December 2015 Market Commentary 02 Commodity Performance BCOM 08 Roll Select 09 Historical 10 Contribution to Return & Weights 11 Commodity Volatility Realized 12 Implied 13 Historical Realized 14 Commodity Correlation Composites 15 Singles 16 US CPI Indices 17 Country CPI 18 Country GDP 19 Commitment of Traders Report Monthly Notional Change & Correlation 20 Historical Net Positions 21 Commodity Inventories & Sales Monthly Change & Correlation 23 Historical Levels 24 Commodity ETP Flows 26 Term Structures 27 Research Dashboards (BI) 29 Bloomberg Cheat Sheet 30 Contact us: <Help> <Help> on the Bloomberg Professional service 1-212-617-5020 [email protected]TABLES & CHARTS (BCOM) BLOOMBERG COMMODITY INDEX
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December 2015Market Commentary 02Commodity Performance BCOM 08 Roll Select 09 Historical 10Contribution to Return & Weights 11Commodity Volatility Realized 12 Implied 13 Historical Realized 14Commodity Correlation Composites 15 Singles 16 US CPI Indices 17 Country CPI 18 Country GDP 19Commitment of Traders Report Monthly Notional Change & Correlation 20 Historical Net Positions 21Commodity Inventories & Sales Monthly Change & Correlation 23 Historical Levels 24Commodity ETP Flows 26Term Structures 27Research Dashboards (BI) 29Bloomberg Cheat Sheet 30
Contact us:<Help> <Help> on the Bloomberg Professional [email protected]
TABLES & CHARTS(BCOM)BLOOMBERG COMMODITY INDEX
Commodities Drop 3% in December, Down 25% for 2015
The 2015 meltdown sent almost every commodity lower as the world got stuck with raw-material surpluses after years of supply expansion met a slowing economy in China. The Bloomberg Commodity Index (BCOM), a measure of investor returns in raw materials, tumbled 25% in 2015, a fifth straight annual loss and the longest slide since the data began in 1991. Cotton was the only gainer out of 22 individual commodity indices for the year. Crude oil was the worst performer, tumbling 45% on a supply glut.
The Federal Reserve isn’t doing any favors for commodity markets already enduring the longest slump in decades. By raising U.S. interest rates for the first time since 2006, the central bank has bolstered the value of the dollar, the currency used around the world to buy and sell most raw materials. That may mean sustained strength for the dollar and limited demand for raw-material imports from countries with weaker currencies.
Investors continue to pull money from ETFs backed by agriculture, livestock and industrial metals. A record $857 million was pulled last year from U.S. exchange-traded funds backed by broad baskets of everything from grains to metals, according to data compiled by Bloomberg through Dec. 23. Outflows for precious metals accelerated in Q4, with the biggest net-withdrawal in almost a year as the Fed raised interest rates. Investors are also positioning for a bottom, though, as they poured $8.9 billion last year into energy funds, the biggest annual inflow since data began in 2006. The optimism came even as prices slumped for natural gas, Brent crude, WTI and heating oil, making them four of the five worst performers in BCOM in 2015.
The commodity collapse will lead to more companies defaulting on their debt, according to Moody’s Investors Service Inc. The trailing 12-month default rate for energy and metals companies surged to 7.9% in October, more than double the rate a year before. The plunge in raw-material prices means a third of companies in the two industries are on review for downgrade or have a negative outlook. Moody’s expects the downturn to last longer and be more severe than average. Producers of oil, natural gas and metals accounted for 48% of defaults and 36% of downgrades globally in the 10 months through October. The two sectors are also heavily in debt after selling almost $2 trillion in bonds worldwide since 2010. With producers struggling to halt losses, they are selling assets, cutting dividends and slashing output, which may be enough to put a floor on prices.
A Bloomberg survey of traders, analysts, and economists provides a glimmer of hope for 2016 commodity prices after the worst commodity collapse in a generation. Respondents are most bullish on wheat as the impact of a strong El Nino has started to boost food prices. Gold and natural gas are also expected to advance. Respondents were split among bulls and bears for WTI crude oil, mired in the longest slump since 1998, with the average estimated high for 2016 at $56 a barrel and at $33 for the average low. Copper - which hit a six-year low in November - had the most negative outlook in the Bloomberg survey.
Meanwhile, the worst flooding across the U.S. Midwest in four years has disrupted everything from oil to agriculture, forcing pipelines, terminals and grain elevators to close and killing off thousands of pigs. Fifty miles of the Illinois River have been closed, according to the U.S. Coast Guard, as well as 81 miles of the Mississippi River.
ENERGY (29.8% weight in BCOM)
The Bloomberg Petroleum Index (BCOMPE) sank 13% in December and lost 39% for the year. Oil capped its biggest two-year loss with prices dropping about 30% in 2015 and averaging the lowest level since 2004, amid speculation suppliers from the Middle East to the U.S. will exacerbate an oil glut as they fight for market share. The global oil surplus will persist at least until late 2016, according to the International Energy Agency.
