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PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley All rights reserved Rev. February 2017
Morgan Stanley Single Commodity Indices (MSCY) Index Methodology
February 2017
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 1 All Rights Reserved Rev. February 2017
Table of Contents 1. Overview ............................................................................................................................................... 3
2. Determining Eligibility ........................................................................................................................... 4
a. Eligible Commodities ............................................................................................................................................. 4
b. Eligible Futures Contracts .................................................................................................................................... 4
c. Selected Futures Contracts .................................................................................................................................. 4
3. Calculation of the MSCY Single Indices ................................................................................................. 5
a. Steps for calculating the MSCY Single Indices .............................................................................................. 5
b. Selected Exchanges ................................................................................................................................................. 5
c. MSCY Single Indices ................................................................................................................................................ 5
d. Calculation of MSCY Single Indices ................................................................................................................... 8
4. Disruption Events and Disruption Event Fallback Procedures ............................................................ 11
a. Disruption Events .................................................................................................................................................. 11
b. Disruption Event Fallback Procedures ......................................................................................................... 11
5. Risk Factors ......................................................................................................................................... 12
a. Commodity Prices May Change Unpredictably, Affecting the Value of the Indices in
Unforeseeable Ways ............................................................................................................................................. 12
b. Trading and Other Transactions by MSCG and its Affiliates in Instruments Linked to the
Indices or Eligible Commodities May Affect the Value of the Indices .............................................. 12
c. Suspension or Disruptions of Market Trading in Commodities and Related Futures May
Adversely Affect the Value of the Indices .................................................................................................... 13
d. New Regulations May Affect the Value of the Indices ............................................................................ 14
e. Non-U.S. Investment May Affect the Value of the Indices ..................................................................... 14
f. Future Prices of the Eligible Commodities That Are Different Relative to Their Current
Prices May Affect the Value of the Indices ................................................................................................... 14
g. Potential for Insufficient Diversification May Affect the Value of the Indices .............................. 15
h. Data Sourcing, and Data Publication Risks Associated with the Indices May Adversely Affect
the Index Level or the Value of an Investment Linked to the Indices .............................................. 15
i. Continuity of the Indices ..................................................................................................................................... 16
j. Other Considerations ........................................................................................................................................... 16
6. Conflicts of Interest ............................................................................................................................. 16
7. Disclaimers .......................................................................................................................................... 17
8. Definitions ........................................................................................................................................... 18
9. Exhibits ................................................................................................................................................ 23
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© 2017 Morgan Stanley 2 All Rights Reserved Rev. February 2017
Exhibit A – Eligible Commodities ........................................................................................................................ 23
Exhibit B – Eligible Futures Contracts and Selected Futures Contracts .............................................. 24
Exhibit C1 – MSCY Single Indices R0 ................................................................................................................. 25
Exhibit C2 – MSCY Single Indices R1 ................................................................................................................. 26
Exhibit C3 – MSCY Single Indices R2 ................................................................................................................. 27
Exhibit C4 – MSCY Single Indices R3 ................................................................................................................. 28
Exhibit C5 – MSCY Single Indices R4 ................................................................................................................. 29
Exhibit C6 – MSCY Single Indices RY ................................................................................................................. 30
Exhibit D1 – MSCY Single Indices RD ................................................................................................................ 31
Exhibit E1 – MSCY Single Indices R0P ............................................................................................................... 33
Exhibit F1 – MSCY1 Single Indices D1 ............................................................................................................... 34
Exhibit F3 – MSCY1 Single Indices D3 ............................................................................................................... 35
Exhibit F6 – MSCY1 Single Indices D6 ............................................................................................................... 36
Exhibit G1 – MSCY2 Single Indices D0 .............................................................................................................. 37
Exhibit H1 – MSCY3 Single Indices ..................................................................................................................... 38
Exhibit I1 – MSCY4 Single Indices ....................................................................................................................... 39
Exhibit J1 – MSCY5 Single Indices ....................................................................................................................... 40
Exhibit K1 – MSCY Custom Single Indices ....................................................................................................... 41
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 3 All Rights Reserved Rev. February 2017
1. Overview
The MSCY Single Indices (each, a “MSCY Single Index”) are a proprietary suite of commodity
indices conceived, developed and sponsored by Morgan Stanley Capital Group Inc. (“MSCG” or
the “Index Sponsor”). The MSCY Single Indices are comprised of specific commodity futures
contracts selected according to a rules-based methodology emphasizing contracts with widely-
published closing settlement prices and well-developed open interest. MSCG is a direct, wholly-
owned subsidiary of Morgan Stanley, a publicly-traded Delaware corporation. MSCG is
registered with the National Futures Association as a “swap dealer” as such term is defined in
the Commodity Exchange Act, as amended.
This Index Methodology (the “Methodology”) details the principal rules and mechanics behind
the calculation of the MSCY Single Indices, including the procedures to modify such indices
under certain circumstances. Where market conditions occur that are not contemplated by this
Methodology, the Index Sponsor may be required to exercise discretion. MSCG has established
a governance structure, which includes a standing index committee comprised of senior
executives, to supervise and guide the Index Sponsor. Finally, this Methodology describes
potential risk factors inherent in the MSCY Single Indices, including conflicts of interests, as well
as contains important disclaimers and limitations of liability.
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© 2017 Morgan Stanley 4 All Rights Reserved Rev. February 2017
2. Determining Eligibility
a. Eligible Commodities
The Index Sponsor applies a set of basic criteria to the universe of relevant commodity
futures contracts to broadly identify eligible commodities (“Eligible Commodities”).
Specifically, to be an Eligible Commodity:
the commodity must be the subject of a commodity futures contract that is
listed and traded on one or more designated contract markets or boards of
trade (each, a “Selected Exchange”); and
such commodity futures contract must have a daily officially published
closing settlement price (the “Futures Settlement Price”) which is publicly
disseminated directly from the Selected Exchange on the dates and times
such Selected Exchange is open for trading.
An example of an Eligible Commodity is “gold” traded on the Commodity Exchange, Inc.
designated contract market (“COMEX”), part of the CME Group (“CME”).
Exhibit A contains a current list of Eligible Commodities as of the date of this
Methodology.
b. Eligible Futures Contracts
From the universe of Eligible Commodities, the Index Sponsor next maps the discrete
commodity futures contracts available for trading in each Eligible Commodity (the
“Eligible Futures Contracts”). For example, COMEX lists specific “gold” futures contracts
calling for delivery/receipt of gold in the months of February, April, June, August,
October and December of certain discrete years.
Exhibit B contains a current list of Eligible Futures Contracts as of the date of this
Methodology.
c. Selected Futures Contracts
After determining the scope of Eligible Commodities and Eligible Futures Contracts, the
Index Sponsor next determines through a discretionary process which Eligible Futures
Contracts of the Eligible Commodities are the most liquid (the “Selected Futures
Contracts”). Liquidity is a function of the number of outstanding open contracts as
reported by the respective Selected Exchange for each Eligible Futures Contract (“Open
Interest”).
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© 2017 Morgan Stanley 5 All Rights Reserved Rev. February 2017
Exhibit B contains a current list of Selected Futures Contracts as of the date of this
Methodology. The Index Sponsor may, at any point of time, be required to modify the
Selected Futures Contracts due to a Disruption Event (as explained in Section 4.
“Disruption Events and Disruption Event Fallback Procedures”) or due to a change in
liquidity in any of the Selected Futures Contracts.
3. Calculation of the MSCY Single Indices
a. Steps for calculating the MSCY Single Indices
Determine the Selected Exchanges;
Create the MSCY Single Indices; and
Calculate the MSCY Single Indices.
b. Selected Exchanges
The Selected Exchanges, as of the date of this Methodology, are listed below. The
Selected Exchanges represent the sources of the most liquid commodity futures
contracts in Europe and North America and have been chosen in a discretionary basis.
The Index Sponsor may amend the list of Selected Exchanges at any point in time based
on developments in the markets, including, for example, the development of new
exchanges or the discontinuation of existing exchanges.
Chicago Board of Trade
Chicago Mercantile Exchange
Commodity Exchange, Inc.
Euronext Derivatives Paris
ICE Futures Europe
ICE Futures U.S.
LIFFE
London Metal Exchange
Minneapolis Grain Exchange, Inc.
New York Mercantile Exchange, Inc.
c. MSCY Single Indices
The MSCY Single Indices never hold Selected Futures Contracts to maturity and
therefore have a pre-defined mechanism to transfer the exposure from the Selected
Futures Contract that is being held prior to the roll (the “Prompt Futures Contract”) to
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© 2017 Morgan Stanley 6 All Rights Reserved Rev. February 2017
the Selected Futures Contract that is being held following the roll (the “Next Futures
Contract”). A day in which (a) the Index Sponsor is open for business during normal
trading hours in New York and (b) the New York Mercantile Exchange Inc. (“NYMEX”) is
open for business during normal trading hours shall be considered an “MSCY Business
Day”. The sequence of the transfer of exposure from the Prompt Futures Contract to
the Next Futures Contract is predetermined (the “MSCY Single Index Roll Schedule”),
and occurs from and including the fifth (5th) MSCY Business Day to and including the
ninth (9th) MSCY Business Day of each calendar month (the “Roll Period”). The exposure
that is scheduled to be transferred on each MSCY Business Day during the Roll Period is
20% (the “Roll Weight”), subject to the occurrence of a “Disruption Event” as defined
below in Section 4 (“Disruption Events and Disruption Event Fallback Procedures”).
Each MSCY Single Index has predefined Roll Periods, Roll Weights and MSCY Single Index
Roll Schedules, which may be changed to generate a multitude of modified MSCY Single
Indices. Those modifications can be static or chosen on a predetermined MSCY Business
Day (a “MSCY Single Index Rebalance Date”).
Exhibit C1 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule that
have been chosen to provide constant exposure on the closest-to-expire Selected
Futures Contract (each, a “MSCY Single Index R0”, and collectively, the “MSCY Single
Index R0 Roll Schedule”). A zero (0) suffix after a Selected Futures Contract denotes a
contract in the current calendar year, while a one (1) suffix denotes a contract in the
following calendar year.
Exhibit C2 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is one (1) contract forward with respect to the MSCY
Single Index R0 Roll Schedule (each, a “MSCY Single Index R1”, and collectively, the
“MSCY Single Index R1 Roll Schedule”).
Exhibit C3 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is two (2) contracts forward with respect to the
MSCY Single Index R0 Roll Schedule (each, a “MSCY Single Index R2”, and collectively,
the “MSCY Single Index R2 Roll Schedule”).
Exhibit C4 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is three (3) contracts forward with respect to the
MSCY Single Index R0 Roll Schedule (each, “MSCY Single Index R3”, and collectively, the
“MSCY Single Index R3 Roll Schedule”).
Exhibit C5 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is four (4) contracts forward with respect to the
MSCY Single Index R0 Roll Schedule (each, “MSCY Single Index R4”, and collectively, the
“MSCY Single Index R4 Roll Schedule”).
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 7 All Rights Reserved Rev. February 2017
Exhibit C6 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is one (1) year later with respect to the MSCY Single
Index R0 Roll Schedule (each, a “MSCY Single Index RY”, and collectively, the “MSCY
Single Index RY Roll Schedule”).
Exhibit D1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY
Single Index Roll Schedule in which the Next Futures Contract is determined each month
according to a specified methodology (each, a “MSCY Single Index RD”).
Exhibit E1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY
Single Index R0 Roll Schedule (each, a “MSCY Single Index R0P”).
Exhibit F1 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is one (1) month deferred with respect to the MSCY
Single Index R0 Roll Schedule (each, “MSCY1 Single Index D1”, and collectively, the
“MSCY1 Single Index D1 Roll Schedule”).
Exhibit F3 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is three (3) months deferred with respect to the
MSCY Single Index R0 Roll Schedule (each, “MSCY1 Single Index D3”, and collectively,
the “MSCY1 Single Index D3 Roll Schedule”).
Exhibit F6 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule in
which the Prompt Futures Contract is six (6) months deferred with respect to the MSCY
Single Index R0 Roll Schedule (each, “MSCY1 Single Index D6”, and collectively, the
“MSCY1 Single Index D6 Roll Schedule”).
