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////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
COMMODITIES A Bloomberg Professional Service Offering
BLOOMBERG COMMODITY INDEX (BCOM)TABLES & CHARTS
Q4 2014
Bloomberg
INSIDE
03 PERFORMANCE: BCOM05 PERFORMANCE: BCOM SUBGROUP06 PERFORMANCE: BCOM SINGLE COMMODITY09 TERM STRUCTURE12 BCOM CONSTITUENT WEIGHTS13 BCOM SWAP PROVIDERS14 BCOM CHEATSHEET15 CONTACT US
4Q SUMMARY
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Broad commodity performance continued to deteriorate in the final quarter of 2014 (Table 1) given a strengthening US Dollar (Chart 3), concerns about demand from China and strong supply across most commodity sectors. The Bloomberg Commodity Index (BCOM) was down 12% for the quarter. The WTI Crude Oil index and Brent Crude Oil index have seen the sharpest declines, dropping over 40% during the quarter, making it the largest quarterly drop since the 2008 financial crisis and dragging the Energy index down by 36% (Chart 6). Gasoline responded promptly with a drop of 38.5%, while Diesel dropped 30% due to relatively higher demand and seasonality factors (Chart 12). Natural Gas dropped 32% to a two-year low as mild weather and record production threatened to expand a stockpile surplus. Volatility for the Energy index more than doubled to over 30% (Chart 7) during Q4 - the most volatile quarter for the Energy index since Q4 2013.
Despite this backdrop there were still some winners, especially in the agriculture group. The BCOM Grains index had a strong quarter, gaining over 16% due to global supply shortage. Wheat gained the most at 22%, and with the exception of soybean oil, other grains gained between 10% and 21%. Despite the higher soybean price, the soybean oil price declined by 2% because of its correlation with crude oil through the making of biofuel for which both vegetable oil and fossil oil are part of the blending. Q4 marked one of the most volatile quarters since Q4 2013 for all BCOM Grains single commodity indices.
With the drastic price drop for spot and front futures contracts, the term structure of most energy underlyings have gone from backwardation or mild contango to steeper contango during the quarter. Futures curves for grains have mostly rotated clockwise during Q4 to go from steeper contango to mild contango or backwardation for soybean meal. The Lean hogs curve rotated counter clockwise to a mild contango at the front end, while the live cattle curve changed from contango to backwardation at the front end.
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Table 1: BCOM Composite Indices
2014Dec Nov Oct YTD 3-Month 1-Year 3-Year
Bloomberg Commodity Index (BCOM) BCOM -7.63% -4.07% -0.81% -17.04% -12.10% -17.04% -25.84%Bloomberg Roll Select Commodity BCOMRS -6.92% -3.91% -0.72% -15.20% -11.20% -15.20% -23.30%1 Month Forward BCOMF1 -7.41% -3.84% -0.55% -15.69% -11.46% -15.69% -22.76%2 Month Forward BCOMF2 -6.74% -3.89% -0.76% -15.51% -11.05% -15.51% -24.53%3 Month Forward BCOMF3 -6.17% -3.76% -0.68% -14.87% -10.30% -14.87% -23.21%4 Month Forward BCOMF4 -5.78% -4.16% -0.53% -14.29% -10.18% -14.29% -22.12%5 Month Forward BCOMF5 -5.69% -4.15% -0.43% -14.98% -10.00% -14.98% -22.59%6 Month Forward BCOMF6 -5.53% -4.18% -0.40% -14.53% -9.84% -14.53% -22.07%Energy BCOMEN -22.06% -10.47% -9.10% -39.36% -36.58% -39.36% -42.27%Ex- Energy