U.S. crude oil production data highlights resilient volume despite the precipitous slide in oil prices, the drop in rig counts and the significant haircut to operator capital expenditure budgets in 2015. U.S. supplies rose 102 million barrels over the year, the biggest jump since at least 1920 in government data. With U.S. production holding steady, stockpiles are 37% above the five-year average and likely to exceed seasonal highs in 2016. Inventories at Cushing - a hub that has a working capacity of 73 million barrels - climbed to a record 63 million barrels.
OPEC increased its output in the face of already rising global stockpiles as Saudi Arabia, the world’s largest crude exporter, has led the group in fighting for market share against higher-cost producers such as shale drillers in the U.S. OPEC set aside its output target of 30 million barrels a day at its meeting in Vienna last month.
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The failure of OPEC to reach any meaningful agreement at its meeting in Vienna on Dec. 4 confirmed that the historic storm besetting the oil market has markedly reduced this once-powerful group's effectiveness and influence. Far from adding an element of stability, an internally divided OPEC will contribute to further volatility in oil markets, with prices remaining low for longer than many anticipated. The oil market is being battered as three distinct forces come together. The supply side has been destabilized by the rapid encroachment of shale energy technology. The demand side is undermined by declining global growth in general, and the sharper relative fall in emerging economies in particular. Third, the role of “swing producer” on the downside once played by Saudi Arabia and some of its OPEC partners - by reducing output when prices are low - has de facto been taken over by the U.S. This has shifted the mechanics of the market from discrete decisions on tightening supply to waiting for natural market supply and demand forces to set the pace. The resulting collapse in oil prices sharply reduces export earnings of all producers. But their resilience, including the ability to manage their economies with lower income, varies significantly. Some, such as Saudi Arabia and the United Arab Emirates, have sufficient financial reserves, other accumulated wealth, debt capacity and policy flexibility to manage the longer-term transition to an oil regime in which many of the non-traditional suppliers will be knocked out by lower prices. Others, including Venezuela, are being destabilized in ways that extend well beyond economic and financial factors and produce a growing possibility of political and social turmoil. In the absence of any new agreement, OPEC has officially kept in place existing production quotas until the ministers meet again in June. In practice, however, individual member states will not feel constrained by any OPEC agreements on output levels and are likely to produce as much as they can, but each for its own reasons. For better-off OPEC members, producing more today is intended to secure a better competitive position in the future. For the struggling countries, the goal is to generate as much income as possible, and as soon as possible, to avoid major internal dislocations. Barring a major geopolitically driven shock, this set of dynamics may mean that oil prices will stay low and volatile for a while. Over time, this price configuration will drive out the higher-cost energy producers and encourage higher demand, which would restore OPEC's influence. In the short-term, however, the group will have little influence in stabilizing this unhinged oil market. OPEC said demand for its crude will slide until 2020, though less steeply than previously expected, as rival supplies continue to grow. The organization will need to pump 30.7 million barrels a day by the end of the decade, OPEC said in its annual World Oil Outlook. That’s 1.7 million barrels more than projected a year ago, and 1 million less than the group pumped in November. The forecast underlines the struggle faced by OPEC as it seeks to defend market share against a surge in output from rivals such as the U.S. and Russia. While the prices of benchmarks WTI and Brent hover in the $30s, they represent a category of crude - light and low in sulfur - that is more highly valued because it’s easier to refine. Some producers of thicker, blacker and more sulfurous varieties have suffered heavier losses and are already living in the $20s. A mix of Mexican crudes was valued at less than $28 in December, plunging 73% in 18 months to an 11-year low. Iraq is offering its heaviest variety of oil to buyers in Asia for about $25. Western Canada Select, which is heavy and sulfurous, has slumped 75% to less than $22, the least in almost eight years. Other varieties including Ecuador’s Oriente, Saudi Arabia’s Arab Heavy and Iraq’s Basrah Heavy were also selling below $30. Speculators increased bets on falling oil prices to an all-time high as short positions in WTI rose by 9,935 contracts to 181,849 futures and options, the most in records dating back to 2006, CFTC data show. The world’s largest independent oil traders said supplies will overwhelm demand into 2016 and prices may not rally until 2017, painting a gloomy outlook for energy-rich nations. Their market view indicates that the 12-member group and the oil industry as a whole will have to endure a much longer slump than the downturn that followed the 2008 financial crisis, when prices recovered within a year. As a campaign by oil explorers including Continental Resources Inc., Chevron Corp. and Exxon Mobil Corp. to lift the 1970s-era export prohibition culminated in a Dec. 18 congressional decision to end the ban, the first U.S. shipment of crude oil to an overseas buyer departed a Texas port on Dec. 31, just weeks after a 40-year ban on most such exports was lifted. The ship is carrying a cargo
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of oil and condensate to Italy from ConocoPhillips’s wells in south Texas that was sold to Swiss trading house Vitol Group. Vitol, which owns stakes in refineries from northern Europe to Australia, has a second cargo of U.S.-sourced crude scheduled to depart a Houston port. The gap between Brent and WTI shrunk amid speculation the removal of a 40-year ban on U.S. crude exports may ease the nation’s oversupply. With the spread at parity or negative, shipments into the U.S. will probably remain elevated, which may create storage problems during H1.