Exhibit G1 lists MSCY Single Indices with a specific MSCY Single Index Roll Schedule that
has been chosen to provide exposure on the second closest-to-expire Selected Futures
Contract every other month (each, a “MSCY2 Single Index D0”, and collectively, the
“MSCY2 Single Index D0 Roll Schedule”).
Exhibit H1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY
Single Index Roll Schedule that has been chosen to provide exposure on long dated
Selected Futures Contracts (each, “MSCY3 Single Index”, and collectively, the “MSCY3
Single Index Roll Schedule”).
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 8 All Rights Reserved Rev. February 2017
Exhibit I1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY
Single Index R0 Roll Schedule (each, “MSCY4 Single Index”).
Exhibit J1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY2
Single Index D0 Roll Schedule (each, “MSCY5 Single Index”).
Exhibit K1 lists MSCY Single Indices with a specific Roll Period, Roll Weight and MSCY
Single Index Custom Roll Schedule (each, “MSCY Custom Single Index”, and collectively,
the “MSCY Custom Index Roll Schedule”).
d. Calculation of MSCY Single Indices
MSCY Single Indices are by definition excess return, in other words, providing returns
associated with the Prompt Futures Contract and Next Futures Contract. The calculation
of the excess return version of an MSCY Single Index during the Roll Period is set forth in
Equation 1 below.
Equation 1:
𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡 = 𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡−1 ∗ (𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡
∗ 𝑅𝑊1𝑛𝑏𝑘,𝑡−1+ 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡
∗ 𝑅𝑊2𝑛𝑏𝑘,𝑡−1
𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡−1∗ 𝑅𝑊1𝑛𝑏𝑘,𝑡−1
+ 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡−1∗ 𝑅𝑊2𝑛𝑏𝑘,𝑡−1
)
Where:
𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡 is the Index Level for the MSCY Single Index of Eligible Commodity "𝑘"
on MSCY Business Day "𝑡"
𝑘 is the Eligible Commodity
𝑡 is MSCY Business Day
𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡 is the Futures Settlement Price for the Prompt Futures Contract "1𝑛𝑏" of Eligible
Commodity "𝑘" on MSCY Business Day "𝑡" 1𝑛𝑏 is the Prompt Futures Contract
𝑅𝑊1𝑛𝑏𝑘,𝑡 is the Roll Weight for the Prompt Futures Contract "1𝑛𝑏" of Eligible Commodity
"𝑘" on MSCY Business Day "𝑡" 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡
is the Futures Settlement Price for the Next Futures Contract "2𝑛𝑏" of Eligible
Commodity "𝑘" on MSCY Business Day "𝑡" 2𝑛𝑏 is the Next Futures Contract
𝑅𝑊2𝑛𝑏𝑘,𝑡 is the Roll Weight for the Next Futures Contract "2𝑛𝑏" of Eligible Commodity
"𝑘" on MSCY Business Day "𝑡"
Instead of excess return, MSCY Single Indices also can use a spot calculation (each, a
“MSCY Single Spot Return Index”). The calculation of a MSCY Single Spot Return Index
during a Roll Period is set forth in Equation 2 below.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 9 All Rights Reserved Rev. February 2017
Equation 2:
𝑀𝑆𝐶𝑌𝑆𝑆𝑆𝑃𝑂𝑇𝑘,𝑡 = 𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡∗ 𝑅𝑊1𝑛𝑏𝑘,𝑡
+ 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡∗ 𝑅𝑊2𝑛𝑏𝑘,𝑡
Where:
𝑀𝑆𝐶𝑌𝑆𝑆𝑆𝑃𝑂𝑇𝑘,𝑡 is the Index Level for the MSCY Single Spot Return Index of Eligible
Commodity "𝑘" on MSCY Business Day "𝑡"
𝑘 is the Eligible Commodity
𝑡 is MSCY Business Day
𝐹𝑆𝑃1𝑛𝑏𝑘,𝑡 is the Futures Settlement Price for the Prompt Futures Contract "1𝑛𝑏" of Eligible
Commodity "𝑘" on MSCY Business Day "𝑡" 1𝑛𝑏 is the Prompt Futures Contract
𝑅𝑊1𝑛𝑏𝑘,𝑡 is the Roll Weight for the Prompt Futures Contract "1𝑛𝑏" of Eligible Commodity
"𝑘" on MSCY Business Day "𝑡" 𝐹𝑆𝑃2𝑛𝑏𝑘,𝑡
is the Futures Settlement Price for the Next Futures Contract "2𝑛𝑏" of Eligible
Commodity "𝑘" on MSCY Business Day "𝑡" 2𝑛𝑏 is the Next Futures Contract
𝑅𝑊2𝑛𝑏𝑘,𝑡 is the Roll Weight for the Next Futures Contract "2𝑛𝑏" of Eligible Commodity
"𝑘" on MSCY Business Day "𝑡"
MSCY Single Indices also can be determined on a total return basis, in other words, the
excess return version of the relevant MSCY Single Index with the addition of the 13-
week U.S. Treasury Bills High Rate quoted at the most recent weekly auction and
published by the Bureau of the Public Debt of the U.S. Treasury available on this website
http://www.treasurydirect.gov/instit/annceresult/annceresult.htm (the “T-Bill Rate”)
(each being a “MSCY Single Total Return Index”). The calculation of a MSCY Single Total
Return Index is set forth in Equation 3 below.
Equation 3:
𝑀𝑆𝐶𝑌𝑆𝑆𝑇𝑅𝑘,𝑡 = 𝑀𝑆𝐶𝑌𝑆𝑆𝑇𝑅𝑘,𝑡−1 ∗ (𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡
𝑀𝑆𝐶𝑌𝑆𝑆𝐸𝑅𝑘,𝑡−1
+ 𝐷𝐶𝑌𝑡) ∗ (1 + 𝐷𝐶𝑌𝑡)(𝑑𝑎𝑦𝑠)
Where:
𝑀𝑆𝐶𝑌𝑆𝑆𝑇𝑅𝑘,𝑡 is the Index Level for the MSCY Single Total Return Index of Eligible Commodity "𝑘" on
MSCY Business Day "𝑡"
𝑘 is the Eligible Commodity
𝑡 is MSCY Business Day
𝐷𝐶𝑌𝑡 is the Daily Collateral Yield on MSCY Business Day "𝑡"
Daily Collateral Yield = [1
1 − (91
360) 𝑇𝐵𝐼𝐿𝐿𝑡−1
]
191
− 1
𝑇𝐵𝐼𝐿𝐿𝑡−1 is on any MSCY Business Day "𝑡" , the T-Bill Rate on the most recent weekly auction
date prior to such MSCY Business Day "𝑡"
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 10 All Rights Reserved Rev. February 2017
MSCY Single Indices, MSCY Single Spot Return Indices and MSCY Single Total Return
Indices are rounded to 8 decimal places. Each respective Official Index Level is rounded
to 4 decimal places.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 11 All Rights Reserved Rev. February 2017
4. Disruption Events and Disruption Event Fallback Procedures
a. Disruption Events
In certain circumstances, an event may occur that will hinder the Index Sponsor from
properly calculating an MSCY Single Index. Each of the below represents such an event
(each a “Disruption Event”):
Any of the source data required in calculating a MSCY Single Index is not available,
including any permanent cancellation, suspension, disappearance of, or of trading
in, any Selected Futures Contract underlying a MSCY Single Index.
If the Selected Exchange for a Selected Futures Contract in a MSCY Single Index,
establishes limits on the range within which the price of the Selected Futures
Contract may fluctuate, and the Futures Settlement Price is at the upper or lower
limit of such range.
If there has been a change in applicable law or regulation that prevents the Index
Sponsor from calculating a MSCY Single Index.
If the Index Sponsor determines that an event or circumstance has occurred that is
beyond the reasonable control of the Index Sponsor. Such event or circumstance
may include (without limitation) a systems failure, fire, building evacuation, natural
or man-made disaster, act of state, armed conflict, act of terrorism, riot or labor
disruption.
b. Disruption Event Fallback Procedures
Upon the occurrence of a Disruption Event, certain procedures have been developed to
properly calculate a MSCY Single Index. Each of these procedures (“Disruption Event
Fallback Procedures”) is listed below:
i) Disruption Event Fallback Procedure outside of the Roll Period;
If a Disruption Event occurs with respect to an Selected Futures Contract underlying an
MSCY Single Index on an MSCY Business Day that is not during any Roll Period, the MSCY
Single Indices that depend on the disrupted Selected Futures Contracts, are flagged as
disrupted and the Index Level published that day for these indices are calculated using
the disrupted Futures Settlement Price, if available.
ii) Disruption Event Fallback Procedure during the Roll Period;
If a Disruption Event occurs with respect to a Selected Futures Contract underlying an
MSCY Single Index on a MSCY Business Day that is during the Roll Period, the respective
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© 2017 Morgan Stanley 12 All Rights Reserved Rev. February 2017
MSCY Single Index is not rolled on such day. That portion of the roll will be performed
on the following MSCY Business Day. If on the following MSCY Business Day, there is
another Disruption Event with respect to the same Selected Futures Contract, then the
portion of roll is accumulated for one more day. The rolls are thus accumulated until
the next subsequent MSCY Business Day that the respective Selected Futures Contract
does not experience a Disruption Event. On such MSCY Business Day, all of the
accumulated roll for the corresponding will be performed.
5. Risk Factors
The following is a summary of certain risks associated with the Indices but is not meant to be an
exhaustive list of all risks associated with the Indices or an investment in commodities,
commodity futures or commodity-linked or commodity index-linked products generally.
a. Commodity Prices May Change Unpredictably, Affecting the Value of
the Indices in Unforeseeable Ways
Trading in futures contracts on physical commodities, including trading in the Eligible
Commodities, is speculative and can be extremely volatile. Market prices of the Eligible
Commodities and the Selected Futures Contracts may fluctuate rapidly based on numerous
factors, including changes in supply and demand relationships (whether actual, perceived,
anticipated, unanticipated or unrealized); weather; agriculture; trade; fiscal, monetary and
exchange control programs; domestic and foreign political and economic events and
policies; disease; pestilence; technological developments; changes in interest rates, whether
through governmental action or market movements; and monetary and other governmental
policies, action and inaction. These price changes may be magnified by computer-driven
trading, which is becoming more prevalent in the commodities markets. The current or
“spot” prices of the Eligible Commodities may also affect, in a volatile and inconsistent
manner, the prices of the relevant Selected Futures Contracts. These factors may affect the
value of the Indices in varying ways, and different factors may cause the prices of the
Eligible Commodities, and the volatilities of their prices, to move in inconsistent directions
at inconsistent rates.
b. Trading and Other Transactions by MSCG and its Affiliates in
Instruments Linked to the Indices or Eligible Commodities May Affect
the Value of the Indices
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© 2017 Morgan Stanley 13 All Rights Reserved Rev. February 2017
MSCG and its respective affiliates also may transact in Eligible Commodities, Eligible Futures
Contracts, the physical commodities underlying such Eligible Commodities, the Indices, and
other investments relating to Eligible Commodities, on a regular basis as part of its general
business, for proprietary accounts, for other accounts under management, to facilitate
transactions for customers, or to hedge obligations under products linked to the Indices.
Although they are not intended to, any of these activities could adversely affect the market
price of the Eligible Commodities or the value of the Indices. It is possible that the Index
Sponsor and its respective affiliates could receive substantial returns from these hedging
activities while the market value of the components of the Indices and the value of the
Indices decline.
With respect to any of the activities described above, neither the Index Sponsor nor its
affiliates has any obligation to take into consideration at any time the needs of any buyer,
seller, holder, issuer, market maker of any product linked to the Indices or any other person.