BCOMXE -2.25% -1.44% 3.04% -6.50% -0.73% -6.50% -20.07%Petroleum BCOMPE -18.11% -16.94% -9.59% -43.31% -38.50% -43.31% -40.22%Ex-Petroleum BCOMXPE -5.46% -0.89% 1.65% -9.37% -4.75% -9.37% -22.98%Agriculture BCOMAG -1.92% -1.14% 8.91% -9.26% 5.60% -9.26% -19.24%Ex-Agriculture BCOMXAG -10.31% -5.39% -4.61% -20.60% -19.06% -20.60% -29.24%Softs BCOMSO -7.76% -2.96% -1.66% -10.13% -11.97% -10.13% -42.10%Ex-Softs BCOMXSO -7.62% -4.19% -0.72% -17.64% -12.12% -17.64% -24.44%Grains BCOMGR 1.17% 0.89% 14.28% -9.40% 16.65% -9.40% -11.10%Ex-Grains BCOMXGR -9.45% -5.04% -3.26% -18.64% -16.81% -18.64% -29.48%Industrial Metals BCOMIN -4.35% -3.37% 1.47% -6.90% -6.22% -6.90% -19.17%Ex-Industrial Metals BCOMXIM -8.37% -4.23% -1.30% -19.16% -13.39% -19.16% -27.26%Precious Metals BCOMPR 0.63% -0.68% -3.85% -6.74% -3.90% -6.74% -31.51%Ex-Precious Metals BCOMXPM -9.18% -4.68% -0.24% -18.70% -13.63% -18.70% -25.28%Livestock BCOMLI -4.84% 0.83% -1.35% 11.52% -5.34% 11.52% 3.61%Ex-Livestock BCOMXLI -7.83% -4.40% -0.77% -18.61% -12.56% -18.61% -27.39%
Table 2: BCOM Single Commodity Indices
2014Dec Nov Oct YTD 3-Month 1-Year 3-Year
Natural Gas BCOMNG -28.87% 3.26% -8.08% -30.73% -32.49% -30.73% -49.62%WTI Crude BCOMCL -19.33% -17.74% -10.56% -41.71% -40.65% -41.71% -45.13%Brent Crude BCOMCO -18.18% -18.86% -9.93% -47.64% -40.20% -47.64% -39.66%ULS Diesel BCOMHO -14.14% -13.81% -5.65% -38.79% -30.18% -38.79% -35.28%Unleaded Gasoline BCOMRB -19.34% -14.82% -10.58% -43.81% -38.56% -43.81% -28.11%Corn BCOMCN 2.12% -0.21% 17.46% -13.32% 19.70% -13.32% -28.19%Soybeans BCOMSY 0.14% -3.17% 13.90% -5.51% 10.44% -5.51% 29.29%Wheat BCOMWH 1.94% 7.21% 11.46% -9.48% 21.82% -9.48% -27.75%Soybean Oil BCOMBO -1.14% -7.80% 7.29% -20.59% -2.20% -20.59% -44.52%Soybean Meal BCOMSM -1.70% -0.11% 23.67% 11.78% 21.43% 11.78% 99.60%HRW Wheat BCOMKW -2.11% 7.41% 6.41% -4.71% 11.89% -4.71% -25.81%Copper BCOMHG -0.72% -6.44% 1.31% -16.58% -5.89% -16.58% -20.20%Alumnium BCOMAL -8.48% -1.93% 4.27% -3.12% -6.41% -3.12% -26.37%Zinc BCOMZS -1.97% -4.29% 0.87% 3.45% -5.36% 3.45% 4.75%Nickel BCOMNI -7.14% 3.03% -3.40% 7.27% -7.58% 7.27% -23.16%Lead BCOMPB -8.63% 0.98% -4.63% -18.12% -12.01% -18.12% -15.34%Tin BCOMSN -4.18% 2.96% -3.12% -13.18% -4.43% -13.18% 0.45%Gold BCOMGC 0.73% 0.26% -3.30% -1.78% -2.34% -1.78% -25.77%Silver BCOMSI 0.28% -3.73% -5.58% -20.45% -8.85% -20.45% -46.08%Sugar BCOMSB -6.86% -2.81% -2.49% -30.92% -11.73% -30.92% -51.95%Coffee BCOMKC -11.12% -2.58% -2.77% 37.74% -15.81% 37.74% -44.18%Cotton BCOMCT 0.32% -4.70% 5.02% -21.20% 0.40% -21.20% -25.11%Cocoa BCOMCC 2.36% -2.15% -12.15% 6.23% -12.01% 6.23% 33.50%Lean Hogs BCOMLH -7.96% 0.41% -6.88% -4.41% -13.94% -4.41% -9.20%Live Cattle BCOMLC -3.35% 1.03% 1.58% 22.02% -0.82% 22.02% 11.19%
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Index Name Ticker
Index Name Ticker
PERFORMANCE: Bloomberg Commodity Indices
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BCOM vs. Bond vs. USD
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PERFORMANCE: Bloomberg Commodity IndicesChart 1: Return
Chart 3: Return
Chart 5: Correlation
Chart 2: Volatility (Realized, 60 days) Oil prices continued to fall through Q4 2014, dragging commodity indices further down. The BCOM 3 Month Forward index and Roll Select index slightly outperformed BCOM due to smaller exposure to the overall spot price crash.
