BLOOMBERG COMMODITY INDEX (BCOM) · 2016. 6. 15. · 14 COMMITMENT OF TRADERS REPORT 15 CONSTITUENT...

COMMODITIES A Bloomberg Professional Service Offering

BLOOMBERGCOMMODITY INDEX (BCOM)

TABLES & CHARTS

JANUARY 2015

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INSIDE

03 COMMENTARY05 PERFORMANCE TABLE: BLOOMBERG COMMODITY INDEX FAMILY (BCOM)06 PERFORMANCE CHARTS: BCOM07 PERFORMANCE CHARTS: BCOM SUBGROUP08 PERFORMANCE CHARTS: BCOM SINGLE COMMODITY11 TERM STRUCTURE14 COMMITMENT OF TRADERS REPORT15 CONSTITUENT WEIGHTS16 COMMODITY PRICE FORECASTS17 EXCHANGE TRADED PRODUCT FUND FLOWS18 BCOM SWAP PROVIDERS19 COMMODITIES CHEATSHEET20 CONTACT US

JAN 2015: BLOOMBERG COMMODITIES///////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////////

2

Grains (21% weight in BCOM)

An expanding global grain glut drove crop prices to the lowest since 2010, with wheat futures off to the worst start to a year in four decades. Farmers collected a record global wheat harvest, U.S. government data show, and the International Grains Council in January raised its outlook for the world’s corn crop. Focus intensified on China’s potential to import more corn, particularly as GMO import approvals by Beijing in December promised to smooth trade. Wheat futures for March delivery capped a 14.8% drop in January, the most for the month of January since 1975. With ample wheat inventories, buyers including China, Brazil and Nigeria are importing less from the U.S., the world’s largest exporter.

The Bloomberg Agriculture Index (BCOMAG) of eight farm products, excluding livestock, fell 5.7%, after touching 58.81, the lowest since July 2010.

Energy (32% weight in BCOM)

The Bloomberg Natural Gas Index (BCOMNG) was down 7.1% on speculation that a production boom will erase a supply deficit as mild weather curtails heating demand. Inventories were 3% below the five-year average as of Jan. 23, down from a record 55% at the end of March 2014. Prices indicate that the fears of an extremely cold winter are easing; prices dropped 9.9% last week, capping a third straight weekly decline, and fell 6.9% in January. Supplies were 15% above the year-earlier total. About 49% of U.S. households use gas for heating, according to the EIA.

A collapse in oil is cutting production costs, and encouraging more output even amid global surpluses. The Bloomberg WTI Crude Oil Index (BCOMCL) was down 10.2% for the month, despite an 8.3% rally on the last day of the month, when WTI advanced the most since June 2012 after a drop in the U.S. rig count signaled the slump in prices over the past seven months will curb output.

The Bloomberg Unleaded Gasoline Index (BCOMRB) dropped for the seventh consecutive month, declining 1.7% in January. Regular gasoline at U.S. pumps was $2.033 a gallon on Jan. 25, the lowest level since April 2009.

Commodities touched a 12-year low in January, according to the Bloomberg Commodity Index (BCOM). The index endured a seventh straight monthly loss, the longest streak since 2009. U.S. stocks fell, capping the worst month in a year, while Treasuries led a rally in bonds. Yields on US treasuries dropped 35bps to 1.15% in January, the lowest level in 19 months, according to the Bloomberg US Treasury Index (BUSY). The U.S. dollar gained 3.3% in January versus a basket of the 10 leading global currencies, according to the Bloomberg U.S. Dollar Spot Index (BBDXY).

Fund flows into commodity Exchange Traded Products (ETPs) grew the most in percentage terms versus fixed income, currencies and equities ETPs in January. Net flows in US-listed commodity ETPs jumped $3.9B in January from $58.8B, led by Energy and Precious Metals products.

Commodities fall in January along with U.S. stocks while bonds and U.S. dollar gain; month-end rally in crude

Industrial Metals (17% weight in BCOM)

Copper volatility rose to the highest since 2013 as futures traded near a five-year low. Prices are down 13% this year, the biggest loss among metals tracked by BCOM. Cooling industrial growth in China, the world’s biggest consumer, is spurring concern that demand will ebb. Global copper exchange inventories rose 32.5% to more than 400,000 metric tons from a little over 300,000 mt at the beginning of the year. A combination of growing copper supplies, lower Chinese demand and perhaps reduced buying from the Chinese Government’s Strategic Review Bureau may have all been factors in the surge in inventories.

Other metals showed mixed results, with LME nickel and SHFE aluminum rising and most other metals falling by 1% to 2%. Confusion on the direction of the Chinese economy, the strength of the U.S. economy and concerns about global currency markets all played a role in these price movements.

Aluminum is seeing gains while other commodities are slumping because automakers are using more of this lightweight metal to build more fuel-efficient cars. While the Bloomberg Copper Index (BCOMHG) is down 11.7% this year, the Bloomberg Aluminum Index (BCOMAL) gained 0.5%. The increase is small yet significant, marking an improvement from a year in which the price of aluminum fell to its lowest level since 2009.


3

Livestock (5% weight in BCOM)

The global rout in commodities finally hit cattle with futures off to the worst start to a year since 1980. Cattle futures lost 8% in January, after touching a record in November and rising 21% in 2014, the most in four years. The Bloomberg Livestock Index (BCOMLC), composed of both live cattle and lean hogs contracts, fell 8.5% in January.