The contango in the oil market will have to widen further for floating storage to be incentivized because dirty-tanker rates have risen. Storing oil at sea for six months is 40% more expensive than it was in the fourth quarter of 2008, largely due to higher freight costs. Oil tanker rates soared to the highest in seven years amid an acceleration in the number of bookings and signs that the ships are being delayed when unloading due to a lack of space in on-land storage tanks. Day rates for 2 million-barrel carrying ships sailing to Japan from Saudi Arabia, the industry’s benchmark route, surged to $111,359, the highest since July 2008, according to the Baltic Exchange. Tankers able to hold more than 100 million barrels waited for days or weeks at a time off the coasts of crude-consuming countries in the middle of November, little changed from six months earlier, according to ship-tracking data. Deadly flooding across the U.S. Midwest is disrupting everything from oil to agriculture, forcing pipelines, terminals and grain elevators to close. So far, the biggest oil shutdown involves Enbridge Inc.’s Ozark pipeline, which was booked to carry about 200,000 barrels a day this month to Wood River, Illinois, from Cushing, Oklahoma. The outage of the section under the Mississippi River may further add to stockpiles at Cushing that reached a record high in December. China's gasoline demand rose 9.4% from a year earlier to 9.57 million tons in November, continuing 2015's high growth. Car sales rose 23.7% in November thanks to the latest tax cut to 5% from 10% for small vehicles with engines of less than 1.6 liters. Gasoline remains one of China's fastest-growing refined-oil products, boosted by greater car ownership and longer traveling distances encouraged by low fuel prices. SUV sales rose 73% in November, much faster than for other vehicles. Russia’s oil output is poised to reach a post-Soviet record of 10.86 million barrels a day, according to Energy Ministry data. Russian companies have been helped by a weaker ruble that reduced the cost of services such as drilling, and a tax system in which the state bears most of the risk and reward from price movements. The U.S. Energy Information Administration has expanded its assessment of global technically recoverable shale oil and natural gas resources, adding four countries to its 42-country assessment. The addition of four countries - Chad, Kazakhstan, Oman, and the United Arab Emirates - to a previous assessment led to a 13% increase in the global assessed total resource estimate for shale oil and a 4% increase for shale gas. The resource estimates of these four countries, in addition to the other countries previously assessed, indicate proved and unproved technically recoverable resources of 419 billion barrels of shale oil resources and 7,576 Tcf of shale gas resources. The current El Nino Southern Oscillation of abnormally high sea-surface temperatures, which has led to a mild winter so far, remains in full force headed into 2016. What is expected to come after is a La Nina this summer, which means a higher likelihood for hurricanes in the U.S. and a snowier winter in the Northeast. A La Nina typically brings wetter and cooler conditions to the California coast, while the southern states from Appalachia through the four-corners region see drier conditions with less active weather. Additionally, less wind shear across the equatorial regions implies a more conducive environment for hurricanes to form, meaning a potentially active hurricane season compared to this past year. The northern Plains into the Northeast remain inconclusive, however, some analysis suggests greater temperature variability over the summer and possibly intermittent, short-lived heat waves. With U.S. natural gas storage levels at record highs, and winter heating demand projected to be at record lows, the likelihood of hitting the
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storage cap remains high. While natural gas may reach a price floor come summer, any major heat waves in the Northeast or Mid-Atlantic could lead to greater gas burn for power generators causing a spike in demand and increasing PJM's heat rate volatility. On the contrary, a major Mid-Atlantic hurricane would likely lead to a demand drop for both gas and power. A more active hurricane season overall may also put U.S. LNG export terminals at risk of storm damage. A La Nina, though not typically as strong in magnitude as an El Nino, typically peaks in the wintertime in the northern hemisphere, bringing with it cooler than average temperatures across the Plains and Midwest, and snowier winters in the Northeast. Moderate La Ninas (an anomaly of around -1 Celsius) were seen in 1995, 2005, and 2013 while strong La Ninas (an anomaly around -2 Celsius) were seen in 1998, 2000, 2007, and 2010 (NOAANT34 ANOM Index GP <GO>). There is always the possibility that the summer of 2016 will not experience a La Nina at all, and instead the equatorial Pacific will be in a neutral phase. Seasonal outlooks will be more certain in a few months. GRAINS (23.7% weight in BCOM) Corn, wheat and soybeans capped a third annual loss on abundant supplies. The Bloomberg Grains Index (BCOMGR) was down 7.7% in Q4 and down 19% for the year. Argentina, the world’s third largest grower of soybeans, lifted four years of currency controls after grains exporters agreed to deliver $6 billion in hoarded crops to the country over the next few weeks. The country let the peso float, prompting a devaluation of the tightly controlled official exchange rate. Argentina’s new President Mauricio Macri also announced the elimination of export taxes on crops, including corn and wheat. Argentine farmers have been storing crops, partly in protest of the taxes and the difficult process of obtaining export permits. Farmers have $11.4 billion of soy, corn and wheat for sale, according to a former head of Argentina’s tax agency. Brazil’s soybean production will fall short of a government forecast because of damage caused by drought in central and northern areas, according to the country’s largest publicly traded farming company. Losses in Mato Grosso, the top soybean-producing state, will be significant this season after the drought hurt the potential of the crop during its pod-filling stages. The crop’s most critical development stage over the next few weeks will be crucial in determining whether some damage can be reversed with more rain. El Nino brought excess precipitation to southern states including Parana, Brazil’s central and northern regions, which account for more than half the nation’s output, have struggled with below-average and irregular rainfall. Some farmers in the dry areas are abandoning soybeans and will be planting corn instead. Brazil is still likely to see a record soybean crop, however. President Barack Obama’s administration ordered refiners to blend a record 14.5 billion gallons of ethanol into gasoline in 2016. For the first time ever, that will mean ethanol will make up more than 10% of the total U.S. fuel mix. INDUSTRIAL METALS (15.5% weight in BCOM)
Industrial metals fell in 2015, capping the worst year since 2008, as production cuts and signs of improving demand in China came too late to counter falling consumption and excess supplies. Copper, aluminum, zinc, and nickel capped annual losses, with nickel dropping 43%, the worst performer in the Bloomberg Industrial Metals Index (BCOMIN).
