Dow Jones Indexes Commodity Index Pre-Roll Analysis

Dow Jones Indexes Commodity Index Pre-Roll Analysis

Dow Jones Indexes Analytics & Research

Summary

Commodity Crude Oil Unleaded Gas Heating Oil Natural Gas Energy Subtotal Corn Soybeans Wheat Coffee Cotton Sugar Soybean Oil Agriculture Subtotal Aluminum Copper Nickel Zinc Industrial Metals Subtotal Gold Silver Precious Metals Subtotal Lean Hogs Live Cattle Livestock Subtotal Total

Current Index Weight

13.71% 3.80% 4.07% 9.95%

31.52% 8.02% 7.66% 4.16% 2.75% 1.40% 3.05% 2.79%

29.84% 4.74% 6.79% 1.87% 2.43%

15.83% 13.06%

4.40% 17.45%

2.00% 3.35% 5.35% 100.00%

Roll Yield Analysis

Roll

30-Day

Contract

Roll Yield

NO

N/A

NO

N/A

NO

N/A

NO

N/A

Post-Roll Contract

30-Day Average

Open

Trading Volume

Interest

121,512

186,308

41,067

41,965

35,514

43,118

65,393

193,442

NO NO NO NO NO YES NO

N/A N/A N/A N/A N/A -0.43% N/A

167,695 55,699 42,348 10,462 8,738 21,449 24,383

743,717 360,735 218,181

75,011 92,824 175,475 160,290

NO

N/A

21,896

48,071

NO

N/A

3,196

76,873

NO

N/A

2,802

7,267

NO

N/A

9,541

29,657

NO

N/A

30,252

340,586

NO

N/A

26,788

77,493

YES YES

1.57% -0.81%

2,379 3,441

88,989 103,798

Roll Yield Analysis

Current

Roll

30-Day

Commodity

Index Weight

Contract

Roll Yield

Brent Crude*

N/A

YES

-0.08%

Cocoa*

N/A

NO

N/A

Feeder Cattle*

N/A

YES

0.21%

Gas Oil*

N/A

NO

N/A

Lead*

N/A

NO

N/A

Orange Juice*

N/A

NO

N/A

Platinum*

N/A

YES

0.02%

Soybean Meal*

N/A

NO

N/A

Tin*

N/A

NO

N/A

*Maintained as a single subindex (e.g., not a direct subset of the Dow Jones-UBS Commodity Index)

Post-Roll Contract

30-Day Average

Open

Trading Volume

Interest

45,259

40,192

10,372

68,679

120

3,879

38,455

70,493

5,405

8,572

1,065

17,791

819

4,439

19,528

122,142

434

1,449

Data as of September 1, 2011. Sources: Dow Jones Indexes; Bloomberg.

Highlights for the Dow Jones-UBS Commodity Index as of September 1, 2011

This month's roll period will take place from Wednesday, September 7 to Tuesday, September 13. The next monthly roll period will take place from Friday, October 7 to Thursday, October 13.

This month, only Sugar, Lean Hogs and Live Cattle are rolling within the Dow Jones-UBS Commodity Index. All other commodities are currently positioned in Nov-2011 futures contracts or later.

The largest price increases in component futures contracts over the last 30 days come from Coffee (+18.1%), Gold (+12.8%), Corn (+7.7%), Silver (+5.6%), Wheat (+5.6%) and Soybeans (+5.3%).

The largest price decreases in component futures contracts over the last 30 days come from Nickel (-11.2%), Zinc (-8.4%), Crude Oil (-6.8%), Aluminum (6.4%), Lean Hogs (-6.4%) and Copper (-6.1%).