Oil market turmoil contributed most to the hiking volatility towards the end of the year. The more weight on oil underlyings and front future contracts, the higher the volatility.
Dollar has been particularly strong during the quarter, which yielded the highest return among major asset classes.
Bond volatility has been fairly stationary while volatility for other asset classes has seen substantial jumps towards the end of the year.
Chart 4: Volatility (Realized, 60 days)
BCOM is generally less correlated with other asset classes in normal market conditions. In Q4, we observed slight negative correlation between BCOM and USD.
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BloombergCommodity Index
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BCOM - BloombergUSD InvestmentGrade CompositeBond Index
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PERFORMANCE: BCOM SubgroupsChart 6: Return Chart 7: Volatility (Realized, 60 days)
Chart 8: Return vs. Previous Quarters Chart 9: Volatility vs. Previous QuartersBCOM energy index declined even more than Q3 2014 during Q4 2014 and ended with a 39% drop for the full year of 2014. BCOM softs index continued the trend of declining from previous two quarters and erased its huge gain mainly from coffee for Q1 2014. BCOM grains index had the best quarter since Q4 2014.
Energy has higher correlation with other commodity groups during a bear market for Q4 2014.
Chart 11: Commodity Subgroup Correlation - 3Q to 4Q 2014
Q4 2014 marked the most volatile quarter for BCOM energy index since Q4 2013. Volatility for BCOM grains index was also higher than previous quarters accompanied by a substantial positive return.
During Q4 2014, we observe universally higher cross correlations between different commodity groups than Q3 2014. This is mainly due to the oil price crash characterizing bear market condition for commodities in which most underlyings have increased correlation.
BCOM energy index declined by 36% due to huge loss in the oil space. BCOM industrial metals, precious metals, softs and livestock indices also declined during the quarter responding to supply forecast changes. BCOM grains index on the other hand, had a great quarter and gained 16%.
The volatility for BCOM energy index more than doubled to over 30% during Q4 2014 amid sharp drops of the price level. The volatility for BCOM precious metals index also jumped 10% during the quarter. Other BCOM subindices have seen smaller changes of volatility.
Chart 10: Correlation Between Energy and Other Groups
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Q3 2014 Energy GrainsIndustrial
MetalsPrecious Metals Softs Livestock
Energy 100%Grains 18% 100%Industrial Metals 6% 12% 100%Precious Metals 21% 13% 6% 100%Softs 10% 25% 12% -12% 100%Livestock 6% 12% 3% -1% 13% 100%
Q4 2014 Energy GrainsIndustrial
MetalsPrecious Metals Softs Livestock
Energy 100%Grains 18% 100%Industrial Metals 49% 29% 100%Precious Metals 31% 11% 38% 100%Softs 17% 24% 37% 39% 100%Livestock 13% 14% 22% 30% 32% 100%
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4Q13 1Q14 2Q14 3Q14 4Q14
5
PERFORMANCE: BCOM Single Commodity IndicesChart 12: Overview - Return For Q4 2014
Chart 13: Overview - Volatility For Q4 2014
Chart 14: Overview - Inter-Commodity Correlation for Q4 2014