The Index Sponsor and its affiliates may also issue or underwrite securities or financial or
derivative instruments with returns linked or related to changes in the performance of any
of the foregoing.
c. Suspension or Disruptions of Market Trading in Commodities and
Related Futures May Adversely Affect the Value of the Indices
The futures markets occasionally experience disruptions in trading (including temporary
distortions or other disruptions due to various factors, such as the lack of liquidity in
markets, the participation of speculators and governmental regulation and intervention)
referred to in this Methodology as “Disruption Events.” Disruption Events include the
cessation, for a material time, of trading in Eligible Futures Contracts or the imposition by
the Selected Exchange on which one or more such Eligible Futures Contracts are traded of a
“limit price,” a range outside of which such Eligible Futures Contracts are not permitted to
trade.
United States futures exchanges and some foreign exchanges have regulations that limit the
amount of fluctuation in futures contract prices, which may occur during a single business day.
These limits are generally referred to as “daily price fluctuation limits” and the maximum or
minimum price of a contract on any given day as a result of these limits is referred to as a
“limit price.” Once the limit price has been reached in a particular contract, no trades may be
made at a different price. Limit prices have the effect of precluding trading in a particular
contract or forcing the liquidation of contracts at disadvantageous times or prices. These
circumstances could adversely affect the value of the commodity-linked investments.
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© 2017 Morgan Stanley 14 All Rights Reserved Rev. February 2017
In addition, a Selected Exchange may replace or delist an Eligible Futures Contract.
Procedures have been established to address such events, and such procedures are set forth
in this Methodology. There can be no assurance, however, that a Disruption Event, the
replacement or delisting of a commodity contract, or any other force majeure event, will not
have an adverse or distortive effect on the value of the Indices or the manner in which it is
calculated.
d. New Regulations May Affect the Value of the Indices
Pursuant to legislation adopted in response to the global financial crisis, various regulatory
authorities are in the process of implementing a new and comprehensive regulatory
framework for the derivatives market. The impact of recently adopted and pending
regulations is still unknown, but has the potential to increase the costs of using derivatives,
may limit the availability of some forms of derivatives and may adversely affect the
performance of some derivative instruments, including some Selected Futures Contracts or
the commodities markets in general, by decreasing market liquidity, increasing market
fragmentation, and having other negative effects. Similarly, the enactment of new
legislation and adoption of new regulations may adversely affect the Indices in the future.
e. Non-U.S. Investment May Affect the Value of the Indices
The Indices may include Eligible Futures Contracts traded on Selected Exchanges located
outside of the U.S., which present risk because they may not be subject to the same degree
of regulation as their U.S. counterparts.
f. Future Prices of the Eligible Commodities That Are Different Relative
to Their Current Prices May Affect the Value of the Indices
The Indices are purely synthetic. There is no pool of commodity futures to which any person
is entitled or in which any person has any ownership interest or which serve as collateral for
the return on any product referencing the Indices.
The Indices are composed of commodity futures contracts rather than physical
commodities. Unlike equities, which typically entitle the holder to a continuing stake in a
corporation, commodity futures contracts normally specify a certain date for delivery of the
underlying physical commodity. As the Selected Futures Contracts that comprise the Indices
approach expiration, they are replaced by similar Selected Futures Contracts that have a
later expiration. Thus, for example, a Selected Futures Contract purchased and held in
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 15 All Rights Reserved Rev. February 2017
August may specify an October expiration date. As time passes, the Selected Futures
Contract expiring in October may be replaced by a Selected Futures Contract for delivery in
December. This process is referred to as “rolling”. The Selected Futures Contracts that
comprise the Indices have a variety of maturity dates selected on the basis of historical open
interest. The difference between the prices of the two Selected Futures Contracts when
they are rolled is sometimes referred to as a “roll yield”. If the market for these contracts is
in “backwardation” which means that the prices are lower in the distant delivery months
than in the nearer delivery months, the purchase of the longer dated Selected Futures
Contract would take place at a price that is lower than the sale price of the shorter dated
Selected Futures Contract, also commonly referred to as “positive roll yield”. Conversely, if
the market for Selected Futures Contracts is in “contango,” which means that the prices are
higher in the distant delivery months than in the nearer delivery months, the purchase of
the longer dated Selected Futures Contract would take place at a price that is higher than
the sale price of the shorter dated Selected Futures Contract, also commonly referred to as
“negative roll yield”.
The presence of contango in the commodity markets could result in negative roll yields,
which could adversely affect the value of the Indices. Because of the potential effects of
negative roll yields, it is possible for the value of the Indices to decrease significantly over
time even when the near-term or spot prices of Eligible Commodities are stable or
increasing. It is also possible, when near-term or spot prices of the Eligible Commodities are
decreasing, for the value of the Indices to increase significantly over time even if some or all
of the Eligible Commodities are experiencing backwardation.
g. Potential for Insufficient Diversification May Affect the Value of the
Indices
Diversification is generally considered to reduce the amount of risk associated with
investment returns. The Indices contain a variety of commodity futures with different
maturities. However, each of the Indices references only one commodity. Therefore, there
can be no assurance that a MSCY Single Index will be sufficiently diversified at any time to
reduce or minimize risks to any extent.
h. Data Sourcing, and Data Publication Risks Associated with the
Indices May Adversely Affect the Index Level or the Value of an
Investment Linked to the Indices
The Selected Futures Contracts of the Indices are verified annually in reliance upon historic
price, liquidity and Open Interest data that are subject to potential errors in data sources or
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 16 All Rights Reserved Rev. February 2017
other errors. Any discrepancies that require revision are not applied retroactively but will
be reflected in the Selected Futures Contracts of the Indices for the following year.
Additionally, the Index Sponsor may not discover every discrepancy
i. Continuity of the Indices
The Index Sponsor is under no obligation to continue the calculation, publication and
dissemination of the Indices. Should the Indices cease to exist, this may have a negative
impact on the return of any product linked to the Indices.
j. Other Considerations
The provisions and procedures set forth in this Methodology grant a significant degree of
discretion to the Index Sponsor in a number of respects. The Index Sponsor may exercise
this discretion as it determines to be most appropriate. Furthermore, this Methodology
does not address all possible issues relating to the Indices, and any omissions or exceptions
may be addressed as deemed to be appropriate. In addition, this Methodology and any
other provisions or procedures relating to the Indices may be amended at any time. Any
such amendment may have an effect, positive or negative, on the level of an MSCY Single
Index.
6. Conflicts of Interest
Actual and potential conflicts of interest may exist in the structure and operation of the Indices
and the course of normal business activities for the Index Sponsor or any of its affiliates or
subsidiaries or their respective directors, officers, employees, representatives, delegates or
agents of their normal business activities. During the course of their normal business, the Index
Sponsor or any of its affiliates or subsidiaries or their respective directors, officers, employees,
representatives, delegates or agents may enter into or promote, offer or sell transactions or
investments (structured or otherwise) linked to the Indices or any of their components. In
addition, any of the foregoing entities or persons may have, or may have had, interests or
positions, or may buy, sell or otherwise trade positions in or relating to the Indices or any of
their components, or may invest or engage in transactions with other persons, or on behalf of
such persons relating to any of these items. Such activity could give rise to a conflict of interest,
and such conflict may have an impact, positive or negative, on the level of the Indices. Neither
the Index Sponsor nor any of its affiliates or subsidiaries or their respective directors, officers,
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 17 All Rights Reserved Rev. February 2017
employees, representatives, delegates or agents has any duty to consider the circumstances of
any person when participating in such transactions or to conduct themselves in a manner that is
favorable to anyone with exposure to the Indices through any product referencing the Indices.
7. Disclaimers
Capitalized terms used in this section and not defined herein shall have the respective meaning
ascribed to each in the Methodology. The MSCY Single Indices are a suite of indices and are
collectively referred to herein as (the “Indices”), except as where otherwise noted.
IMPORTANT NOTICE: THE FOLLOWING LIST OF RISKS DOES NOT PURPORT TO BE A COMPLETE
ENUMERATION OR EXPLANATION OF ALL THE RISKS ASSOCIATED WITH THE INDICES. IT IS NOT
INTENDED TO BE AND SHOULD NOT BE RELIED UPON AS A SUBSTITUTE FOR READING THE
METHODOLOGY. YOU SHOULD CAREFULLY READ THE METHODOLOGY IN ITS ENTIRETY TO
UNDERSTAND THE TERMS OF THE INDICES. IN ADDITION, IF YOU ARE CONSIDERING ENTERING
INTO A LICENSE AGREEMENT FOR THE USE OF ANY OF THE INDICES OR PURCHASING OR
INVESTING IN A PRODUCT (INCLUDING WITHOUT LIMITATION A FUND, NOTE, SWAP OR OTHER
DERIVATIVE INSTRUMENT) OR ENTERING INTO A TRANSACTION REFERENCING ANY OF THE
INDICES, YOU SHOULD ALSO READ THE OFFERING DOCUMENT OR AGREEMENT FOR SUCH INDEX,
PRODUCT OR TRANSACTION TO FULLY UNDERSTAND THE TERMS OF, AND THE RISKS ASSOCIATED
WITH, SUCH INDEX, PRODUCT OR TRANSACTION BEFORE MAKING A DECISION ABOUT WHETHER
TO LICENSE SUCH INDEX, INVEST OR PARTICIPATE IN ANY SUCH PRODUCT OR TRANSACTION.
YOUR DECISION TO LICENSE ANY INDEX OR INVEST IN ANY PRODUCT OR PARTICIPATE IN ANY
TRANSACTION REFERENCING ANY OF THE INDICES SHOULD BE MADE WITHOUT RELIANCE ON THE
INDEX SPONSOR OR ANY OF ITS AFFILIATES OR THE CONTINUED AVAILABILITY OF ANY SELECTED
COMMODITIES, AND YOU SHOULD CONSULT WITH YOUR PROFESSIONAL ADVISORS TO THE
EXTENT YOU DEEM NECESSARY. NEITHER THE INDEX SPONSOR NOR ANY OF ITS OR ITS
AFFILIATES’ AGENTS (INCLUDING WITHOUT LIMITATION CALCULATION AGENTS), DATA LICENSORS
OR PROVIDERS (INCLUDING WITHOUT LIMITATION ICE DATE LLP, CHICAGO MERCANTILE
EXCHANGE INC. AND THE LONDON METAL EXCHANGE (INDIVIDUALLY AND COLLECTIVELY, THE
“SPONSOR RELATED ENTITIES”)) SPONSORS, ENDORSES OR PROMOTES ANY PRODUCT OR
TRANSACTION REFERENCING ANY OF THE INDICES AND THE SPONSOR RELATED ENTITIES MAKE
NO REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF ANY PRODUCT
OR THE PARTIES TO ANY TRANSACTION REFERENCING THE INDICES OR ANY MEMBER OF THE
PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN ANY PRODUCT OR TRANSACTION
REFERENCING THE INDICES OR ANY PRODUCT OR TRANSACTION GENERALLY. NEITHER THE
SPONSOR, ITS AFFILIATES NOR ANY OTHER SPONSOR RELATED ENTITY HAS ANY OBLIGATION TO
TAKE THE NEEDS OF ANY INDEX LICENSEE, OWNERS OF ANY PRODUCT OR THE PARTIES TO ANY
TRANSACTION REFERENCING ANY OF THE INDICES OR ANY MEMBER OF THE PUBLIC INTO
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 18 All Rights Reserved Rev. February 2017
CONSIDERATION IN DETERMINING, COMPOSING OR CALCULAITNG THE INDEX. NEITHER THE
SPONSOR, ITS AFFILIATES NOR ANY OTHER SPONSOR RELATED ENTITY IS RESPONSIBLE FOR AND
HAS NOT PARTICIPATED IN THE DETERMINATION OF THE TIMING OR PRICES OF ANY PRODUCT OR
ASSETS RELATED TO ANY TRANSACTION REFERENCING ANY OF THE INDICES. NOTHING HEREIN
CONSTITUTES OR SHOULD BE CONSTRUED AS AN OFFER TO BUY OR SELL ANY SECURITIES,
PARTICIPATE IN ANY TRANSACTION OR ADOPT ANY INVESTMENT STRATEGY OR LEGAL, TAX,
REGULATORY OR ACCOUNTING ADVICE.