David Krein | Senior Director, Product Development & Analytics | (609) 520-4107 | david.krein@ Jeffrey Fernandez | Project Manager | (609) 520-5630 | jeffrey.fernandez@

Dow Jones Indexes Commodity Index Pre-Roll Analysis

Dow Jones Indexes Analytics & Research

Crude Oil

30-Day Average Trading Volume 105.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 400,000

100.0

350,000 300,000

Price

95.0

250,000

200,000

90.0

150,000

100,000 85.0

50,000

80.0

0

Volume / Open Interest

Crude Oil

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 #N/A 88.93 89.24 89.62 89.94 90.22 90.48 90.71 90.92 91.13 91.21 91.37

30-Day Average Trading Volume

#N/A 338,268 121,512

59,815 59,305 12,335

8,395 7,846 5,268 8,746 13,719 2,608

Open Interest #N/A

285,769 186,308 210,088

91,741 32,477 40,595 27,191 26,646 78,470 34,522 16,235

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Nov-2011 Post-Roll Future: Nov-2011

Current Weight: 13.71% Contract Size: 1,000 barrels

Contract Value: $89,240 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: USD/barrel

Next Roll Date: Nov-2011

Price

Unleaded Gas

30-Day Average Trading Volume 320.0 300.0 280.0 260.0 240.0 220.0 200.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0

Volume / Open Interest

Unleaded Gas

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 #N/A 289.27 283.72 280.60 279.86 280.52 281.21 291.86 291.10 288.42 287.28 285.02

30-Day Average Trading Volume

#N/A 40,394 41,067 17,351 12,845

4,490 1,327 1,060

571 386 1,087 210

Open Interest #N/A

81,367 41,965 44,516 26,326

8,582 12,147

6,659 3,604 12,420 1,012

413

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Nov-2011 Post-Roll Future: Nov-2011

Current Weight: 3.80% Contract Size: 42,000 gal

Contract Value: $119,162 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/gallon

Next Roll Date: Nov-2011

Heating Oil

30-Day Average Trading Volume 320.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 120,000

Price

310.0 300.0 290.0 280.0 270.0 260.0

100,000 80,000 60,000 40,000 20,000

250.0

0

Sources: Dow Jones Indexes; Bloomberg.

Volume / Open Interest

Heating Oil

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 #N/A 305.18 306.08 306.93 307.84 307.43 306.11 303.69 303.52 300.49 302.72 303.27

30-Day Average Trading Volume

#N/A 42,520 35,514 13,322 13,603

6,713 2,007 1,444

695 635 1,781 335

Open Interest #N/A

95,937 43,118 52,718 32,253 11,589 10,102

5,617 5,609 27,710 2,589 1,302

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Nov-2011 Post-Roll Future: Nov-2011

Current Weight: 4.07% Contract Size: 42,000 gallons

Contract Value: $128,554 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/gallon

Next Roll Date: Nov-2011

David Krein | Senior Director, Product Development & Analytics | (609) 520-4107 | david.krein@ Jeffrey Fernandez | Project Manager | (609) 520-5630 | jeffrey.fernandez@

Dow Jones Indexes Commodity Index Pre-Roll Analysis

Dow Jones Indexes Analytics & Research

Price

Natural Gas

30-Day Average Trading Volume 4.8 4.6 4.4 4.2 4.0 3.8 3.6 3.4 3.2 3.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 250,000 200,000 150,000 100,000 50,000 0

Volume / Open Interest

Natural Gas

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 #N/A 4.05 4.17 4.38 4.50 4.50 4.47 4.44 4.47 4.51 4.56 4.58

30-Day Average Trading Volume

#N/A 104,948

65,393 41,175 21,821 18,453

7,095 6,864 7,663 1,643

931 815

Open Interest #N/A

186,351 193,442

83,686 157,056

36,253 44,707 75,733 17,168 13,409 10,716 10,000

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Nov-2011 Post-Roll Future: Nov-2011

Current Weight: 9.95% Contract Size: 10,000 mmbtu

Contract Value: $41,660 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: USD/mmbtu

Next Roll Date: Nov-2011

Corn

30-Day Average Trading Volume 800.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 800,000

750.0 700.0

700,000 600,000 500,000

Price

650.0

400,000

600.0 550.0

300,000 200,000 100,000

500.0

0

Volume / Open Interest

Corn

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 728.75 #N/A #N/A 738.50 #N/A #N/A 750.75 #N/A 756.50 #N/A 760.00 #N/A

30-Day Average Trading Volume

73,304 #N/A #N/A

167,695 #N/A #N/A

22,178 #N/A 5,453 #N/A 7,802 #N/A

Open Interest 12,208 #N/A #N/A

743,717 #N/A #N/A

203,812 #N/A

45,473 #N/A

83,449 #N/A

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

99 999

Pre-Roll Future: Dec-2011 Post-Roll Future: Dec-2011

Current Weight: 8.02% Contract Size: 5,000 bushels

Contract Value: $36,925 Next Future: Mar-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/bushel

Next Roll Date: Dec-2011

Soybeans

30-Day Average Trading Volume 1,500.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 400,000

1,450.0 1,400.0

350,000 300,000 250,000

Price

1,350.0

200,000

1,300.0 1,250.0

150,000 100,000 50,000

1,200.0

0

Sources: Dow Jones Indexes; Bloomberg.