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leNatural Gas 100%WTI Crude 21% 100%Brent Crude 23% 95% 100%ULS Diesel 24% 91% 96% 100%Unleaded Gasoline 22% 89% 94% 93% 100%Corn 9% 9% 11% 10% 15% 100%Soybeans 9% 26% 27% 30% 32% 75% 100%Wheat 10% -6% 0% 2% 2% 44% 17% 100%Soybean Oil 20% 40% 43% 42% 47% 51% 67% 9% 100%Soybean Meal 9% 19% 21% 25% 27% 63% 90% 13% 42% 100%HRW Wheat 11% -5% -3% -1% 0% 40% 12% 95% 5% 8% 100%Copper 17% 53% 55% 54% 53% 24% 32% -1% 34% 23% -11% 100%Alumnium 36% 35% 38% 40% 41% 34% 31% 13% 29% 28% 14% 46% 100%Zinc -1% 42% 46% 48% 45% 24% 33% -7% 48% 18% -11% 64% 60% 100%Nickel 14% 10% 13% 14% 19% 16% 11% -4% 22% 0% -6% 39% 43% 50% 100%Lead 8% 33% 35% 39% 37% 15% 26% -13% 31% 17% -16% 56% 56% 68% 52% 100%Tin -1% 11% 9% 7% 5% -9% 6% -25% 4% 7% -25% 17% 16% 26% 35% 38% 100%Gold 0% 36% 32% 38% 34% 5% 14% -1% 23% 8% -3% 42% 16% 27% 2% 38% 14% 100%Silver 9% 47% 49% 52% 51% 15% 23% 5% 33% 17% -1% 62% 27% 38% 13% 50% 8% 88% 100%Sugar 14% 23% 24% 25% 27% 20% 25% 7% 33% 20% 12% 26% 46% 43% 33% 27% 13% 24% 29% 100%Coffee -15% 15% 13% 10% 25% 14% 22% -6% 28% 17% -7% 27% -5% 13% 10% 10% -12% 28% 32% 15% 100%Cotton 7% 16% 24% 28% 28% 25% 31% 13% 40% 32% 4% 31% 9% 29% 24% 15% 21% 16% 25% 27% 5% 100%Cocoa 8% 9% 7% 4% 2% -22% -5% -15% 0% -4% -11% 8% 13% 9% -8% 10% 0% 17% 11% 21% -6% -12% 100%Lean Hogs 1% 6% 8% 7% 10% 3% 3% 4% 17% -8% -3% 33% 12% 38% 19% 32% 0% 22% 29% 30% 37% 1% -12% 100%Live Cattle 5% 12% 15% 12% 18% 18% 9% 11% 18% 5% 7% 8% 7% 5% 2% 17% 10% 22% 24% 11% 9% 10% -21% 21% 100%
LivestockEnergy Grains Industrial MetalsPrecious Metals Softs
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PERFORMANCE: Single Commodity IndicesENERGY GROUP
GRAINS GROUPChart 18: Volatility (Realized, 60 days)
INDUSTRIAL METALS GROUPSChart 20: Volatility (Realized, 60 days)
Chart 17: Return
BCOM energy index declined by 36% due to huge loss in the oil space. WTI crude oil index and Brent crude oil index both dropped over 40% during the quarter, marking the largest quarterly drop since the 2008 financial crisis. Gasoline responded promptly and dropped similar percentage (38.5%) as crude oil, while diesel dropped less (30%) due to relatively higher demand and seasonality factors. Natural gas also dropped 32% to a two-year low as mild weather and record production threatened to expand a stockpile surplus.
Q4 2014 marked one of the most volatile quarter since Q4 2013 for all BCOM grains single commodity indices.
Volatility for BCOM industrial metals single commodity indices was mostly slightly higher than previous quarters.
Chart 15: Return
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BCOM grains index had a very strong quarter, gaining over 16% due to global supply shortage. Wheat gained the most at 22% with other grains gaining between 10% to 21% except Soybean oil. Despite the higher soybean price, the soybean oil price has declined by 2% because of its correlation with the crude oil through the making of biofuel, for which both vegetable oil and fossil oil are part of the blending.
BCOM industrial metals single commodity indices dropped 4-12% across the board on concern that a slower economy will cut metal demands in China, the world's largest consumer of industrial metals.
Chart 19: Return
Chart 16: Volatility (Realized, 60 days)Volatility has increased substantially for all BCOM energy single commodity indices from Q3 2014 to Q4 2014.
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PERFORMANCE: Single Commodity Indices PRECIOUS METALS GROUPS
SOFTS GROUPChart 24: Volatility (Realized, 60 days)
LIVESTOCK GROUP
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Chart 23: Return
Chart 25: Return
Softs declined by about 12% during Q4 2014. Sugar, coffee and cocoa dropped responding to supply forecast changes, while cotton reamined unchanged.
Lean hogs was down 15% for the quarter. Live cattle was relatively unchanged.
Q4 has been the most volatile quarter in 2014 for both gold and silver.Chart 22: Volatility (Realized, 60 days)
Coffee volatility has again dropped since the wild first quarter of 2014, but is still at a relatively high level. Cocoa has been more active, while sugar and cotton volatility stays at the same level.