ALTHOUGH THE SPONSOR OR SPONSOR RELATED ENTITIES OBTAIN INFORMATION FOR
INCLUSION IN OR USE IN THE CALCULATION OF ANY OF THE INDICES FROM SOURCES WHICH
SPONSOR CONSIDERS RELIABLE, NEITHER SPONSOR, ANY OF ITS OR ITS AFFILIATES’ NOR ANY
OTHER SPONSOR RELATED ENTITY GUARANTEES THE ACCURACY AND/OR THE COMPLETENESS OF
ANY OF THE INDICES OR ANY DATA INCLUDED THEREIN. NONE OF THE SPONSOR, ANY OF ITS
AFFILIATES OR ANY OTHER SPONSOR RELATED ENTITY SHALL HAVE ANY LIABILITY FOR ANY
ERRORS, OMISSIONS, UNAVAILABILITY OF OR INTERRUPTIONS IN ANY OF THE INDICES OR THE
CALCULATION OF ANY THEREOF. NONE OF THE SPONSOR, OR ANY OF ITS AFFILIATES OR ANY
OTHER SPONSOR RELATED ENTITY MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO THE
RESULTS TO BE OBTAINED BY THE PARTIES TO ANY LICENSE OR TRANSACTION INVOLVING ANY OF
THE INDICES OR BY ANY OTHER PERSON OR ENTITY FROM ANY OF THE INDICES OR ANY DATA
INCLUDED THEREIN. NONE OF THE SPONSOR, ANY OF ITS AFFILIATES OR ANY OTHER SPONSOR
RELATED ENTITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL
WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH
RESPECT TO THE INDICES OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE
FOREGOING, IN NO EVENT SHALL THE SPONSOR, ANY OF ITS AFFILIATES OR ANY OTHER SPONSOR
RELATED ENTITY HAVE ANY LIABILITY TO ANY PERSON OR ENTITY FOR ANY DAMAGES, LOST
PROFITS OR INDIRECT, PUNITIVE, SPECIAL OR CONSEQUENTIAL DAMAGES OR LOSSES, EVEN IF
NOTIFIED OF THE POSSIBILITY THEREOF. THE INDICES ARE THE EXCLUSIVE PROPERTY OF THE
INDEX SPONSOR AND THE INDEX SPONSOR RETAINS ALL PROPRIETARY RIGHTS THEREIN.
8. Definitions
“Chicago Board of Trade” means the Chicago Mercantile Exchange and its successors and
permitted assigns.
“Chicago Mercantile Exchange” means the Chicago Mercantile Exchange and its successors and
permitted assigns.
“CME” means the CME Group and its successors and permitted assigns.
“COMEX” means the Commodity Exchange, Inc. and its successors and permitted assigns.
“Commodity Code” means the code for each Eligible Commodity, as listed in Exhibit A below.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 19 All Rights Reserved Rev. February 2017
“Daily Collateral Yield” is the theoretical on day T-Bill Rate using the 91 day discount rate for
U.S. Treasury Bills.
“Denominated Currency” means the currency in which the Eligible Commodity is denominated
as determined by the Selected Exchange, and listed in Exhibit A below.
“Disruption Event” an event that may hinder the Index Sponsor from properly calculating an
MSCY Single Index, and gives rise to a Disruption Event Fallback Procedure.
“Disruption Event Fallback Procedures” are procedures that have been developed to properly
calculate an MSCY Single Index, upon the occurrence of a Disruption Event.
“Eligible Commodities” are the commodities listed in Exhibit A below, which have met the
criteria stated in Section 2.a (“Eligible Commodities”).
“Eligible Futures Contracts” means the discrete commodity futures contracts available for
trading in each Eligible Commodity, as determined by the Index Sponsor, and listed in Exhibit B
below.
“Futures Settlement Price” is the officially published closing settlement price of an Eligible
Futures Contract, as published by the Selected Exchange.
“ICE Futures Europe” means the ICE Futures Europe and its successors and permitted assigns.
“ICE Futures U.S.” means the ICE Futures U.S. and its successors and permitted assigns.
“Index Level” means the level of an MSCY Single Index rounded to 8 decimal places, as
determined by the Index Sponsor.
“Index Sponsor” means MSCG.
“LIFFE” means the London International Financial Futures and Options Exchange and its
successors and permitted assigns.
“London Metal Exchange” means the London Metal Exchange and its successors and permitted
assigns.
“Methodology” refers to this Index Methodology, which details the principal rules and
mechanics behind the calculation of the MSCY Single Indices and the procedures to modify such
indices under certain circumstances.
“Minneapolis Grain Exchange, Inc.” means the Minneapolis Grain Exchange, Inc. and its
successors and permitted assigns.
“MSCG” means Morgan Stanley Capital Group Inc.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 20 All Rights Reserved Rev. February 2017
“MSCY Business Day” means a day that a) the Index Sponsor is open for business during normal
trading hours in New York and b) the New York Mercantile Exchange Inc. is open for business
during normal trading hours.
“MSCY Custom Single Index” means a MSCY Single Index that utilizes a custom Roll Period, Roll
Weight and a custom MSCY Single Index Roll Schedule.
“MSCY Single Index” means any of the possible indices that encompass a single Eligible
Commodity.
“MSCY Single Index Rebalance Date” is an MSCY Business Day in which an MSCY Single Index
changes its Roll Period, Roll Weight and/or MSCY Single Index Roll Schedule.
“MSCY Single Index RD” means an MSCY Single Index that utilizes the MSCY Single Index RD Roll
Schedule, specific Roll Period and Roll Weight, each as listed in Exhibit D1 below.
“MSCY Single Index Roll Schedule” is the sequence of exposure transfer regarding a MSCY
Single Index, from the Prompt Futures Contract to the Next Futures Contract.
“MSCY Single Index RY” means an MSCY Single Index that utilizes the MSCY Single Index RY Roll
Schedule, each as listed in Exhibit C6 below.
“MSCY Single Index R0” means an MSCY Single Index that utilizes the MSCY Single Index R0 Roll
Schedule, each as listed in Exhibit C1 below.
“MSCY Single Index R0P” means an MSCY Single Index that utilizes the MSCY Single Index R0
Roll Schedule and a specific Roll Period, each listed in Exhibit E1 below.
“MSCY Single Index R1” means an MSCY Single Index that utilizes the MSCY Single Index R1 Roll
Schedule, each as listed in Exhibit C2 below.
“MSCY Single Index R2” means an MSCY Single Index that utilizes the MSCY Single Index R2 Roll
Schedule, each as listed in Exhibit C3 below.
“MSCY Single Index R3” means an MSCY Single Index that utilizes the MSCY Single Index R3 Roll
Schedule, each as listed in Exhibit C4 below.
“MSCY Single Index R4” means an MSCY Single Index that utilizes the MSCY Single Index R4 Roll
Schedule, each as listed in Exhibit C5 below.
“MSCY1 Single Index D1” is a specific MSCY Single Index that utilizes the MSCY1 Single Index
Roll Schedule, each listed in Exhibit F1 below.
“MSCY1 Single Index D3” is a specific MSCY Single Index that utilized the MSCY1 Single Index
Roll Schedule, each listed in Exhibit F3 below.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 21 All Rights Reserved Rev. February 2017
“MSCY1 Single Index D6” is a specific MSCY Single Index that utilized the MSCY1 Single Index
Roll Schedule, each listed in Exhibit F6 below.
“MSCY2 Single Index D0” means an MSCY Single Index that utilizes the MSCY2 Single Index D0
Roll Schedule, each as listed in Exhibit G1 below.
“MSCY3 Single Index” is a specific MSCY Single Index that utilizes a custom Roll Period, Roll
Weight and the MSCY3 Single Index Roll Schedule, each listed in Exhibit H1 below.
“MSCY4 Single Index” is a specific MSCY Single Index that utilizes the MSCY Single Index R0 Roll
Schedule with a specific Roll Period and Roll Weight, each listed in Exhibit I1 below.
“MSCY5 Single Index” is a specific MSCY Single Index that utilizes the MSCY2 Single Index D0
Roll Schedule with a specific Roll Period and Roll Weight, each listed in Exhibit J1 below.
“MSCY Single Spot Return Index” is a version of the MSCY Single Index using a different
calculation for the derivation of its Index Level, as specified in Equation 4 of Section 3.d.
(“Calculation of MSCY Single Indices”).
“MSCY Single Total Return Index” is a version of the MSCY Single Index which incorporates the
T-Bill Rate, as specified in Equation 5 of Section 3.d. (“Calculation of MSCY Single Indices”).
“Next Futures Contract” means the Selected Futures Contract of an MSCY Single Index, which is
held by such MSCY Single Index following the Roll Period.
“NYMEX” means the New York Mercantile Exchange, Inc. and its successors and permitted
assigns.
“Official Index Level” is the Index Level rounded to 4 decimal places.
“Open Interest” means the number of outstanding open contracts as reported by the respective
Selected Exchange for an Eligible Futures Contract.
“Prompt Futures Contract” means the Selected Futures Contract of an MSCY Single Index, which
is held by such MSCY Single Index before the Roll Period.
“Roll Period” is from and including the 5th MSCY Business Day to and including the 9th MSCY
Business Day of each calendar month.
“Roll Weight” means 20% for each MSCY Business Day during the Roll Period, subject to the
occurrence of a Disruption Event.
“Selected Exchange” means a designated contract market or board of trade that lists or trades a
commodity futures contract, as listed in Section 3.b. (“Selected Exchanges”).
