures contract for the commodities in the Precious Metals Group.
The
Index is a proprietary index developed, owned and calculated by Barclays Bank PLC, as Index Sponsor. The methodology for calculating the Index is subject to modification by the Index Sponsor, as described under Modifications to the Index
below. Closing levels for the Index on each index business day are reported on Bloomberg under the ticker symbol BCC2C1PT Index and on Barclays Live (http://ecommerce.barcap.com/indices/index.dxml) (or, in each case, on any successor
website). For purposes of the Index, an
index business day
is a day on which the Index is calculated, as determined by the NYSE Euronext Holiday & Hours schedule, as published on
http://www.nyse.com/about/newsevents/1176373643795.html or any successor website thereto. The
Roll Period
for the Index is the same as the Reference Index Roll Period. Further, each day that the relevant exchange for futures
contracts for a particular commodity is open for trading is referred to as the
Exchange Business Day
for such exchange.
Contract Selection using Barclays Pure Beta Series 2 Methodology
On the last index business day of each month (the
Observation Date
), and for each commodity that utilizes the Barclays Pure Beta Series 2 Methodology and that forms part of the
Reference Index or that will form part of the Reference Index following the Reference Index Roll Period, a non-discretionary selection process is used to determine the new Selected Contract for the following month. Specifically, the Selected
Contract for each relevant commodity will be the futures contract in which the Selected Tenor Index will invest during the next roll period of the Selected Tenor Index. For each relevant commodity, a
Selected Tenor Index
is
determined using the following steps:
Step 1: Calculate the Front Year Average Price Index for each Relevant Commodity
The
Front Year Average Price Index
for a commodity is constructed to measure the theoretical average price of the
front year of futures contracts for that commodity, weighted by the Open Interest for such futures contracts. For purposes of calculating the
Front Year Average Price
underlying the Front Year Average Price Index, the
Open Interest
on any index business day for each futures contract expiring in any delivery month is defined as the number of such futures contracts traded that have not yet been liquidated either
PS-28
by an offsetting transaction or by delivery of the underlying commodity, as reported by the relevant exchange on the day falling one Exchange Business Day prior to that index business day (or two
Exchange Business Days prior to that index business day if such futures contract is listed on the LME). The futures contracts included in a front year are defined to be every contract from the then current futures contract referenced in
the Nearby Tenor Index for such commodity to and including the futures contract referenced in the Longest Tenor Index, each as defined below. During the Roll Period, the Front Year Average Price will be calculated using the current futures contract
and the futures contract into which the Index is rolling, weighted in proportion to their relative roll weight.
Step 2: Calculate the
Tracking Error between the Front Year Average Price Index and each Tenor Index in respect of each Relevant Commodity.
The Tenor
Indices
A
Tenor Index
for a commodity tracks the performance of holding and rolling a series of futures contracts
for that commodity (each, a Tenor Contract). A
Nearby Tenor Index
for a commodity tracks the performance of holding and rolling the futures contract expiring in the closest delivery month. Each Tenor Index linked to a
futures contract with more distant delivery months tracks the performance of holding and rolling the futures contracts that would underlie the Nearby Tenor Index a number of months (or n-months) in the future. The
Longest Tenor
Index
tracks the performance of holding and rolling the futures contract that will underlie the Nearby Tenor Index the greatest number of months in the future (as identified by the number of months available). The rolling of
futures contracts in a Tenor Index (from the first nearby futures contract to the next nearby futures contract, based on the Designated Contract Futures Roll Schedule in Table 5 below), where applicable, occurs each month for five business days,
starting on the fifth Tenor Index Business Day each month, where
Tenor Index Business Days
are determined according to the NYSE Euronext Holiday & Hours schedule (as published on the NYSE Euronext website).
PS-29
Table 3 below shows the relevant futures contracts (delivery month, year) underlying each of the available
Tenor Indices for the commodities of Natural Gas and Sugar as of March 1, 2011. Table 6 below lists the delivery months associated with each letter in Table 3.
Table 3: Tenor Contract Example
|
|
|
|
|
|
|
|
|
Tenor Index
|
|
Natural Gas
|
|
|
Sugar
|
|
Nearby
|
|
|
J, 2011
|
|
|
|
K, 2011
|
|
1-month
|
|
|
K, 2011
|
|
|
|
K, 2011
|
|
2-month
|
|
|
M, 2011
|
|
|
|
N, 2011
|
|
3-month
|
|
|
N, 2011
|
|
|
|
N, 2011
|
|
4-month
|
|
|
Q, 2011
|
|
|
|
V, 2011
|
|
5-month
|
|
|
U, 2011
|
|
|
|
V, 2011
|
|
6-month
|
|
|
V, 2011
|
|
|
|
V, 2011
|
|
7-month
|
|
|
X, 2011
|
|
|
|
H, 2012
|
|
8-month
|
|
|
Z, 2011
|
|
|
|
H, 2012
|
|
9-month
|
|
|
F, 2011
|
|
|
|
H, 2012
|
|
10-month
|
|
|
G, 2012
|
|
|
|
H, 2012
|
|
11-month
|
|
|
H, 2012
|
|
|
|
H, 2012
|
|
Table 4 below provides a list of the available Tenor Indices for each relevant commodity:
Table 4: List of Tenor Indices for each commodity used in the Pure Beta Series 2 Methodology
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
|
|
Designated Contract
|
|
Tenor Indices used in the Pure Beta Series 2 Methodology
|
|
|
|
|
|
|
Available Tenor Indices (n-month)
|
|
|
|
|
Nearby
|
|
1
|
|
2
|
|
3
|
|
4
|
|
5
|
|
6
|
|
7
|
|
8
|
|
9
|
|
10
|
|
11
|
Aluminum
|
|
Aluminum (High Grade Primary)
|
|
Y*
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Brent Crude Oil
|
|
Oil (Brent Crude)
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Cocoa
|
|
Cocoa
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Coffee
|
|
Coffee C
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Copper
|
|
Copper (Grade A)
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Corn
|
|
Corn
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Cotton
|
|
Cotton No. 2
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Feeder Cattle
|
|
Feeder Cattle
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
N/A
|
|
N/A
|
|
N/A
|
|
N/A
|
Gas Oil
|
|
Gasoil
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
N/A
|
|
N/A
|
Heating Oil
|
|
Heating Oil
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Kansas Wheat
|
|
Hard Red Winter Wheat
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
N/A
|
Lead
|
|
Lead (Standard)
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Lean Hogs
|
|
Lean Hogs
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
N/A
|
|
N/A
|
Live Cattle
|
|
Live Cattle
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
N/A
|
|
N/A
|
Natural Gas
|
|
Natural Gas
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Nickel
|
|
Primary Nickel
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Soybeans
|
|
Soybeans
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Sugar
|
|
Sugar No. 11
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Unleaded Gasoline (RBOB)
|
|
Reformulated Blendstock for Oxygen Blending
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Wheat
|
|
Wheat (Chicago)
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
WTI Crude Oil
|
|
Oil (WTI Crude)
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
Zinc
|
|
Zinc (Special High Grade)
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
|
Y
|
*
|
The designation Y means that Tenor Indices are available.
|
Table 5 below provides the delivery month for the Designated Contract for each commodity at the start of any calendar month:
PS-30
Table 5: Designated Contract Futures Roll Schedule
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
|
|
Designated Contract
|
|
Designated Contract delivery months as at the
start of each month (delivery month letters are
set out
in Table 6).
|
|
|
|
|
Jan
|
|
Feb
|
|
Mar
|
|
Apr
|
|
May
|
|
Jun
|
|
Jul
|
|
Aug
|
|
Sep
|
|
Oct
|
|
Nov
|
|
Dec
|
Aluminum
|
|
Aluminum (High Grade Primary)
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Brent Crude Oil
|
|
Oil (Brent Crude)
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
|
G
|
Cocoa
|
|
Cocoa
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
U
|
|
U
|
|
Z
|
|
Z
|
|
Z
|
|
H
|
Coffee
|
|
Coffee C
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
U
|
|
U
|
|
Z
|
|
Z
|
|
Z
|
|
H
|
Copper
|
|
Copper (Grade A)
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Corn
|
|
Corn
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
U
|
|
U
|
|
Z
|
|
Z
|
|
Z
|
|
H
|
Cotton
|
|
Cotton No. 2
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
Z
|
|
Z
|
|
Z
|
|
Z
|
|
Z
|
|
H
|
Feeder Cattle
|
|
Feeder Cattle
|
|
H
|
|
H
|
|
J
|
|
K
|
|
Q
|
|
Q
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
F
|
|
F
|
Gas Oil
|
|
Gasoil
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Heating Oil
|
|
Heating Oil
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Kansas Wheat
|
|
Hard Red Winter Wheat
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
U
|
|
U
|
|
Z
|
|
Z
|
|
Z
|
|
H
|
Lead
|
|
Lead (Standard)
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Lean Hogs
|
|
Lean Hogs
|
|
G
|
|
J
|
|
J
|
|
M
|
|
M
|
|
N
|
|
Q
|
|
V
|
|
V
|
|
Z
|
|
Z
|
|
G
|
Live Cattle
|
|
Live Cattle
|
|
G
|
|
J
|
|
J
|
|
M
|
|
M
|
|
Q
|
|
Q
|
|
V
|
|
V
|
|
Z
|
|
Z
|
|
G
|
Natural Gas
|
|
Natural Gas
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Nickel
|
|
Primary Nickel
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Soybeans
|
|
Soybeans
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
X
|
|
X
|
|
X
|
|
X
|
|
F
|
|
F
|
Sugar
|
|
Sugar No. 11
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
V
|
|
V
|
|
V
|
|
H
|
|
H
|
|
H
|
Unleaded Gasoline (RBOB)
|
|
Reformulated Blendstock for Oxygen Blending
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Wheat
|
|
Wheat (Chicago)
|
|
H
|
|
H
|
|
K
|
|
K
|
|
N
|
|
N
|
|
U
|
|
U
|
|
Z
|
|
Z
|
|
Z
|
|
H
|
WTI Crude Oil
|
|
Oil (WTI Crude)
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Zinc
|
|
Zinc (Special High Grade)
|
|
G
|
|
H
|
|
J
|
|
K
|
|
M
|
|
N
|
|
Q
|
|
U
|
|
V
|
|
X
|
|
Z
|
|
F
|
Table 6 below lists the delivery months associated with each letter in Tables 3 and 5 above. For example, in Table 6, the
delivery month for the Designated Contract for Aluminum at the start of January will be the futures contract that expires in February, based on the delivery month associated with the letter G in Table 6.