Both lean hogs and live cattle were slightly less volatile than the previous quarter.Chart 26: Volatility (Realized, 60 days)
BCOM gold and silver indices dropped as US dollar has risen.Chart 21: Return
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COMMODITY CURVE ANALYSISChart 27: ENERGY GROUP
Chart 28: GRAINS GROUP
With the drastic price drop for spot and front futures contracts, most energy underlyings have gone from backwardation or mild contango to steeper contango during Q4 2014.
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Futures curves for grains have mostly rotated clockwise during the Q4 2014 to go from steeper contango to mild contango or backwardation for soybean meal.
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Natural Gas
30-Sep-2014 31-Dec-2014
5060708090
NO
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G 15
NO
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6AU
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NO
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NO
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NO
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20JU
N 2
2
WTI Crude
30-Sep-2014 31-Dec-2014
5060708090
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V 14
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15
JUL
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OV
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6JU
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NO
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17
JUL
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8JU
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V 18
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19
JUL
19N
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NO
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21
JUL
21N
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21
Brent Crude
30-Sep-2014 31-Dec-2014
170
220
270
OCT
14
DEC
14
FEB
15
APR
15
JUN
15
AUG
15
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15
DEC
15
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16
APR
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JUN
16
AUG
16
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16
DEC
16
FEB
17
APR
17
JUN
17
AUG
17
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17
DEC
17
ULS Diesel
30-Sep-2014 31-Dec-2014
120
170
220
270
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14
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14
FEB
15
APR
15
JUN
15
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15
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15
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15
FEB
16
APR
16
JUN
16
AUG
16
OCT
16
DEC
16
FEB
17
APR
17
JUN
17
AUG
17
Unleaded Gasoline
30-Sep-2014 31-Dec-2014
300
350
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450
DEC
14
MAR
15
MAY
15
JUL
15
SEP
15
DEC
15
MAR
16
MAY
16
JUL
16
SEP
16
DEC
16
JUL
17
DEC
17
Corn
30-Sep-2014 31-Dec-2014
450
500
550
600
DEC
14
MAR
15
MAY
15
JUL
15
SEP
15
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15
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16
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16
JUL
16
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
Wheat
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31.532
32.533
33.534
34.5
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14
DEC
14JA
N 1
5M
AR 1
5M
AY 1
5JU
L 15
AUG
15SE
P 15
OCT
15
DEC
15JA
N 1
6M
AR 1
6M
AY 1
6JU
L 16
AUG
16SE
P 16
OCT
16
DEC
16JU
L 17
OCT
17
DEC
17
Soybean Oil
30-Sep-2014 31-Dec-2014
900920940960980
1000102010401060
NO
V 14
JAN
15
MAR
15
MAY
15
JUL
15
AUG
15
SEP
15
NO
V 15
JAN
16
MAR
16
MAY
16
JUL
16
AUG
16
SEP
16
NO
V 16
JUL
17
NO
V 17
Soybeans
30-Sep-2014 31-Dec-2014
9
COMMODITY CURVE ANALYSIS
Chart 29: INDUSTRIAL METALS GROUP
Chart 30: PRECIOUS METALS GROUP
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
Term structure for industrial metals were relatively persistent from Q3 2014, with copper now showing mild backwardation at the front end of the curve.
Term structure for gold and silver are rather flat at the front end and remain relatively unchanged from Q3 2014.
