Commodities Weekly Rates, FX, and Commodities Strategy

Commodities Weekly Rates, FX, and Commodities Strategy 20 June, 2016 | TD Securities | Global Strategy PENDING BREXIT VOTE MAKES GOLD SHINE, BUT SPO...
Author: Mark Cole
3 downloads 0 Views 1MB Size
Commodities Weekly Rates, FX, and Commodities Strategy

20 June, 2016 | TD Securities | Global Strategy

PENDING BREXIT VOTE MAKES GOLD SHINE, BUT SPOILS RISK APPETITE

COMMODITIES UPDATE & WEEK AHEAD DRIVERS

2

ECONOMIC INDICATORS & DATA CALENDAR

4

WEEKLY PRICE TABLE

7

COMMODITY PRICE FORECASTS

5

ETF MONITOR TABLE & CHARTS

8

MODEL PORTFOLIO TRADE RECOMMENDATIONS

5

CHART PACKAGE

10

TD SECURITIES GLOBAL METALS INDEX

6

RESEARCH TEAM

17

Commodity Price Percent Change (10-Jun-16 to 17-Jun-16) Henry Hub NG

2.6%

Aluminum

2.5%

Gold

2.0%

Nickel

Change in Price (%)

Weekly Commodity Movers & Shakers

1.5%

Copper

1.0%

Coal

1.0%

Silver

1.0%

Lead

-0.3%

AECO NG

-0.5%

S&P GSCI Index

-1.2%

Palladium

-1.8%

Platinum

-2.2%

WTI

-2.2%

Heating Oil

-2.3%

Brent

-2.7%

Gasoline

-3.5%

Molybdenum

-4.0%

Zinc Uranium

Spiking air-conditioning demand moves natgas to a nine-month high

Aluminum catches a bid as markets listed to chatter surrounding limiting Chinese exports

Copper and nickel get a lift from gold Speculative investors buy gold/silver amid Brexit uncertainty and more dovish Fed

PGMs weaken as traders worry about demand

Higher-then-expected inventories and riskoff related demand concerns send crude oil to lower bound

-5.2% -7.6%

1

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

COMMODITIES UPDATE & WEEK AHEAD DRIVERS Higher-than-expected US inventories, along with risk-off sentiment make crude oil the big loser on the week—but a new balanced supply narrative prevents a rout

Weaker RMB and Brexit-driven demand concerns hit zinc and PGMs, while copper and nickel get support from gold market

Gold and silver breakout to hit new highs amid Brexitinitiated risk-off buying, aggressive spec net long extension and sub-zero yields across much of the world

Last week's market action was increasingly driven by distracted traders who responded to the uncertainty surrounding the UK referendum vote on June 23rd. Before the weekend, opinion polls indicating rising support for the "Leave" camp sent investors looking for cover with stocks falling, while bonds and gold gained.

polls and start a strong market reversal led by a weaker dollar. The market has made an assumption, which paid off at the start of the trading week, that her death would sway more of the undecided voters to cast the ballots in favour of remaining in the European Union. The adverse reaction to higher inventories, concerns surrounding demand, and a strengthening USD prompted traders to force crude oil lower, with both Brent ($46.94/bbl) and WTI ($45.83/bbl) falling close to the lower bound of the recent trading range. Speculative investors were forced to reduce their nearrecord exposure following the failure to maintain a presence at above $50/bbls. But the emerging narrative advocating a movement of supply-demand into balance prevented crude oil from dropping below critical levels, with WTI bouncing off the 50dma which took it within a whisker of $50/bbls on Monday again. Improving Fundamentals Prevent Crude Oil from Breaching the Lower Bound

These developments were accompanied on Wednesday by a more-than-expected dovish statement following the June FOMC gathering. Most importantly, the FOMC members lowered their projection of the expected interest rate path, with just six members now only seeing one rate hike in 2016. After a good run that brought the S&P GS Commodity Index to its highest level since late-June 2015, the commodities complex suffered a setback last week. The move lower was very much led by crude oil, petroleum products and the reversal in the zinc rally. Traders sold many industrial commodities and energy products as the pending Brexit vote increased the concern that the global economy will slow and reduced investor confidence. Brexit-related Fear and Loathing Mana for Gold In sharp contrast, gold and silver broke higher as very low bond yields along with the resulting quite modest cost of carry persuaded traders to aggressively extend their net-long exposure. The accompanying risk-off trading managed to propel gold and silver to their highest level in the last six months, which was also the highest in nearly two years. The yellow metal spiked to a high of nearly $1,316/oz and the white metal coming close to $17.87/oz. On Monday, however, with the outcome of the Brexit vote shifting back to a greater chance of a "Remain" decision, gold and silver lost their upward momentum and settled a few percent below the highs. The murder of Jo Cox, a Labour member of the UK parliament who was a "Remain" supporter, seemed to help shift the

Gold has posted a very good showing so far this month, after the latest communique from the FOMC and statements from Janet Yellen have finally quashed the hawkish mantra introduced into the market's psyche back in the early part of this year. The poor US May jobs showing on June 3rd sent interest rate expectations tumbling down, which was re-enforced on Wednesday following the FOMC meeting. These two events along with the risk-off sentiment generated by the pending Brexit vote helped to drive much of the strong recovery seen this month.