Copper declined for a third straight year, the longest slump since 1998, amid growing supply gluts after demand faltered in China. While producers have pledged production cuts, investors spooked by wavering global economic growth and the possibility of persistent metals surpluses have been slow to return. Global refined copper demand may rise to an estimated 22.3 million metric tons in 2015, from 15.1 million in 2000. China's plans to accelerate infrastructure investment have yet to spur metals demand, according to Bloomberg Intelligence. China is the largest user of the metal, with 48% of the market, up from 6.5% in 2000. China's refined-copper imports also remain high on arbitrage profit as China imported 358,727 metric tons of refined copper in November, the third consecutive month of inbound shipments over 340,000 tons. Nickel plunged 43% in 2015, making it the worst-performing metal on LME and forcing companies in China to plan output reductions. Top smelters including the largest supplier Jinchuan Group Co. agreed to cut production by at least 20% in 2016. Cuts outside China were minimal and disappointing to-date and weak supply and demand fundamentals are expected to persist. However, with a high proportion of the cost curve losing cash, it should only be a matter of time until production cuts become more prominent in nickel. It is estimated that about 70% of nickel mines and 60% of aluminum smelters are losing money at current prices. Expiring hedging contracts, diminished liquidity and restricted access to capital markets are pushing companies closer to default.
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PRECIOUS METALS (17% weight in BCOM) Gold’s image as a haven asset took a battering with the metal capping its longest slump in more than 30 years as investors sold from bullion-backed funds. Holdings in gold exchange-traded products have declined to the lowest in more than six years. Gold has had a bumpy 2015, swinging between year-to-date gains and losses more than ten times as investors tried to gauge the timing of the Fed’s rate rise. Bullion futures fell for a sixth-straight quarter, the longest slump since 1984, and lost 10% last year. Prices have plunged 45% since reaching a record high in 2011. The pace of ETF withdrawals has slowed, possibly indicating that sales may be winding down. Some traders have speculated that prices could be near a bottom because the metal is trading near its cost of production.
Gold is priced globally in U.S. dollars and the greenback's strength has caused a decline in the metal's price. The Bloomberg Dollar Index (BDXY <GO>) soared to a record high on Dec. 17.
SOFTS (8.9% weight in BCOM) The Bloomberg Softs Index (BCOMSO), comprised of sugar, cotton, and coffee, rebounded in Q4 with a 11% return. Sugar prices jumped 52% since reaching a seven-year low in August. The market has finally swung to a supply deficit after years of surpluses and, according to the average of 18 traders and analysts surveyed by Bloomberg News, the commodity will keep rising through Q1. While strong Asian demand is helping, the revival in sugar’s fortunes can be attributed largely to El Nino. The weather pattern has cut the sucrose content in the sugar cane grown in Brazil, the biggest supplier, as well as yields in India and Thailand. Global sugar output will fall 4.3% to 178.9 million metric tons in the 2015-16 season, which runs from October to September in most countries, trailing demand by as much as 8.2 million tons, according to Czarnikow Group Ltd. A shortfall is expected for the season after that, according to the International Sugar Organization. Sugar production is also expected to shrink in China, to the lowest in a decade.
The European Union will reap the smallest crop since 1971, according to forecaster F.O. Licht GmbH. Money managers increased white sugar net-long position by 5.4% to a record 18,918 contracts. Of course, sugar’s rally could still be derailed, not least by the possibility of increased shipments from India where the government is pushing mills to make mandatory exports of as much as 4 million tons. Further pressure on the real would help Brazilian commodity exporters in foreign markets. However, most of the cane that has been harvested in Brazil is being used to make ethanol - the quickest way for processors to monetize higher commodity prices after several years of struggle - after domestic demand for the biofuel jumped.