Volume / Open Interest

Soybeans

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 1,424.75 #N/A 1,434.50 #N/A 1,445.25 #N/A 1,449.75 #N/A 1,446.25 #N/A 1,450.25 1,449.00

30-Day Average Trading Volume

11,993 #N/A

55,699 #N/A

56,754 #N/A 9,608 #N/A 5,795 #N/A 4,753 1,486

Open Interest 5,673 #N/A

360,735 #N/A

73,761 #N/A

48,638 #N/A

49,451 #N/A

29,995 696

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Nov-2011 Post-Roll Future: Nov-2011

Current Weight: 7.66% Contract Size: 5000 bu

Contract Value: $71,725 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/bushel

Next Roll Date: Nov-2011

David Krein | Senior Director, Product Development & Analytics | (609) 520-4107 | david.krein@ Jeffrey Fernandez | Project Manager | (609) 520-5630 | jeffrey.fernandez@

Dow Jones Indexes Commodity Index Pre-Roll Analysis

Dow Jones Indexes Analytics & Research

Wheat

30-Day Average Trading Volume 850.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 250,000

800.0 750.0 700.0

200,000 150,000

Price

650.0 600.0 550.0

100,000 50,000

500.0

0

Volume / Open Interest

Wheat

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 715.50 #N/A #N/A 761.00 #N/A #N/A 797.50 #N/A 812.00 #N/A 814.50 #N/A

30-Day Average Trading Volume

39,081 #N/A #N/A

42,348 #N/A #N/A 7,549 #N/A 1,550 #N/A 2,946 #N/A

Open Interest 2,090 #N/A #N/A

218,181 #N/A #N/A

79,971 #N/A

16,658 #N/A

53,947 #N/A

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

99 999

Pre-Roll Future: Dec-2011 Post-Roll Future: Dec-2011

Current Weight: 4.16% Contract Size: 5,000 bushel

Contract Value: $38,050 Next Future: Mar-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/bushel

Next Roll Date: Dec-2011

Price

Coffee

30-Day Average Trading Volume 300.0 290.0 280.0 270.0 260.0 250.0 240.0 230.0 220.0 210.0 200.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0

Volume / Open Interest

Coffee

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 290.70 #N/A #N/A 289.75 #N/A #N/A 292.05 #N/A 291.85 #N/A 290.05 #N/A

30-Day Average Trading Volume

8,807 #N/A #N/A 10,462 #N/A #N/A 2,003 #N/A

518 #N/A

163 #N/A

Open Interest 341

#N/A #N/A 75,011 #N/A #N/A 19,473 #N/A 8,577 #N/A 2,678 #N/A

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

99 999

Pre-Roll Future: Dec-2011 Post-Roll Future: Dec-2011

Current Weight: 2.75% Contract Size: 37,500 lbs

Contract Value: $108,656 Next Future: Mar-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/pound

Next Roll Date: Dec-2011

Price

Cotton

30-Day Average Trading Volume 107.0 106.0 105.0 104.0 103.0 102.0 101.0 100.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 100,000 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0

Sources: Dow Jones Indexes; Bloomberg.