Hog herds have rebounded from a deadly virus last year, while record-high meat prices and cheaper feed led to breeding of more sows and bigger pigs. As pork output in 2015 jumps 4.6% to a record, cattle ranchers have yet to recover from a 2012 drought, and beef production is headed for a 22-year low, the U.S. Department of Agriculture estimates.

After two years of bumper corn and soybean crops, feed is cheap and that means hogs are getting bigger. On average, pigs for slaughter weighed 216lbs last year, touching a record 222lbs in May, compared with 208lbs in 2013. Pork production will climb this year to a record 23.908 billion lbs, as per-capita consumption reaches the highest in five years, according to the USDA. The pickup in supply sent hog prices tumbling 11% in January, the biggest drop for the month since at least 1986.

Precious Metals (17% weight in BCOM)

The net-long futures and options positions in gold climbed 57% in January to 167,693 in the week ending Jan. 27, according to CFTC data. Mario Draghi’s $1.2 trillion pledge drove gold to a five-month high. Silver had its best start to a year in more than three decades, supported by speculation that slowing global economic growth will spur demand for havens and U.S. growth won’t be enough to offset weakness in other countries.

Investor focus on precious metals helped boost the value of exchange-traded products backed by gold and silver by $8.5 billion in January, taking in close to $2 billion, the first inflow since July and the most since September 2012. The Bloomberg Precious Metals Index (BCOMPR) gained 8.5% in January. The Bloomberg Gold Index (BCOMGC) climbed 8% as gold's longest rally in two years spurred investors to return to precious metals. A collapse in oil prices has boosted the metal's appeal amid the threat of economy-damaging deflation.

Softs (8% weight in BCOM)

Sugar has suffered from the large accumulated surpluses of the previous four seasons yet January saw the Bloomberg Sugar Index (BCOMSB) rise 1.9%, halting a nine-month decline. The global glut pushed prices down almost 12% last year, to the lowest since 2008.

After being the best BCOM performer in 2014 due to Brazilian drought, coffee futures fell to an 11-month low on Brazil rains in January. The Bloomberg Coffee Index (BCOMKC) was down 2.8% at the start of the year and positive weather forecasts added to the selling pressure.


4

BCOM Composite Indices

2015 2014Jan Dec Nov YTD 3-Month 1-Year 3-Year

Bloomberg Commodity (BCOM) BCOM -3.34% -7.63% -4.07% -3.34% -14.35% -20.04% -30.05%Bloomberg Roll Select Commodity BCOMRS -2.96% -6.92% -3.91% -2.96% -13.20% -17.67% -27.58%

1 Month Forward BCOMF1 -3.17% -7.41% -3.84% -3.17% -13.79% -17.67% -27.20% 2 Month Forward BCOMF2 -3.22% -6.74% -3.89% -3.22% -13.25% -17.35% -28.98% 3 Month Forward BCOMF3 -3.03% -6.17% -3.76% -3.03% -12.43% -16.37% -27.59% 4 Month Forward BCOMF4 -2.96% -5.78% -4.16% -2.96% -12.37% -15.84% -26.60% 5 Month Forward BCOMF5 -2.67% -5.69% -4.15% -2.67% -12.02% -16.04% -26.80% 6 Month Forward BCOMF6 -2.66% -5.53% -4.18% -2.66% -11.88% -15.54% -26.41%

Energy BCOMEN -6.74% -22.06% -10.47% -6.74% -34.93% -45.31% -44.22%Ex- Energy BCOMXE -2.67% -2.25% -1.44% -2.67% -6.23% -8.25% -26.09%Petroleum BCOMPE -7.90% -18.11% -16.94% -7.90% -37.36% -46.22% -46.13%

Ex-Petroleum BCOMXPE -3.24% -5.46% -0.89% -3.24% -9.34% -13.47% -27.25%Agriculture BCOMAG -5.74% -1.92% -1.14% -5.74% -8.61% -14.06% -23.35%

Ex-Agriculture BCOMXAG -2.48% -10.31% -5.39% -2.48% -17.25% -23.08% -33.51%Softs BCOMSO 0.63% -7.76% -2.96% 0.63% -9.92% -10.55% -41.31%

Ex-Softs BCOMXSO -3.80% -7.62% -4.19% -3.80% -14.85% -20.95% -29.27%Grains BCOMGR -8.73% 1.17% 0.89% -8.73% -6.84% -16.38% -18.86%

Ex-Grains BCOMXGR -2.22% -9.45% -5.04% -2.22% -15.92% -20.93% -33.09%Industrial Metals BCOMIN -5.36% -4.35% -3.37% -5.36% -12.53% -7.34% -31.03%

Ex-Industrial Metals BCOMXIM -2.87% -8.37% -4.23% -2.87% -14.77% -22.52% -29.84%Precious Metals BCOMPR 8.45% 0.63% -0.68% 8.45% 8.39% -0.76% -34.09%

Ex-Precious Metals BCOMXPM -5.65% -9.18% -4.68% -5.65% -18.31% -23.49% -30.11%Livestock BCOMLI -8.52% -4.84% 0.83% -8.52% -12.22% -2.20% -7.35%

