Barclays Index Administration

Strategy Indices
4 May 2020

Technical Note
Material Change Consultation
announcement relating to WTI Crude
Oil Futures Barclays Index Administration
+1 212 526 7807/+44 20 7773 7603

Effective today, 4 May 2020, Barclays is actively consulting stakeholders on proposed barclaysindexadministration@barclays.com
material changes to the Barclays commodity indices listed in Figure 2. The deadline
for stakeholders to provide feedback to Barclays on these changes is 6 May 2020. http://indices.barclays
Barclays will announce its final decision on the form of the changes on 7 May 2020.

Background
Barclays made announcements on 27 April 2020 and 28 April 2020 relating to
extraordinary actions taken with respect to certain Barclays quantitative investment
strategy indices, as a response to recent extreme behaviour of WTI crude oil futures.
These actions were in accordance with market disruption provisions in the relevant index
rules.

Following these announcements, and also those of certain providers of benchmark

commodity indices, Barclays proposes to make a set of extraordinary one-off changes to
certain Barclays indices. Barclays is taking the opportunity afforded  by current market
conditions to run a short consultation process, in advance of any implementation and in
accordance with Barclays’ general index governance framework.

The goal of the consultation is to gather stakeholder feedback on the proposal. Barclays
Index Administration (“BINDA”) will consider the feedback as part of its approvals
process for proposed material changes to indices referenced in products (such indices
being “benchmarks” for IOSCO Principles and EU Benchmarks Regulation purposes).

Proposal
Barclays proposes that, for the indices listed in Figure 2, each of which currently has
exposure to the July 2020 WTI futures contract, each index will roll out of the July contract
into either the August 2020 or September 2020 contract. This roll will take place over
either the 5th to the 9th, or the 8th to the 9th, business days of May, depending on the
proposed roll schedule of the affected index as laid out in Figure 1 (ii).

In Figure 1, seven different cases are distinguished . “Jun”, “Jul”, “Aug” and “Sep” refer to
the June 2020, July 20202, August 2020 and September 2020 WTI futures contracts,
respectively. The proposed rolls from 7 May to 13 May correspond to the standard 5th
through 9th business day roll period for certain benchmark commodity indices.

The Barclays indices which may use those listed in Figure 2 as direct components are
listed in Figure 3.

PLEASE SEE IMPORTANT DISCLOSURES STARTING ON PAGE 6

 Barclays Index Administration
Strategy Indices
FIGURE 1 4 May 2020
(i) Nearby rolls for each of the impacted indices, as per the current schedule

Case Previous/upcoming roll Future roll

1 23 Apr to 28 Apr: Jun to Jul
2 1 May to 6 May: Jun to Jul
3 7 May to 13 May: Jun to Jul
4 24 Mar to 27 Mar: Apr to Jul
5 1 Apr to 6 Apr: Apr to Jul
6 7 Apr to 14 Apr: Apr to Jul
7 13 Apr to 14 Apr: Apr to Jul
21 May to 27 May: Jul to Aug
1 Jun to 4 Jun: Jul to Aug
5 Jun to 11 Jun: Jul to Aug
21 May to 27 May: Jul to Sep
1 Jun to 4 Jun: Jul to Sep
5 Jun to 11 Jun: Jul to Sep
10 Jun to 11 Jun: Jul to Sep

(ii) New proposed roll for each of the impacted indices

Case Proposed extraordinary roll
1 7 May to 13 May: Jul to Aug
2 7 May to 13 May: Jul to Aug
3 7 May to 13 May: Jul to Aug
4 7 May to 13 May: Jul to Sep
5 7 May to 13 May: Jul to Sep
6 7 May to 13 May: Jul to Sep
7 12 May to 13 May: Jul to Aug

FIGURE 2
Affected Indices
(i) Case 1

Ticker Name
BCC2CLFP Barclays WTI Crude Nearby Pre-Pre Roll ER
BCC1C1FP Barclays Commodity Index Pre-Pre Roll ER

(ii) Case 2

Ticker Name
BCC2CLGP Barclays WTI Crude Nearby Pre Roll ER
Note: this index was subject to an extraordinary roll on 28 April, as announced in the
Technical Note of that date.