275
325
375
OCT
14
DEC
14JA
N 1
5M
AR 1
5M
AY 1
5JU
L 15
AUG
15SE
P 15
OCT
15
DEC
15JA
N 1
6M
AR 1
6M
AY 1
6JU
L 16
AUG
16SE
P 16
OCT
16
DEC
16JU
L 17
OCT
17
DEC
17
Soybean Meal
30-Sep-2014 31-Dec-2014
500550600650700
DEC
14
MAR
15
MAY
15
JUL
15
SEP
15
DEC
15
MAR
16
MAY
16
JUL
16
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
HRW Wheat
30-Sep-2014 31-Dec-2014
265275285295305
OCT
14
DEC
14
FEB
15
APR
15
JUN
15
AUG
15
OCT
15
DEC
15
FEB
16
APR
16
JUN
16
AUG
16
DEC
16
MAY
17
SEP
17
MAR
18
JUL
18
DEC
18
MAY
19
SEP
19
Copper
30-Sep-2014 31-Dec-2014
1500
2000
2500
3000
OCT
14
MAR
15
AUG
15JA
N 1
6JU
N 1
6N
OV
16AP
R 17
SEP
17FE
B 18
JUL
18DE
C 18
MAY
19
OCT
19
MAR
20
AUG
20JA
N 2
1JU
N 2
1N
OV
21AP
R 22
SEP
22FE
B 23
JUL
23DE
C 23
MAY
24
OCT
24
Aluminum
30-Sep-2014 31-Dec-2014
210021502200225023002350
OCT
14
JAN
15
APR
15JU
L 15
OCT
15
JAN
16
APR
16JU
L 16
OCT
16
JAN
17
APR
17JU
L 17
OCT
17
JAN
18
APR
18JU
L 18
OCT
18
JAN
19
APR
19JU
L 19
OCT
19
Zinc
30-Sep-2014 31-Dec-2014
145001500015500160001650017000
OCT
14
JAN
15
APR
15JU
L 15
OCT
15
JAN
16
APR
16JU
L 16
OCT
16
JAN
17
APR
17JU
L 17
OCT
17
JAN
18
APR
18JU
L 18
OCT
18
JAN
19
APR
19JU
L 19
OCT
19
JAN
20
Nickel
30-Sep-2014 31-Dec-2014
18001900200021002200
OCT
14
JAN
15
APR
15JU
L 15
OCT
15
JAN
16
APR
16JU
L 16
OCT
16
JAN
17
APR
17JU
L 17
OCT
17
JAN
18
APR
18JU
L 18
OCT
18
JAN
19
APR
19JU
L 19
OCT
19
JAN
20
Lead
30-Sep-2014 31-Dec-2014
1516171819
OCT
14
NO
V 14
DEC
14
JAN
15
MAR
15
MAY
15
JUL
15
SEP
15
DEC
15
JAN
16
MAR
16
MAY
16
JUL
16
DEC
16
JUL
17
DEC
17
JUL
18
DEC
18
JUL
19
Tin
30-Sep-2014 31-Dec-2014
1150
1200
1250
1300
1350
1400
OCT
14
NO
V 14
DEC
14FE
B 15
APR
15JU
N 1
5AU
G 15
OCT
15
DEC
15FE
B 16
APR
16JU
N 1
6AU
G 16
DEC
16JU
N 1
7DE
C 17
JUN
18
DEC
18JU
N 1
9DE
C 19
JUN
20
Gold
30-Sep-2014 31-Dec-2014
1515.5
1616.5
1717.5
1818.5
19
OCT
14
NO
V 14
DEC
14
JAN
15
MAR
15
MAY
15
JUL
15
SEP
15
DEC
15
JAN
16
MAR
16
MAY
16
JUL
16
DEC
16
JUL
17
DEC
17
JUL
18
DEC
18
JUL
19
Silver
30-Sep-2014 31-Dec-2014
10
COMMODITY CURVE ANALYSISChart 31: SOFTS GROUP
Chart 32: LIVESTOCK GROUPLean hogs futures curve rotated counter clockwise to a mild contango at the front end, while live cattle futures curve changed from contango to backwardation at the front. The back end of the curve for both were little changed.
Term structure for softs are basically unchanged from Q3 2014.