Ex-Livestock BCOMXLI -3.02% -7.83% -4.40% -3.02% -14.54% -21.11% -31.29%

BCOM Single Commodity Indices

2015 2014Jan Dec Nov YTD 3-Month 1-Year 3-Year

Natural Gas BCOMNG -7.08% -28.87% 3.26% -7.08% -31.75% -45.40% -43.59%WTI Crude BCOMCL -10.17% -19.33% -17.74% -10.17% -40.39% -47.07% -50.45%

Brent Crude BCOMCO -9.92% -18.18% -18.86% -9.92% -40.20% -50.81% -47.63%ULS Diesel BCOMHO -6.41% -14.14% -13.81% -6.41% -30.74% -41.63% -42.30%

Unleaded Gasoline BCOMRB -1.68% -19.34% -14.82% -1.68% -32.45% -41.38% -35.08%Corn BCOMCN -6.80% 2.12% -0.21% -6.80% -5.02% -21.45% -32.29%

Soybeans BCOMSY -6.11% 0.14% -3.17% -6.11% -8.96% -10.60% 22.28%Wheat BCOMWH -14.75% 1.94% 7.21% -14.75% -6.83% -15.96% -39.64%

Soybean Oil BCOMBO -6.66% -1.14% -7.80% -6.66% -14.92% -22.95% -46.64%Soybean Meal BCOMSM -5.09% -1.70% -0.11% -5.09% -6.81% 3.82% 85.76%HRW Wheat BCOMKW -13.77% -2.11% 7.41% -13.77% -9.33% -14.49% -35.89%

Copper BCOMHG -11.71% -0.72% -6.44% -11.71% -17.99% -21.76% -36.13%Alumnium BCOMAL 0.49% -8.48% -1.93% 0.49% -9.81% 3.68% -32.84%

Zinc BCOMZS -2.49% -1.97% -4.29% -2.49% -8.52% 5.57% -10.32%Nickel BCOMNI -0.01% -7.14% 3.03% -0.01% -4.34% 6.76% -30.95%Lead BCOMPB -0.15% -8.63% 0.98% -0.15% -7.87% -14.02% -21.97%Tin BCOMSN -2.09% -4.18% 2.96% -2.09% -3.41% -13.88% -22.40%

Gold BCOMGC 7.95% 0.73% 0.26% 7.95% 9.02% 2.87% -27.73%Silver BCOMSI 10.31% 0.28% -3.73% 10.31% 6.49% -11.10% -50.08%Sugar BCOMSB 1.86% -6.86% -2.81% 1.86% -7.79% -25.74% -51.76%Coffee BCOMKC -2.82% -11.12% -2.58% -2.82% -15.86% 18.35% -42.78%Cotton BCOMCT -1.51% 0.32% -4.70% -1.51% -5.84% -23.46% -27.39%Cocoa BCOMCC -7.46% 2.36% -2.15% -7.46% -7.31% -8.51% 13.73%

Lean Hogs BCOMLH -12.65% -7.96% 0.41% -12.65% -19.28% -20.22% -22.34%Live Cattle BCOMLC -6.09% -3.35% 1.03% -6.09% -8.30% 10.13% 1.98%

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PERFORMANCE: Bloomberg Commodity Indices


5

Commodities vs. Equities vs. Bond vs. USD

PERFORMANCE: Bloomberg Commodity IndicesChart 1: Return

Chart 3: Return

Chart 5: Correlation

Chart 2: Volatility (Realized, 60 days) Commodities touched a 12-year low in January, according to the Bloomberg Commodity Index (BCOM). The index endured a seventh straight monthly loss, the longest streak since 2009.

Volatility for the BCOM family of indices continued to rise.

Commodities fell while Treasuries led a rally in bonds. Yields on US treasuries dropped 35 bps to 1.15% in January, the lowest level in 19 months, according to the Bloomberg US Treasury Index (BUSY). The U.S. dollar gained 3.3% in January.

The volatility for commodities saw a marginal increase while stock volatility fell. Volatilities for bonds and dollar were fairly flat.

Chart 4: Volatility (Realized, 60 days)

BCOM is positively correlated with US large cap stocks, and negatively correlated with treasuries and the dollar.

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6

PERFORMANCE: BCOM SubgroupsChart 6: Return Chart 7: Volatility (Realized, 60 days)

BCOM Energy, Industrial Metal, and Livestock indices continued to decline from previous quarters. The Grains index switched direction from Q4 2014 to join the fall. BCOM Precious Metals and Softs indices posted positive growth in January.

Energy had negative correlation with most other commodity groups except livestock.Chart 11: Commodity Inter-group CorrelationChart 10: Correlation Between Energy and Groups

Chart 8: Return vs. Previous Quarters Chart 9: Volatility vs. Previous Quarters

Chart 12: Commodity Subgroup Correlation with Equity, Bond, USD

The Energy index dropped 6.7% in January, a seventh straight monthly decline. Grains, Industrial Metals and livestock indices also fell. Precious Metals and Softs gained 8.5% and 0.6% respectively.

The volatility for BCOM Energy index continued to rise to 40% at the end of January.

Volatilities for most commodity groups were substantially higher in January.

