September 2024

FTSE/CORECOMMODITY CRB®
INDEX
BENCHMARK STATEMENT

Date of Issue: 30 September 2024
Date of last update: 30 September 2024
Document Classification: Public

FTSE/CoreCommodity CRB® Index Benchmark Statement

CONTENTS1.

INTRODUCTION............................................................................................................................................................... 3

2.

OVERVIEW OF METHODOLOGY.................................................................................................................................... 43.

INPUT DATA ERRORS AND INSUFFICIENT DATA HANDLING .................................................................................... 44.

POTENTIAL LIMITATIONS OF THE BENCHMARK ......................................................................................................... 45.

METHODOLOGY CHANGES AND BENCHMARK CESSATION ..................................................................................... 46.

FURTHER INFORMATION ............................................................................................................................................... 5

ANNEX: CLIMATE RELATED DISCLOSURES ............................................................................................................................. 6

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2CORPORATEFTSE/CoreCommodity CRB® Index Benchmark Statement

INTRODUCTION
The FTSE/CoreCommodity CRB® Index (the “Benchmark”) was introduced in 2005 as 10th revision of original CRB index founded in1957 to provide a more liquid and economically relevant benchmark that will provide a timely and accurate representation ofcommodities as an asset class. The FTSE/CoreCommodity CRB® Indices are classified as Regulated-data benchmark as per Article
3 (24)(a)(i) of the BMR and categorized as Non-Significant Benchmark.
The historic CRB Index has undergone 9 previous weighting revisions since its inception to ensure market representative and thecurrent model is a continuation from 2005 revision.

The FTSE/CoreCommodity CRB® Indices are calculated for the Primary CRB Index comprising 19 individual commodity futures, theNon-Energy CRB index excludes energy segment and comprises 15 individual commodity futures, the Non-Agri and Livestock CRB
index excludes both agricultural and livestock commodity futures and comprises 9 individual commodity futures. All the CRB index
segments are calculating the excess return, total return based on 3 month US Treasury Bill and total return (daily compound) basedon US Fed published overnight rate version along with 3 month forward excess return and total return versions. A euro dominated andcurrency hedged index is also calculated for the Primary CRB total return index using 1 month forex forwards with a daily adjusted
notional. The FTSE/CoreCommodity CRB® Single Commodity Indices are calculated for seven individual commodities (Gold, Silver,Copper, WTI Crude Oil, Natural Gas, Heating Oil and Unleaded Gasoline) and calculating the excess return, total return based on 3month US Treasury Bill and total return (daily compound) based on US Fed published overnight rate version along with 3 monthforward excess return and total return versions.
Refinitiv Benchmark Services (UK) Limited (“RBSL” or “the Administrator”) is the administrator of the FTSE/CoreCommodity CRB®
Index segments, FTSE/CoreCommodity CRB® Single Commodity Indices and all related versions. The FTSE/CoreCommodity CRB®
Index is a commodity benchmark based on exchange traded commodity futures and subject to the UK Benchmark Regulation(“BMR”) 1. RBSL administers the FTSE/CoreCommodity CRB® Index in accordance with Article 26 (“non-significant benchmarks”) ofthe BMR. RBSL has adopted policies and procedures to comply with the ESMA’s Regulation.
The Benchmark is intended to cover the commodity futures traded over world leading regulated derivative exchanges where there issufficient liquidity in the commodity futures market to provide accurate index representation. Currently the Benchmark comprises 19
commodity futures as listed in the Benchmark Methodology and the Benchmark disseminated at the close of business day on which
US futures market is open for business.
The primary infrastructure used to source commodity futures data used in the determination of the Benchmark is the LSEG Elektron
data delivery system which directly linked with global derivative exchanges. For Total Return Euro Daily Hedge Index, the WMR
Currency benchmarks 16:00 LDN rates to be used in hedge component calculation.
The benchmark is using primarily three major derivative exchanges CME (which owns CBOT, NYMEX and COMEX), ICE (which ownsNYBOT) and LME and all exchanges are regulated by derivative exchange regulators. The Benchmark is not based on the contributionof input data. Benchmark also using 3 months US treasury previous day high value for Total Return Treasury Bill version calculation
and using US Fed published overnight rate (previous day’s rate) for Total Return (Daily Compound) version calculation.
Determination of the Benchmark is an automated ruled based process without any manual intervention and the commodity futures
settle prices are being plucked directly from the derivative exchange feeds that feed into the Elektron data highway.
This benchmark statement shall be reviewed at least every two years, or whenever there is a material change to either the type of theBenchmark or to the Methodology used in the determination of the benchmark.