/////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
1314151617181920
OCT
14
MAR
15
MAY
15
JUL
15
OCT
15
MAR
16
MAY
16
JUL
16
OCT
16
MAR
17
MAY
17
JUL
17
Sugar
30-Sep-2014 31-Dec-2014
150
160
170
180
190
200
210
DEC
14
MAR
15
MAY
15
JUL
15
SEP
15
DEC
15
MAR
16
MAY
16
JUL
16
SEP
16
DEC
16
MAR
17
MAY
17
JUL
17
SEP
17
Coffee
30-Sep-2014 31-Dec-2014
2500260027002800290030003100320033003400
DEC
14
MAR
15
MAY
15
JUL
15
SEP
15
DEC
15
MAR
16
MAY
16
JUL
16
SEP
16
Cocoa
30-Sep-2014 31-Dec-2014
545658606264666870
OCT
14
DEC
14
MAR
15
MAY
15
JUL
15
OCT
15
DEC
15
MAR
16
MAY
16
JUL
16
OCT
16
DEC
16
MAR
17
MAY
17
Cotton
30-Sep-2014 31-Dec-2014
60
70
80
90
100
110
120
OCT
14
DEC
14
FEB
15
APR
15
MAY
15
JUN
15
JUL
15
AUG
15
OCT
15
DEC
15
FEB
16
Lean Hogs
30-Sep-2014 31-Dec-2014
145
150
155
160
165
170
OCT
14
DEC
14
FEB
15
APR
15
JUN
15
AUG
15
OCT
15
DEC
15
FEB
16
Live Cattle
30-Sep-2014 31-Dec-2014
11
BCOM CONSTITUENT WEIGHTS
Group Commodity 2015 Target Weight
2014 Target Weight
30-Sep-2014 Actual Weight
31-Dec-2014 Actual Weight
Q4 2014 Weight Change
Natural Gas 8.74% 9.45% 9.68% 7.67% -2.01% WTI Crude 7.84% 8.49% 8.75% 5.81% -2.94% Brent Crude 7.16% 6.51% 6.19% 4.24% -1.95% ULS Diesel 3.76% 3.72% 3.55% 2.75% -0.80% Gasoline 3.69% 3.62% 3.48% 2.42% -1.06%
31.19% 31.78% 31.65% 22.89% -8.76% Corn 7.25% 7.20% 5.75% 8.03% 2.28% Soybeans 5.68% 5.68% 4.32% 5.46% 1.14% Wheat 3.33% 3.34% 2.81% 3.91% 1.10% Soybean Oil 2.81% 2.83% 2.56% 2.87% 0.31% Soybean Meal 2.75% 2.68% 2.05% 2.68% 0.63% HRW Wheat 1.17% 1.21% 1.11% 1.41% 0.30%
22.98% 22.95% 18.60% 24.36% 5.76% Copper 7.54% 7.51% 7.13% 7.56% 0.43% Aluminum 4.59% 4.72% 5.50% 5.89% 0.39% Zinc 2.40% 2.31% 2.74% 2.95% 0.21% Nickel 2.12% 2.05% 2.63% 2.76% 0.13%
16.65% 16.60% 18.00% 19.16% 1.16% Gold 11.90% 11.53% 12.05% 13.29% 1.24% Silver 4.28% 4.14% 3.79% 3.91% 0.12%
16.18% 15.67% 15.84% 17.20% 1.36% Sugar 4.00% 3.96% 4.30% 4.28% -0.02% Coffee 2.21% 2.32% 4.06% 3.95% -0.11% Cotton 1.51% 1.58% 1.21% 1.34% 0.13%
7.72% 7.85% 9.57% 9.57% 0.00% Live Cattle 3.33% 3.27% 4.16% 4.69% 0.53% Lean Hogs 1.94% 1.87% 2.20% 2.13% -0.07%
5.27% 5.14% 6.36% 6.82% 0.46%
Energy
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
Livestock
Softs
Precious Metals
Industrial Metals
Grains
12
BCOM SWAP PROVIDERS
OTC BCOM SWAPS
ELECTRONIC BCOM SWAPS*
BNP Paribas YES Barclays Bank YES CIBC YES Cargill YES Citigroup YES Credit Suisse YES Deutsche Bank YES Goldman Sachs YES J.P. Morgan Chase YES YES Macquarie YES Bank of America Merrill Lynch YES Morgan Stanley YES Royal Bank Of Canada YES Societe Generale YES YES State Street YES UBS YES Wells Fargo YES
*Commodity investors can trade BCOM swaps in real-time over the Bloomberg Professional Service via Commodity Streaming (CCST). Traders can view streaming executable pricing provided by market makers. Participants include investment managers, pension funds, and global macro/hedge funds.
///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
13
////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////
BLOOMBERG CHEATSHEET
BCOM Index Description BCOM Index DESBCOM Index Weights BCOM Index MEMBBCOM Index Futures BCOM Index CTBCOM Index Options BCOM Index OMONBCOM Index Option Volatility Surface BCOM Index OVDVBCOM Index Seasonality Chart BCOMNG Index SEAGGlobal Commodity Prices GLCO Commodity Playbook CPLY Commitments of Traders Report COT Commodity Index Ranked Returns CRRCalendar of Energy Events ECO10 Bloomberg Intelligence BI OILFirst Word Oil NI BFWOILTop Oil News Stories TOP OILVolatility Comparison GVCommodity Curves CLA Comdty CCRV
BCOM QUICK FACTS
Weighting Bias 2/3 market liquidity and 1/3 world productionNo. of Commodities 20Re-balancing Frequency AnnualRoll Schedule Monthly (5 day roll)Annual 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.
14
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