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PERFORMANCE: BCOM Single Commodity IndicesChart 13: Return For January 2015

Chart 14: Volatility For January 2015

Chart 15: Inter-Commodity Correlation for January 2015

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Brent Crude 47% 95% 100%ULS Diesel 46% 92% 96% 100%Unleaded Gasoline 53% 90% 95% 93% 100%Corn -30% -13% -14% -5% -15% 100%Soybeans 5% 5% -1% 6% 7% 30% 100%Wheat -27% -18% -18% -8% -13% 60% 39% 100%Soybean Oil 33% 39% 26% 32% 28% 19% 42% 9% 100%Soybean Meal -11% -12% -14% -9% -6% 38% 87% 41% 1% 100%HRW Wheat -18% -8% -6% -1% 0% 56% 41% 88% 17% 35% 100%Copper -46% -2% -2% 2% -19% 19% -6% -5% 1% -14% -3% 100%Alumnium -22% 38% 33% 40% 21% 9% -4% -23% 24% -12% -22% 71% 100%Zinc -27% 10% 11% 18% -4% 28% -4% -3% 5% -8% -12% 85% 75% 100%Nickel -46% 7% 3% 7% -5% 19% 41% 10% 24% 34% 9% 68% 63% 58% 100%Lead -45% -4% -7% -5% -19% 34% -10% 12% -4% -5% 2% 74% 55% 69% 55% 100%Tin -34% -42% -40% -41% -44% 25% -27% -4% -34% -11% 0% 35% 13% 36% 3% 28% 100%Gold -15% -18% -23% -11% -20% 36% -14% 28% 39% -26% 13% 19% 16% 25% 19% 26% 8% 100%Silver 12% -2% -13% 3% -6% 12% 3% 14% 42% -11% -4% 13% 20% 17% 15% 27% -3% 75% 100%Sugar -25% -30% -38% -29% -32% -3% 20% 20% 17% 8% 13% 31% 24% 29% 41% 33% 12% 47% 32% 100%Coffee 38% 4% 0% 11% 12% 4% 48% 2% 50% 30% 0% -35% -26% -33% 5% -41% -33% 25% 30% 10% 100%Cotton -11% -7% -8% -5% -16% -13% 47% -9% 15% 36% -9% 32% 21% 18% 52% 2% -37% -21% -9% 6% 26% 100%Cocoa 1% 4% -12% -13% -12% -2% -18% -37% 44% -37% -30% -10% 15% -7% -3% -9% 1% 15% 0% -3% 20% -2% 100%Lean Hogs 19% 19% 18% 8% 14% -32% 22% -61% 4% 17% -53% 22% 20% 25% 35% 11% -18% -22% -12% 9% 12% 48% -2% 100%Live Cattle -8% 23% 23% 20% 16% 5% 0% 9% 10% -2% -1% 22% 13% 33% 46% 22% 10% 21% 20% -12% 7% 7% 4% 14% 100%

LivestockEnergy Grains Industrial MetalsPrecious Metals Softs


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PERFORMANCE: Single Commodity IndiciesENERGY GROUP

GRAINS GROUP



Chart 18: Return

INDUSTRIAL METALS GROUPCopper volatility rose to the highest since 2013 as futures traded near a five-year low. Prices are down 13% this year, the biggest loss among metals tracked by BCOM. Cooling industrial growth in China, the world’s biggest consumer, is spurring concern that demand will ebb. A jump in stockpiles tracked by the LME has also driven prices lower. Supplies were up 40% in January, seeing the biggest gain since January 2009. At a time when other commodities are slumping, aluminum is seeing gains as automakers under pressure to build more fuel-efficient cars increase their use of the lightweight metal. While the Bloomberg Copper Index (BCOMHG) is down 11.7% this year, the Bloomberg Aluminum Index (BCOMAL) gained 0.49%. The rise is small but significant, marking an improvement from a year in which the price of aluminum fell to its lowest level since 2009.

Chart 16: Return

Chart 20: Return


The Natural Gas Index (BCOMNG) was down 7.1% on speculation that a production boom will erase a supply deficit as mild weather curtails heating demand. Inventories were 3% below the five-year average as of Jan. 23, down from a record 55% at the end of March. Prices indicate that the fears of an extremely cold winter have eased; prices dropped 9.9% last week, capping a third straight weekly decline, and fell 6.9% in January. Supplies were 15% above the year-earlier total. About 49% of U.S. households use gas for heating, according to the EIA, but demand has not been strong enough this winter to have a significant impact on the strong production levels. A collapse in oil is cutting production costs, and encouraging more output even amid global surpluses. The Bloomberg WTI Crude Oil Index (BCOMCL) was down 10.2% for the month, but on last day of January it saw a rally of 8.3%, when WTI advanced the most since June 2012 after a drop in the U.S. rig count signaled the slump in prices over the past seven months will curb output.

An expanding global grain glut drove crop prices to the lowest since 2010, with wheat futures off to the worst start to a year in four decades. Farmers collected a record global wheat harvest, U.S. government data show, and the International Grains Council in January raised its outlook for the world’s corn crop. Focus intensified on China’s potential to import more corn, particularly as GMO import approvals by Beijing in December promised to smooth trade. Wheat futures for March delivery capped a 14.8% drop in January, the most for the month of January since 1975. With ample wheat inventories, buyers including China, Brazil and Nigeria are getting less from the U.S., the world’s largest exporter. Bloomberg Agriculture Index (BCOMAG) of eight farm products, excluding livestock, fell 5.7%, after touching 58.81, the lowest since July 2010.

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PERFORMANCE: Single Commodity Indices

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Chart 24: Return

Chart 26: ReturnBloomberg Lean Hogs and Live Cattle Indices decreased 12.65% and 6.09% respectively.