2

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

4.5

Gold Supportive—FOMC FFR Projections Shift Lower

Over-extended Longs to Force Gold Sharply Lower if UK Votes to Stay in EU

%

4.0 3.5 3.0 2.5 2.0 1.5 1.0

2016

2017

0.5

2018

Long Term

0.0 Sep-13

Mar-14

Sep-14

Mar-15

Sep-15

Mar-16

Source: Bloomberg, TD Securities

As equities have suffered in response to risk-off trading, sovereign bond yields have continued to collapse with the yield on German 10-year paper being the latest to drop below zero early last week. US bond yields were also at low levels, driven down by a dovish Fed, ECB corporate bond purchases and the Brexit risk. Once the market takes stock after the referendum, markets will be still be left looking at a world in which significantly higher than zero yielding quality sovereign and even corporate bonds continue to be in very short supply. This along with a dovish outlook from the FOMC, with possibly only one hike this year, should continue to be a catalyst for strong gold markets. It is not a given that we will see a significant gold correction, even if the UK voters decide to stay in the EU.

S&P 500 (lhs) Gold Price

2130

1340 1320

2120 2110

Long Copper/Zinc Ratio Trade Re-entered in Model Portfolio On June 9th, 2016, the copper/zinc ratio traded through our stop level, and quickly closed out our position, as recommended on June 7th, 2016. We wrote in our Weekly on June 10th, 2016 that we were reassessing to enter the trade at a better price level, but as the ratio traded back up to our original protective stop level once again, we decided to re-enter the same trade. Our new stop level will rather be set just below the June 10th low, at 2.15x.

Equities Weakness Spurs Gold Buying 2140

Since sovereign bonds have increasingly moved into negative yielding territory, the USD cost of carry has been dropping and has driven investors to take aggressive net long positions. While we think that will be supportive longer term, a correction may be a reality first with gold moving down toward $1,225/oz. Of course a vote to exit the European club should get longs building positions in even greater size, moving the yellow metal toward $1,382/oz. Silver would surely follow the dynamics set out by gold. Gold and Silver Rolling Sevens Ahead of Brexit Vote.

1300

2090

1280

$/oz

Index

2100

Bart Melek

2080 1260

2070 2060

1240

.

2050 2040 Jun 06

1220 Jun 11

Jun 16

Jun 21

Source: Bloomberg, TD Securities

3

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

ECONOMIC INDICATORS & DATA CALENDAR In the aftermath of the US Federal Reserve shift to an even more cautious economic outlook and their path forward, US data will again be very closely watched for confirmation of the weakening trend or a more positive turning point. Outside of the KC and Dallas Fed manufacturing indices for June, which may surprisingly print a bit better than dour predictions, the Chicago Fed National Activity and the US Leading Economic Indicators May indices will all be parsed to judge the direction of the economy. Continued weakness in the broader US data will be taken as confirmation that the recent Fed turn to greater caution is warranted, and should hit the USD further, as interest rate expectations fall. This would continue to keep supporting gold/silver at higher levels, which have suffered a bit of a reversal over the last several days. The Brexit safe haven buying has moderated somewhat, as new polls suggest the "Remain" vote may be gaining traction again. Beyond the data, Janet Yellen will speak to the Senate and House panels on Tuesday and Wednesday, but she is unlikely to alter her now more guarded optimism as stated at the June FOMC meeting. The soundbites could be a little more dovish, which also suggests that gold/silver will avoid sharp selloffs, even as Brexit polls tip the scales to a less worrisome "Remain" vote. Crude oil and base metals benefit from the more dovish turn in the US and improved risk-on sentiment, while crude oil also should see further declines in US inventories and the latest sharp drop in North Dakota oil production, as further signs of tighter market balances ahead, and that should also be positive for prices.