As favorable weather increases coffee crop yields, declining currencies in producing countries are encouraging farmers to export supplies that fetch dollars in return. It’s all adding up to overwhelming supplies, and the U.S. Department of Agriculture is predicting that output will top use for a sixth straight year. Brazil’s harvest is poised to keep getting bigger next season. Arabica prices dropped 28% in 2015. The net-short position in futures and options increased to 16,734 contracts in the week ended Dec. 22, according to CFTC data. The figures compared with 11,409 the prior week. There’s enough cotton sitting in global warehouses to make more than 127 billion T-shirts, or 17 for each person on the planet, which may create downward pressure on prices. World inventories at the end of this season will be the second-largest ever, just slightly less than the prior year’s record, according to a U.S Department of Agriculture. That’s a signal that supplies will remain ample even after the agency cut its outlook for production. While threats to the American crop - hampered by heavy rains - helped make the fiber 2015’s best-performing commodity, the gains may not last much longer as demand slows. China, the world’s largest user, is
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curbing cotton imports by more than 30%, helping to shrink global trade for a fourth straight year, the International Cotton Advisory Committee estimates.
Bursting Warehouses: Global cotton stockpiles will be second-highest ever (CTNNWW00 1176 Index GP <GO>)
Crop Under Threat: USDA cotton crop condition declined through the season (CONDCOTT Index GP <GO>)
LIVESTOCK (5.1% weight in BCOM) After falling to a two-year low, U.S. cattle prices jumped almost 10% in the last week of December - the highest weekly gain since data started in 1964 - after the U.S. government reported a shrinking domestic herd and a winter storm in the Great Plains threatened to disrupt livestock operations. Despite this late move, cattle futures in 2015 dropped 18%, halting a record six-year rally. A gauge of volatility in livestock futures surged to the highest in 11 years, driving some U.S. cattle ranchers and hog farmers out of the market. The 60-day volatility on the Bloomberg Livestock Index (BCOMLI) climbed to the highest since March 2004 as hog futures on CME tumbled 26% last year, the biggest annual drop since 1998.
Bloomberg US Treasury Bond Index BUSY 4.79% 3.80% 4.64% 3.88% 4.11%Bloomberg USD IG Corporate Bond Index BUSC 4.94% 3.87% 4.67% 4.10% 4.40%Bloomberg USD HY Corporate Bond Index BUHY 5.86% 4.75% 3.51% 3.16% 3.11%
Bloomberg U.S. Dollar Spot Index BBDXY 7.16% 6.55% 7.44% 6.00% 6.34% 7.07%
TermMoneyness 90% 100% 110% 90% 100% 110% 90% 100% 110%End of Dec 5% 55% 1% 1% 46% -3% 1% 36% 0%End of Nov 2% 52% 0% 0% 44% 1% 0% 32% 0%End of Dec 6% 42% 0% 2% 43% -1% 0% 40% 0%End of Nov 3% 45% 1% 2% 42% -1% 1% 38% 0%End of Dec 4% 45% 0% 2% 43% -1% 1% 40% 0%End of Nov 3% 43% 3% 1% 40% 0% 1% 36% 0%End of Dec 1% 42% -3% 1% 40% 0% 0% 33% 0%End of Nov 1% 37% -2% 3% 35% 0% 2% 30% 0%End of Dec 0% 39% 1% 0% 34% 0% 0% 24% 0%End of Nov 2% 41% -2% 0% 37% 0% 0% 33% -1%End of Dec 1% 21% 4% -1% 20% 2% -1% 22% 1%End of Nov 3% 16% 5% -1% 19% 2% -1% 20% 1%End of Dec 5% 17% 4% 2% 17% 1% 1% 17% 0%End of Nov 6% 16% 4% 1% 17% 1% 1% 17% 0%End of Dec -1% 23% 5% -2% 23% 3% -1% 25% 2%End of Nov 1% 20% 4% -1% 22% 2% -1% 24% 1%End of Dec 3% 21% 3% 1% 21% 1% 0% 20% 1%End of Nov 3% 21% 3% 1% 20% 1% 0% 20% 0%End of Dec 4% 23% 3% 2% 21% 1% 1% 20% 1%End of Nov 3% 18% 4% 1% 19% 1% 0% 19% 1%End of Dec 0% 22% 5% -1% 22% 3% -2% 25% 1%End of Nov 0% 19% 4% -2% 22% 2% -1% 23% 1%End of Dec 2% 24% -1% 1% 25% -1% 0% 25% 0%End of Nov 1% 25% 0% 1% 26% -1% 3% 26% -1%End of Dec 0 19% 0% 0% 20% 0% 0% 23% 0%End of Nov 0% 45% 0% 0% 37% 0% 0% 25% 0%End of Dec 1% 28% -1% 0% 29% 0% 0% 28% 0%End of Nov 0% 50% 0% 0% 33% 0% 0% 32% 0%End of Dec 0% 33% 0% 0% 33% 0% 0% 33% 0%End of Nov 0% 32% 3% 0% 29% 5% 0% 29% 5%End of Dec 2% 13% 0% 1% 15% 0% 1% 16% 0%End of Nov 2% 15% 0% 1% 15% 0% 1% 16% 0%End of Dec 5% 21% 2% 3% 23% 0% 2% 24% 0%End of Nov 6% 24% 2% 3% 25% 1% 2% 26% 0%End of Dec 0% 30% 3% -1% 31% 2% -1% 29% 2%End of Nov 1% 32% 2% -1% 30% 2% -1% 29% 2%End of Dec -1% 35% 5% -2% 34% 2% -2% 34% 2%