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CORPORATEFTSE/CoreCommodity CRB® Index Benchmark Statement
1 The Benchmarks (Amendment and Transitional Provision) (EU Exit) Regulations 2019

OVERVIEW OF METHODOLOGYFTSE/CoreCommodity CRB® Indices are calculated for the following segments, The Primary CRB index comprising 19 individualcommodities, the Non-Energy CRB index which excludes energy commodities and comprises 15 individual commodities, and the NonAgri and Livestock CRB index which excludes both agricultural and livestock commodities and comprises 9 individual commodities.
For each Commodity Segment, six types of indices are calculated, an excess return, 3 months forward excess return, total return
based on US 3 Month Treasury Bill rate and total return based on US Fed published overnight rate and 3 months forward total returnwith both rates. In addition, a euro denominated and currency hedged index is calculated for the Primary CRB total return index (withboth rates) using 1 month FX forwards with a daily adjusted notional.
An individual commodity “Percent Return” is calculated for each commodity futures, in each Commodity Segment Main index andForward index. The roll from the front expiration month to the immediate back expiration month of the relevant futures contract takes
place over the first four business day period of each calendar month. Exposure is rolled in equal amounts of 25% on each day during
the roll period such that by the fourth day of the roll period, 100% of the weight is in the immediate back expiration month.
The FTSE/CoreCommodity CRB® Commodity Segment Main and Forward indices are rebalanced monthly after close of 6th Business
day to reinstate the fixed weights allocations from 2005 revision.
The FTSE/CoreCommodity CRB® Single Commodity Indices are also offered from 30th Sep 2024 with a back calculated index history
from 4th Jan 1999, and the single indices are representing the continues single commodity performance with methodology definedmonthly future contract roll exposure.

INPUT DATA ERRORS AND INSUFFICIENT DATA HANDLINGThe ability of RBSL to determine and publish the FTSE/CoreCommodity CRB® Indices Benchmarks in accordance with thisMethodology depends on the accuracy of the regulated futures exchange data available to RBSL for the calculation of the Benchmark.
Reasonable efforts are made to ensure the correctness and validity of regulated futures exchange data used in index calculations.
RBSL reserves the rights to restate the index level where errors have identified on index input data by Index operations or notified byregulated futures exchanges. All index restatements will be communicated to stakeholders through LSEG regular client communication
channels, in addition Eikon Data Alerts and posting a data notification.
Also “Market Emergency” is herein defined as any unscheduled and extraordinary condition in which liquidity in the markets used tosource input data is interrupted (such as an event resulting in the unscheduled closing of futures exchanges). Should a MarketEmergency occur, RBSL reserves the right to take such action with respect to the FTSE/CoreCommodity CRB® Indices as it deems
appropriate given the circumstances and after consulting with the Index Oversight Committee as appropriate. All index revisions will
be consulted with market participants (via market consultation) and then the change in commodity constituent/s will be communicatedto stakeholders through FTSE Russell regular client communication channels.

POTENTIAL LIMITATIONS OF THE BENCHMARKThe design of the Benchmark is resilient against disruptions and periods of high volatility. However, technical problems or extreme
market events may lead to re-publish the most recent Benchmark end of day close until the disruption has ended or changes havebeen implemented. RBSL will attempt to notify interested parties of any such actions as well in advance as is practicable. There is noassurance, however, that following a Market Emergency, the actions taken in response to such Market Emergency, or any other force
majeure event, will not have an adverse effect on the value of the FTSE/CoreCommodity CRB® Indices or the manner in which they
are calculated.

METHODOLOGY CHANGES AND BENCHMARK CESSATIONThe FTSE/CoreCommodity CRB® Indices Methodology is subject to a review in order to assess its ongoing fitness for purpose on atleast an annual basis. In the event that the review leads RBSL to believe that a change to the Methodology is required and that thechange is material in its effect on the benchmark, a market consultation will be conducted in accordance with the RBSL Benchmark
Methodology Change Procedures in order to seek feedback from a representative range of stakeholders. RBSL will review all feedback
and, if following such review it resolves to proceed with the proposed change or changes, will provide sufficient notice to users of theBenchmark before implementing such change or changes.
Circumstances beyond the control of RBSL may necessitate an immediate change to or the cessation of the Benchmark. Suchcircumstances include without limitation (i) loss of commodity futures exchange input data source and (ii) a loss of interest in theavailable indices over wider market.

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CORPORATEFTSE/CoreCommodity CRB® Index Benchmark Statement

In the event that an immediate change is required, RBSL will provide as much notice as is practicable in accordance with the RBSL
Benchmark Methodology Change Procedures and following such change will conduct an internal review of the Benchmark
Methodology.
If it becomes necessary to cease calculation and distribution of the benchmark, RBSL will implement the RBSL Benchmark Cessation
Policy. This includes conducting an analysis of the estimated usage of the Benchmark and, where feasible, the selection of a credible
alternative benchmark. In all cases, RBSL will take all reasonable steps to ensure that all users and other stakeholders are madeaware as soon as possible of any intention or possible necessity to cease the Benchmark.
Any material change to the Benchmark Methodology or cessation of the Benchmark may have an impact on any financial contract orfinancial instrument that references the Benchmark or on the measurement of the performance of an investment fund that uses orrefers to the Benchmark. Financial instruments that reference the Benchmark include UCITS ETF and exchange traded and OTC
derivative contracts including swaps and option contracts.
A material change to the Methodology may lead to a change in the economic reality represented by the Benchmark and therefore tothe economic exposure of any financial contract or financial instrument that references the Benchmark. A cessation of the Benchmark
would require the selection of an alternative benchmark or the implementation of any fallback procedures for financial contracts orfinancial instruments that reference the Benchmark.