Table 6: Contract Delivery Month Letters
|
|
|
|
|
|
|
|
|
|
|
Delivery Month
|
|
Letter
|
|
Delivery Month
|
|
Letter
|
|
Delivery Month
|
|
Letter
|
January
|
|
F
|
|
May
|
|
K
|
|
September
|
|
U
|
February
|
|
G
|
|
June
|
|
M
|
|
October
|
|
V
|
March
|
|
H
|
|
July
|
|
N
|
|
November
|
|
X
|
April
|
|
J
|
|
August
|
|
Q
|
|
December
|
|
Z
|
Tracking Error
The objective of the Barclays Pure Beta Series 2 Methodology is, for each relevant commodity, to select a Tenor Index that best tracks the Front Year Average Price Index, subject to certain minimum
liquidity criteria (as described in Step 3 below) and market distortion constraints (as described in Step 4 below). On each Observation Date, the
Tracking Error
for each Tenor Index is equal to the standard deviation of
(a) the daily return on the Tenor Index on the Observation Date minus (b) the daily return of the Front Year Average Price Index for the same futures contract for the immediately preceding three-month period. For each relevant commodity,
the Tenor Index with the lowest Tracking Error will be the Selected Tenor Index,
PS-31
subject to certain minimum liquidity criteria and market distortion constraints.
Step 3: Determine the Tenor Liquidity Weight of each Tenor Index
Next, a liquidity filter based on the Tenor Liquidity Weight being greater than 7% is applied. This liquidity constraint aims to ensure that a Selected Contract for each relevant commodity is sufficiently
liquid to support an investment, in order to mitigate exposure to illiquid futures contracts which could lead to detrimental investment performance. The
Tenor Liquidity Weight
of each Tenor Index is calculated on the Observation
Date and is equal to the Open Interest of the next futures contract that will form part of that Tenor Index during and after the next roll period of the Tenor Index, expressed as a percentage of the total Open Interest for the front year
futures contracts for such commodity.
Step 4: Determine the Tenor Dislocation Probability for each Tenor Index in respect of such
commodity
In addition to the liquidity constraints described in Step 3 above, the Barclays Pure Beta Series 2 Methodology seeks to
find a balance between tracking the Front Year Average Price for each commodity and avoiding futures contracts that are subject to price distortions. Prices of futures contracts with nearer delivery months may, in particular, become dislocated from
prices of their underlying commodities as a result of short-term trading patterns and imbalances in supply and demand for such futures contracts. Prices of these futures contracts may also be affected by investment flows from passive investments,
such as those linked to traditional commodity indices, which have a well-known and pre-defined roll schedule. Further, speculative activity based on these predictable passive investment patterns can dislocate the prices of these futures contracts
from the underlying commodity prices.
The Barclays Pure Beta Series 2 Methodology seeks to avoid selecting futures contracts with dislocated
prices by calculating the volatility of each Tenor Index on a daily basis. The methodology operates on the hypothesis that, absent price distortions, price volatility should increase as maturity decreases. Accordingly, the methodology identifies the
likelihood of persistent price distortions (the
Tenor Dislocation Probability
) by determining how often the volatility of each futures contract in the relevant Tenor Index has not reflected the hypothesized pattern (the
Tracking Pattern
).
The Tenor Dislocation Probability is calculated using the following steps. First, the short-term price
volatility of all the Tenor Indices of a commodity over the last three months is calculated and tested to determine which Tenor Indices conform to the Tracking Pattern. The percentage of days on which each Tenor Index has failed the test over the
past three months is then used to estimate the Tenor Dislocation Probability for such Tenor Index.
Step 5. Determine the Selected Tenor
Index for each Relevant Commodity
Finally, using the values determined above, the Selected Tenor Index and, therefore, the Selected
Contract for purposes of the Index is determined for each commodity in accordance with the procedures set out below:
|
(a)
|
The Tenor Index with the lowest Tracking Error is selected, provided that the Tenor Liquidity Weight for such Tenor Index is greater than or equal to 7% and the Tenor
Dislocation Probability for such Tenor Index is less than 40% (if two or more Tenor Indices have the same lowest Tracking Error, the Tenor Index with the nearest delivery month is selected);
|
|
(b)
|
If (a) is not possible, the longest Tenor Index with a Tenor Liquidity Weight greater than or equal to 7% is selected; and
|
|
(c)
|
If neither (a) nor (b) are possible, then the Nearby Tenor Index is selected.
|
The Selected Contract for each relevant commodity is then deemed to be the Tenor Contract of the Selected Tenor Index for such commodity.
Historical Selection of the Selected Tenor Indices
Table 7 below shows the monthly
Selected Tenor Indices for each commodity in the Index
PS-32
since October 30, 2009. Note that a 0 indicates the Nearby Tenor Index, N/A indicates that the specific commodity was not part of the Index or the Reference Index,
and other numbers indicate the n-months Tenor Index.
The Index was launched on October 30, 2009. All data relating to the
period prior to the launch of the Index is an historical estimate by the index sponsor using available data about the liquidity, volatility and closing prices of futures contracts for the Index Commodities during the pre-launch period. Such data
does not represent actual performance and should not be interpreted as an indication of actual performance of the Index.