The net-long futures position in gold climbed 63.1% to 188,925 futures in the week ended Jan. 27, according to CFTC data. Investors’ desire for precious metals is deepening after Mario Draghi’s $1.2 trillion pledge drove gold to a five-month high and silver to the brink of a bull market. Silver had its best start to a year in more than three decades, supported by speculation that slowing global economic growth will spur demand for havens and U.S. growth won’t be enough to offset weakness in other countries. Investor focus on precious metals helped boost the value of exchange-traded products backed by gold and silver by $8.5B this month, taking in close to $2B, the first inflow since July and the most since September 2012. The Bloomberg Precious Metals Index (BCOMPR) posted a 8.5% gain in January. The Bloomberg Gold Index (BCOMGC) climbed 8% as gold’s longest rally in two years is spurring investors to return to precious metals. A collapse in oil prices has boosted the appeal of gold amid the threat of economy-damaging deflation.

Sugar has suffered from the large accumulated surpluses of the previous four seasons but January saw the Bloomberg Sugar Index (BCOMSB) rise 1.9%, halting a 9 month decline. Prices decreased almost 12% last year as the global glut pushed prices to the lowest since 2008.Coffee futures fell to 11-month low on Brazil rains. The Bloomberg Coffee Index (BCOMKC) was down 2.8% at the start of the year and positive forecasts add to the selling pressure.


Chart 22: Return Chart 23: Volatility (Realized, 60 days)

-40%-30%-20%-10%

0%10%20%30%40%50%60%70%

Sugar Coffee Cotton Cocoa


-20%-15%-10%

-5%0%5%

10%15%20%25%30%35%

Lean Hogs Live Cattle


0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

Gold Silver


0%

10%

20%

30%

40%

50%

60%

Sugar Coffee Cotton Cocoa


0%

5%

10%

15%

20%

25%

30%

35%

Lean Hogs Live Cattle


-25%

-20%

-15%

-10%

-5%

0%

5%

10%

15%

Gold Silver



10

COMMODITY FUTURES TERM STRUCTURE

ENERGY GROUP

GRAINS GROUP

All energy futures curves have changed to steeper contango in January.

Futures curves for grains have mostly rotated counterclockwise during January to go from mild contango to steeper contango except for soybean meal which went from steeper backwardation to mild backwardation.

2.5

3.5

4.5

5.5

FEB

15AU

G 15

FEB

16AU

G 16

FEB

17AU

G 17

FEB

18AU

G 18

FEB

19AU

G 19

FEB

20AU

G 20

FEB

21AU

G 21

FEB

22AU

G 22

FEB

23AU

G 23

FEB

24AU

G 24

FEB

25AU

G 25

FEB

26AU

G 26

FEB

27

Natural Gas

31-Dec-2014 30-Jan-2015

40

50

60

70

FEB

15M

AY 1

5AU

G 15

NO

V 15

FEB

16M

AY 1

6AU

G 16

NO

V 16

FEB

17M

AY 1

7AU

G 17

NO

V 17

FEB

18M

AY 1

8AU

G 18

NO

V 18

FEB

19M

AY 1

9AU

G 19

NO

V 19

FEB

20M

AY 2

0AU

G 20

WTI Crude

31-Dec-2014 30-Jan-2015

5060708090

FEB

15

JUN

15

OCT

15

FEB

16

JUN

16

OCT

16

FEB

17

JUN

17

OCT

17

FEB

18

JUN

18

OCT

18

FEB

19

JUN

19

OCT

19

FEB

20

JUN

20

OCT

20

FEB

21

JUN

21

OCT

21

Brent Crude

31-Dec-2014 30-Jan-2015

150

170

190

210

JAN

15

MAR

15

MAY

15

JUL

15

SEP

15

NO

V 15

JAN

16

MAR

16

MAY

16

JUL

16

SEP

16

NO

V 16

JAN

17

MAR

17

MAY

17

JUL

17

SEP

17

NO

V 17

JAN

18

MAR

18

ULS Diesel

31-Dec-2014 30-Jan-2015

140

160

180

200

JAN

15

MAR

15

MAY

15

JUL

15

SEP

15

NO

V 15

JAN

16

MAR

16

MAY

16

JUL

16

SEP

16

NO

V 16

JAN

17

MAR

17

MAY

17

JUL

17

SEP

17

NO

V 17

Unleaded Gasoline

31-Dec-2014 30-Jan-2015

450

500

550

600

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

#N/A

Inva

lidSe

curit

y

Wheat

31-Dec-2014 30-Jan-2015

28

29

30

31

32

33

JAN

15

MAR

15

MAY

15

JUL

15

AUG

15

SEP

15

OCT

15

DEC

15

JAN

16

MAR

16

MAY

16

JUL

16

AUG

16

SEP

16

OCT

16

DEC

16

JAN

17

MAR

17

MAY

17

JUL

17

AUG

17

Soybean Oil

31-Dec-2014 30-Jan-2015

360380400420440460

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

Corn

31-Dec-2014 30-Jan-2015

920

970

1020

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

JAN

17

MAR

17

MAY

17

Soybeans

31-Dec-2014 30-Jan-2015


11


INDUSTRIAL METALS GROUP

PRECIOUS METALS GROUP

Term structure for industrial metals were relatively persistent from previous month, with copper now showing stronger backwardation at the front end of the curve.

Term structure for gold and silver remained flat at the front end of the curve, and less steep at the back end.