Mike Dragosits

Release TUESDAY (June 21st) 00:00 CNY Leading Index (Apr) 02:30 CNY Diesel Exports Volume MT (May) 02:30 CNY Natural Gas Imports Volume MT (May) 02:30 CNY LNG Imports Volume MT (May) 05:00 EUR ZEW Survey Expectations (Jun) WEDNESDAY 07:00 USD MBA Mortgage Applications (Jun) 09:00 USD FHFA House Price Index m/m (Apr) 10:00 EUR Consumer Confidence (Jun A) 10:00 USD Existing Home Sales (May) 10:00 USD Existing Home Sales m/m (May) 10:30 USD DOE U.S. Crude Oil Inventories (Jun) 10:30 USD DOE Cushing OK Crude Inventory (Jun) 10:30 USD DOE U.S. Gasoline Inventories (Jun) 10:30 USD DOE U.S. Distillate Inventory (Jun) 10:30 USD DOE U.S. Refinery Utilization (Jun) 10:30 USD DOE Crude Oil Implied Demand (Jun) 10:30 USD DOE Gasoline Implied Demand (Jun) 10:30 USD DOE Distillate Implied Demand (Jun) THURSDAY 04:00 EUR Markit Eurozone Manufacturing PMI (Jun P) 04:00 EUR Markit Eurozone Services PMI (Jun P) 04:00 EUR Markit Eurozone Composite PMI (Jun P) 08:30 USD Chicago Fed Nat Activity Index (May) 08:30 USD Initial Jobless Claims (Jun) 08:30 USD Continuing Claims (Jun) 09:45 USD Bloomberg Consumer Comfort (Jun) 09:45 USD Markit US Manufacturing PMI (Jun P) 10:00 USD New Home Sales (May) 10:00 USD Leading Index (May) 10:00 USD New Home Sales m/m (May) 10:30 USD EIA Natural Gas Storage Change (Jun) 10:30 USD EIA Working Natural Gas Implied Flow (Jun) 11:00 USD Kansas City Fed Manf. Activity (Jun) FRIDAY 08:30 USD Durable Goods Orders (May P) 08:30 USD Durables Ex Transportation (May P) 08:30 USD Cap Goods Orders Nondef Ex Air (May P) 08:30 USD Cap Goods Ship Nondef Ex Air (May P) 10:00 USD U. of Mich. Sentiment (Jun F) 10:00 USD U. of Mich. Current Conditions (Jun F) 10:00 USD U. of Mich. Expectations (Jun F) 10:00 USD U. of Mich. 1 Yr Inflation (Jun F) 10:00 USD U. of Mich. 5-10 Yr Inflation (Jun F) 13:00 USD Baker Hughes U.S. Rig Count (Jun) 13:00 USD Baker Hughes U.S. Rotary Gas Rigs (Jun) 13:00 USD Baker Hughes U.S. Rotary Oil Rigs (Jun) SATURDAY SUNDAY 21:30 CNY Industrial Profits y/y (May) MONDAY (June 27th) 08:30 USD Advance Goods Trade Balance (May) 09:45 USD Markit US Services PMI (Jun P) 09:45 USD Markit US Composite PMI (Jun P) 10:30 USD Dallas Fed Manf. Activity (Jun)

Consensus

Prior

------

99.1 1240000 2.80m 1.89m 16.8

-0.6% -7 5.55m 1.8% -1490k 0k -500k 1000k 0.6% ----

-2.4% 0.7% -7 5.45m 1.7% -933k 904k -2625k 786k -0.7% 16471 10135.7 4994.7

51.4 53.2 53 0.1 270k 2150k -51 560k 0.1% -9.5% 56 56 -7

51.5 53.3 53.1 0.1 277k 2157k 42.1 50.7 619k 0.6% 16.6% 69 69 -5

-0.5% 0.1% 0.4% 0.1% 94.1 --------

3.4% 0.5% -0.6% 0.4% 94.3 111.7 83.2 2.4% 2.3% 424 86 337

--

4.2%

-$59.2bn ---15

-$57.5bn 51.3 50.9 -20.8

Time = Eastern Standard Time Source: Bloomberg

4

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

COMMODITY PRICE FORECASTS: Commodity (Avg of forward month contracts)