End of Nov -2% 33% 4% -2% 33% 3% -2% 33% 2%End of Dec 2% 17% 2% 1% 17% 1% 0% 18% 0%End of Nov 6% 17% 4% 1% 17% 1% 0% 18% 1%End of Dec 5% 19% -2% 3% 18% -2% 3% 16% -2%
End of Nov 2% 26% -1% 2% 22% -1% 2% 18% -2%End of Dec 3% 27% -2% 2% 26% -2% 1% 21% -2%End of Nov 6% 26% 3% 2% 30% -1% 1% 23% -1%
BloombergCommodity Index TRS&P 500 Total ReturnIndexBloomberg USTreasury Bond IndexBloomberg USD IGCorporate Bond IndexBloomberg USD HYCorporate Bond IndexBloomberg U.S. DollarSpot Index
COMMITMENT OF TRADERS REPORT: Historical Money Manager's Net Position vs. BCOM Index LevelNatural Gas WTI Crude
Brent Crude ULS Diesel
Soybeans Wheat
Soybean Oil Soybean Meal
HRW Wheat
0
20
40
60
80
100
-300000
-200000
-100000
0
100000
200000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
500
1000
1500
2000
2500
050000
100000150000200000250000300000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
500
1000
1500
2000
0
100000
200000
300000
400000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
200
400
600
800
1000
-60000-40000-20000
0200004000060000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
500
1000
1500
-200000
20000400006000080000
100000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
20
40
60
80
-400000
-200000
0
200000
400000
600000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
200
400
600
800
-200000
-100000
0
100000
200000
300000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
50
100
150
-150000
-100000
-50000
0
50000
100000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
050100150200250300
-100000
-50000
0
50000
100000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
500
1000
1500
2000
-100000
-50000
0
50000
100000
150000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
100
200
300
400
500
-40000-20000
020000400006000080000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
21
COMMITMENT OF TRADERS REPORT: Historical Money Manager's Net Position vs. BCOM Index LevelCopper Aluminum
Zinc Nickel
Gold Silver
Sugar Coffee
Cotton Live Cattle
Lean Hogs
020040060080010001200
-40000
-20000
0
20000
40000
60000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
50
100
150
200
0
50000
100000
150000
200000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
100
200
300
400
020000400006000080000
100000120000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
020040060080010001200
0
10000
20000
30000
40000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
100
200
300
400
500
-500000
50000100000150000200000250000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
020040060080010001200
-20000
0
20000
40000
60000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
200
400
600
800
-200000
-100000
0
100000
200000
300000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
020406080100120
-40000-20000
020000400006000080000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
020406080100120
-40000-20000
020000400006000080000
100000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
50
100
150
200
250
-50000
0
50000
100000
150000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
0
20
40
60
80
0
50000
100000
150000
200000
06 07 08 09 10 11 12 13 14 15
Money Manager's Net Position Index Level
22
GLOBAL COMMODITIES INVENTORIES & SALES DATAECO17 <GO>
Group Inventory/SalesRelated Commodities
UnitEnd of Dec
2015End of Nov
2015Change