275

325

375

JAN

15

MAR

15

MAY

15

JUL

15AU

G 15

SEP

15O

CT 1

5DE

C 15

JAN

16

MAR

16

MAY

16

JUL

16AU

G 16

SEP

16O

CT 1

6DE

C 16

JAN

17

MAR

17

MAY

17

JUL

17AU

G 17

Soybean Meal

31-Dec-2014 30-Jan-2015

500550600650700

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

DEC

17

HRW Wheat

31-Dec-2014 30-Jan-2015

220240260280300

JAN

15

MAR

15

MAY

15

JUL

15

SEP

15

NO

V 15

JAN

16

MAR

16

MAY

16

JUL

16

SEP

16

NO

V 16

MAR

17

JUL

17

DEC

17

MAY

18

SEP

18

MAR

19

JUL

19

DEC

19

Copper

31-Dec-2014 30-Jan-2015

17501950215023502550

JAN

15

JUN

15

NO

V 15

APR

16SE

P 16

FEB

17JU

L 17

DEC

17M

AY 1

8O

CT 1

8M

AR 1

9AU

G 19

JAN

20

JUN

20

NO

V 20

APR

21SE

P 21

FEB

22JU

L 22

DEC

22M

AY 2

3O

CT 2

3M

AR 2

4AU

G 24

JAN

25

Aluminum

31-Dec-2014 30-Jan-2015

2100

2150

2200

2250

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

Zinc

31-Dec-2014 30-Jan-2015

150001510015200153001540015500

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

APR

20

Nickel

31-Dec-2014 30-Jan-2015

1800

1850

1900

1950

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

APR

20

Lead

31-Dec-2014 30-Jan-2015

1516171819

JAN

15

FEB

15

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

JAN

16

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

JUL

17

DEC

17

JUL

18

DEC

18

JUL

19

DEC

19

Tin

31-Dec-2014 30-Jan-2015

1150

1200

1250

1300

1350

1400

JAN

15

FEB

15M

AR 1

5AP

R 15

JUN

15

AUG

15O

CT 1

5DE

C 15

FEB

16AP

R 16

JUN

16

AUG

16O

CT 1

6DE

C 16

JUN

17

DEC

17JU

N 1

8DE

C 18

JUN

19

DEC

19JU

N 2

0

Gold

31-Dec-2014 30-Jan-2015

1515.5

1616.5

1717.5

1818.5

19

JAN

15

FEB

15

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

JAN

16

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

JUL

17

DEC

17

JUL

18

DEC

18

JUL

19

DEC

19

Silver

31-Dec-2014 30-Jan-2015


12


SOFTS GROUP

LIVESTOCK GROUPLean hogs futures curve rotated counter clockwise to a steeper contango at the front end, while live cattle curve experienced a parallel shift.

Term structure for softs remained basically unchanged.

1414.5

1515.5

1616.5

1717.5

MAR

15

MAY

15

JUL

15

OCT

15

MAR

16

MAY

16

JUL

16

OCT

16

MAR

17

MAY

17

JUL

17

OCT

17

Sugar

31-Dec-2014 30-Jan-2015

160

165

170

175

180

185

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

DEC

17

Coffee

31-Dec-2014 30-Jan-2015

26002650270027502800285029002950

MAR

15

MAY

15

JUL

15

SEP

15

DEC

15

MAR

16

MAY

16

JUL

16

SEP

16

DEC

16

Cocoa

31-Dec-2014 30-Jan-2015

5456586062646668

MAR

15

MAY

15

JUL

15

OCT

15

DEC

15

MAR

16

MAY

16

JUL

16

OCT

16

DEC

16

MAR

17

MAY

17

JUL

17

OCT

17

Cotton

31-Dec-2014 30-Jan-2015

6065707580859095

FEB

15

APR

15

MAY

15

JUN

15

JUL

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

MAY

16

Lean Hogs

31-Dec-2014 30-Jan-2015

130135140145150155160165170

DEC

14

FEB

15

APR

15

JUN

15

AUG

15

OCT

15

DEC

15

FEB

16

APR

16

Live Cattle

31-Dec-2014 30-Jan-2015


13

COMMITMENT OF TRADERS REPORT: FUTURES & OPTIONS COMMITMENT OF MONEY MANAGERS

COT <GO>

Group CommodityEnd of Month Dec 2014 Net Position

(Lots)

End of Month Jan 2015 Net Position

(Lots)Change (Lots)

End of Month Jan 2015 Notional

($mm) Natural Gas -53,308 -54,143 -835 -1,614 WTI Crude 199,388 216,325 16,937 10,001 Brent Crude 115,571 143,039 27,468 7,095 ULS Diesel -27,087 -30,316 -3,229 -2,117 Gasoline 44,226 52,178 7,952 2,959

16,323 Corn 239,704 169,917 -69,787 3,239 Soybeans 39,446 -33,021 -72,467 -1,608 Wheat 20,481 -12,026 -32,507 -312 Soybean Oil 35,047 22,454 -12,593 420 Soybean Meal 54,132 33,972 -20,160 1,143 HRW Wheat 24,999 11,744 -13,255 323

3,206 Copper -4,455 -12,976 -8,521 -799 Aluminum 119,687 109,502 -10,185 5,051 Zinc 48,757 50,989 2,232 2,677 Nickel 29,764 25,558 -4,206 2,261