Spot Price

2016

2017

Q1F

Q2F

Q3F

Q4F

Q1F

Q2F

Q3F

Q4F

2015

Annual 2016F

2017F

Precious Metals Gold Silver Platinum Palladium

1

$/oz $/oz $/oz $/oz

1,282 17.34 968 531

1,185 15.00 920 530

1,245 17.00 1,100 610

1,225 16.00 1,075 600

1,200 15.50 1,050 600

1,195 15.25 1,050 625

1,185 15.00 1,075 700

1,175 14.75 1,100 700

1,175 14.75 1,150 750

1,160 15.70 1,053 692

1,214 15.88 1,036 585

1,183 14.94 1,094 694

$/lb $/tonne $/lb $/tonne $/lb $/tonne $/lb $/tonne $/lb $/tonne $/lb $/tonne

2.06 4,542 0.89 1,972 0.76 1,686 4.09 9,018 0.73 1,608 7.85 51

2.14 4,708 0.77 1,695 0.79 1,750 3.87 8,533 0.68 1,510 5.29 49

2.21 4,875 0.84 1,850 0.82 1,808 4.06 8,950 0.72 1,585 5.50 55

2.24 4,935 0.86 1,900 0.85 1,874 4.20 9,250 0.72 1,587 6.00 55

2.26 4,975 0.88 1,950 0.92 2,028 4.45 9,820 0.72 1,587 6.50 60

2.28 5,025 0.96 2,116 0.96 2,116 4.75 10,472 0.74 1,631 7.50 60

2.30 5,065 1.00 2,205 1.00 2,205 5.00 11,023 0.74 1,631 7.50 62

2.30 5,071 1.05 2,315 1.02 2,249 6.00 13,228 0.76 1,676 8.50 65

2.32 5,115 1.10 2,425 1.02 2,249 6.25 13,779 0.76 1,676 8.50 70

2.50 5,512 0.88 1,931 0.81 1,787 5.38 11,864 0.75 1,664 6.68 56

2.21 4,873 0.84 1,849 0.85 1,865 4.15 9,138 0.71 1,567 5.82 55

2.30 5,069 1.03 2,265 1.00 2,205 5.50 12,125 0.75 1,653 8.00 64

$/bbl $/bbl $/gal $/gal $/MMBtu $/MMBtu CAD/GJ $/lb $/tonne

49 50 1.51 1.56 2.74 1.53 1.75 26 62

34 36 1.10 1.20 1.98 1.33 1.68 35 50

42 44 1.30 1.55 2.10 1.50 1.81 30 52

46 48 1.40 1.55 2.35 1.65 2.05 35 55

60 60 1.70 1.65 2.50 1.90 2.38 35 75

60 60 1.80 1.80 2.90 2.20 2.77 40 80

62 61 1.80 2.00 3.10 2.50 3.15 45 80

64 63 1.85 2.00 3.40 2.70 3.38 45 80

64 63 1.95 1.90 3.60 3.00 3.75 48 80

49 54 1.66 1.64 2.63 2.10 2.56 37 59

46 47 1.38 1.49 2.23 1.60 1.98 34 58

63 62 1.85 1.93 3.25 2.60 3.27 45 80

1 1 1

Base Metals Copper

2

Zinc

2

Lead

2

Nickel

2

Aluminium

2

Molybdenum Iron Ore

3 4

Energy WTI Crude Oil Brent Crude Oil Heating Oil (ULSD) Gasoline NYMEX Natural Gas AECO Natural Gas Uranium Newcastle Thermal

5

No tes: F = Fo recast, E = Estimate, A = A ctual; 1. Lo ndo n P M Fix; 2. LM E; 3. M o lybdenum equivalent to mo ly o xide, FOB USA ; 4. CFR China, 62% Fe, dry; 5. Japan CIF steam co al marker-Newcastle So urce: B lo o mberg, TD Securities

MODEL PORTFOLIO TRADE RECOMMENDATIONS ONGOING MODEL TRADES Entry Date Entry

Trade Long Copper/Zinc ratio Long Nickel 1

12/Jun/16 23/Nov/15

CLOSED MODEL TRADES Entry Date Entry

Trade Long Zinc-Short Aluminum spread Long Copper/Zinc ratio Short Gold/Silver ratio Long Platinum Long Gold (short-term) Short Gold/Silver Ratio 1 Long WTI (rolling front) 1 Long Palladium Long Gold/Silver ratio Short WTI (rolling front) Short rolling WTI-Brent spread Long Gold/Silver Ratio

2.20 8,270.00

1,2

10/Nov/15 7/Jun/16 29/Apr/16 4/Feb/16 1/Feb/16 14/Dec/15 13/Nov/15 11/Nov/15 27/Oct/15 3/Nov/15 3/Jun/15 30/Oct/14

132.00 2.28 77.6 909.07 1,128.90 77.6 42.50 577.0 73.40 48.0 (4.00) 71.5

Stop 2.15 7,500.00 Exit 400.00 2.20 76.0 1,038.00 1,225.00 80.0 32.50 495.0 77.56 42.5 (1.35) 78.2

Current 2.27 9,250.00

Target 2.75 12,500.00

P/L 3.1% 11.9%

Exit Date

Target

P/L

16/Jun/16 9/Jun/16 19/May/16 18/May/16 23/Mar/16 22/Feb/16 11/Jan/16 7/Jan/16 14/Dec/15 13/Nov/15 15/Sep/15 24/Aug/15