(iii) Case 3
Ticker Name
BCC2CL0P Barclays WTI Crude Nearby ER
BCC1C10P Barclays Commodity Index ER
BCC1C10T Barclays Commodity Index TR
BCC1EN0P Barclays Commodity Index Energy ER
BCC1MP0P Barclays Commodity Index Metals and Petroleum Excess Return Index
BCC1TW0P Barclays Commodity Index Trade Weighted ER

PLEASE SEE IMPORTANT DISCLOSURES STARTING ON PAGE 6

 Barclays Index Administration
Strategy Indices
BCC1U10P Barclays Commodity Index Capped Excess Return 4 May 2020
BCC1U20P Barclays Commodity Index Metals and Petroleum Capped Excess Return
BCC1U70P Barclays Commodity Index ex Metals Capped Excess Return
BCC1U80P Barclays Commodity Index ex Industrial Metals Capped Excess Return
BCC1U90P Barclays Commodity Index ex Precious Metals Capped Excess Return
Barclays Commodity Index ex Agriculture and Livestock Capped Excess
BCC1UA0P
Return
BCC1UB0P Barclays Commodity Index ex Agriculture Capped Excess Return
BCC1UC0P Barclays Commodity Index ex Livestock Capped Excess Return
BCC1UD0P Barclays Commodity Index ex Grains and Oilseeds Capped Excess Return
BCC1UE0P Barclays Commodity Index ex Softs Capped Excess Return
BCC1UF0P Barclays Commodity Index ex Soybean Complex Capped Excess Return
BCC1UG0P Barclays Commodity Index ex Natural Gas Capped Excess Return
BCC1UR0P Barclays BCI Energy and Industrial Metals Capped Index
BCC1W10P Barclays BCI Metals and Petroleum (WTI Crude) Capped
BCC1W30P Barclays BCI Metals and Petroleum (Heating Oil) Capped
BCC1W40P Barclays BCI Metals and Petroleum (Gas Oil) Capped
BCC1W50P Barclays BCI Metals and Petroleum (Unleaded Gasoline) Capped
BCC1XN0P Barclays Commodity Index ex Nat Gas ER
Note: these indices were subject to an extraordinary roll on 28 April, as announced in
the Technical Note of that date.

(iv) Case 4
Ticker Name
BCC2RWFP Barclays WTI Crude Reduced Roll Nearby Pre-Pre Roll ER

(v) Case 5

Ticker Name
BCC2RWGP Barclays WTI Crude Reduced Roll Nearby Pre Roll ER

(vi) Case 6
Ticker Name
BCC2RW0P Barclays WTI Crude Reduced Roll Nearby ER

(vii) Case 7
Ticker Name
BCC2RWHP Barclays WTI Crude Reduced Roll 8L2 Nearby ER

FIGURE 3
Dependent Indices

Ticker Name
BCCAC12P Barclays ComBATS 12 ER

PLEASE SEE IMPORTANT DISCLOSURES STARTING ON PAGE 6

 Barclays Index Administration
Strategy Indices
BCCAC12T Barclays ComBATS 12 TR 4 May 2020
BCCAC06P Barclays ComBATS 6
BCCFBA4P Barclays Backwardation Alpha Bloomberg CI with Soymeal
BCCFBA3P Barclays Backwardation Alpha Bloomberg CI Index ER
BXCS1610 Barclays Commodity Strategy 1610
BCCFBA2P Barclays Backwardation Alpha Series 2 Light Energy Index ER
BCCVB35P Barclays Backwardation Alpha Bloomberg CI Volt 5% Index ER
BXCS1721 Barclays Commodity Strategy 1721 Index
BCCFHI2P Barclays Commodity Hedging Insights 2 Index
BCC3C3WP Barclays Voyager II Bloomberg CI Index ER
BCCV025P Barclays ComBATS VOLT
BCCV015P Barclays ComBATS VOLT
BCCFBKAP Barclays Backwardation Long Short Index ER
BCCFBKAT Barclays Backwardation Long Short Index TR
BCC2C3WP Barclays Voyager II S2 Composite ER
BXCS1605 Barclays Commodity Alpha Strategy 1605
BCCFCTRP Barclays Commodity Trend ER
BCCALT1P Barclays Commodity Liquidity Timing Index ER
BXIIXTCP Barclays Cross Asset Trend Index - Commodity ER
BCCALA1P Barclays Commodity Liquidity Timing A ER
BCCALT4P Barclays Commodity Liquidity Timing Index 4X ER
BMISINFC IQAM Non Food Commodity Index
BCCFBKNP Barclays Backwardation Long Short Nearby Excess Return
BCCFDUAP Barclays Dualis Index
BXCS1648 Barclays Commodity Strategy 1648
BCCFDUBP Barclays Dualis AR Index ER
BCCALA4P Barclays Commodity Liquidity Timing A 4x ER
BCCFHINP Barclays Commodity Hedging Insights Index
BXCS1716 Barclays Commodity Strategy 1716 Index
BCC2S10P Barclays Sector Backwardation Series 2 Nearby Excess Return
Backwardation Long Short Ex Ags & Livestock Inverse Vol Weight (Short
BXCS1726
Only)
BXCS1724 Backwardation Long Short Ex Ags & Livestock Inverse Vol Weight
BCCFDUVP Barclays Dualis Volatility Weighted Index
BXCS1730 Barclays Commodity Strategy 1730 Index
BXCS1739 Barclays Commodity Strategy 1739 Index
BXCS1682 Barclays Commodity Strategy 1682
BXCS1705 Barclays Commodity Strategy 1705
BXCS1706 Barclays Commodity Strategy 1706
BCCALE0P Barclays Liquidity Nearby BCI Energy and Industrial Metals Capped Index
BCCACLEP Barclays Liquidity Curve 3M BCI Energy and Industrial Metals Capped Index
BCCACE3P Barclays Curve 3M BCI Energy and Industrial Metals Capped Index