PS-33
Table 7: Tenor Index Selections since the launch of the Pure Beta Series 2 Methodology
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
Industrial Metals
|
|
Live Stock
|
|
Grains
|
|
Softs
|
|
Precious
Metals
|
|
|
Brent
|
|
WTI
Crude
|
|
Heating
Oil
|
|
Gasoil
|
|
Natural
Gas
|
|
Unleaded
|
|
Aluminum
|
|
Copper
|
|
Lead
|
|
Nickel
|
|
Zinc
|
|
Feeder
Cattle
|
|
Lean
Hogs
|
|
Live
Cattle
|
|
Corn
|
|
Kansas
Wheat
|
|
Soybeans
|
|
Wheat
|
|
Coffee
|
|
Cotton
|
|
Cocoa
|
|
Sugar
|
|
Gold
|
|
Silver
|
For Month
|
|
LCO
|
|
CL
|
|
HO
|
|
LGO
|
|
NG
|
|
XB
|
|
LA
|
|
HG
|
|
LL
|
|
LN
|
|
LX
|
|
FC
|
|
LH
|
|
LC
|
|
C
|
|
KW
|
|
S
|
|
W
|
|
KC
|
|
CT
|
|
CC
|
|
SB
|
|
GC
|
|
SI
|
Jul-09
|
|
2
|
|
1
|
|
3
|
|
3
|
|
4
|
|
3
|
|
4
|
|
2
|
|
3
|
|
3
|
|
3
|
|
1
|
|
3
|
|
3
|
|
3
|
|
3
|
|
1
|
|
3
|
|
2
|
|
2
|
|
3
|
|
2
|
|
0
|
|
0
|
Aug-09
|
|
2
|
|
2
|
|
3
|
|
3
|
|
3
|
|
3
|
|
3
|
|
1
|
|
2
|
|
2
|
|
2
|
|
1
|
|
3
|
|
4
|
|
2
|
|
1
|
|
3
|
|
2
|
|
1
|
|
1
|
|
2
|
|
10
|
|
0
|
|
0
|
Sep-09
|
|
1
|
|
1
|
|
3
|
|
2
|
|
2
|
|
1
|
|
2
|
|
0
|
|
1
|
|
1
|
|
1
|
|
2
|
|
3
|
|
4
|
|
3
|
|
1
|
|
2
|
|
3
|
|
1
|
|
2
|
|
3
|
|
10
|
|
0
|
|
0
|
Oct-09
|
|
0
|
|
1
|
|
3
|
|
1
|
|
3
|
|
1
|
|
1
|
|
2
|
|
2
|
|
1
|
|
1
|
|
1
|
|
5
|
|
4
|
|
2
|
|
2
|
|
3
|
|
2
|
|
1
|
|
0
|
|
3
|
|
6
|
|
0
|
|
0
|
Nov-09
|
|
4
|
|
2
|
|
2
|
|
2
|
|
1
|
|
3
|
|
2
|
|
1
|
|
2
|
|
0
|
|
4
|
|
0
|
|
5
|
|
4
|
|
2
|
|
5
|
|
2
|
|
2
|
|
3
|
|
0
|
|
3
|
|
5
|
|
0
|
|
0
|
Dec-09
|
|
3
|
|
1
|
|
2
|
|
4
|
|
1
|
|
4
|
|
4
|
|
2
|
|
2
|
|
1
|
|
3
|
|
0
|
|
4
|
|
4
|
|
2
|
|
4
|
|
2
|
|
3
|
|
3
|
|
1
|
|
0
|
|
4
|
|
0
|
|
0
|
Jan-10
|
|
2
|
|
3
|
|
2
|
|
3
|
|
2
|
|
3
|
|
3
|
|
1
|
|
1
|
|
0
|
|
2
|
|
0
|
|
3
|
|
3
|
|
3
|
|
4
|
|
2
|
|
3
|
|
2
|
|
1
|
|
0
|
|
3
|
|
0
|
|
0
|
Feb-10
|
|
7
|
|
2
|
|
2
|
|
2
|
|
4
|
|
7
|
|
2
|
|
2
|
|
2
|
|
4
|
|
3
|
|
0
|
|
3
|
|
1
|
|
3
|
|
3
|
|
2
|
|
2
|
|
3
|
|
3
|
|
1
|
|
2
|
|
0
|
|
0
|
Mar-10
|
|
6
|
|
2
|
|
2
|
|
7
|
|
3
|
|
4
|
|
2
|
|
1
|
|
2
|
|
3
|
|
2
|
|
0
|
|
3
|
|
1
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
3
|
|
2
|
|
0
|
|
0
|
Apr-10
|
|
5
|
|
1
|
|
2
|
|
3
|
|
3
|
|
6
|
|
3
|
|
0
|
|
2
|
|
1
|
|
1
|
|
0
|
|
4
|
|
4
|
|
3
|
|
4
|
|
2
|
|
2
|
|
1
|
|
1
|
|
6
|
|
2
|
|
0
|
|
0
|
May-10
|
|
1
|
|
2
|
|
2
|
|
2
|
|
3
|
|
4
|
|
2
|
|
1
|
|
2
|
|
2
|
|
1
|
|
2
|
|
5
|
|
5
|
|
3
|
|
2
|
|
2
|
|
3
|
|
2
|
|
2
|
|
3
|
|
2
|
|
0
|
|
0
|
Jun-10
|
|
3
|
|
1
|
|
2
|
|
4
|
|
4
|
|
4
|
|
4
|
|
0
|
|
2
|
|
1
|
|
4
|
|
2
|
|
4
|
|
2
|
|
2
|
|
3
|
|
2
|
|
3
|
|
2
|
|
4
|
|
2
|
|
2
|
|
0
|
|
0
|
Jul-10
|
|
2
|
|
1
|
|
2
|
|
3
|
|
3
|
|
3
|
|
3
|
|
2
|
|
3
|
|
3
|
|
3
|
|
1
|
|
5
|
|
2
|
|
3
|
|
3
|
|
2
|
|
2
|
|
6
|
|
6
|
|
3
|
|
2
|
|
0
|
|
0
|
Aug-10
|
|
1
|
|
2
|
|
2
|
|
3
|
|
3
|
|
2
|
|
2
|
|
1
|
|
2
|
|
2
|
|
2
|
|
1
|
|
5
|
|
2
|
|
2
|
|
5
|
|
3
|
|
2
|
|
5
|
|
5
|
|
2
|
|
3
|
|
0
|
|
0
|
Sep-10
|
|
1
|
|
1
|
|
3
|
|
2
|
|
2
|
|
2
|
|
2
|
|
3
|
|
1
|
|
1
|
|
2
|
|
2
|
|
5
|
|
5
|
|
3
|
|
4
|
|
2
|
|
4
|
|
2
|
|
4
|
|
2
|
|
3
|
|
0
|
|
0
|
Oct-10
|
|
1
|
|
1
|
|
1
|
|
1
|
|
2
|
|
1
|
|
1
|
|
2
|
|
1
|
|
1
|
|
5
|
|
1
|
|
4
|
|
4
|
|
2
|
|
7
|
|
1
|
|
3
|
|
1
|
|
3
|
|
1
|
|
5
|
|
0
|
|
0
|
Nov-10
|
|
1
|
|
1
|
|
2
|
|
1
|
|
2
|
|
1
|
|
2
|
|
1
|
|
2
|
|
1
|
|
4
|
|
0
|
|
1
|
|
2
|
|
5
|
|
6
|
|
2
|
|
5
|
|
1
|
|
5
|
|
2
|
|
8
|
|
0
|
|
0
|
Dec-10
|
|
3
|
|
1
|
|
2
|
|
2
|
|
2
|
|
10
|
|
4
|
|
2
|
|
2
|
|
1
|
|
4
|
|
1
|
|
2
|
|
4
|
|
9
|
|
3
|
|
2
|
|
5
|
|
1
|
|
6
|
|
2
|
|
6
|
|
0
|
|
0
|
Jan-11
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
9
|
|
2
|
|
1
|
|
3
|
|
3
|
|
3
|
|
0
|
|
2
|
|
3
|
|
9
|
|
3
|
|
2
|
|
4
|
|
1
|
|
6
|
|
3
|
|
7
|
|
0
|
|
0
|
Feb-11
|
|
1
|
|
2
|
|
2
|
|
2
|
|
1
|
|
8
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
0
|
|
4
|
|
4
|
|
8
|
|
5
|
|
4
|
|
3
|
|
2
|
|
6
|
|
2
|
|
7
|
|
2
|
|
1
|
Mar-11
|
|
6
|
|
2
|
|
2
|
|
1
|
|
2
|
|
7
|
|
1
|
|
1
|
|
1
|
|
1
|
|
4
|
|
1
|
|
5
|
|
5
|
|
7
|
|
7
|
|
3
|
|
3
|
|
2
|
|
7
|
|
2
|
|
8
|
|
0
|
|
2
|
Apr-11
|
|
5
|
|
3
|
|
2
|
|
3
|
|
4
|
|
6
|
|
1
|
|
0
|
|
1
|
|
1
|
|
3
|
|
1
|
|
6
|
|
6
|
|
6
|
|
2
|
|
3
|
|
2
|
|
2
|
|
6
|
|
2
|
|
8
|
|
3
|
|
1
|
May-11
|
|
4
|
|
2
|
|
2
|
|
2
|
|
3
|
|
2
|
|
5
|
|
1
|
|
1
|
|
1
|
|
2
|
|
1
|
|
5
|
|
2
|
|
5
|
|
2
|
|
3
|
|
2
|
|
3
|
|
5
|
|
8
|
|
6
|
|
0
|
|
2
|
Jun-11
|
|
3
|
|
2
|
|
2
|
|
2
|
|
3
|
|
4
|
|
4
|
|
3
|
|
4
|
|
4
|
|
1
|
|
1
|
|
4
|
|
2
|
|
4
|
|
2
|
|
2
|
|
2
|
|
1
|
|
7
|
|
7
|
|
2
|
|
3
|
|
2
|
Jul-11
|
|
2
|
|
3
|
|
2
|
|
3
|
|
4
|
|
3
|
|
3
|
|
2
|
|
3
|
|
3
|
|
3
|
|
2
|
|
5
|
|
2
|
|
4
|
|
2
|
|
2
|
|
2
|
|
1
|
|
3
|
|
2
|
|
2
|
|
2
|
|
2
|
Aug-11
|
|
4
|
|
3
|
|
2
|
|
3
|
|
3
|
|
3
|
|
2
|
|
1
|
|
2
|
|
2
|
|
2
|
|
3
|
|
6
|
|
4
|
|
3
|
|
2
|
|
1
|
|
2
|
|
1
|
|
1
|
|
2
|
|
3
|
|
0
|
|
2
|
Sep-11
|
|
3
|
|
2
|
|
2
|
|
2
|
|
2
|
|
1
|
|
3
|
|
3
|
|
1
|
|
2
|
|
1
|
|
2
|
|
4
|
|
5
|
|
2
|
|
3
|
|
3
|
|
2
|
|
1
|
|
2
|
|
3
|
|
3
|
|
0
|
|
1
|
Oct-11
|
|
2
|
|
1
|
|
2
|
|
2
|
|
2
|
|
1
|
|
3
|
|
2
|
|
0
|
|
3
|
|
3
|
|
3
|
|
2
|
|
4
|
|
2
|
|
2
|
|
3
|
|
3
|
|
2
|
|
0
|
|
3
|
|
5
|
|
0
|
|
1
|
Nov-11
|
|
4
|
|
2
|
|
2
|
|
2
|
|
1
|
|
5
|
|
2
|
|
1
|
|
2
|
|
2
|
|
5
|
|
2
|
|
3
|
|
5
|
|
2
|
|
2
|
|
2
|
|
3
|
|
2
|
|
1
|
|
3
|
|
5
|
|
0
|
|
1
|
Dec-11
|
|
3
|
|
4
|
|
2
|
|
3
|
|
1
|
|
10
|
|
2
|
|
2
|
|
1
|
|
1
|
|
4
|
|
6
|
|
4
|
|
2
|
|
9
|
|
2
|
|
2
|
|
9
|
|
2
|
|
1
|
|
2
|
|
5
|
|
2
|
|
1
|
Jan-12
|
|
2
|
|
3
|
|
2
|
|
2
|
|
1
|
|
9
|
|
3
|
|
1
|
|
2
|
|
0
|
|
3
|
|
4
|
|
3
|
|
2
|
|
9
|
|
4
|
|
2
|
|
9
|
|
3
|
|
3
|
|
2
|
|
4
|
|
2
|
|
2
|
Feb-12
|
|
4
|
|
2
|
|
2
|
|
2
|
|
2
|
|
8
|
|
2
|
|
2
|
|
1
|
|
1
|
|
3
|
|
0
|
|
6
|
|
2
|
|
8
|
|
6
|
|
4
|
|
8
|
|
2
|
|
2
|
|
2
|
|
3
|
|
2
|
|
1
|
Mar-12
|
|
3
|
|
4
|
|
2
|
|
2
|
|
2
|
|
7
|
|
1
|
|
1
|
|
1
|
|
2
|
|
2
|
|
3
|
|