“Selected Futures Contract” is a liquid Eligible Futures Contract of an Eligible Commodity, as
listed in Exhibit B below.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 22 All Rights Reserved Rev. February 2017
“T-Bill Rate” is the 13-week U.S. Treasury Bills High Rate quoted at the most recent weekly
auction and published by the Bureau of the Public Debt of the U.S. Treasury available on this
website: http://www.treasurydirect.gov/instit/annceresult/annceresult.htm.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 23 All Rights Reserved Rev. February 2017
9. Exhibits
Exhibit A – Eligible Commodities
Eligible Commodity Selected Exchange Commodity Code
Denominated Currency
Contract Size
Gold Commodity Exchange, Inc. GC U.S. Dollars 100
Silver Commodity Exchange, Inc. SI U.S. Dollars 5,000
Platinum New York Mercantile Exchange Inc. PL U.S. Dollars 50
Palladium New York Mercantile Exchange Inc. PA U.S. Dollars 100
Aluminum London Metal Exchange LA U.S. Dollars 25
Copper London Metal Exchange LP U.S. Dollars 25
Copper (HG) Commodity Exchange, Inc. HG U.S. cents 25,000
Nickel London Metal Exchange LN U.S. Dollars 6
Lead London Metal Exchange LL U.S. Dollars 25
Zinc London Metal Exchange LX U.S. Dollars 25
Tin London Metal Exchange LT U.S. Dollars 5
Crude Oil New York Mercantile Exchange Inc. CL U.S. Dollars 1,000
Brent Oil ICE Futures Europe CO U.S. Dollars 1,000
Heating Oil New York Mercantile Exchange Inc. HO U.S. cents 42,000
Gasoil ICE Futures Europe QS U.S. Dollars 100
RBOB New York Mercantile Exchange Inc. XB U.S. cents 42,000
Ethanol Chicago Board of Trade DL U.S. Dollars 29,000
Coal New York Mercantile Exchange Inc. MF U.S. Dollars 1,000
Natural Gas New York Mercantile Exchange Inc. NG U.S. Dollars 10,000
Corn Chicago Board of Trade CN U.S. cents 5,000
Wheat Chicago Board of Trade WH U.S. cents 5,000
Kansas Wheat Chicago Board of Trade KW U.S. cents 5,000
Milling Wheat Euronext Derivatives Paris CA EUR 50
Minneapolis Wheat Minneapolis Grain Exchange, Inc. MW U.S. cents 5,000
Soybeans Chicago Board of Trade SY U.S. cents 5,000
Soybean Oil Chicago Board of Trade BO U.S. cents 60,000
Soybean Meal Chicago Board of Trade SM U.S. Dollars 100
Cotton ICE Futures U.S. CT U.S. cents 50,000
Coffee (Arabica) ICE Futures U.S. KC U.S. cents 37,500
Coffee (Robusta) LIFFE DF U.S. Dollars 10
Sugar ICE Futures U.S. SB U.S. cents 112,000
White Sugar LIFFE QW U.S. Dollars 50
Cocoa ICE Futures U.S. CC U.S. Dollars 10
Orange Juice ICE Futures U.S. JO U.S. cents 15,000
Milk Chicago Mercantile Exchange DA U.S. Dollars 200,000
Lean Hogs Chicago Mercantile Exchange LH U.S. cents 40,000
Live Cattle Chicago Mercantile Exchange LC U.S. cents 40,000
Feeder Cattle Chicago Mercantile Exchange FC U.S. cents 50,000
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 24 All Rights Reserved Rev. February 2017
Exhibit B – Eligible Futures Contracts and Selected Futures Contracts
Eligible Commodity Commodity Code Eligible Futures Contracts Selected Futures Contracts
Gold GC G, J, M, Q, V, Z G, J, M, Q, Z
Silver SI F, H, K, N, U, Z F, K, N, U, Z
Platinum PL F, J, N, V F, J, N, V
Palladium PA H, M, U, Z H, M, U, Z
Aluminum LA F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Copper LP F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Copper (HG) HG H, K, N, U, Z H, K, N, U, Z
Nickel LN F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Lead LL F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Zinc LX F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Tin LT F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Crude Oil CL F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Brent Oil CO F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Heating Oil HO F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Gasoil QS F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
RBOB XB F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Ethanol DL F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Coal MF F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Natural Gas NG F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Corn CN H, K, N, U, Z H, K, N, U, Z
Wheat WH H, K, N, U, Z H, K, N, U, Z
Kansas Wheat KW H, K, N, U, Z H, K, N, U, Z
Milling Wheat CA H, K, U, Z H, K, U, Z
Minneapolis Wheat MW H, K, N, U, Z H, K, N, U, Z
Soybeans SY F, H, K, N, Q, U, X F, H, K, N, X
Soybean Oil BO F, H, K, N, X, Z F, H, K, N, Z
Soybean Meal SM F, H, K, N, Q, U, V, Z F, H, K, N, Z
Cotton CT H, K, N, V, Z H, K, N, Z
Coffee (Arabica) KC H, K, N, U, Z H, K, N, U, Z
Coffee (Robusta) DF F, H, K, N, U, X F, H, K, N, U, X
Sugar SB H, K, N, V H, K, N, V
White Sugar QW H, K, Q, V, Z H, K, Q, V, Z
Cocoa CC H, K, N, U, Z H, K, N, U, Z
Orange Juice JO F, H, K, N, U, X F, H, K, N, U, X
Milk DA F, G, H, J, K, M, N, Q, U, V, X, Z F, G, H, J, K, M, N, Q, U, V, X, Z
Lean Hogs LH G, J, K, M, N, Q, V, Z G, J, M, N, Q, V, Z
Live Cattle LC G, J, M, Q, V, Z G, J, M, Q, V, Z
Feeder Cattle FC F, H, J, K, Q, U, V, X F, H, J, K, Q, U, V, X
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 25 All Rights Reserved Rev. February 2017
Exhibit C1 – MSCY Single Indices R0 MSCY Single Indices R0
Selected Futures Contract held before the Roll Period, the MSCY Single Index R0 Roll Schedule
Eligible Commodity
Commodity Code
MSCY Single Indices R0 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGC0 G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1
Silver SI MSCYSI0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Platinum PL MSCYPL0 J0 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1
Palladium PA MSCYPA0 H0 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1
Aluminium LA MSCYLA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Copper LP MSCYLP0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Copper (HG) HG MSCYHG0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Nickel LN MSCYLN0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Lead LL MSCYLL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Zinc LX MSCYLX0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Tin LT MSCYLT0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Crude Oil CL MSCYCL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Brent Oil CO MSCYCO0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Heating Oil HO MSCYHO0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Gasoil QS MSCYQS0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
RBOB XB MSCYXB0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Ethanol DL MSCYDL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Coal MF MSCYXA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Natural Gas NG MSCYNG0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Corn CN MSCYCN0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Wheat WH MSCYWH0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Kansas Wheat KW MSCYKW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 Minneapolis Wheat MW MSCYMW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Soybeans SY MSCYSY0 H0 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1
Soybean Oil BO MSCYBO0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1
Soybean Meal SM MSCYSM0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1
Cotton CT MSCYCT0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1
Coffee (Arabica) KC MSCYKC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Coffee (Robusta) DF MSCYDF0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Sugar SB MSCYSB0 H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1
White Sugar QW MSCYQW0 H0 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1
Cocoa CC MSCYCC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Orange Juice JO MSCYJO0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Milk DA MSCYDA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Lean Hogs LH MSCYLH0 G0 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1
Live Cattle LC MSCYLC0 G0 J0 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1
Feeder Cattle FC MSCYFC0 H0 H0 J0 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 26 All Rights Reserved Rev. February 2017
Exhibit C2 – MSCY Single Indices R1
MSCY Single Indices R1
Selected Futures Contract held before the Roll Period, the MSCY Single Index R1 Roll Schedule
Eligible Commodity Commodity Code
MSCY Single Indices R1 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGC1 J0 M0 M0 Q0 Q0 Z0 Z0 G1 G1 G1 G1 J1
Silver SI MSCYSI1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Platinum PL MSCYPL1 N0 N0 N0 V0 V0 V0 F1 F1 F1 J1 J1 J1
Palladium PA MSCYPA1 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1
Aluminium LA MSCYLA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Copper LP MSCYLP1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Copper (HG) HG MSCYHG1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Nickel LN MSCYLN1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Lead LL MSCYLL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Zinc LX MSCYLX1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Tin LT MSCYLT1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Crude Oil CL MSCYCL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Brent Oil CO MSCYCO1 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Heating Oil HO MSCYHO1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Gasoil QS MSCYQS1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
RBOB XB MSCYXB1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Ethanol DL MSCYDL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Coal MF MSCYXA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Natural Gas NG MSCYNG1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Corn CN MSCYCN1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Wheat WH MSCYWH1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Kansas Wheat KW MSCYKW1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Minneapolis Wheat MW MSCYMW1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Soybeans SY MSCYSY1 K0 K0 N0 N0 X0 X0 F1 F1 F1 F1 H1 H1
Soybean Oil BO MSCYBO1 K0 K0 N0 N0 Z0 Z0 F1 F1 F1 F1 H1 H1
Soybean Meal SM MSCYSM1 K0 K0 N0 N0 Z0 Z0 F1 F1 F1 F1 H1 H1
Cotton CT MSCYCT1 K0 K0 N0 N0 Z0 Z0 H1 H1 H1 H1 H1 K1
Coffee (Arabica) KC MSCYKC1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Coffee (Robusta) DF MSCYDF1 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1
Sugar SB MSCYSB1 K0 K0 N0 N0 V0 V0 H1 H1 H1 K1 K1 K1
White Sugar QW MSCYQW1 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1 K1 K1
Cocoa CC MSCYCC1 K0 K0 N0 N0 U0 U0 Z0 Z0 H1 H1 H1 K1
Orange Juice JO MSCYJO1 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1
Milk DA MSCYDA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Lean Hogs LH MSCYLH1 J0 M0 M0 N0 N0 Q0 V0 Z0 Z0 G1 G1 J1
Live Cattle LC MSCYLC1 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1 G1 J1
Feeder Cattle FC MSCYFC1 J0 J0 K0 Q0 U0 U0 U0 V0 X0 F1 H1 H1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 27 All Rights Reserved Rev. February 2017
Exhibit C3 – MSCY Single Indices R2
MSCY Single Indices R2
Selected Futures Contract held before the Roll Period, the MSCY Single Index R2 Roll Schedule
Eligible Commodity Commodity Code
MSCY Single Indices R2 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGC2 M0 Q0 Q0 Z0 Z0 G1 G1 J1 J1 J1 J1 M1
Silver SI MSCYSI2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Platinum PL MSCYPL2 V0 V0 V0 F1 F1 F1 J1 J1 J1 N1 N1 N1
Palladium PA MSCYPA2 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1 M1 M1 U1
Aluminium LA MSCYLA2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Copper LP MSCYLP2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Copper (HG) HG MSCYHG2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Nickel LN MSCYLN2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Lead LL MSCYLL2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Zinc LX MSCYLX2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Tin LT MSCYLT2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Crude Oil CL MSCYCL2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Brent Oil CO MSCYCO2 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Heating Oil HO MSCYHO2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Gasoil QS MSCYQS2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
RBOB XB MSCYXB2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Ethanol DL MSCYDL2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Coal MF MSCYXA2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Natural Gas NG MSCYNG2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Corn CN MSCYCN2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Wheat WH MSCYWH2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Kansas Wheat KW MSCYKW2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Minneapolis Wheat MW MSCYMW2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Soybeans SY MSCYSY2 N0 N0 X0 X0 F1 F1 H1 H1 H1 H1 K1 K1
Soybean Oil BO MSCYBO2 N0 N0 Z0 Z0 F1 F1 H1 H1 H1 H1 K1 K1
Soybean Meal SM MSCYSM2 N0 N0 Z0 Z0 F1 F1 H1 H1 H1 H1 K1 K1
Cotton CT MSCYCT2 N0 N0 Z0 Z0 H1 H1 K1 K1 K1 K1 K1 N1
Coffee (Arabica) KC MSCYKC2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Coffee (Robusta) DF MSCYDF2 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1