9,190 Gold 98,391 167,693 69,302 21,661 Silver 17,051 40,164 23,113 3,628

25,289 Sugar -66,824 3,984 70,808 68 Coffee 25,385 20,645 -4,740 1,302 Cotton 11,005 -8,512 -19,517 -250

1,120 Live Cattle 80,102 58,975 -21,127 3,605 Lean Hogs 37,193 34,290 -2,903 952

4,557Livestock

Energy

Grains

Industrial Metals

Precious Metals

Softs


14

BCOM CONSTITUENT WEIGHTSBCOM Index MEMB <GO>

Group Commodity 2015 Target Weight

2014 Target Weight

31-Dec-2014 Actual Weight

30-Jan-2015 Actual Weight

Jan 2015 Weight Change

Natural Gas 8.74% 9.45% 7.67% 8.41% 0.74% WTI Crude 7.84% 8.49% 5.81% 7.90% 2.09% Brent Crude 7.16% 6.51% 4.24% 7.73% 3.49% ULS Diesel 3.76% 3.72% 2.75% 3.91% 1.16% Gasoline 3.69% 3.62% 2.42% 4.06% 1.64%

31.19% 31.78% 22.89% 32.01% 9.12% Corn 7.25% 7.20% 8.03% 6.93% -1.10% Soybeans 5.68% 5.68% 5.46% 5.29% -0.17% Wheat 3.33% 3.34% 3.91% 2.96% -0.95% Soybean Oil 2.81% 2.83% 2.87% 2.61% -0.26% Soybean Meal 2.75% 2.68% 2.68% 2.62% -0.06% HRW Wheat 1.17% 1.21% 1.41% 1.04% -0.37%

22.98% 22.95% 24.36% 21.45% -2.91% Copper 7.54% 7.51% 7.56% 6.98% -0.58% Aluminum 4.59% 4.72% 5.89% 4.90% -0.99% Zinc 2.40% 2.31% 2.95% 2.45% -0.50% Nickel 2.12% 2.05% 2.76% 2.12% -0.64%

16.65% 16.60% 19.16% 16.45% -2.71% Gold 11.90% 11.53% 13.29% 12.88% -0.41% Silver 4.28% 4.14% 3.91% 4.56% 0.65%

16.18% 15.67% 17.20% 17.44% 0.24% Sugar 4.00% 3.96% 4.28% 4.10% -0.18% Coffee 2.21% 2.32% 3.95% 2.10% -1.85% Cotton 1.51% 1.58% 1.34% 1.52% 0.18%

7.72% 7.85% 9.57% 7.72% -1.85% Live Cattle 3.33% 3.27% 4.69% 3.13% -1.56% Lean Hogs 1.94% 1.87% 2.13% 1.81% -0.32%

5.27% 5.14% 6.82% 4.94% -1.88%

Energy

Livestock

Softs

Precious Metals

Industrial Metals

Grains


15

COMMODITY PRICE FORECASTSCPFC <GO>

Group Commodity Q1 15 Q2 15 Q3 15 Q415

Natural Gas 3.39 3.30 3.60 3.72 WTI Crude 50.00 54.00 64.00 70.75 Brent Crude 55.00 58.75 65.00 74.25 ULS Diesel 201 200 211 214 Gasoline 175 195 200 184 Corn 375 381 400 402 Soybeans 1,000 1,005 950 971 Wheat 560 561 575 588 Copper 6,393 6,468 6,555 6,681 Aluminum 1,950 1,950 2,000 2,070 Zinc 2,222 2,277 2,320 2,386 Nickel 16,000 17,000 18,550 19,550 Gold 1,200 1,180 1,200 1,235 Silver 17.00 16.70 17.28 18.00 Sugar 16.00 16.25 17.10 17.60 Coffee 180.0 183.0 185.0 181.8 Cotton 62.0 63.3 65.0 65.0

* Median price forecasts collected by Bloomberg

Softs

Energy

Grains

Industrial Metals

Precious Metals


16

COMMODITY FUND FLOWS FOR US-LISTED ETPsXLTP FLOW <GO>

Report Period: 12/31/2014 - 1/30/2015 Currency: USD

Net Flows (mm) Beginning Fund Market Cap (mm)

% of Funds Market Cap

-375.08 8,984.40 -4.17%2,513.03 4,481.75 56.07%-177.48 1,846.46 -9.61%-35.85 348.61 -10.28%-4.60 43.43 -10.59%

1,952.53 43,053.98 4.54%3,872.55 58,758.63 6.59%

All Commodities Sector: Top 10 Creations

Ticker Name Net Flows (mm) Beginning Fund Market Cap (mm)


GLD US SPDR Gold Shares 1,970.25 27,394.60 7.19% USO US United States Oil Fund LP 1,169.94 1,268.31 92.24% UCO US ProShares Ultra Bloomberg Crude Oil 411.28 451.80 91.03% OIL US iPath Goldman Sachs Crude Oil Index ETN 295.13 374.50 78.81% UWTI US VelocityShares 3x Long Crude ETN 245.76 103.28 237.96% IAU US iShares Gold Trust 239.59 6,231.52 3.84% UGAZ US VelocityShares 3x Long Natural Gas ETN 152.02 508.51 29.89% DBO US PowerShares DB Oil Fund 140.21 281.70 49.77% BNO US United States Brent Oil Fund LP 40.01 39.32 101.74% DWTI US VelocityShares 3x Inverse Crude ETN 35.79 39.70 90.15%