5
|
|
1
|
|
7
|
|
3
|
|
3
|
|
2
|
|
0
|
|
2
|
|
2
|
|
2
|
|
4
|
|
2
|
Apr-12
|
|
3
|
|
3
|
|
2
|
|
2
|
|
3
|
|
2
|
|
3
|
|
2
|
|
1
|
|
3
|
|
1
|
|
1
|
|
6
|
|
1
|
|
5
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
2
|
|
4
|
|
1
|
May-12
|
|
3
|
|
4
|
|
2
|
|
2
|
|
3
|
|
4
|
|
4
|
|
0
|
|
1
|
|
4
|
|
1
|
|
3
|
|
4
|
|
2
|
|
1
|
|
1
|
|
3
|
|
2
|
|
2
|
|
1
|
|
2
|
|
2
|
|
1
|
|
3
|
Jun-12
|
|
2
|
|
4
|
|
2
|
|
3
|
|
4
|
|
4
|
|
3
|
|
2
|
|
1
|
|
3
|
|
3
|
|
4
|
|
5
|
|
2
|
|
1
|
|
2
|
|
4
|
|
2
|
|
2
|
|
1
|
|
2
|
|
3
|
|
1
|
|
3
|
PS-34
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Energy
|
|
Industrial Metals
|
|
Live Stock
|
|
Grains
|
|
Softs
|
|
Precious
Metals
|
|
|
Brent
|
|
WTI
Crude
|
|
Heating
Oil
|
|
Gasoil
|
|
Natural
Gas
|
|
Unleaded
|
|
Aluminum
|
|
Copper
|
|
Lead
|
|
Nickel
|
|
Zinc
|
|
Feeder
Cattle
|
|
Lean
Hogs
|
|
Live
Cattle
|
|
Corn
|
|
Kansas
Wheat
|
|
Soybeans
|
|
Wheat
|
|
Coffee
|
|
Cotton
|
|
Cocoa
|
|
Sugar
|
|
Gold
|
|
Silver
|
For Month
|
|
LCO
|
|
CL
|
|
HO
|
|
LGO
|
|
NG
|
|
XB
|
|
LA
|
|
HG
|
|
LL
|
|
LN
|
|
LX
|
|
FC
|
|
LH
|
|
LC
|
|
C
|
|
KW
|
|
S
|
|
W
|
|
KC
|
|
CT
|
|
CC
|
|
SB
|
|
GC
|
|
SI
|
Jul-12
|
|
2
|
|
4
|
|
2
|
|
3
|
|
4
|
|
4
|
|
3
|
|
2
|
|
1
|
|
3
|
|
3
|
|
4
|
|
5
|
|
2
|
|
1
|
|
2
|
|
4
|
|
2
|
|
2
|
|
1
|
|
2
|
|
3
|
|
1
|
|
3
|
Aug-12
|
|
1
|
|
3
|
|
6
|
|
2
|
|
3
|
|
3
|
|
3
|
|
1
|
|
1
|
|
2
|
|
1
|
|
2
|
|
6
|
|
2
|
|
2
|
|
2
|
|
4
|
|
2
|
|
2
|
|
1
|
|
2
|
|
3
|
|
1
|
|
2
|
Sep-12
|
|
1
|
|
4
|
|
5
|
|
2
|
|
2
|
|
4
|
|
4
|
|
3
|
|
1
|
|
1
|
|
2
|
|
2
|
|
5
|
|
2
|
|
3
|
|
3
|
|
3
|
|
7
|
|
2
|
|
1
|
|
2
|
|
3
|
|
1
|
|
1
|
Oct-12
|
|
5
|
|
3
|
|
2
|
|
2
|
|
3
|
|
3
|
|
3
|
|
2
|
|
0
|
|
1
|
|
1
|
|
3
|
|
2
|
|
2
|
|
3
|
|
3
|
|
4
|
|
3
|
|
3
|
|
2
|
|
3
|
|
5
|
|
0
|
|
3
|
Nov-12
|
|
4
|
|
2
|
|
2
|
|
2
|
|
2
|
|
3
|
|
5
|
|
1
|
|
2
|
|
2
|
|
2
|
|
2
|
|
4
|
|
5
|
|
3
|
|
6
|
|
4
|
|
2
|
|
3
|
|
0
|
|
3
|
|
5
|
|
0
|
|
9
|
Dec-12
|
|
3
|
|
4
|
|
2
|
|
2
|
|
1
|
|
4
|
|
1
|
|
2
|
|
1
|
|
1
|
|
1
|
|
3
|
|
4
|
|
6
|
|
3
|
|
5
|
|
3
|
|
4
|
|
3
|
|
3
|
|
3
|
|
4
|
|
3
|
|
1
|
Jan-13
|
|
2
|
|
3
|
|
2
|
|
2
|
|
2
|
|
3
|
|
3
|
|
1
|
|
1
|
|
2
|
|
3
|
|
0
|
|
3
|
|
5
|
|
4
|
|
3
|
|
3
|
|
4
|
|
3
|
|
4
|
|
3
|
|
4
|
|
3
|
|
1
|
Feb-13
|
|
4
|
|
3
|
|
2
|
|
2
|
|
3
|
|
3
|
|
3
|
|
0
|
|
1
|
|
2
|
|
2
|
|
0
|
|
6
|
|
4
|
|
8
|
|
2
|
|
2
|
|
3
|
|
2
|
|
8
|
|
3
|
|
3
|
|
1
|
|
1
|
Mar-13
|
|
3
|
|
4
|
|
2
|
|
1
|
|
2
|
|
1
|
|
7
|
|
1
|
|
1
|
|
2
|
|
1
|
|
1
|
|
5
|
|
0
|
|
7
|
|
2
|
|
2
|
|
2
|
|
2
|
|
7
|
|
2
|
|
2
|
|
4
|
|
1
|
PS-35
Rebalancing of the Index Commodities in the Index
The Index references futures contracts that may have different delivery months than the futures contracts underlying the Reference Index, and therefore,
the relative weighting of the commodities in the Index will not match exactly the relative weights of the commodities in the Reference Index on any given day. In order to reduce potential percentage weighting differences between the Index and the
Reference Index and to minimize the tracking error to the Reference Index, the Index rebalances the relative weights of the Index Commodities throughout the Roll Period to target the then prevailing weights of the Index Commodities in the Reference
Index.
On the index business day immediately preceding the commencement of the Roll Period, the index sponsor determines the target weight
for the Index Commodities based on an estimate of the expected weights of the Index Commodities in the Reference Index at the end of such Roll Period. Also on such index business day, the same process used to determine the percentage dollar weights
for the Reference Index on the date on which such weights are effective is used to determine the percentage dollar weights for the Index. However, as the futures contracts underlying the Index may not correspond to the futures contracts underlying
the Reference Index, the closing prices used as part of such calculation may differ. The percentage dollar weights calculated as part of the monthly rebalancing process, using the prices of the futures contracts for each of the commodities
underlying the Index, are therefore referred to as the
Adjusted Percentage Dollar Weights
. The relative weights of the Index Commodities are then rebalanced during each Roll Period, using these Adjusted Percentage Dollar Weights,
in the same manner as the process used to re-weight the Reference Index each January.
As discussed above, the target weights for the Index
Commodities underlying the Index are based on an estimate of the expected weights of the Index Commodities underlying the Reference Index immediately following the Roll Period. As a result, the relative weights of the Index Commodities underlying
the Index immediately following the Roll Period may not correspond exactly to the relative weights of the Index Commodities underlying the Reference Index, although these differences are not expected to be material. Table 8 below provides historical
examples of (a) the relative weights of the Index Commodities immediately following the Roll Period and (b) the difference between the relative weights of the Index Commodities in the Index and the Reference Index immediately following the
Roll Period.
The Index was launched on October 30, 2009. All data relating to the period prior to the launch of the Index is an
historical estimate by the index sponsor as to how the Index may have performed in the pre-launch period based upon available data on the closing prices of the futures contracts for the commodities underlying the Index and the percentage weightings
of the Reference Index in effect in during that period. Such data does not represent actual performance and should not be interpreted as an indication of actual performance.