PLEASE SEE IMPORTANT DISCLOSURES STARTING ON PAGE 6

 Barclays Index Administration
Strategy Indices
Barclays Liquidity Nearby 1720 BCI Energy and Industrial Metals Capped 4 May 2020
BXCS1720
Strategy Index
BXCS1525 Barclays Commodity Strategy 1525
BXCS1592 Barclays Commodity Strategy 1592
BXIIBATA Buraschi Barclays Adaptive Trend Index
BCCAD01P Barclays Dynamic Curve Index
BXCS1691 Barclays Commodity Strategy 1691 Index Excess Return
BXCS1736 Barclays Commodity Strategy 1692 Index Total Return
BXCS1692 Barclays Commodity Strategy 1692 Index Excess Return
BCCACS1P Barclays ComBATS Curve Switcher Index
BXCS1694 Barclays Commodity Strategy 1694
BCCAD02P Barclays Dynamic Curve 02 Index ER
BXCS1723 Barclays Commodity Strategy 1723
BCCADLOP Barclays Dynamic Curve IRY Long ER
BCCADLSP Barclays Dynamic Curve IRY Long Short ER
Barclays Liquidity Nearby 1717 BCI Energy and Industrial Metals Capped
BXCS1717
Strategy Index
BXCS1731 Barclays Commodity Curve ExAgs and LS

Rationale for changes

Barclays proposes to follow the lead taken by certain providers of benchmark commodity
indices in moving WTI futures exposure further out from the July contract. The proposed
changes apply only to rolls listed in Figure 1. Thereafter, absent further announcements
by Barclays, the indices in Figure 2 will revert to the roll schedules and futures exposures
laid out in the respective index rules.

In this way, Barclays aims to avoid potential issues around index calculation and index
tradability should prices for short-dated WTI futures contracts become very low or zero
or negative, while having only limited impact on the Barclays quantitative investment
strategy indices in Figure 3 which use those in Figure 2 as direct components.
 
Despite the foregoing, due to the extreme behavior of WTI crude oil futures, Barclays
retains the right to declare a disruption event, at little or no notice, prior to the end of
the consultation period.

Contact
To discuss this consultation or the proposed material changes please contact
barclaysindexadministration@barclays.com

FIGURE 4
Consultation and implementation timeline
Date Event

04-May-20 Consultation period starts.

06-May-20 Consultation period ends (deadline for feedback on proposed material changes).

07-May-20 Barclays to publish a final decision on material changes.

07-May-20 Go-live for material changes to affected indices.

PLEASE SEE IMPORTANT DISCLOSURES STARTING ON PAGE 6
Important Disclosures:
Barclays Index Administration (“BINDA”), a distinct function within the Investment Bank of Barclays Bank PLC (individually and together with its other affiliates,
“Barclays”), is responsible for day-to-day governance of Barclays’ activities as Index Sponsor. BINDA operates independently from Barclays Investment Bank’s
sales, trading, structuring and banking departments. Notwithstanding the foregoing, potential conflicts of interest may exist where: (i) Barclays acts in multiple
capacities with respect to a particular Barclays index, including but not limited to functioning as index sponsor, index administrator, calculation agent, licensing
agent, and/or publisher; (ii) sales, trading or structuring desks in Barclays Investment Bank launch products linked to the performance of a Barclays index, which
are typically hedged by Barclays’ trading desks. In hedging an index, a trading desk may purchase or sell constituents of that index. These purchases or sales may
affect the prices of the index constituents which could in turn affect the level of that index. ; and (iii) Barclays may use price contributions from trading desks in
Barclays Investment Bank as a pricing source for a Barclays index. Barclays has in place policies and governance procedures (including separation of reporting
lines) that are designed to avoid or otherwise appropriately manage such conflicts of interest and ensure the independence of BINDA and the integrity of Barclays
indices. Where permitted and subject to appropriate restrictions, BINDA personnel regularly interact with trading and structuring desk personnel in Barclays
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structuring desk personnel. Additional information about Barclays indices together with copies of the BINDA IOSCO Compliance Statement is available at:
https://indices.barclays

Any systematic investment strategies described herein may involve a high degree of risk, including without limitation market risk and other risks inherent in
investing in securities, commodities, currencies, derivatives and other financial instruments. The value of and income from investments linked to such strategies
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