700.00 2.75 69.0 1,175.00 1,300.00 69.0 60.00 800.0 77.50 42.5 (8.00) 78.0

268.00/t -3.5% -2.0% 14.2% 8.5% -3.1% -23.5% -14.2% 5.7% 11.5% -2.65/bbl 9.4%

Notes: Spread trades P&L calculated on absolute basis; 1. Trade from 2016 Commodity Outlook (or 2016 Global Strategy Outlook); 2. Stop adjusted in June 10, 2016 Commodities Weekly Source: Bloomberg, TD Securities

5

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

TD SECURITIES GLOBAL METALS PRICE INDEX The TD Securities Global Metals Price Index (TDGMPI) is an aggregate, weighted price measure based on a basket of spot base and precious metals. TDGMPI weights are based on the metals’ importance in the global economy, with USD dollar value used as a proxy. The TDGMPI encompasses nine metals. The weights are based on a rolling 5 year average contribution of each metal to the total value of global metal production. The nine metals and their current weights are: copper (26.3%), aluminum (16.6%), nickel (5.5%), zinc (4.6%), lead (4.0%), gold (35.6%), silver (4.6%), platinum (2.1%) and palladium (0.8%). Thus, metals which have a greater impact on the value of world metal production receive a greater weighting in the index. This index can be used as an analytical tool, mainly to track how the metals sector is performing over time, but also to compare performance of each of the individual metals and sub-sectors (precious metals, base metals) to the index as a whole.

TD Global Metals Price Index TD Base Metals Price Index TD Precious Metals Price Index

700

450 400

600

350 500

250

300

200

$bn

400

$bn

300

150 200 100 100

50 0 2016

2015

2014

2013

2012

2010

2009

2008

2007

2006

2005

2004

2003

2002

2001

2000

1999

1998

1997

1996

1995

0

2011

TD Global Metals Price I ndex (lhs) TD Bas e Metals Price Index (rhs) TD Precious Metals Price Index (rhs)

Source: TD Securities

6

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

WEEKLY PRICE TABLE C o m m o d ity Markets-- W eekly U pd ate C o m m o d ity

21-Ju n

a w eek ag o

a m o n th ago

a year ag o

year to d ate

423.64 205.06 218.58

418.17 201.48 216.69

437.88 212.90 224.98

465.00 202.24 262.76

414.65 175.92 212.19

1285.60 17.50 986.85 549.36

1283.86 17.45 990.78 543.23

1252.15 16.53 1022.00 560.95

1200.27 16.10 1084.75 707.95

1213.49 15.69 958.38 546.08

1608.00 4541.50 1971.75 9018.00 1685.75 7.85 10.95 433.32 25.75

1568.75 4496.00 2080.00 8881.25 1691.25 8.18 10.88 424.68 28.15

1531.25 4659.00 1892.75 8755.25 1712.00 7.05 11.05 409.91 28.65

1665.50 5726.00 2062.25 12714.50 1781.75 7.05 13.95 325.68 36.75

1537.69 4704.74 1780.33 8629.09 1729.30 6.07 10.90 751.98 30.36

61.80 587.00

62.40 609.00

62.15 625.00

82.80 779.00

62.10 476.33

49.24 50.39 151.77 156.30 2.73 1.53 1.65

48.88 50.35 151.45 153.62 2.59 1.54 1.70

47.75 49.27 149.00 163.56 2.06 1.03 1.61

59.61 68.27 186.69 205.86 2.82 2.17 1.48

39.08 42.19 1.22 1.35 2.07 1.23 1.48

3.96 4.25 11.55 140.75 64.57 85.85 135.70 114.15

3.99 4.11 11.68 136.95 63.79 81.83 141.05 119.45

3.88 3.87 10.68 132.70 61.67 79.85 148.63 121.05

4.68 3.50 9.97 126.65 63.32 75.75 223.43 151.90

3.95 3.67 9.58 1.23 0.61 71.76 153.66 129.81

2096.16 14044.35 228.06 58.68 2308.29 90.72 6203.74 15965.30

2079.06 13993.88 232.49 57.09 2284.07 90.58 6044.97 16019.18

2052.32 13919.58 222.04 56.38 2255.85 85.44 6156.32 16736.35

2109.99 14653.12 154.84 62.50 2514.59 66.65 6710.45 20174.24

2010.79 13288.79 186.59 50.55 2096.43 69.36 6087.43 16692.77

0.781 1.13 104.39 1.47 6.58 89.20

0.779 1.13 106.26 1.43 6.59 89.44

0.763 1.12 110.15 1.45 6.55 89.59

0.812 1.13 123.37 1.58 6.21 89.16

0.750 1.12 112.27 1.44 6.53 91.59

T D G lobal M e tals Price Indice s TD Global M etals P ric e Index ($bn) TD Global P rec ious M etals P ric e Index ($bn) TD Global B as e M etals P ric e Index ($bn)

Pre cious M e tals Gold S pot (US $/oz .) S ilver S pot (US $/oz .) P latinum S pot (US $/oz .) P alladium S pot (US $/oz .)