PS-36
Table 8: Index Commodity Weight Comparison
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
The Index commodity weights as of the 9th index business day each month
|
|
Date
|
|
CL
|
|
|
XB
|
|
|
HO
|
|
|
NG
|
|
|
CO
|
|
|
QS
|
|
|
LL
|
|
|
LP
|
|
|
LA
|
|
|
LX
|
|
|
LN
|
|
|
C
|
|
|
W
|
|
|
KW
|
|
|
S
|
|
|
SB
|
|
|
KC
|
|
|
CT
|
|
|
CC
|
|
|
FC
|
|
|
LH
|
|
|
LC
|
|
|
GC
|
|
|
SI
|
|
14-Sep-09
|
|
|
38.88
|
%
|
|
|
4.59
|
%
|
|
|
4.32
|
%
|
|
|
4.29
|
%
|
|
|
13.49
|
%
|
|
|
4.60
|
%
|
|
|
0.54
|
%
|
|
|
3.54
|
%
|
|
|
2.40
|
%
|
|
|
0.66
|
%
|
|
|
0.75
|
%
|
|
|
3.00
|
%
|
|
|
3.02
|
%
|
|
|
0.62
|
%
|
|
|
2.36
|
%
|
|
|
2.92
|
%
|
|
|
0.79
|
%
|
|
|
1.05
|
%
|
|
|
0.40
|
%
|
|
|
0.53
|
%
|
|
|
1.14
|
%
|
|
|
2.76
|
%
|
|
|
2.94
|
%
|
|
|
0.38
|
%
|
13-Oct-09
|
|
|
38.82
|
%
|
|
|
4.48
|
%
|
|
|
4.40
|
%
|
|
|
5.40
|
%
|
|
|
13.30
|
%
|
|
|
4.58
|
%
|
|
|
0.51
|
%
|
|
|
3.27
|
%
|
|
|
2.31
|
%
|
|
|
0.68
|
%
|
|
|
0.76
|
%
|
|
|
3.33
|
%
|
|
|
3.13
|
%
|
|
|
0.64
|
%
|
|
|
2.39
|
%
|
|
|
2.54
|
%
|
|
|
0.76
|
%
|
|
|
1.03
|
%
|
|
|
0.38
|
%
|
|
|
0.47
|
%
|
|
|
1.09
|
%
|
|
|
2.49
|
%
|
|
|
2.89
|
%
|
|
|
0.37
|
%
|
12-Nov-09
|
|
|
39.10
|
%
|
|
|
4.61
|
%
|
|
|
4.43
|
%
|
|
|
4.49
|
%
|
|
|
13.56
|
%
|
|
|
4.61
|
%
|
|
|
0.52
|
%
|
|
|
3.35
|
%
|
|
|
2.29
|
%
|
|
|
0.70
|
%
|
|
|
0.65
|
%
|
|
|
3.44
|
%
|
|
|
3.30
|
%
|
|
|
0.65
|
%
|
|
|
2.30
|
%
|
|
|
2.39
|
%
|
|
|
0.71
|
%
|
|
|
1.07
|
%
|
|
|
0.37
|
%
|
|
|
0.44
|
%
|
|
|
1.31
|
%
|
|
|
2.44
|
%
|
|
|
2.91
|
%
|
|
|
0.35
|
%
|
11-Dec-09
|
|
|
37.32
|
%
|
|
|
4.52
|
%
|
|
|
4.33
|
%
|
|
|
5.05
|
%
|
|
|
13.26
|
%
|
|
|
4.48
|
%
|
|
|
0.54
|
%
|
|
|
3.63
|
%
|
|
|
2.75
|
%
|
|
|
0.77
|
%
|
|
|
0.69
|
%
|
|
|
3.53
|
%
|
|
|
3.30
|
%
|
|
|
0.65
|
%
|
|
|
2.49
|
%
|
|
|
2.58
|
%
|
|
|
0.78
|
%
|
|
|
1.16
|
%
|
|
|
0.41
|
%
|
|
|
0.46
|
%
|
|
|
1.43
|
%
|
|
|
2.46
|
%
|
|
|
3.03
|
%
|
|
|
0.36
|
%
|
13-Jan-10
|
|
|
36.65
|
%
|
|
|
4.41
|
%
|
|
|
4.47
|
%
|
|
|
5.03
|
%
|
|
|
14.13
|
%
|
|
|
5.28
|
%
|
|
|
0.55
|
%
|
|
|
3.71
|
%
|
|
|
2.65
|
%
|
|
|
0.78
|
%
|
|
|
0.71
|
%
|
|
|
3.17
|
%
|
|
|
3.06
|
%
|
|
|
0.60
|
%
|
|
|
2.26
|
%
|
|
|
2.82
|
%
|
|
|
0.74
|
%
|
|
|
1.09
|
%
|
|
|
0.40
|
%
|
|
|
0.41
|
%
|
|
|
1.46
|
%
|
|
|
2.46
|
%
|
|
|
2.81
|
%
|
|
|
0.36
|
%
|
11-Feb-10
|
|
|
36.07
|
%
|
|
|
4.63
|
%
|
|
|
4.43
|
%
|
|
|
5.00
|
%
|
|
|
14.17
|
%
|
|
|
5.42
|
%
|
|
|
0.50
|
%
|
|
|
3.63
|
%
|
|
|
2.53
|
%
|
|
|
0.72
|
%
|
|
|
0.76
|
%
|
|
|
3.25
|
%
|
|
|
3.04
|
%
|
|
|
0.60
|
%
|
|
|
2.28
|
%
|
|
|
2.92
|
%
|
|
|
0.72
|
%
|
|
|
1.15
|
%
|
|
|
0.39
|
%
|
|
|
0.44
|
%
|
|
|
1.49
|
%
|
|
|
2.70
|
%
|
|
|
2.84
|
%
|
|
|
0.32
|
%
|
11-Mar-10
|
|
|
37.42
|
%
|
|
|
4.82
|
%
|
|
|
4.55
|
%
|
|
|
3.98
|
%
|
|
|
14.71
|
%
|
|
|
5.68
|
%
|
|
|
0.50
|
%
|
|
|
3.72
|
%
|
|
|
2.62
|
%
|
|
|
0.74
|
%
|
|
|
0.84
|
%
|
|
|
3.02
|
%
|
|
|
2.73
|
%
|
|
|
0.54
|
%
|
|
|
2.13
|
%
|
|
|
2.04
|
%
|
|
|
0.69
|
%
|
|
|
1.18
|
%
|
|
|
0.34
|
%
|
|
|
0.44
|
%
|
|
|
1.66
|
%
|
|
|
2.58
|
%
|
|
|
2.74
|
%
|
|
|
0.33
|
%
|
14-Apr-10
|
|
|
37.63
|
%
|
|
|
4.72
|
%
|
|
|
4.60
|
%
|
|
|
3.57
|
%
|
|
|
15.16
|
%
|
|
|
5.88
|
%
|
|
|
0.50
|
%
|
|
|
3.77
|
%
|
|
|
2.74
|
%
|
|
|
0.74
|
%
|
|
|
0.98
|
%
|
|
|
2.89
|
%
|
|
|
2.64
|
%
|
|
|
0.53
|
%
|
|
|
2.10
|
%
|
|
|
1.73
|
%
|
|
|
0.65
|
%
|
|
|
1.15
|
%
|
|
|
0.32
|
%
|
|
|
0.45
|
%
|
|
|
1.67
|
%
|
|
|
2.50
|
%
|
|
|
2.72
|
%
|
|
|
0.34
|
%
|
13-May-10
|
|
|
36.74
|
%
|
|
|
4.65
|
%
|
|
|
4.62
|
%
|
|
|
3.86
|
%
|
|
|
15.09
|
%
|
|
|
5.95
|
%
|
|
|
0.47
|
%
|
|
|
3.59
|
%
|
|
|
2.56
|
%
|
|
|
0.69
|
%
|
|
|
0.90
|
%
|
|
|
3.12
|
%
|
|
|
2.78
|
%
|
|
|
0.56
|
%
|
|
|
2.22
|
%
|
|
|
1.51
|
%
|
|
|
0.71
|
%
|
|
|
1.23
|
%
|
|
|
0.35
|
%
|
|
|
0.48
|
%
|
|
|
1.80
|
%
|
|
|
2.69
|
%
|
|
|
3.06
|
%
|
|
|
0.38
|
%
|
11-Jun-10
|
|
|
36.63
|
%
|
|
|
4.62
|
%
|
|
|
4.63
|
%
|
|
|
4.57
|
%
|
|
|
14.60
|
%
|
|
|
5.87
|
%
|
|
|
0.40
|
%
|
|
|
3.44
|
%
|
|
|
2.43
|
%
|
|
|
0.58
|
%
|
|
|
0.82
|
%
|
|
|
3.17
|
%
|
|
|
2.75
|
%
|
|
|
0.57
|
%
|
|
|
2.22
|
%
|
|
|
1.74
|
%
|
|
|
0.80
|
%
|
|
|
1.26
|
%
|
|
|
0.37
|
%
|
|
|
0.48
|
%
|
|
|
1.80
|
%
|
|
|
2.62
|
%
|
|
|
3.24
|
%
|
|
|
0.38
|
%
|
14-Jul-10
|
|
|
36.55
|
%
|
|
|
4.59
|
%
|
|
|
4.59
|
%
|
|
|
4.00
|
%
|
|
|
14.50
|
%
|
|
|
5.88
|
%
|
|
|
0.43
|
%
|
|
|
3.48
|
%
|
|
|
2.45
|
%
|
|
|
0.61
|
%
|
|
|
0.79
|
%
|
|
|
3.31
|
%
|
|
|
3.30
|
%
|
|
|
0.66
|
%
|
|
|
2.29
|
%
|
|
|
1.84
|
%
|
|
|
0.88
|
%
|
|
|
1.13
|
%
|
|
|
0.39
|
%
|
|
|
0.49
|
%
|
|
|
1.65
|
%
|
|
|
2.72
|
%
|
|
|
3.11
|
%
|
|
|
0.37
|
%
|
12-Aug-10
|
|
|
35.38
|
%
|
|
|
4.13
|
%
|
|
|
4.46
|
%
|
|
|
3.98
|
%
|
|
|
14.16
|
%
|
|
|
5.74
|
%
|
|
|
0.48
|
%
|
|
|
3.69
|
%
|
|
|
2.58
|
%
|
|
|
0.66
|
%
|
|
|
0.86
|
%
|
|
|
3.55
|
%
|
|
|
4.31
|
%
|
|
|
0.84
|
%
|
|
|
2.40
|
%
|
|
|
1.99
|
%
|
|
|
0.93
|
%
|
|
|
1.28
|
%
|
|
|
0.35
|
%
|
|
|
0.47
|
%
|
|
|
1.61
|
%
|
|
|
2.74
|
%
|
|
|
3.06
|
%
|
|
|
0.36
|
%
|
14-Sep-10
|
|
|
34.70
|
%
|
|
|
4.10
|
%
|
|
|
4.50
|
%
|
|
|
3.59
|
%
|
|
|
14.27
|
%
|
|
|
5.73
|
%
|
|
|
0.50
|
%
|
|
|
3.77
|
%
|
|
|
2.50
|
%
|
|
|
0.68
|
%
|
|
|
0.91
|
%
|
|
|
4.03
|
%
|
|
|
4.16
|
%
|
|
|
0.84
|
%
|
|
|
2.34
|
%
|
|
|
2.39
|
%
|
|
|
0.99
|
%
|
|
|
1.40
|
%
|
|
|
0.31
|
%
|
|
|
0.46
|
%
|
|
|
1.55
|
%
|
|
|
2.78
|
%
|
|
|
3.10
|
%
|
|
|
0.39
|
%
|
13-Oct-10
|
|
|
35.03
|
%
|
|
|
4.17
|
%
|
|
|
4.57
|
%
|
|
|
3.33
|
%
|
|
|
14.23
|
%
|
|
|
5.74
|
%
|
|
|
0.50
|
%
|
|
|
3.83
|
%
|
|
|
2.60
|
%
|
|
|
0.70
|
%
|
|
|
0.88
|
%
|
|
|
4.31
|
%
|
|
|
3.67
|
%
|
|
|
0.76
|
%
|
|
|
2.50
|
%
|
|
|
2.55
|
%
|
|
|
0.88
|
%
|
|
|
1.48
|
%
|
|
|
0.31
|
%
|
|
|
0.41
|
%
|
|
|
1.39
|
%
|
|
|
2.60
|
%
|
|
|
3.11
|
%
|
|
|
0.43
|
%
|
11-Nov-10
|
|
|
35.08
|
%
|
|
|
4.08
|
%
|
|
|
4.56
|
%
|
|
|
3.18
|
%
|
|
|
14.18
|
%
|
|
|
5.71
|
%
|
|
|
0.51
|
%
|
|
|
3.85
|
%
|
|
|
2.52
|
%
|
|
|
0.70
|
%
|
|
|
0.82
|
%
|
|
|
4.18
|
%
|
|
|
3.73
|
%
|
|
|
0.76
|
%
|
|
|
2.68
|
%
|
|
|
2.60
|
%
|
|
|
0.94
|
%
|
|
|
1.82
|
%
|
|
|
0.30
|
%
|
|
|
0.41
|
%
|
|
|
1.36
|
%
|
|
|
2.53
|
%
|
|
|
3.04
|
%
|
|
|
0.47
|
%
|
13-Dec-10
|
|
|
34.82
|
%
|
|
|
4.26
|
%
|
|
|
4.57
|
%
|
|
|
3.37
|
%
|
|
|
14.29
|
%
|
|
|
5.70
|
%
|
|
|
0.47
|
%
|
|
|
3.94
|
%
|
|
|
2.34
|
%
|
|
|
0.63
|
%
|
|
|
0.82
|
%
|
|
|
4.10
|
%
|
|
|
3.90
|
%
|
|
|
0.79
|
%
|
|
|
2.58
|
%
|
|
|
2.66
|
%
|
|
|
0.96
|
%
|
|