Sugar SB MSCYSB2 N0 N0 V0 V0 H1 H1 K1 K1 K1 N1 N1 N1
White Sugar QW MSCYQW2 Q0 Q0 V0 V0 Z0 Z0 H1 H1 K1 K1 Q1 Q1
Cocoa CC MSCYCC2 N0 N0 U0 U0 Z0 Z0 H1 H1 K1 K1 K1 N1
Orange Juice JO MSCYJO2 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1
Milk DA MSCYDA2 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Lean Hogs LH MSCYLH2 M0 N0 N0 Q0 Q0 V0 Z0 G1 G1 J1 J1 M1
Live Cattle LC MSCYLC2 M0 Q0 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1
Feeder Cattle FC MSCYFC2 K0 K0 Q0 U0 V0 V0 V0 X0 F1 H1 J1 J1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 28 All Rights Reserved Rev. February 2017
Exhibit C4 – MSCY Single Indices R3
MSCY Single Indices R3
Selected Futures Contract held before the Roll Period, the MSCY Single Index R3 Roll Schedule
Eligible Commodity Commodity Code
MSCY Single Indices R3 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGC3 Q0 Z0 Z0 G1 G1 J1 J1 M1 M1 M1 M1 Q1
Silver SI MSCYSI3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Platinum PL MSCYPL3 F1 F1 F1 J1 J1 J1 N1 N1 N1 V1 V1 V1
Palladium PA MSCYPA3 Z0 Z0 H1 H1 H1 M1 M1 M1 U1 U1 U1 Z1
Aluminium LA MSCYLA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Copper LP MSCYLP3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Copper (HG) HG MSCYHG3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Nickel LN MSCYLN3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Lead LL MSCYLL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Zinc LX MSCYLX3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Tin LT MSCYLT3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Crude Oil CL MSCYCL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Brent Oil CO MSCYCO3 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Heating Oil HO MSCYHO3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Gasoil QS MSCYQS3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
RBOB XB MSCYXB3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Ethanol DL MSCYDL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Coal MF MSCYXA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Natural Gas NG MSCYNG3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Corn CN MSCYCN3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Wheat WH MSCYWH3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Kansas Wheat KW MSCYKW3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Minneapolis Wheat MW MSCYMW3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Soybeans SY MSCYSY3 X0 X0 F1 F1 H1 H1 K1 K1 K1 K1 N1 N1
Soybean Oil BO MSCYBO3 Z0 Z0 F1 F1 H1 H1 K1 K1 K1 K1 N1 N1
Soybean Meal SM MSCYSM3 Z0 Z0 F1 F1 H1 H1 K1 K1 K1 K1 N1 N1
Cotton CT MSCYCT3 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 N1 N1 Z1
Coffee (Arabica) KC MSCYKC3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Coffee (Robusta) DF MSCYDF3 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1
Sugar SB MSCYSB3 V0 V0 H1 H1 K1 K1 N1 N1 N1 V1 V1 V1
White Sugar QW MSCYQW3 V0 V0 Z0 Z0 H1 H1 K1 K1 Q1 Q1 V1 V1
Cocoa CC MSCYCC3 U0 U0 Z0 Z0 H1 H1 K1 K1 N1 N1 N1 U1
Orange Juice JO MSCYJO3 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1
Milk DA MSCYDA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Lean Hogs LH MSCYLH3 N0 Q0 Q0 V0 V0 Z0 G1 J1 J1 M1 M1 N1
Live Cattle LC MSCYLC3 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1
Feeder Cattle FC MSCYFC3 Q0 Q0 U0 V0 X0 X0 X0 F1 H1 J1 K1 K1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 29 All Rights Reserved Rev. February 2017
Exhibit C5 – MSCY Single Indices R4
MSCY Single Indices R4
Selected Futures Contract held before the Roll Period, the MSCY Single Index R4 Roll Schedule
Eligible Commodity Commodity Code
MSCY Single Indices R4 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGC4 Z0 G1 G1 J1 J1 M1 M1 Q1 Q1 Q1 Q1 Z1
Silver SI MSCYSI4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Platinum PL MSCYPL4 J1 J1 J1 N1 N1 N1 V1 V1 V1 F2 F2 F2
Palladium PA MSCYPA4 H1 H1 M1 M1 M1 U1 U1 U1 Z1 Z1 Z1 H2
Aluminium LA MSCYLA4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Copper LP MSCYLP4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Copper (HG) HG MSCYHG4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Nickel LN MSCYLN4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Lead LL MSCYLL4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Zinc LX MSCYLX4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Tin LT MSCYLT4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Crude Oil CL MSCYCL4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Brent Oil CO MSCYCO4 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1
Heating Oil HO MSCYHO4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Gasoil QS MSCYQS4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
RBOB XB MSCYXB4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Ethanol DL MSCYDL4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Coal MF MSCYXA4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Natural Gas NG MSCYNG4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Corn CN MSCYCN4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Wheat WH MSCYWH4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Kansas Wheat KW MSCYKW4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Minneapolis Wheat MW MSCYMW4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Soybeans SY MSCYSY4 F1 F1 H1 H1 K1 K1 N1 N1 N1 N1 X1 X1
Soybean Oil BO MSCYBO4 F1 F1 H1 H1 K1 K1 N1 N1 N1 N1 Z1 Z1
Soybean Meal SM MSCYSM4 F1 F1 H1 H1 K1 K1 N1 N1 N1 N1 Z1 Z1
Cotton CT MSCYCT4 H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 Z1 H2
Coffee (Arabica) KC MSCYKC4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Coffee (Robusta) DF MSCYDF4 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1 U1 U1
Sugar SB MSCYSB4 H1 H1 K1 K1 N1 N1 V1 V1 V1 H2 H2 H2
White Sugar QW MSCYQW4 Z0 Z0 H1 H1 K1 K1 Q1 Q1 V1 V1 Z1 Z1
Cocoa CC MSCYCC4 Z0 Z0 H1 H1 K1 K1 N1 N1 U1 U1 U1 Z1
Orange Juice JO MSCYJO4 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1 U1 U1
Milk DA MSCYDA4 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Lean Hogs LH MSCYLH4 Q0 V0 V0 Z0 Z0 G1 J1 M1 M1 N1 N1 Q1
Live Cattle LC MSCYLC4 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1 Q1 V1
Feeder Cattle FC MSCYFC4 U0 U0 V0 X0 F1 F1 F1 H1 J1 K1 Q1 Q1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 30 All Rights Reserved Rev. February 2017
Exhibit C6 – MSCY Single Indices RY
MSCY Single Indices RY
Selected Futures Contract held before the Roll Period, the MSCY Single Index RY Roll Schedule
Eligible Commodity Commodity Code
MSCY Single Indices RY (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGCY G1 J1 J1 M1 M1 Q1 Q1 Z1 Z1 Z1 Z1 G2
Silver SI MSCYSIY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Platinum PL MSCYPLY J1 J1 J1 N1 N1 N1 V1 V1 V1 F2 F2 F2
Palladium PA MSCYPAY H1 H1 M1 M1 M1 U1 U1 U1 Z1 Z1 Z1 H2
Aluminium LA MSCYLAY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Copper LP MSCYLPY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Copper (HG) HG MSCYHGY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Nickel LN MSCYLNY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Lead LL MSCYLLY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Zinc LX MSCYLXY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Tin LT MSCYLTY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Crude Oil CL MSCYCLY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Brent Oil CO MSCYCOY H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2 G2
Heating Oil HO MSCYHOY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Gasoil QS MSCYQSY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
RBOB XB MSCYXBY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Ethanol DL MSCYDLY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Coal MF MSCYXAY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Natural Gas NG MSCYNGY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Corn CN MSCYCNY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Wheat WH MSCYWHY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Kansas Wheat KW MSCYKWY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Minneapolis Wheat MW MSCYMWY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Soybeans SY MSCYSYY H1 H1 K1 K1 N1 N1 X1 X1 X1 X1 F2 F2
Soybean Oil BO MSCYBOY H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 F2 F2
Soybean Meal SM MSCYSMY H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 F2 F2
Cotton CT MSCYCTY H1 H1 K1 K1 N1 N1 Z1 Z1 Z1 Z1 Z1 H2
Coffee (Arabica) KC MSCYKCY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Coffee (Robusta) DF MSCYDFY H1 H1 K1 K1 N1 N1 U1 U1 X1 X1 F2 F2
Sugar SB MSCYSBY H1 H1 K1 K1 N1 N1 V1 V1 V1 H2 H2 H2
White Sugar QW MSCYQWY H1 H1 K1 K1 Q1 Q1 V1 V1 Z1 Z1 H2 H2
Cocoa CC MSCYCCY H1 H1 K1 K1 N1 N1 U1 U1 Z1 Z1 Z1 H2
Orange Juice JO MSCYJOY H1 H1 K1 K1 N1 N1 U1 U1 X1 X1 F2 F2
Milk DA MSCYDAY G1 H1 J1 K1 M1 N1 Q1 U1 V1 X1 Z1 F2
Lean Hogs LH MSCYLHY G1 J1 J1 M1 M1 N1 Q1 V1 V1 Z1 Z1 G2
Live Cattle LC MSCYLCY G1 J1 J1 M1 M1 Q1 Q1 V1 V1 Z1 Z1 G2
Feeder Cattle FC MSCYFCY H1 H1 J1 K1 Q1 Q1 Q1 U1 V1 X1 F2 F2
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 31 All Rights Reserved Rev. February 2017
Exhibit D1 – MSCY Single Indices RD MSCY Single Index RD Roll Period is from and including the 1st MSCY Business Day to and including the
4th MSCY Business Day of each calendar month.
MSCY Single Index RD Roll Weight is 25% for each MSCY Business Day during the MSCY Single Index RD
Roll Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events
and Disruption Event Fallback Procedures”).
MSCY Single Indices RD Selected Futures Contract held after the Roll Period, the MSCY Single Index RD Roll Schedule
Eligible Commodity
Commodity Code
MSCY Single Indices RD (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGCD As specified under Methodology 1
Silver SI MSCYSID As specified under Methodology 1
Platinum PL MSCYPLD As specified under Methodology 1
Aluminium LA MSCYLAD As specified under Methodology 1
Copper LP MSCYLPD As specified under Methodology 1
Copper (HG) HG MSCYHGD As specified under Methodology 1
Nickel LN MSCYLND As specified under Methodology 1
Lead LL MSCYLLD As specified under Methodology 1
Zinc LX MSCYLXD As specified under Methodology 1
Crude Oil CL MSCYCLD As specified under Methodology 1
Brent Oil CO MSCYCOD As specified under Methodology 1
Heating Oil HO MSCYHOD As specified under Methodology 1
Gasoil QS MSCYQSD As specified under Methodology 1
RBOB XB MSCYXBD As specified under Methodology 1
Natural Gas NG MSCYNGD As specified under Methodology 1
Corn CN MSCYCND As specified under Methodology 2
Wheat WH MSCYWHD As specified under Methodology 2
Kansas Wheat KW MSCYKWD As specified under Methodology 2
Soybeans SY MSCYSYD As specified under Methodology 2
Soybean Oil BO MSCYBOD As specified under Methodology 1
Soybean Meal SM MSCYSMD As specified under Methodology 1
Cotton CT MSCYCTD As specified under Methodology 1
Coffee (Arabica) KC MSCYKCD As specified under Methodology 1
Sugar SB MSCYSBD As specified under Methodology 1
Cocoa CC MSCYCCD As specified under Methodology 1
Lean Hogs LH MSCYLHD As specified under Methodology 1
Live Cattle LC MSCYLCD As specified under Methodology 1
Feeder Cattle FC MSCYFCD As specified under Methodology 1
Methodology 1:
The following methodology is applied for selecting the Next Futures Contract each month for
those Eligible Commodities other than Corn, Wheat, Kansas Wheat and Soybeans:
On the 3rd to last MSCY Business Day of each month, the shape of the forward curve is measured out to 1 year.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 32 All Rights Reserved Rev. February 2017
The implied roll yield is calculated for all subsequent Selected Futures Contracts, pursuant to the formula below:
𝐼𝑅𝑌𝑓 = (𝑃𝑓−1
𝑃𝑓− 1) ×
12
𝑀𝑜𝑛𝑡ℎ𝑠(𝑓 − 1, 𝑓)
where:
“f” is the relevant Selected Futures Contract
𝐼𝑅𝑌𝑓 is implied roll yield of Selected Futures Contract "𝑓"
𝑃𝑓 is the price of Selected Futures Contract "𝑓"
𝑀𝑜𝑛𝑡ℎ𝑠(𝑓 − 1, 𝑓) is the number of months between Selected Futures Contracts "𝑓 − 1" and "𝑓"
𝑓 − 1 is the Selected Futures Contract preceding the Selected Futures Contract "𝑓"
The Next Futures Contract is the Selected Futures Contract with the highest implied roll yield.
Methodology 2:
The following methodology is applied for selecting the Next Futures Contract each month for the
Eligible Commodities Corn, Wheat, Kansas Wheat and Soybeans:
The subsequent Selected Futures Contracts N and U for Corn, Wheat and Kansas Wheat and N and X for Soybeans are excluded from the implied roll yield calculation.
The Next Futures Contract is the Selected Futures Contract that has the highest implied roll yield using the implied roll yield calculation of Methodology 1 on the remaining subsequent Selected Futures Contracts.
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 33 All Rights Reserved Rev. February 2017
Exhibit E1 – MSCY Single Indices R0P MSCY Single Index R0P Roll Period is from and including the 1st MSCY Business Day to and including the
4th MSCY Business Day of each calendar month.
MSCY Single Index R0P Roll Weight is 25% for each MSCY Business Day during the MSCY Single Index R0P
Roll Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events
and Disruption Event Fallback Procedures”).