Volume / Open Interest

Cotton

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 #N/A 106.08 #N/A 105.78 #N/A #N/A 103.13 #N/A 102.23 #N/A 101.48 #N/A

30-Day Average Trading Volume

#N/A 53

#N/A 8,738 #N/A #N/A 2,282 #N/A

490 #N/A

290 #N/A

Open Interest #N/A 433 #N/A

92,824 #N/A #N/A

35,032 #N/A 6,424 #N/A 9,387 #N/A

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

99 999

Pre-Roll Future: Dec-2011 Post-Roll Future: Dec-2011

Current Weight: 1.40% Contract Size: 50,000 lbs

Contract Value: $52,890 Next Future: Mar-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/pound

Next Roll Date: Dec-2011

David Krein | Senior Director, Product Development & Analytics | (609) 520-4107 | david.krein@ Jeffrey Fernandez | Project Manager | (609) 520-5630 | jeffrey.fernandez@

Dow Jones Indexes Commodity Index Pre-Roll Analysis

Dow Jones Indexes Analytics & Research

Sugar

30-Day Average Trading Volume 32.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 300,000

30.0

250,000

28.0

200,000

Price

26.0

150,000

24.0

100,000

22.0

50,000

20.0

0

Volume / Open Interest

Sugar

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 #N/A 29.59 #N/A #N/A #N/A #N/A 28.73 #N/A 27.25 #N/A 26.00 #N/A

30-Day Average Trading Volume

#N/A 44,453

#N/A #N/A #N/A #N/A 21,449 #N/A 6,696 #N/A 4,458 #N/A

Open Interest #N/A

239,666 #N/A #N/A #N/A #N/A

175,475 #N/A

45,366 #N/A

64,889 #N/A

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

99999

Pre-Roll Future: Oct-2011 Post-Roll Future: Mar-2012

Current Weight: 3.05% Contract Size: 112,000 lbs

Contract Value: $32,178 Next Future: Mar-2012

Roll Contract: YES 30-Day Roll Yield: -0.43%

Price Quote: U.S. cents/pound

Next Roll Date: Oct-2011

Price

Soybean Oil

30-Day Average Trading Volume 60.0 59.0 58.0 57.0 56.0 55.0 54.0 53.0 52.0 51.0 50.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 180,000 160,000 140,000 120,000 100,000 80,000 60,000 40,000 20,000 0

Volume / Open Interest

Soybean Oil

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 57.71 57.85 #N/A 58.23 58.42 #N/A 58.53 #N/A 58.52 #N/A 58.63 59.28

30-Day Average Trading Volume

11,330 14,717

#N/A 24,383 28,663

#N/A 2,784 #N/A 1,703 #N/A 1,148

403

Open Interest 3,864

38,325 #N/A

160,290 30,570 #N/A 24,513 #N/A 16,110 #N/A 8,744 697

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Dec-2011 Post-Roll Future: Dec-2011

Current Weight: 2.79% Contract Size: 60,000 lbs

Contract Value: $34,938 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: U.S. cents/pound

Next Roll Date: Nov-2011

Price

Aluminum

30-Day Average Trading Volume 2,750.0 2,700.0 2,650.0 2,600.0 2,550.0 2,500.0 2,450.0 2,400.0

Open Interest

Price as of 9/1/2011

Price as of 8/1/2011 100,000 90,000 80,000 70,000 60,000 50,000 40,000 30,000 20,000 10,000 0

Sources: Dow Jones Indexes; Bloomberg.

Volume / Open Interest

Aluminum

Contract Month Sep-2011 Oct-2011 Nov-2011 Dec-2011 Jan-2012 Feb-2012 Mar-2012 Apr-2012 May-2012 Jun-2012 Jul-2012 Aug-2012

Price as of 9/1/2011 2,439.75 2,452.25 2,464.00 2,477.25 2,486.25 2,494.25 2,499.25 2,504.50 2,512.50 2,520.00 2,526.25 2,532.25

30-Day Average Trading Volume

25,752 26,279 21,896 21,005 15,405

4,679 4,771 3,222

569 2,055 1,200

725

Open Interest 49,882 43,211 48,071 94,791 40,341 39,345 33,209 11,602 9,636 24,859 5,801 7,869

Pre-Roll Contract for Forward Months

F1 F2 F3 F4 F5

9 99 99

Pre-Roll Future: Nov-2011 Post-Roll Future: Nov-2011

Current Weight: 4.74% Contract Size: 25 metric tons

Contract Value: $61,600 Next Future: Jan-2012

Roll Contract: NO 30-Day Roll Yield: N/A

Price Quote: USD/metric ton

Next Roll Date: Nov-2011

David Krein | Senior Director, Product Development & Analytics | (609) 520-4107 | david.krein@ Jeffrey Fernandez | Project Manager | (609) 520-5630 | jeffrey.fernandez@

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