|
1.73
|
%
|
|
|
0.29
|
%
|
|
|
0.42
|
%
|
|
|
1.35
|
%
|
|
|
2.55
|
%
|
|
|
2.96
|
%
|
|
|
0.49
|
%
|
13-Jan-11
|
|
|
32.61
|
%
|
|
|
4.48
|
%
|
|
|
4.69
|
%
|
|
|
3.18
|
%
|
|
|
15.07
|
%
|
|
|
6.32
|
%
|
|
|
0.50
|
%
|
|
|
3.97
|
%
|
|
|
2.54
|
%
|
|
|
0.65
|
%
|
|
|
0.81
|
%
|
|
|
4.37
|
%
|
|
|
3.60
|
%
|
|
|
0.90
|
%
|
|
|
2.71
|
%
|
|
|
2.81
|
%
|
|
|
0.98
|
%
|
|
|
1.83
|
%
|
|
|
0.29
|
%
|
|
|
0.42
|
%
|
|
|
1.50
|
%
|
|
|
2.60
|
%
|
|
|
2.69
|
%
|
|
|
0.47
|
%
|
11-Feb-11
|
|
|
31.40
|
%
|
|
|
4.58
|
%
|
|
|
4.76
|
%
|
|
|
2.79
|
%
|
|
|
15.33
|
%
|
|
|
6.48
|
%
|
|
|
0.47
|
%
|
|
|
4.00
|
%
|
|
|
2.49
|
%
|
|
|
0.64
|
%
|
|
|
0.88
|
%
|
|
|
4.83
|
%
|
|
|
3.97
|
%
|
|
|
0.98
|
%
|
|
|
2.71
|
%
|
|
|
2.45
|
%
|
|
|
1.03
|
%
|
|
|
2.32
|
%
|
|
|
0.33
|
%
|
|
|
0.41
|
%
|
|
|
1.61
|
%
|
|
|
2.53
|
%
|
|
|
2.57
|
%
|
|
|
0.47
|
%
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Difference in commodity weights between the Index and the Reference Index on the 9
th
index business day each month
|
|
Date
|
|
CL
|
|
|
XB
|
|
|
HO
|
|
|
NG
|
|
|
CO
|
|
|
QS
|
|
|
LL
|
|
|
LP
|
|
|
LA
|
|
|
LX
|
|
|
LN
|
|
|
C
|
|
|
W
|
|
|
KW
|
|
|
S
|
|
|
SB
|
|
|
KC
|
|
|
CT
|
|
|
CC
|
|
|
FC
|
|
|
LH
|
|
|
LC
|
|
|
GC
|
|
|
SI
|
|
14-Sep-09
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.2
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
13-Oct-09
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
12-Nov-09
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
11-Dec-09
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
13-Jan-10
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
11-Feb-10
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
11-Mar-10
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
14-Apr-10
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
13-May-10
|
|
|
0.4
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
11-Jun-10
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
14-Jul-10
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
12-Aug-10
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
14-Sep-10
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
13-Oct-10
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
11-Nov-10
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
13-Dec-10
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
13-Jan-11
|
|
|
-0.1
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
11-Feb-11
|
|
|
0.3
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
-0.1
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
|
|
0.0
|
%
|
1
|
Rounded to one decimal place.
|
PS-37
The Index Return Calculations
The initial level of the Index was set to 100.000 as of December 30, 1999. For each index business day thereafter, the level of the Index will be
calculated by the index sponsor in accordance with the Reference Index methodology, except that for purposes of calculation, in respect of each commodity that forms part of, or that, after the next Reference Index Roll Period, will form part of the
Reference Index:
|
1.
|
except for commodities in the Precious Metals Group, the nearby futures contract of that commodity on such index business day will be deemed to be the current futures
contract of that commodity in the Index (i.e., the Selected Contract of that commodity as determined by the Barclays Pure Beta Series 2 Methodology, on the Observation Date immediately preceding the immediately preceding Observation Date);
|
|
2.
|
except for commodities in the Precious Metals Group, the next nearby futures contract of that commodity for such index business day will be deemed to be the Selected
Contract of that commodity as determined by the Barclays Pure Beta Series 2 Methodology, on the immediately preceding Observation Date;
|
|
3.
|
the percentage dollar weight for the futures contract then currently included in the Index will be deemed to be the Adjusted Percentage Dollar Weight for such futures
contract, as determined in accordance with the monthly rebalancing process; and
|
|
4.
|
the percentage dollar weight for the Selected Contract into which the Index will roll in the subsequent Reference Index Roll Period shall be the Adjusted Percentage
Dollar Weight for such Selected Contract, as determined in accordance with the monthly rebalancing process.
|
PS-38
Historical Performance of the Index
The Index was launched on October 30, 2009 and the base date for the Index is December 31, 1999. All data relating to the period prior to the
launch date of the Index is an historical estimate by the index sponsor using available data as to how the Index may have performed in the pre-launch date period. Such data does not represent actual performance and should not be interpreted as an
indication of actual performance. Accordingly, the following table and graph illustrate:
|
(i)
|
on a hypothetical basis, how the Index would have performed from December 31, 1999 to October 30, 2009 based on the selection criteria and methodology
described above; and
|
|
(ii)
|
on an actual basis, how the Index has performed from October 30, 2009 onwards.
|
|
|
|
|
|
Date
|
|
Index Value
|
|
December 31, 1999
|
|
|
100.0000
|
|
December 29, 2000
|
|
|
142.2826
|
|
December 31, 2001
|
|
|
115.7864
|
|
December 31, 2002
|
|
|
157.8418
|
|
December 31, 2003
|
|
|
203.7612
|
|
December 31, 2004
|
|
|
280.2568
|
|
December 30, 2005
|
|
|
400.2727
|
|
December 29, 2006
|
|
|
391.2319
|
|
December 31, 2007
|
|
|
538.2280
|
|
December 31, 2008
|
|
|
317.2824
|
|
December 31, 2009
|
|
|
381.5893
|
|
December 31, 2010
|
|
|
424.6045
|
|
December 30, 2011
|
|
|
424.2794
|
|
December 31, 2012
|
|
|
420.8795
|
|
March 28, 2013
|
|
|
423.9410
|
|
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
Barclays Pure Beta Series-2 TR Index Historical Performance
December 31, 1999 March 28, 2013
PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RESULTS
PS-39
Modifications to the Index
The index sponsor does not presently intend to modify the Index. However, under certain circumstances described in this section, the index sponsor may, in its sole discretion and in a commercially
reasonable manner, make modifications to the Index. The index sponsor will publish any such modifications on
http://ecommerce.barcap.com/indices/index.dxml
.