B ase M e tals & M ine rals A lum inum (US $/tonne) Copper (US $/tonne) Zinc (US $/tonne) Nic k el (US $/tonne) Lead (US $/tonne) M oly bdenum (US $/lb.) Cobalt (US $/lb) Tin (US $/lb) Ux C Uranium U308 S wap (US $/lb)

B ulks Therm al Coal B altic Dry Index

Ene rgy W TI Crude Oil (US $/bbl.) B rent Crude Oil (US $/bbl.) Heating Oil (US $/gal.) Gas oline, RB OB (US $/gal.) NY M E X Natural Gas (US $/m m btu) A E CO Natural Gas (US $/m m btu) Denatured E thanol (US $/gal.)

Softs US DA No. 1 Hard Red W inter W heat (US $/bus h US DA No. 2 Y ellow Corn (US $/bus h) US DA No. 1 Y ellow S oy beans (US $/bus h) Coffee (US $/lb) Cotton (US $/lb) Lean Hogs (US $/lb) Cattle, Feeder (US $/lb) Cattle, Live (US $/lb)

Equitie s S & P 500 S & P TS X Com pos ite S & P TS X Global Gold S & P TS X Global M ining S & P TS X E nergy Index XA U P hilly Gold & S ilver Index FTS E 100 Nik k ei 225

C urre ncie s CA D/US D E uro/US D Japanes e Y en B ritis h P ound Y uan US Trade W eighted Dollar (1973= 100) S ourc e: B loom b erg, TD S ec urities

7

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

ETF MONITOR TABLE TD Securities: Commodities Trade Strategy - Precious Metals ETF Monitor Latest Holdings Last Updated Date Total GOLD ETFs SPDR Gold Trust ETF Securities iShares ZKB Source Sprott Physical Central Fund of CA Xetra Gold Julius Baer NewGold Central Gold Trust Royal Canadian Mint Goldist Total SILVER ETFs iShares Central Fund of CA ETF Securities ZKB Sprott Physical Julius Baer Claymore Silver Bullion Trust Royal Canadian Mint Total PLATINUM ETFs NewPlat ETF Securities ZKB Swiss & Global Source Sprott Physical Deutsche Bank Total PALLADIUM ETFs ETF Securities Standard Bank NewPall ZKB Source Swiss & Global Sprott Physical Deutsche Bank

June 17, 2016 June 17, 2016 June 17, 2016 June 10, 2016 June 17, 2016 June 20, 2016 June 16, 2016 June 20, 2016 June 16, 2016 June 15, 2016 January 19, 2016 June 17, 2016 June 20, 2016 June 17, 2016 June 20, 2016 June 17, 2016 June 10, 2016 June 20, 2016 June 16, 2016 June 20, 2016 June 20, 2016 June 17, 2016 June 17, 2016 June 17, 2016 June 10, 2016 January 19, 2016 June 17, 2016 June 20, 2016 June 17, 2016 June 17, 2016 June 20, 2016 June 17, 2016 June 10, 2016 June 17, 2016 June 16, 2016 June 20, 2016 June 17, 2016

Ounces 61,834,708 29,217,866 8,695,883 6,443,261 4,558,267 2,552,237 1,760,720 1,672,644 1,575,065 1,458,140 1,121,263 701,335 309,557 51,923 637,629,395 337,347,300 76,964,103 75,641,769 71,099,250 53,899,013 13,577,990 3,373,064 2,978,230 2,748,676 2,262,610 882,791 880,824 265,710 80,445 74,273 42,077 36,489 2,165,154 729,275 580,794 267,446 215,478 140,842 116,313 96,032 18,974

5-Day Change Value Value ($US Millions) Ounces ($US Millions) 79,780 634,167 1,094 37,697 401,096 647 11,220 60,419 117 8,313 112,808 174 5,881 45,254 79 3,293 1,058 13 2,272 0 8 2,158 0 8 2,032 0 7 1,881 14,500 25 1,447 (86) 5 905 (841) 2 399 (40) 1 67 0 0 11,108 (2,409,267) 23 5,902 (3,041,900) (18) 1,347 0 8 1,323 509,211 17 1,244 1,897 7 943 0 6 238 122,000 4 59 0 0 52 0 0 48 (474) 0 2,231 4,761 27 870 (39) 9 868 3,823 13 262 (0) 3 79 0 1 73 975 2 41 0 0 36 1 0 1,189 3,597 34 400 (6,099) 8 319 920 9 147 7,906 8 118 0 3 77 871 3 64 0 2 53 0 1 10 (1) 0

Note: Totals include more than the listed ETFs, hence do not always add up, and the data updates at different times.