MSCY Single Indices R0P
Selected Futures Contract held before the Roll Period, the MSCY Single Index R0 Roll Schedule
Eligible Commodity
Commodity Code
MSCY Single Indices R0P (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCYGCP G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1
Silver SI MSCYSIP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Platinum PL MSCYPLP J0 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1
Palladium PA MSCYPAP H0 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1
Aluminium LA MSCYLAP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Copper LP MSCYLPP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Copper (HG) HG MSCYHGP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Nickel LN MSCYLNP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Lead LL MSCYLLP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Zinc LX MSCYLXP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Tin LT MSCYLTP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Crude Oil CL MSCYCLP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Brent Oil CO MSCYCOP H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Heating Oil HO MSCYHOP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Gasoil QS MSCYQSP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
RBOB XB MSCYXBP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Ethanol DL MSCYDLP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Coal MF MSCYXAP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Natural Gas NG MSCYNGP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Corn CN MSCYCNP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Wheat WH MSCYWHP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Kansas Wheat KW MSCYKWP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 Minneapolis Wheat MW MSCYMWP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Soybeans SY MSCYSYP H0 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1
Soybean Oil BO MSCYBOP H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1
Soybean Meal SM MSCYSMP H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1
Cotton CT MSCYCTP H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1
Coffee (Arabica) KC MSCYKCP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Coffee (Robusta) DF MSCYDFP H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Sugar SB MSCYSBP H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1
White Sugar QW MSCYQWP H0 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1
Cocoa CC MSCYCCP H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Orange Juice JO MSCYJOP H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Milk DA MSCYDAP G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Lean Hogs LH MSCYLHP G0 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1
Live Cattle LC MSCYLCP G0 J0 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1
Feeder Cattle FC MSCYFCP H0 H0 J0 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 34 All Rights Reserved Rev. February 2017
Exhibit F1 – MSCY1 Single Indices D1
MSCY1 Single Indices D1
Selected Futures Contract held before the Roll Period, the MSCY1
Single Index D1 Roll Schedule
Eligible Commodity
Commodity
Code
MSCY1 Single Indices D1
(Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCY1GC1 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1 G1
Silver SI MSCY1SI1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Platinum PL MSCY1PL1 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1 J1
Palladium PA MSCY1PA1 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1 H1
Aluminium LA MSCY1LA1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Copper LP MSCY1LP1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Copper (HG) HG MSCY1HG1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Nickel LN MSCY1LN1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Lead LL MSCY1LL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Zinc LX MSCY1LX1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Tin LT MSCY1LT1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Crude Oil CL MSCY1CL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Brent Oil CO MSCY1CO1 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1
Heating Oil HO MSCY1HO1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Gasoil QS MSCY1QS1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
RBOB XB MSCY1XB1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Ethanol DL MSCY1DL1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Coal MF MSCY1MF1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Natural Gas NG MSCY1NG1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Corn CN MSCY1CN1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Wheat WH MSCY1WH1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Kansas Wheat KW MSCY1KW1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Minneapolis Wheat MW MSCY1MW1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Soybeans SY MSCY1SY1 H0 K0 K0 U0 U0 X0 X0 Z0 Z0 Z0 H1 H1
Soybean Oil BO MSCY1BO1 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1 H1
Soybean Meal SM MSCY1SM1 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1
Cotton CT MSCY1CT1 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1
Coffee (Arabica) KC MSCY1KC1 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1 H1
Coffee (Robusta) DF MSCY1DF1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Sugar SB MSCY1SB1 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1
White Sugar QW MSCY1QW1 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1 H1
Cocoa CC MSCY1CC1 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1 H1
Orange Juice JO MSCY1JO1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Milk DA MSCY1DA1 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1
Lean Hogs LH MSCY1LH1 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1
Live Cattle LC MSCY1LC1 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Feeder Cattle FC MSCY1FC1 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1 G1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 35 All Rights Reserved Rev. February 2017
Exhibit F3 – MSCY1 Single Indices D3
MSCY1 Single Indices D3
Selected Futures Contract held before the Roll Period, the MSCY1 Single Index D3 Roll Schedule
Eligible Commodity Commodity Code
MSCY1 Single Indices D3 (Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCY1GC3 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1 G1 J1 J1
Silver SI MSCY1SI3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Platinum PL MSCY1PL3 N0 N0 N0 V0 V0 V0 F1 F1 F1 J1 J1 J1
Palladium PA MSCY1PA3 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1
Aluminium LA MSCY1LA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Copper LP MSCY1LP3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Copper (HG) HG MSCY1HG3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Nickel LN MSCY1LN3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Lead LL MSCY1LL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Zinc LX MSCY1LX3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Tin LT MSCY1LT3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Crude Oil CL MSCY1CL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Brent Oil CO MSCY1CO3 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1
Heating Oil HO MSCY1HO3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Gasoil QS MSCY1QS3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
RBOB XB MSCY1XB3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Ethanol DL MSCY1DL3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Coal MF MSCY1MF3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Natural Gas NG MSCY1NG3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Corn CN MSCY1CN3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Wheat WH MSCY1WH3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Kansas Wheat KW MSCY1KW3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Minneapolis Wheat MW MSCY1MW3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Soybeans SY MSCY1SY3 K0 N0 N0 X0 X0 X0 X0 F1 F1 H1 H1 K1
Soybean Oil BO MSCY1BO3 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1
Soybean Meal SM MSCY1SM3 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1
Cotton CT MSCY1CT3 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1 H1 H1 K1
Coffee (Arabica) KC MSCY1KC3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Coffee (Robusta) DF MSCY1DF3 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1
Sugar SB MSCY1SB3 K0 N0 N0 V0 V0 V0 H1 H1 H1 H1 H1 K1
White Sugar QW MSCY1QW3 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1 H1 H1 K1
Cocoa CC MSCY1CC3 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1
Orange Juice JO MSCY1JO3 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1 H1 K1
Milk DA MSCY1DA3 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1 H1 J1
Lean Hogs LH MSCY1LH3 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1
Live Cattle LC MSCY1LC3 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1
Feeder Cattle FC MSCY1FC3 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1 H1 H1 J1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 36 All Rights Reserved Rev. February 2017
Exhibit F6 – MSCY1 Single Indices D6
MSCY1 Single Indices D6
Selected Futures Contract held before the Roll Period, the MSCY1 Single
Index D6 Roll Schedule
Eligible Commodity
Commodity
Code
MSCY1 Single Indices D6
(Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCY1GC6 Q0 Z0 Z0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1
Silver SI MSCY1SI6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Platinum PL MSCY1PL6 V0 V0 V0 F1 F1 F1 J1 J1 J1 N1 N1 N1
Palladium PA MSCY1PA6 U0 U0 Z0 Z0 Z0 H1 H1 H1 M1 M1 M1 U1
Aluminium LA MSCY1LA6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Copper LP MSCY1LP6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Copper (HG) HG MSCY1HG6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Nickel LN MSCY1LN6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Lead LL MSCY1LL6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Zinc LX MSCY1LX6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Tin LT MSCY1LT6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Crude Oil CL MSCY1CL6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Brent Oil CO MSCY1CO6 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1 Q1
Heating Oil HO MSCY1HO6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Gasoil QS MSCY1QS6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
RBOB XB MSCY1XB6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Ethanol DL MSCY1DL6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Coal MF MSCY1MF6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Natural Gas NG MSCY1NG6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Corn CN MSCY1CN6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Wheat WH MSCY1WH6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Kansas Wheat KW MSCY1KW6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Minneapolis Wheat MW MSCY1MW6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Soybeans SY MSCY1SY6 X0 X0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1
Soybean Oil BO MSCY1BO6 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1 K1 N1 N1
Soybean Meal SM MSCY1SM6 Z0 Z0 Z0 Z0 F1 F1 H1 H1 K1 K1 N1 N1
Cotton CT MSCY1CT6 Z0 Z0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Coffee (Arabica) KC MSCY1KC6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Coffee (Robusta) DF MSCY1DF6 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1
Sugar SB MSCY1SB6 V0 V0 V0 H1 H1 H1 H1 H1 K1 K1 N1 N1
White Sugar QW MSCY1QW6 V0 V0 Z0 Z0 H1 H1 H1 H1 K1 K1 Q1 Q1
Cocoa CC MSCY1CC6 U0 U0 Z0 Z0 Z0 H1 H1 H1 K1 K1 N1 N1
Orange Juice JO MSCY1JO6 U0 U0 X0 X0 F1 F1 H1 H1 K1 K1 N1 N1
Milk DA MSCY1DA6 Q0 U0 V0 X0 Z0 F1 G1 H1 J1 K1 M1 N1
Lean Hogs LH MSCY1LH6 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 N1
Live Cattle LC MSCY1LC6 Q0 V0 V0 Z0 Z0 G1 G1 J1 J1 M1 M1 Q1
Feeder Cattle FC MSCY1FC6 Q0 U0 V0 X0 F1 F1 H1 H1 J1 K1 Q1 Q1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 37 All Rights Reserved Rev. February 2017
Exhibit G1 – MSCY2 Single Indices D0
MSCY2 Single Indices D0
Selected Futures Contract held before the Roll Period, the MSCY2
Single Index Roll Schedule
Eligible Commodity
Commodity
Code
MSCY2 Single Indices D0
(Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Gold GC MSCY2GC0 G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1
Silver SI MSCY2SI0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Platinum PL MSCY2PL0 J0 J0 J0 N0 N0 N0 V0 V0 V0 F1 F1 F1
Palladium PA MSCY2PA0 H0 H0 M0 M0 M0 U0 U0 U0 Z0 Z0 Z0 H1
Aluminium LA MSCY2LA0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Copper LP MSCY2LP0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Copper (HG) HG MSCY2HG0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Nickel LN MSCY2LN0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Lead LL MSCY2LL0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Zinc LX MSCY2LX0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Tin LT MSCY2LT0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Crude Oil CL MSCY2CL0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Brent Oil CO MSCY2CO0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1 H1
Heating Oil HO MSCY2HO0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Gasoil QS MSCY2QS0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
RBOB XB MSCY2XB0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Ethanol DL MSCY2DL0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Coal MF MSCY2MF0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Natural Gas NG MSCY2NG0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Corn CN MSCY2CN0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Wheat WH MSCY2WH0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Kansas Wheat KW MSCY2KW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Minneapolis Wheat MW MSCY2MW0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Soybeans SY MSCY2SY0 H0 H0 K0 K0 N0 N0 X0 X0 X0 X0 F1 F1
Soybean Oil BO MSCY2BO0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1
Soybean Meal SM MSCY2SM0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 F1 F1
Cotton CT MSCY2CT0 H0 H0 K0 K0 N0 N0 Z0 Z0 Z0 Z0 Z0 H1
Coffee (Arabica) KC MSCY2KC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Coffee (Robusta) DF MSCY2DF0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Sugar SB MSCY2SB0 H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1
White Sugar QW MSCY2QW0 H0 H0 K0 K0 Q0 Q0 V0 V0 Z0 Z0 H1 H1
Cocoa CC MSCY2CC0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Orange Juice JO MSCY2JO0 H0 H0 K0 K0 N0 N0 U0 U0 X0 X0 F1 F1
Milk DA MSCY2DA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Lean Hogs LH MSCY2LH0 G0 J0 J0 M0 M0 N0 Q0 V0 V0 Z0 Z0 G1
Live Cattle LC MSCY2LC0 G0 J0 J0 M0 M0 Q0 Q0 V0 V0 Z0 Z0 G1
Feeder Cattle FC MSCY2FC0 H0 H0 J0 K0 Q0 Q0 Q0 U0 V0 X0 F1 F1
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 38 All Rights Reserved Rev. February 2017
Exhibit H1 – MSCY3 Single Indices
MSCY3 Single Indices
Selected Futures Contract held before the Roll Period, the
MSCY3 Single Index Roll Schedule
Eligible Commodity
Roll Period (MSCY
Business Day of the
Month)
Roll
Weight
MSCY3 Single Indices
(Bloomberg Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Aluminium from 1st to 4th 25% MSCY3A0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Copper from 1st to 4th 25% MSCY3P0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Nickel from 1st to 4th 25% MSCY3N0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Zinc from 1st to 4th 25% MSCY3X0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Crude Oil from 1st to 4th 25% MSCY3W0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Brent Oil from 1st to 4th 25% MSCY3B0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Gasoil from 1st to 4th 25% MSCY3Q0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Heating Oil from 1st to 4th 25% MSCY3H0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
RBOB from 1st to 4th 25% MSCY3R0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1
Natural Gas from 1st to 4th 25% MSCY3G0 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1
Aluminium from 1st to 4th 25% MSCY3A1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Copper from 1st to 4th 25% MSCY3P1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Nickel from 1st to 4th 25% MSCY3N1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Zinc from 1st to 4th 25% MSCY3X1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Crude Oil from 1st to 4th 25% MSCY3W1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Brent Oil from 1st to 4th 25% MSCY3B1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Gasoil from 1st to 4th 25% MSCY3Q1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Heating Oil from 1st to 4th 25% MSCY3H1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
RBOB from 1st to 4th 25% MSCY3R1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Natural Gas from 1st to 4th 25% MSCY3G1 Z0 Z0 Z0 Z0 Z0 M1 M1 M1 M1 M1 M1 Z1
Corn from 1st to 4th 25% MSCY3C1 Z0 Z0 Z0 Z0 Z0 N1 N1 N1 N1 N1 N1 Z1
Soybeans from 1st to 4th 25% MSCY3S1 X0 X0 X0 X0 X0 N1 N1 N1 N1 N1 N1 X1
Aluminium from 1st to 4th 25% MSCY3A2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Copper from 1st to 4th 25% MSCY3P2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Nickel from 1st to 4th 25% MSCY3N2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Zinc from 1st to 4th 25% MSCY3X2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Crude Oil from 1st to 4th 25% MSCY3W2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Brent Oil from 1st to 4th 25% MSCY3B2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Gasoil from 1st to 4th 25% MSCY3Q2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Heating Oil from 1st to 4th 25% MSCY3H2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
RBOB from 1st to 4th 25% MSCY3R2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Natural Gas from 1st to 4th 25% MSCY3G2 Z1 Z1 Z1 Z1 Z1 M2 M2 M2 M2 M2 M2 Z2
Corn from 1st to 4th 25% MSCY3C2 Z1 Z1 Z1 Z1 Z1 N2 N2 N2 N2 N2 N2 Z2
Soybeans from 1st to 4th 25% MSCY3S2 X1 X1 X1 X1 X1 N2 N2 N2 N2 N2 N2 X2
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 39 All Rights Reserved Rev. February 2017
Exhibit I1 – MSCY4 Single Indices MSCY4 Single Index Roll Period is a pre-determined MSCY Business Day as per table below.