Index Disruption Events
If, on any index business day, an Index Disruption Event (as
defined below) occurs that, in the sole discretion of the index sponsor, affects the Index, the index sponsor may:
|
|
make, in its sole discretion, such determinations and/or adjustments in relation to (a) the methodology used to calculate the Index as the index
sponsor considers necessary in order to maintain the objectives of the Index, or (b) the Index value as the index sponsor considers appropriate;
|
|
|
defer publication of the Index value and any other information relating to the Index until it determines, in its sole discretion, that no Index
Disruption Event is occurring;
|
|
|
replace any Index Component(s) and/or the Reference Index with any successor reference asset(s) that the index sponsor considers appropriate for the
purposes of continuing the Index;
|
|
|
defer or suspend publication of the Index in its sole discretion at any time; and/or
|
|
|
discontinue supporting the Index or terminate the calculation of the Index value and the publication of the Index value.
|
Any of the following will be an
Index Disruption Event
:
|
|
a material limitation, suspension or disruption in the trading of any Index Component(s) (including, but not limited to, the occurrence or announcement
of a day on which there is a limitation on, or suspension of, the trading of any Index Component(s) imposed by the relevant exchange, trading facility or market by reason of movements exceeding limit up or limit down levels
permitted by the relevant exchange, trading facility or market) that results in a failure by the relevant exchange, trading facility or market to report the closing price of any Index Component(s) on any index business day;
|
|
|
the index sponsor determines, in its sole discretion, that any Index Component(s) have ceased (or will cease) to be liquid, traded and/or publicly
quoted for any reason in a manner acceptable to the index sponsor;
|
|
|
the index sponsor determines, in its sole discretion, that the Reference Index has ceased (or will cease) to be publicly quoted for any reason in a
manner acceptable to the index sponsor;
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the index sponsor determines, in its sole discretion, that (a) a change in the quality, construction, composition, or calculation methodology of
the closing price of any Index Component(s) and/or the Reference Index has occurred, and/or (b) any event or measure that results in any Index Component(s) and/or the Reference Index being changed or altered has occurred;
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the index sponsor deems it necessary, at any time and in its sole discretion, to replace any Index Component(s) and/or the Reference Index with an
appropriate successor or appropriate successors in order to maintain the objectives of the Index;
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the index sponsor determines, at any time, that as a result of a change in taxation (including, but not limited to, any tax imposed on the index
sponsor or its affiliates), it is necessary to change any Index Component(s) or the methodology used to compose or calculate the Index;
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an Index Force Majeure Event, as defined below, that lasts for at least 30 consecutive calendar days; and/or
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any other event that would make the calculation of the Index impossible or infeasible, technically or otherwise, or that
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makes the Index non-representative of market prices or undermines the objectives of the Index or the reputation of the Index as a fair and tradable benchmark.
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The following event will not be an Index Disruption Event:
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a limitation on the hours or numbers of days of trading on the relevant exchanges, trading facilities or markets, but only if the limitation results
from an announced change in the regular business hours of the relevant exchanges, trading facilities or markets.
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Reference Index Change Events
If a
Reference Index Change Event (as defined below) occurs, the index sponsor shall modify the Index in order to reflect the changes to the Reference Index, except in circumstances where, as a result of such changes:
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the Index would cease to be a tradable Index that is readily accessible to market participants; and/or
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it would be impossible or impractical for the index sponsor to continue to apply the Pure Beta Series 2 Methodology
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in each case as determined in the sole discretion of the index sponsor, in which case the index sponsor may, in its sole discretion:
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make such determinations and/or adjustments to the Index as the index sponsor considers necessary in order to maintain the objectives of the Index; or
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continue to use the version of the Index that was used by the index sponsor to calculate the level of the Index immediately prior to the Reference
Index Change Event.
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A
Reference Index Change Event
means any change to the Reference Index made by the
index sponsor of the Reference Index, as determined by the index sponsor in its sole discretion, including, without limitation, the inclusion of a new Index Commodity in the Reference Index or in the list of commodities eligible for inclusion in the
Reference Index.
Index Force Majeure Events
If, on any index business day, an Index Force Majeure Event (as defined below) occurs that, in the sole discretion of the index sponsor, affects the Index, the index sponsor may, in order to take into
account such Index Force Majeure Event:
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make, in its sole discretion, such determinations and/or adjustments in relation to (a) the methodology used to calculate the Index as the index
sponsor considers necessary in order to maintain the objectives of the Index, or (b) the Index value as the index sponsor considers appropriate; and/or
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defer publication of the Index value and any other information relating to the Index until it determines, in its sole discretion, that no Index Force
Majeure Event is occurring.
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An
Index Force Majeure Event
means an event or circumstance (including,
without limitation, a systems failure, natural or man-made disaster, act of God, armed conflict, act of terrorism, riot or labor disruption or any similar intervening circumstance) that is beyond the reasonable control of the index sponsor and that
the index sponsor determines affects the Index and/or any Index Component(s) and/or the Reference Index.
Change in Methodology
While the index sponsor currently employs the methodology described in this pricing supplement to calculate the Index, from time to time
it may be necessary to modify the methodology (including the information or inputs on which the Index is based). The index sponsor reserves the right, in its sole discretion, to make such modifications to the methodology in a commercially reasonable
manner. Where the index sponsor elects to make a modification or change in the methodology, the index sponsor will make reasonable efforts to ensure that such modifications will result in a methodology that is consistent with the methodology
described above.
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Termination
The index sponsor may, in its sole discretion, at any time and without notice, terminate the calculation and/or publication of the Index value.
Errors
The index sponsor reserves the right to make adjustments to correct errors
contained in previously published information relating to the Index, including but not limited to the Index value, and to publish the corrected information, but is under no obligation to do so and shall have no liability in respect of any errors or
omissions contained in any subsequent publication. Notwithstanding the above, the index sponsor will not adjust or correct any previously published Index value other than in cases of manifest error.
Adjustments
The index sponsor may, at
any time and without notice, change the name of the Index, the place and time of the publication of the Index value and the frequency of publication of the Index value.
Disclaimer
The index sponsor does not guarantee the accuracy and/or completeness of
the Index, any data included therein, or any data from which it is based, and the index sponsor shall have no liability for any errors, omissions, or interruptions therein.
The index sponsor makes no warranty, express or implied, as to the results to be obtained from the use of the Index. The index sponsor makes no express or implied warranties, and expressly disclaims all
warranties of merchantability or fitness for a particular purpose or use with respect to the Index or any data included therein. Without limiting any of the foregoing, in no event shall the index sponsor have liability for any special, punitive,
indirect or consequential damages, lost profits, loss of opportunity or other financial loss, even if notified of the possibility of such damages.
Neither the index sponsor nor any of its affiliates or subsidiaries or any of their respective directors, officers, employees, representatives, delegates or agents shall have any responsibility to any
person (whether as a result of negligence or otherwise) for any determination made or anything done (or omitted to be determined or done) in respect of the Index or publication of the Index value (or failure to publish such value) and any use to
which any person may put the Index or the Index value. In addition, although the index sponsor reserves the right to make adjustments to correct previously incorrectly published information, including but not limited to the Index value, the index
sponsor is under no obligation to do so and shall have no liability in respect of any errors or omissions.
Nothing in this disclaimer shall
exclude or limit liability to the extent such exclusion or limitation is not permitted by law.
License Agreement
Standard & Poors
®
and
S&P
®
are registered trademarks of Standard & Poors Financial Services LLC
(SPFS); Dow Jones
®
is a registered trademark of Dow Jones Trademark Holdings LLC (Dow
Jones); and these trademarks have been licensed for use by S&P Dow Jones Indices LLC (S&P Indices). S&P GSCI
®
, S&P GSCI
®
Index, S&P GSCI
®
Total Return Index, and S&P GSCI
®
Commodity Index are trademarks of SPFS and have been licensed for use by S&P Indices and its affiliates
and sublicensed for certain purposes by Barclays Bank PLC. S&P Indices, Dow Jones, SPFS, or any of their respective subsidiaries or affiliates (collectively, S&P Dow Jones Indices) make no representation, condition or warranty,
express or implied, to the owners of the Securities or any member of the public regarding the advisability of investing in securities generally or in the ETNs particularly or the ability of the S&P GSCI or any of its sub-indices to track general
stock market performance.
S&P Indices only relationship to Barclays Bank PLC is the licensing of certain trademarks and trade names
of S&P and of the Indices, which are determined, composed and calculated by S&P Indices without regard to Barclays Bank PLC or the ETNs. S&P Indices has no obligation to take the needs of Barclays Bank PLC or the owners of the ETNs into
consideration in determining, composing or calculating the Indices. S&P Indices is not responsible for and has not participated in the determination of the
PS-42
timing of, prices at, or quantities of the ETNs to be issued or in the determination or calculation of the equation by which the ETNs are to be converted into cash. S&P Indices has no
obligation or liability in connection with the administration, marketing or trading of the ETNs.
S&P INDICES DOES NOT GUARANTEE THE
ACCURACY AND/OR THE COMPLETENESS OF THE INDICES OR ANY DATA INCLUDED THEREIN AND S&P INDICES SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS, OR INTERRUPTIONS THEREIN. S&P INDICES MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE
OBTAINED BY BARCLAYS BANK PLC, OWNERS OF THE ETNS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDICES OR ANY DATA INCLUDED THEREIN. S&P INDICES MAKES NO 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 S&P INDICES HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT, OR
CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.
VALUATION OF THE ETNS
The market value of the ETNs will be affected by several factors, many of which are beyond our control. We
expect that generally the level of the Index on any day will affect the market value of the ETNs more than any other factors. Other factors that may influence the market value of the ETNs include, but are not limited to, supply and demand for the
ETNs, the volatility of the Index, the market price of the Index Components, the Treasury Bill rate of interest, the volatility of commodities prices, economic, financial, political, regulatory, or judicial events that affect the value of the Index
or the market price of Index Components, the general interest rate environment, as well as the perceived creditworthiness of Barclays Bank PLC. See Risk Factors in this pricing supplement for a discussion of the factors that may
influence the market value of the ETNs prior to maturity.