30-Day Change Value ($US Millions) Ounces 1,546,589 4,473 1,270,416 2,787 142,156 535 31,380 304 94,384 305 121,611 257 0 72 0 69 0 65 4,400 65 (15,658) 27 (841) 28 (156) 13 0 2 3,523,701 764 1,322,700 397 0 86 1,623,060 111 364,364 85 0 60 215,000 19 0 4 0 3 (1,424) 3 (6,781) (65) (4,223) (27) (897) (24) (129) (7) (1,260) (3) (238) (2) 0 (1) (35) (1) (40,299) (28) 2,677 (0) (28,987) (17) (4,048) (3) (96) (1) (7,204) (4) (2,620) (2) 0 (0) (21) (0)

Yearly Change Value ($US Millions) Ounces 10,236,148 18,586 6,651,186 10,934 925,546 2,004 1,048,619 1,915 111,166 607 1,033,373 1,492 504,423 782 (22,000) 148 0 164 (114,300) 16 216,849 374 (3,317) 69 (19,294) 9 0 5 13,786,004 1,034 9,473,000 584 0 98 3,796,152 158 (3,173,858) 39 4,841,572 147 (972,000) 2 0 4 (165,600) 1 (13,262) 3 (215,056) (400) (187,939) (267) (1,917) (69) (2,464) (23) (12,630) (20) 16,720 12 (16,860) (21) (9,965) (13) 484,167 18 (236,834) (272) 580,794 319 267,446 147 (9,547) (38) (14) 9,225 (49,170) (51) (38,530) (41) (39,216) (30)

Source: Bloomberg, TD Securities, respective ETF issuer

Bart Melek I Head of Commodity Strategy I 1 416 983 9288 I [email protected] Mike Dragosits I Senior Commodity Strategist I 1 416 983 8075 I [email protected]

8

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

ETF CHARTS Gold ETF Holdings

Silver ETF Holdings 680

1,800

45

660

1,700

40

Million Ounces

80

50 Total ETF Holdings (lhs) Spot Silver Price (rhs)

640

1,600

70

1,500

65

1,400

60

1,300

560

55

1,200

540

50

1,100

520

1,000

500

$US/Oz

75

35

620 600

30

580

$US/Oz

Total ETF Holdings (lhs) Spot Gold Price (rhs)

85

Million Ounces

700

1,900

90

25 20

45 2011

2012

2013

2014

2015

15 10 2011

2016

2012

2013

2014

2015

2016

Source: Bloomberg, TD Securities, Respective ETF issuer

Source: Bloomberg, TD Securities, Respective ETF issuer

Palladium ETF Holdings

Platinum ETF Holdings 3,000

3,100

2,000

1,000

2,900

1,500 1,200

2,700 800 2,500 2,300

700

$US/Oz

1,400

Thousand Ounces

1,600 2,000

$US/Oz

Thousand Ounces

900

1,800

2,500

2,100 600 1,900

1,000

1,000

800

500 2011

2012

2013

2014

2015

500 1,700

Total ETF Holdings (lhs) Spot Platinum Price (rhs) 2016

Source: Bloomberg, TD Securities, Respective ETF issuer

Total ETF Holdings (lhs) Spot Palladium Price (rhs)

1,500

400 2011

2012

2013

2014

2015

2016

Source: Bloomberg, TD Securities, Respective ETF issuer

9

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — FORWARD CURVES COMEX Silver

COMEX Gold

19.0

1,350 18.5 18.0

$US/Troy Oz

$US/Troy Oz

1,300

1,250

17.5 17.0 16.5 16.0

1,200

15.5 15.0 1

1,150 1

3

5

7

9

11

13

15

Week ago

3

4

5

6

7

8

9 10 11 12 13 14 15 16 17 18 Months

Today

Months Today

2

17

Month ago

Week ago

Month ago

Year ago

Year ago

Source: Bloomberg, TD Securities

2.14

2.85

2.12

2.80

2.08 2.65

0.74

$US/lb

2.70

2.06 2.04

0.72

2.60

0.70

2.55

0.68

2.02

2.50

2.00

2.45

0.84 0.83 0.82 0.81 0.80 0.79 0.78 0.77 0.76 0.75 0.74 0.73 0.72

0.76

2.75

2.10

$US/lb

0.78

0.66 1

3

5

7

9

11

13

15

17

19

21

1

Week ago

5

7

Today

Months Today

3

Month ago

9

23

Year ago (rhs)