FURTHER INFORMATIONThe Benchmark Methodology used in the determination and administration of the FTSE/CoreCommodity CRB® Indices isavailable on RBSL’s website.
For further information about the FTSE/CoreCommodity CRB® Indices, please refer to the website at FTSE
Russell Commodity Indices or contact the Administrator at index_queries@lseg.com

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5CORPORATEFTSE/CoreCommodity CRB® Index Benchmark Statement

ANNEX: CLIMATE RELATED DISCLOSURESSECTION 1 – CONSIDERATIO N OF ESG FACTORS
Item 1. Name of the benchmark administrator.

Refinitiv Benchmark Services (UK) Limited

Item 2. Type of benchmark or family of benchmarks.

Commodity

Choose the relevant underlying asset from the list provided in Annex II.
Item 3. Name of the benchmark or family of benchmarks.

CoreCommodity/CRB Indices

Item 4. Are there in the portfolio of the benchmark administrator any EU Climate☐ Yes ☒ NoTransition Benchmarks, EU Paris-aligned Benchmarks, benchmarks that pursue
ESG objectives or benchmarks that take into account ESG factors?
Item 5. Does the benchmark or family of benchmarks pursue ESG objectives?

☐ Yes ☒ No

SECTION 3 – DISCLOSURE OF THE ALIGNMENT WITH THE OBJECTIVES OF THE PARIS AGREEMENT
Item 10. By the date of application of this Regulation, for significant equity and bond benchmarks, EU Climate TransitionBenchmarks and EU Paris-aligned Benchmarks, benchmark administrators shall also disclose the following information.
By 31 December 2021, benchmark administrators shall, for each benchmark or, where applicable, each family of benchmarks,
disclose the following information:(a)Does the benchmark align with the target of reducing carbon emissions or the ☐ Yes ☒ No
attainment of the objectives of the Paris Agreement;
Date on which information has last been updated and reason for the update:23 December 2021
Annex: CLIMATE RELATED DISCLOSURES
added

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6Disclaimer© 2024 London Stock Exchange Group plc and its applicable group undertakings (“LSEG”). The LSEG includes (1) FTSE International
Limited (“FTSE”), (2) Frank Russell Company (“Russell”), (3) FTSE Global Debt Capital Markets Inc. and FTSE Global Debt CapitalMarkets Limited (together, “FTSE Canada”), (4) FTSE Fixed Income Europe Limited (“FTSE FI Europe”), (5) FTSE Fixed Income LLC(“FTSE FI”), (6) FTSE (Beijing) Consulting Limited (“WOFE”), (7) Refinitiv Benchmark Services (UK) Limited (“RBSL”), (8) Refinitiv
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The FTSE/CoreCommodity CRB® Index and related indices and sub-indices (“FTSE/CC-CRB”) are calculated by or on behalf ofRBSL or its affiliate, agent or partner. RBSL is authorised and regulated by the Financial Conduct Authority as a benchmark
administrator. The FTSE/CC-CRB is owned by LSEG, or its affiliates, and CoreCommodity Indexes, LLC, or its affiliates(“CoreCommodity”).
FTSE Russell® is a trading name of FTSE, Russell, FTSE Canada, FTSE FI, FTSE FI Europe, WOFE, RBSL, RL and BR. “FTSE®”,“Russell®”, “FTSE Russell®”, “FTSE4Good®”, “ICB®”, WMR™, “Beyond Ratings®”, “CRB®”, and all other trademarks and service marks
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and CoreCommodity, from sources believed by them to be accurate and reliable. Because of the possibility of human and mechanicalinaccuracy as well as other factors, however, such information and data is provided "as is" without warranty of any kind. No memberof LSEG, CoreCommodity, nor their respective directors, officers, employees, partners or licensors make any claim, prediction,
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employees, partners or licensors for (a) any loss or damage in whole or in part caused by, resulting from, or relating to any inaccuracy(negligent or otherwise) or other circumstance involved in procuring, collecting, compiling, interpreting, analysing, editing, transcribing,transmitting, communicating or delivering any such information or data or from use of this document or links to this document or (b)any direct, indirect, special, consequential or incidental damages whatsoever, even if any member of LSEG or CoreCommodity isadvised in advance of the possibility of such damages, resulting from the use of, or inability to use, such information.
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CoreCommodity nor their respective directors, officers, employees, partners, or licensors make any representation regarding theadvisability of investing in any asset or whether such investment creates any legal or compliance risks for the investor. A decision toinvest in any such asset should not be made in reliance on any information herein. Indices and rates cannot be invested in directly.
Inclusion of an asset in an index or rate is not a recommendation to buy, sell or hold that asset nor confirmation that any particularinvestor may lawfully buy, sell or hold the asset or an index or rate containing the asset. The general information contained in thispublication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional.
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