Intraday Indicative Value
An intraday indicative value meant to approximate the intrinsic economic value of the ETNs will be calculated and published every 15 seconds during each
trading day by NYSE Arca or a successor via the facilities of the Consolidated Tape Association under the ticker symbol SBV.IV. In connection with the ETNs, we use the term
intraday indicative value
to refer to the
value at a given time determined based on the following equation:
Intraday Indicative Value = Closing Indicative Value on the immediately
preceding calendar day × Current Daily Index Factor
where:
Closing Indicative Value = The closing indicative value of the ETNs as described in this pricing supplement;
Current Daily Index Factor = The most recent published level of the Index as reported by the index sponsor / the closing level of the Index on the immediately preceding trading day; and
The intraday indicative value calculation will be provided for reference purposes only. It is not intended as a price or quotation, or as an offer or
solicitation for the purchase, sale, redemption or termination of your ETNs, nor will it reflect hedging or transaction costs, credit considerations, market liquidity or bid-offer spreads. Furthermore, as the intraday indicative note value is
calculated using the closing indicative note value on the immediately preceding calendar day, the intraday indicative note value published at any time during a given trading day will not reflect the futures execution cost or the investor fee that
may have accrued over the course of such trading day. Published Index levels from the index sponsor may occasionally be subject to delay or postponement. Any such delays or postponements will affect the current Index level and
therefore the intraday indicative value of your ETNs. Index levels provided by the index sponsor will not necessarily reflect the depth and liquidity of the underlying commodities markets. For this reason and others, the actual trading
price of the ETNs may be different from their intraday indicative value.
As discussed in Specific Terms of the ETNsPayment Upon
Holder Redemption and Upon
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Issuer Redemption, you may, subject to certain restrictions, choose to redeem your ETNs on any redemption date during the term of the ETNs. If you redeem your ETNs on a particular
redemption date, you will receive a cash payment on such date in U.S. dollars per ETN in an amount equal to the closing indicative value on the applicable valuation date. You must redeem at least 50,000 ETNs at one time in order to exercise your
right to redeem your ETNs on any redemption date. The daily redemption feature is intended to induce arbitrageurs to counteract any trading of the ETNs at a discount to their indicative value, though there can be no assurance that arbitrageurs will
employ the redemption feature in this manner.
NYSE Arca is not affiliated with Barclays Bank PLC and does not approve, endorse, review or
recommend Barclays Bank PLC or the ETNs.
The closing indicative note value, the intraday indicative note value and other information
furnished in connection with the of ETNs will be derived from sources deemed reliable, but NYSE Arca and its suppliers do not guarantee the correctness or completeness of the closing indicative note value, the intraday indicative note value or other
information furnished in connection with the of ETNs. NYSE ARCA MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY BARCLAYS BANK PLC, BARCLAYS BANK PLCS CUSTOMERS, HOLDERS OF THE ETNS, OR ANY OTHER PERSON OR ENTITY FROM THE
USE OF THE CLOSING INDICATIVE NOTE VALUE, THE INTRADAY INDICATIVE NOTE VALUE OR ANY DATA INCLUDED THEREIN WITH RESPECT TO THE ETNs. NYSE ARCA MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR
FITNESS FOR A PARTICULAR PURPOSE WITH RESPECT TO THE CLOSING INDICATIVE NOTE VALUE, THE INTRADAY INDICATIVE NOTE VALUE OR ANY DATA INCLUDED THEREIN WITH RESPECT TO THE ETNs.
NYSE Arca and its employees, subcontractors, agents, suppliers and vendors shall have no liability or responsibility, contingent or otherwise, for any injury or damages, whether caused by the negligence
of either NYSE Arca or its employees, subcontractors, agents, suppliers or vendors or otherwise, arising in connection with the closing indicative note value, the intraday indicative note value or any data included therein with respect to the ETNs,
and shall not be liable for any lost profits, losses, punitive, incidental or consequential damages. NYSE Arca shall not be responsible for or have any liability for any injuries or damages caused by errors, inaccuracies, omissions or any other
failure in, or delays or interruptions of, the closing indicative note value, the intraday indicative note value or any data included therein with respect to the ETNs, from whatever cause. NYSE Arca is not responsible for the selection of or use of
the Index or the ETNs, the accuracy and adequacy of the Index or information used by Barclays Bank PLC and the resultant output thereof.
SPECIFIC TERMS OF THE ETNS
In this section, references to
holders
mean those who own the ETNs registered in their own names, on the books that we or the trustee maintain for this purpose, and not those who own beneficial interests in the ETNs registered in street name or in the ETNs
issued in book-entry form through DTC or another depositary. Owners of beneficial interests in the ETNs should read the section entitled Description of Debt SecuritiesLegal Ownership; Form of Debt Securities in the accompanying
prospectus.
The ETNs are part of a series of debt securities entitled Global Medium-Term Notes, Series A (the
medium-term notes
) that we may issue under the indenture, dated September 16, 2004, between Barclays Bank PLC and The Bank of New York Mellon, as trustee, from time to time. This pricing supplement summarizes specific
financial and other terms that apply to the ETNs. Terms that apply generally to all medium-term notes are described in Description of Medium-Term Notes and Terms of the Notes in the accompanying prospectus supplement, and
terms that apply generally to all index-linked notes are described in Reference AssetsIndices in the accompanying prospectus supplement. The terms described here (
i.e.,
in this pricing supplement) supplement those described
in the accompanying prospectus, prospectus supplement and any related free writing prospectuses and, if the terms described here are inconsistent with those described in
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those documents, the terms described here are controlling.
Please note that the
information about the price to the public and the proceeds to Barclays Bank PLC on the front cover of this pricing supplement relates only to the initial sale of the ETNs. If you have purchased the ETNs in a market-making transaction after the
initial sale, information about the price and date of sale to you will be provided in a separate confirmation of sale.
We describe the terms
of the ETNs in more detail below.
Coupon
We will not pay you interest during the term of the ETNs.
Denomination
We will offer the ETNs in denominations of $50.
Payment at Maturity
If you or we have not previously redeemed your ETNs, you will receive
a cash payment in U.S. dollars at maturity per ETN in an amount equal to the closing indicative value on the final valuation date.
Inception, Issuance and Maturity
The ETNs and were first sold on April 20, 2011,
which we refer to as their inception date. The ETNs were first issued on April 26, 2011
,
and will be due on April 18, 2041.
If the maturity date stated on the cover of this pricing supplement is not a business day, the maturity date will be the next following business day. If
the fifth business day before this day does not qualify as a valuation date (as described below), then the maturity date will be the fifth business day following the final valuation date. The calculation agent may postpone the final valuation
dateand therefore the maturity dateif a market disruption event occurs or is continuing on a day that would otherwise be the final valuation date. We describe market disruption events under Market Disruption Event
below.
In the event that payment at maturity is deferred beyond the stated maturity date, penalty interest will not accrue or be payable with
respect to that deferred payment.
Payment Upon Holder Redemption and Upon Issuer Redemption
Prior to maturity, you may, subject to certain restrictions, choose to redeem your ETNs on any redemption date during the term of the ETNs, provided that
you present at least 50,000 ETNs for redemption, or your broker or other financial intermediary (such as a bank or other financial institution not required to register as a broker-dealer) to engage in securities transactions) bundles your ETNs for
redemption with those of other investors to reach this minimum. If you redeem your ETNs on a particular redemption date, you will receive a cash payment in U.S. dollars per ETN on such date in an amount equal to the closing indicative value on the
applicable valuation date. You must redeem at least 50,000 ETNs at one time in order to exercise your right to redeem your ETNs on any redemption date. We may from time to time in our sole discretion reduce, in part or in whole, the minimum
redemption amount of 50,000 ETNs. Any such reduction will be applied on a consistent basis for all holders of ETNs at the time the reduction becomes effective.
Prior to maturity, we may redeem the ETNs (in whole but not in part) at our sole discretion on any trading day on or after the inception date until and including maturity. If we redeem the ETNs, you will
receive a cash payment in U.S. dollars per ETN in an amount equal to the closing indicative value on the applicable valuation date.
In the
event that payment upon redemption is deferred beyond the original redemption date, penalty interest will not accrue or be payable with respect to that deferred payment.
Closing Indicative Value
The closing indicative value for the ETNs on any calendar day
will be calculated in the following manner. The closing indicative value on the inception date will equal $50. On each subsequent calendar day until maturity or early redemption, the closing indicative value will be equal to (1) the closing
indicative value on the immediately preceding calendar day
times
(2) the daily index factor on such calendar day (or, if such day is not a trading day, one)
minus
(3) the
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investor fee on such calendar day
minus
(4) the futures execution cost on such calendar day.
Daily Index Factor
The daily index factor for the ETNs on any index business day will be
equal to (1) the closing level of the Index on such index business day
divided by
(2) the closing level of the Index on the immediately preceding index business day.
Investor Fee
The
investor fee for each ETN is 0.75% per year
times
the closing indicative value
times
the daily index factor, calculated on a daily basis in the following manner. The investor fee on the inception date will equal zero. On each
subsequent calendar day until maturity or early redemption, the investor fee will be equal to (1) 0.75%
times
(2) the closing indicative value on the immediately preceding calendar day
times
(3) the daily index factor on
that day (or, if such day is not an index business day, one)
divided by
(4) 365. Because the investor fee is calculated and subtracted from the closing indicative value on a daily basis, the net effect of the fee accumulates over time
and is subtracted at the rate of 0.75% per year.
Futures execution Cost
The futures execution cost is designed to approximate the estimated costs of maintaining a rolling position in the futures contracts underlying the
Index. The futures execution cost per ETN on any given calendar day will be calculated in the following manner: The futures execution cost for the ETNs on the inception date will equal zero. On each subsequent calendar day until maturity or early
redemption of the ETNs, the futures execution cost for each ETN will be equal to (1) 0.10%
times
(2) the applicable closing indicative value on the immediately preceding calendar day
time
s (3) the applicable daily index
factor on such calendar day (or, if such day is not an index business day, one)
divided by
(4) 365. The net effect of the futures execution cost accumulates over time and is subtracted at the rate of 0.10% per year.