(%)DOE Natural Gas Total Inventory DOENUST1 Index bcf 3,756 3,875 -3%DOE Crude Oil Total Inventory DOESCRUD Index mm barrels 487 480 2%DOE Cushing Oklahoma Crude Oil Total Stocks DOESCROK Index mm barrels 63 53 18%DOE Distillate Fuel Oil Total Inventory DOESDIST Index mm barrels 153 142 8%DOE Motor Gasoline Total Inventory DOESTMGS Index mm barrels 221 219 1%USDA Corn Total Export Sales SALECNUM Index thousand MT 705 709 -1%USDA Soybeans Total Export Sales SALESYBN Index thousand MT 579 2,156 -73%USDA All Wheat Total Export Sales SALEWEAL Index thousand MT 382 551 -31%USDA Soybean Oil Total Export Sales SALESYOL Index thousand MT -6 82 -107%USDA Soybean Cake Meal Total Export Sales SALESCML Index thousand MT 79 219 -64%Comex Copper Total Inventory COMXCOPR Index thousand short ton 70 49 42%LME Copper Total Inventory NLSCA Index thousand MT 236 278 -15%LME Primary Aluminum Total Inventory NLSAH Index thousand MT 2,896 3,082 -6%LME Zinc Total Inventory NLSZS Index thousand MT 464 578 -20%LME Nickel Total Inventory NLSNI Index thousand MT 441 430 3%Comex Gold Total Inventory COMXGOLD Index mm ounces 6 7 -5%Comex Silver Total Inventory COMXSILV Index mm ounces 161 162 -1%
Softs USDA All Upland Cotton Total Export Sales SALECNUA Index thousand bales 116 82 41%USDA Cattle Slaughter Estimates Daily SLGTCATT Index thousand heads 97 104 -7%USDA Hogs Slaughter Estimates Daily SLGTHOGS Index thousand heads 437 431 1%
Historical Correlation
Group Inventory/Sales 1-Year 5-YearDOE Natural Gas Total Inventory -70% -20%DOE Crude Oil Total Inventory -30% -86%DOE Cushing Oklahoma Crude Oil Total Stocks -26% -60%DOE Distillate Fuel Oil Total Inventory -79% -25%DOE Motor Gasoline Total Inventory 5% -20%USDA Corn Total Export Sales 7% -26%USDA Soybeans Total Export Sales -56% -4%USDA All Wheat Total Export Sales -4% 23%USDA Soybean Oil Total Export Sales -31% -13%USDA Soybean Cake Meal Total Export Sales -10% 21%Comex Copper Total Inventory -87% 60%LME Copper Total Inventory 19% 28%LME Primary Aluminum Total Inventory 96% 29%LME Zinc Total Inventory -6% 8%LME Nickel Total Inventory -12% -68%Comex Gold Total Inventory 72% 86%Comex Silver Total Inventory 62% -87%
UWTI US VelocityShares 3x Long Crude ETN 352.35 1,062.16 33.2%USO US United States Oil Fund LP 291.31 3,303.11 8.8%PDBC US PowerShares DB Optimum Yield Diversified Commodity 205.45 6.71 3063.7%UCO US ProShares Ultra Bloomberg Crude Oil 185.57 884.63 21.0%OIL US iPath Goldman Sachs Crude Oil Total Return Index ETN 127.46 829.44 15.4%DJP US iPath Bloomberg Commodity Index Total Return ETN 77.93 966.26 8.1%
DGAZ US VelocityShares 3x Inverse Natural Gas ETN 30.13 61.35 49.1%GLTR US ETFS Physical Precious Metal Basket Shares 23.83 138.73 17.2%GSG US iShares S&P GSCI Commodity Indexed Trust 17.22 714.29 2.4%UNG US United States Natural Gas Fund LP 17.02 511.86 3.3%
All Commodities Sector: Top 10 Redemptions
Ticker Name Net Flows ($ mill)
Beginning Fund Market Cap
($ mill)
% of Funds Market Cap
GLD US SPDR Gold Shares -415.48 22,264.90 -1.9%IAU US iShares Gold Trust -237.09 5,427.84 -4.4%DBC US PowerShares DB Commodity Index Tracking Fund -151.66 2,284.80 -6.6%DBA US PowerShares DB Agriculture Fund -110.08 782.04 -14.1%SCO US ProShares UltraShort Bloomberg Crude Oil -63.13 121.38 -52.0%
SGOL US ETFS Physical Swiss Gold Shares -31.18 790.02 -3.9%DBB US PowerShares DB Base Metals Fund -25.56 135.71 -18.8%
DWTI US VelocityShares 3x Inverse Crude ETN -21.01 163.83 -12.8%USCI US United States Commodity Index Fund -18.17 538.78 -3.4%ZSL US ProShares UltraShort Silver -15.42 70.09 -22.0%
COMMODITY FUTURES TERM STRUCTUREINDUSTRIAL METALS GROUP
PRECIOUS METALS GROUP
SOFTS GROUP
LIVESTOCK GROUP
195
200
205
210
215
220
DEC
15
MAR
16
JUN
16
SEP
16
DEC
16
MAR
17
JUN
17
SEP
17
DEC
17
JUL
18
MAR
19
SEP
19
MAY
20
Copper
30-Nov-2015
31-Dec-20151300
1500
1700
1900
2100
DEC
15JU
L 16
FEB
17SE
P 17
APR
18N
OV
18JU
N 1
9JA
N 2
0AU
G 20
APR
21N
OV
21JU
N 2
2JA
N 2
3AU
G 23
MAR
24
OCT
24
MAY
25
DEC
25
Aluminum
30-Nov-2015
31-Dec-2015
10201040106010801100112011401160
DEC
15
FEB
16
JUN
16
OCT
16
FEB
17
JUN
17
OCT
17
JUN
18
JUN
19
JUN
20
JUN
21
Gold
30-Nov-2015
31-Dec-201513
13.5
14
14.5
15
15.5
DEC
15
FEB
16
MAY
16
SEP
16
JAN
17
MAY
17
SEP
17
JUL
18
JUL
19
JUL
20
Silver
30-Nov-2015
31-Dec-2015
10111213141516
MAR
16
MAY
16
JUL
16
OCT
16
MAR
17
MAY
17
JUL
17
OCT
17
MAR
18
MAY
18
JUL
18
Sugar
30-Nov-2015