MSCY4 Single Index Roll Weight is 100% for each MSCY Business Day during the MSCY4 Single Index Roll
Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events and
Disruption Event Fallback Procedures”).
MSCY4 Single Indices Roll Period
Eligible Commodity Commodity Code
1st MSCY Business Day of month (Bloomberg Ticker)
9th MSCY Business Day of month (Bloomberg Ticker)
Gold GC MSCY4GC1 MSCY4GC9
Silver SI MSCY4SI1 MSCY4SI9
Platinum PL MSCY4PL1 MSCY4PL9
Palladium PA MSCY4PA1 MSCY4PA9
Aluminium LA MSCY4LA1 MSCY4LA9
Copper LP MSCY4LP1 MSCY4LP9
Copper (HG) HG MSCY4HG1 MSCY4HG9
Nickel LN MSCY4LN1 MSCY4LN9
Lead LL MSCY4LL1 MSCY4LL9
Zinc LX MSCY4LX1 MSCY4LX9
Tin LT MSCY4LT1 MSCY4LT9
Crude Oil CL MSCY4CL1 MSCY4CL9
Brent Oil CO MSCY4CO1 MSCY4CO9
Heating Oil HO MSCY4HO1 MSCY4HO9
Gasoil QS MSCY4QS1 MSCY4QS9
RBOB XB MSCY4XB1 MSCY4XB9
Ethanol DL MSCY4DL1 MSCY4DL9
Coal MF MSCY4MF1 MSCY4MF9
Natural Gas NG MSCY4NG1 MSCY4NG9
Corn CN MSCY4CN1 MSCY4CN9
Wheat WH MSCY4WH1 MSCY4WH9
Kansas Wheat KW MSCY4KW1 MSCY4KW9
Minneapolis Wheat MW MSCY4MW1 MSCY4MW9
Soybeans SY MSCY4SY1 MSCY4SY9
Soybean Oil BO MSCY4BO1 MSCY4BO9
Soybean Meal SM MSCY4SM1 MSCY4SM9
Cotton CT MSCY4CT1 MSCY4CT9
Coffee (Arabica) KC MSCY4KC1 MSCY4KC9
Coffee (Robusta) DF MSCY4DF1 MSCY4DF9
Sugar SB MSCY4SB1 MSCY4SB9
White Sugar QW MSCY4QW1 MSCY4QW9
Cocoa CC MSCY4CC1 MSCY4CC9
Orange Juice JO MSCY4JO1 MSCY4JO9
Milk DA MSCY4DA1 MSCY4DA9
Lean Hogs LH MSCY4LH1 MSCY4LH9
Live Cattle LC MSCY4LC1 MSCY4LC9
Feeder Cattle FC MSCY4FC1 MSCY4FC9
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 40 All Rights Reserved Rev. February 2017
Exhibit J1 – MSCY5 Single Indices MSCY5 Single Index Roll Period is a pre-determined MSCY Business Day as per table below.
MSCY5 Single Index Roll Weight is 100% for each MSCY Business Day during the MSCY5 Single Index Roll
Period, subject to the occurrence of a Disruption Event as defined in Section 4 (“Disruption Events and
Disruption Event Fallback Procedures”).
MSCY5 Single Indices Roll Period
Eligible Commodity Commodity Code
1st MSCY Business Day of month (Bloomberg Ticker)
9th MSCY Business Day of month (Bloomberg Ticker)
Gold GC MSCY5GC1 MSCY5GC9
Silver SI MSCY5SI1 MSCY5SI9
Platinum PL MSCY5PL1 MSCY5PL9
Palladium PA MSCY5PA1 MSCY5PA9
Aluminium LA MSCY5LA1 MSCY5LA9
Copper LP MSCY5LP1 MSCY5LP9
Copper (HG) HG MSCY5HG1 MSCY5HG9
Nickel LN MSCY5LN1 MSCY5LN9
Lead LL MSCY5LL1 MSCY5LL9
Zinc LX MSCY5LX1 MSCY5LX9
Tin LT MSCY5LT1 MSCY5LT9
Crude Oil CL MSCY5CL1 MSCY5CL9
Brent Oil CO MSCY5CO1 MSCY5CO9
Heating Oil HO MSCY5HO1 MSCY5HO9
Gasoil QS MSCY5QS1 MSCY5QS9
RBOB XB MSCY5XB1 MSCY5XB9
Ethanol DL MSCY5DL1 MSCY5DL9
Coal MF MSCY5MF1 MSCY5MF9
Natural Gas NG MSCY5NG1 MSCY5NG9
Corn CN MSCY5CN1 MSCY5CN9
Wheat WH MSCY5WH1 MSCY5WH9
Kansas Wheat KW MSCY5KW1 MSCY5KW9
Minneapolis Wheat MW MSCY5MW1 MSCY5MW9
Soybeans SY MSCY5SY1 MSCY5SY9
Soybean Oil BO MSCY5BO1 MSCY5BO9
Soybean Meal SM MSCY5SM1 MSCY5SM9
Cotton CT MSCY5CT1 MSCY5CT9
Coffee (Arabica) KC MSCY5KC1 MSCY5KC9
Coffee (Robusta) DF MSCY5DF1 MSCY5DF9
Sugar SB MSCY5SB1 MSCY5SB9
White Sugar QW MSCY5QW1 MSCY5QW9
Cocoa CC MSCY5CC1 MSCY5CC9
Orange Juice JO MSCY5JO1 MSCY5JO9
Milk DA MSCY5DA1 MSCY5DA9
Lean Hogs LH MSCY5LH1 MSCY5LH9
Live Cattle LC MSCY5LC1 MSCY5LC9
Feeder Cattle FC MSCY5FC1 MSCY5FC9
PROPRIETARY & CONFIDENTIAL
© 2017 Morgan Stanley 41 All Rights Reserved Rev. February 2017
Exhibit K1 – MSCY Custom Single Indices MSCY Custom
Single Indices
Selected Futures Contract held before the Roll Period, the MSCY
Single Index Custom Roll Schedule
Eligible
Commodity
Roll Period (MSCY
Business Day of the
Month)
Roll
Weight
MSCY Custom Single
Indices (Bloomberg
Ticker) Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
Crude Oil From 1st to 5th 20.00% MSCY1CLQ H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
RBOB From 1st to 15th 1/15 MSCY1XBX H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Crude Oil From 2nd to 6th 20.00% MSBXPCL0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Crude Oil From 2nd to 3rd 100.00% MSBXPCL1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1
Crude Oil From 2nd to 3rd 100.00% MSBXPCL2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Brent Oil From 2nd to 6th 20.00% MSBXPCO0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1 G1
Brent Oil From 2nd to 3rd 100.00% MSBXPCO1 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1 M1
Brent Oil From 2nd to 3rd 100.00% MSBXPCO2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1
RBOB From 2nd to 6th 20.00% MSBXPXB0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
RBOB From 2nd to 3rd 100.00% MSBXPXB1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1
RBOB From 2nd to 3rd 100.00% MSBXPXB2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Heating Oil From 2nd to 6th 20.00% MSBXPHO0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Heating Oil From 2nd to 3rd 100.00% MSBXPHO1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1
Heating Oil From 2nd to 3rd 100.00% MSBXPHO2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Natural Gas From 2nd to 6th 20.00% MSBXPNG0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Natural Gas From 2nd to 3rd 100.00% MSBXPNG1 N0 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1
Natural Gas From 2nd to 3rd 100.00% MSBXPNG2 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F1 F2
Corn From 2nd to 6th 20.00% MSBXPCN0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Corn From 2nd to 3rd 100.00% MSBXPCN1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1
Corn From 2nd to 3rd 100.00% MSBXPCN0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1
Wheat From 2nd to 6th 20.00% MSBXPWH0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Wheat From 2nd to 3rd 100.00% MSBXPWH1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1
Wheat From 2nd to 3rd 100.00% MSBXPWH2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1
Soybeans From 2nd to 6th 20.00% MSBXPSY0 H0 H0 K0 K0 N0 U0 X0 X0 X0 X0 F1 F1
Soybeans From 2nd to 3rd 100.00% MSBXPSY1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1
Soybeans From 2nd to 3rd 100.00% MSBXPSY2 X0 X0 X0 X0 X0 X0 X1 X1 X1 X1 X1 X1
Sugar From 2nd to 6th 20.00% MSBXPSB0 H0 H0 K0 K0 N0 N0 V0 V0 V0 H1 H1 H1
Sugar From 2nd to 3rd 100.00% MSBXPSB1 V0 V0 V0 V0 V0 V0 V1 V1 V1 V1 V1 V1
Sugar From 2nd to 3rd 100.00% MSBXPSB2 H1 H1 H1 H1 H1 H1 H1 H1 H1 H2 H2 H2
Aluminium From 2nd to 6th 20.00% MSBXPLA0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Aluminium From 2nd to 3rd 100.00% MSBXPLA1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1
Aluminium From 2nd to 3rd 100.00% MSBXPLA2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Copper From 2nd to 6th 20.00% MSBXPLP0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Copper From 2nd to 3rd 100.00% MSBXPLP1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1
Copper From 2nd to 3rd 100.00% MSBXPLP2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Zinc From 2nd to 6th 20.00% MSBXPLX0 G0 H0 J0 K0 M0 N0 Q0 U0 V0 X0 Z0 F1
Zinc From 2nd to 3rd 100.00% MSBXPLX1 M0 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1
Zinc From 2nd to 3rd 100.00% MSBXPLX2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1
Gold From 2nd to 6th 20.00% MSBXPGC0 G0 J0 J0 M0 M0 Q0 Q0 Z0 Z0 Z0 Z0 G1
Gold From 2nd to 3rd 100.00% MSBXPGC1 M0 M0 M0 M1 M1 M1 M1 M1 M1 M1 M1 M1
Gold From 2nd to 3rd 100.00% MSBXPGC2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1 Z1
Silver From 2nd to 6th 20.00% MSBXPSI0 H0 H0 K0 K0 N0 N0 U0 U0 Z0 Z0 Z0 H1
Silver From 2nd to 3rd 100.00% MSBXPSI1 N0 N0 N0 N0 N1 N1 N1 N1 N1 N1 N1 N1
Silver From 2nd to 3rd 100.00% MSBXPSI2 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z0 Z1 Z1 Z1 Z1