All Commodities Sector: Top 10 Redemptions

Ticker Name Net Flows (mm) Beginning Fund Market Cap (mm)


DJP US iPath Bloomberg Commodity Index ETN -316.27 1,751.87 -18.05% SLV US iShares Silver Trust -177.15 5,359.52 -3.31% DBA US PowerShares DB Agriculture Fund -114.25 1,053.36 -10.85% DBC US PowerShares DB Commodity Index -90.73 4,078.65 -2.22% GLTR US ETFS Physical Precious Metal Basket Trust -75.35 235.45 -32.00% JJG US iPath Bloomberg Grains Subindex ETN -40.80 175.36 -23.27% UNG US United States Natural Gas Fund -39.85 699.01 -5.70% DBB US PowerShares DB Base Metals Fund -33.84 221.21 -15.30% USCI US United States Commodity Index Fund -24.18 718.16 -3.37% DGAZ US VelocityShares 3x Inverse Natural gas ETN -19.33 57.55 -33.60%

Sector

Industrial MetalsLivestock

Precious MetalsTotal

Broad BasedEnergy

Agriculture


17

BCOM SWAP PROVIDERS

COMPANY OTC BCOM SWAPSELECTRONIC 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 index swaps in real-time over the BloombergProfessional 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.


18

COMMODITY CHEATSHEET FOR THE BLOOMBERG PROFESSIONAL® SERVICE

Top commodity news CTOPGlobal commodity prices GLCOCommodity playbook CPLY Commitments of traders report COT Calendar of commodity events ECO10 Commodity arbitrage calculator CARCCommodity fundamental data explorer FDM Commodity fair values CFVL Commodity price forecasts CPFC Commodity maps BMAP Commodity futures overview CMBQ Commodity options monitor OMON Commodities charts COSYUS exchange traded product fund flows ETFDescription BCOM Index DES Constituent weights BCOM Index MEMB Listed futures BCOM Index CT Option volatility surface BCOM Index OVDV Seasonality chart BCOMNG Index SEAG Index ranked returns CRR Top oil news OTOP Bloomberg Intelligence BI OIL First Word oil NI BFWOIL Top energy stories ETOPTop oil stories OTOP Oil Buyer's Guide: daily newsletter BRIEFNews on oil inventories TNI OIL INV News on oil markets NI OILMARKET News on OPEC NI OPEC OPEC production and prices OPECOil markets menu OIL Oil’s decline EXT5 Top metal stories METT Bloomberg fair values CFVL Metals prices, data MINE Precious metals orices and rates MTL Metals Bulletin MB COMEX inventories COMX LME monitor LME LME implied volatilities LMIV LME warehouse inventories LMEI Agriculture calendar AGRI Top agriculture stories YTOP Crop calendar CCALGlobal weather database WETR Hurricane mapping BMAP EU weather & utility models EUMM US snow monitor SNOW

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

Agriculture

Weather

Broad Commodities

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.

Commodity Indices

Energy

Metals


19

CONTACT US

www.bloombergindexes.com [email protected] NY +1-212-617-5020LO +44-20-3525-9976HK +852-2293-1346SY +61-2-9777-7208INDEX <GO>

BLOOMBERG and the BLOOMBERG COMMODITY INDEX are trademarks or service marks of Bloomberg Finance L.P. Bloomberg Finance L.P. and its affiliates ("collectively, "Bloomberg") or Bloomberg's licensors own all proprietary right in the BLOOMBERG COMMODITY INDEX. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to BLOOMBERG COMMODITY INDEX. Bloomberg makes no warranty, express or implied, as to the BLOOMBERG COMMODITY INDEX or any data or values relating thereto or results to be obtained therefrom, and expressly disclaims all warranties of merchantability and fitness for a particular purpose with respect thereto. It is not possible to invest directly in an index. Back-tested performance is not actual performance. Past performance is not an indication of future results. To the maximum extent allowed by law, Bloomberg, its licensors, and its and their respective employees, contractors, agents, suppliers and vendors shall have no liability or responsibility whatsoever for any injury or damages - whether direct, indirect, consequential, incidental, punitive or otherwise - arising in connection with BLOOMBERG COMMODITY INDEX or any data or values relating thereto - whether arising from their negligence or otherwise. This document constitutes the provision of factual information, rather than financial product advice. Nothing in the BLOOMBERG COMMODITY INDEX shall constitute or be construed as an offering of financial instruments or as investment advice or investment recommendations (i.e., recommendations as to whether or not to “buy”, “sell”, “hold”, or to enter or not to enter into any other transaction involving any specific interest or interests) by Bloomberg or its affiliates or a recommendation as to an investment or other strategy by Bloomberg or its affiliates. Data and other information available via the BLOOMBERG COMMODITY INDEX should not be considered as information sufficient upon which to base an investment decision. All information provided by the BLOOMBERG COMMODITY INDEX is impersonal and not tailored to the needs of any person, entity or group of persons. Bloomberg and its affiliates do not express an opinion on the future or expected value of any security or other interest and do not explicitly or implicitly recommend or suggest an investment strategy of any kind. Customers should consider obtaining independent advice before making any financial decisions. © 2015 Bloomberg Finance L.P. All rights reserved. This document and its contents may not be forwarded or redistributed without the prior consent of Bloomberg.


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