31-Dec-2015110
120
130
140
150
DEC
15M
AR 1
6M
AY 1
6JU
L 16
SEP
16DE
C 16
MAR
17
MAY
17
JUL
17SE
P 17
DEC
17M
AR 1
8M
AY 1
8JU
L 18
SEP
18
Coffee
30-Nov-2015
31-Dec-2015
50556065707580
DEC
15
FEB
16
APR
16
MAY
16
JUN
16
JUL
16
AUG
16
OCT
16
DEC
16
FEB
17
APR
17
Lean Hogs
30-Nov-2015
31-Dec-2015
110115120125130135140
DEC
15
FEB
16
APR
16
JUN
16
AUG
16
OCT
16
DEC
16
FEB
17
APR
17
Live Cattle
30-Nov-2015
31-Dec-2015
1450150015501600165017001750
DEC
15AP
R 16
AUG
16DE
C 16
APR
17AU
G 17
DEC
17AP
R 18
AUG
18DE
C 18
APR
19AU
G 19
DEC
19AP
R 20
AUG
20DE
C 20
Zinc
30-Nov-2015
31-Dec-2015
8400
8600
8800
9000
9200
9400
DEC
15AP
R 16
AUG
16DE
C 16
APR
17AU
G 17
DEC
17AP
R 18
AUG
18DE
C 18
APR
19AU
G 19
DEC
19AP
R 20
AUG
20DE
C 20
Nickel
30-Nov-2015
31-Dec-2015
5960616263646566
DEC
15
MAR
16
MAY
16
JUL
16
OCT
16
DEC
16
MAR
17
MAY
17
JUL
17
OCT
17
DEC
17
MAR
18
MAY
18
JUL
18
Cotton
30-Nov-2015
31-Dec-2015
28
BLOOMBERG INTELLIGENCE: COMMODITY DASHBOARDS BI <GO>
Crude Oil Production: BI OILS <GO> Natural Gas Production: BI NGAS <GO>
Precious Metal Mining: BI PMET <GO> Agricultural Chemicals: BI AGCH <GO>
Copper: BI COPP <GO> Aluminum: BI ALUM <GO>
BI provides analysis on several key drivers of BCOM performance; industrial and precious metals mining, oil and natural gas production, and agricultural chemicals. The dashboards include key macro data libraries and interactive charting and commentary from analysts with an average of seventeen years of experience.
COMMODITY CHEAT SHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE
Broad Commodities EnergyTop commodity news CTOP Top energy news ETOPGlobal commodity prices GLCO Top oil news OTOP Commodity playbook CPLY Crude Oil Production Dashboard BI OILSCommitments of traders report COT First Word oil NI BFWOIL Calendar of commodity events ECO17 News on oil inventories TNI OIL INV Commodity arbitrage calculator CARC Oil Buyer's Guide newsletter NI OBGBRIEFCommodity fundamental data explorer FDM Pipes & Wires newsletter NI PAWSBRIEFCommodity futures overview CMBQ Oil market analysis BOILSecurity finder SECF Nat gas spot prices BGASCommodity data contributors & broker CDAT Forward European utility markets EUMContract table menu CTM News on oil markets NI OILMARKET Seasonality chart SEAG News on OPEC NI OPEC Commodity curve analysis CCRV OPEC production and prices OPECCommodity fair values CFVL Oil markets menu OIL Commodity price forecasts CPFC Crude stored in tankers NOONCommitments of Traders Report COT Refinery outages REFOCommodity maps BMAP Oil’s decline EXT5 Commodity options monitor OMON Oil versus inflation expectations SWIFCommodities charts COSYCommodity Investors menu CMNV MetalsUS exchange traded product fund flows ETF Top metal news METT
Precious metal dashboard BI PMETGBase metals dashboard BI BMET
Commodity Indices Metals prices and data MINE Index description BCOM Index DES Precious metals prices and rates MTL Index constituent weights BCOM Index MEMB Metals Bulletin MB Listed index futures BCOM Index CT COMEX inventories COMX Option volatility surface BCOM Index OVDV LME monitor LME Seasonality chart BCOMNG Index SEAG LME implied volatilities LMIV Commodity index futures movers FMV LME warehouse inventories LMEI Commodity index ranked returns CRR
AgricultureWeather Top agriculture news YTOP Global weather database WETR Agriculture calendar AGRI US snow monitor SNOW Agriculture spot prices AGGPEU weather & utility models EUMM Agriculture supply & demand AGSD
Crop calendar CCAL
BCOM QUICK FACTS
Weighting Bias 2/3 market liquidity and 1/3 world production No. of Commodities 20 Re-balancing Frequency Annual Roll Schedule Monthly (5 day roll) Caps/Limits Single commodity: max 15%
Single commodity and its derivatives: max 25%Related commodity groups: max 33%
First Value Date 30 December 1990
The data provided in this report can be easily accessed on the Bloomberg Professional® service along with numerous news and analytical tools to help you stay on top of the commodity markets.