11 13 15 Months

Week ago

17

19

21

Month ago

$US/lb

LME Aluminum

LME Copper

23 Year ago (rhs)

Source: Bloomberg, TD Securities

Source: Bloomberg, TD Securities

LME Nickel

LME Zinc

4.25

1.10

5.90

1.05 5.85

4.05 5.80 3.95 5.75

3.85

1.00 $US/lb

$US/lb

4.15

0.95 0.90 0.85 0.80

3.75

5.70 1

3

5

7

9

11

13

15

17

19

21

23

0.75 1

3

5

7

Months Week ago

Month ago

11

13

15

17

Months Today

Today

9

Week ago

Month ago

Year ago

Year ago (rhs)

Source: Bloomberg, TD Securities

10

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — FORWARD CURVES (CONTINUED) ICE Brent Crude Oil

NYMEX WTI Crude Oil 60

70

56

74

68

55

54

72

64

48

62

46

$US/bbl

50

$US/bbl

66

52 $US/bbl

76

50

70

45

68

$US/bbl

58

66

60

40

44

64

58

42 40 5

62

35

56 1

1

9 13 17 21 25 29 33 37 41 45 49 53 57

4

7 10 13 16 19 22 25 28 31 34 37 40 43 46 Months

Months Today

Week ago

Month ago

Year ago (rhs)

Today

Week ago

Month ago

Year ago (rhs)

Source: Bloomberg, TD Securities

NYMEX 2:1:1 Crack Spread

NYMEX Natural Gas

24

4.00

22

3.80 3.60

20 $US/MMBtu

3.40

$US/bbl

18 16 14

3.20 3.00 2.80 2.60

12

2.40

10

2.20 2.00

8 1

2

3

4

5

6

7

8

9

10

11

1

12

5

9

13 17 21 25 29 33 37 41 45 49 53 57 Months

Months Today

Week ago

Month ago

Year ago Today

Source: Bloomberg, TD Securities

Week ago

NYMEX Coal

Year ago

NYMEX Uranium

47

40

46

38

45

36 34 $US/Ton

44 $US/Ton

Month ago

Source: Bloomberg, TD Securities

43 42 41

32 30 28 26

40

24

39

22

38

20 1

2

3

4

5

6

1

2

3

4

5

Months Today

Week ago

Source: Bloomberg, TD Securities

Month ago

Year ago

Today

Week ago

6

7 8 Months Month ago

9

10

11

12

Year ago

Source: Bloomberg, TD Securities

11

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — VOLATILITY CURVES COMEX Silver 40

ATM Implied Vol (%)

ATM Implied Vol (%)

COMEX Gold 30 29 28 27 26 25 24 23 22 21 20 19 18 17 16 15 14 13 12 11 10

35

30

25

20 0.25 0.5 0.75

1

Today

2

3 6 Months

Week ago

12

18

24

36

0.25 0.5 0.75

60

2

3

6

12

18

24

36

60

Months Month ago

Today

Year ago

NYMEX Platinum

Week ago

Month ago

Year ago

NYMEX Palladium

30 35

28 26

ATM Implied Vol (%)

ATM Implied Vol (%)

1

24 22 20 18

30 25 20 15

16 14 0.25 0.5 0.75

1

2

3

6

12

18

24

36

60

10 0.25 0.5 0.75

1

2

Months Today

Week ago

3

6

12

18

24

36

60

Months Month ago

Year ago

Today

Week ago

Month ago

Year ago

Source: Bloomberg, TD Securities

12

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — INDUSTRIAL METAL INVENTORIES Copper Warehouse Inventories

Aluminum Warehouse Inventories 60

Inve nto ry at L ME + SHFE (lh s)

2.00

35

1.80

30

1.60

25

5.30 Inve nto ry at L ME, SH FE , C OM EX (lh s)

C op per Pr ice (rh s)

Al umi nu m Price (rhs)

4.80

1.40 1.20

30

3.30

20

2.80 15

2.30

1.00

20

1.80

10

0.80

1.30

10

1985

1990

1995

2000

2005

2010

0.60

5

0.40

0 1980

0.80

2015

0.30 1985

Days Supply

25

20

2.00 1.80

90

1.60

80

1.40

70

1.20 1.00

15

2015

2010

15.00

50

0 1980

0.00 2005

20.00

60

10.00

5.00

10

0.20 2000

25.00

N icke l Pric e (rhs )

20

0.40

5

30.00

30

0.60

1995

2010

40

0.80 10

1990

2005

Inve nto ry at L ME (l hs)

Days Supply

Le ad Price (rhs )

100

$US/lb

Inve nto ry at L ME + SHFE (lh s)

1985

2000

Nickel Warehouse Inventories

Lead Warehouse Inventories

0 1980

1995

Source: Bloomberg, TD Securities

Source: Bloomberg, TD Securities

30

1990

$US/lb

0 1980

3.80

$US/lb

40

Days Supply

4.30

$US/lb

Days Supply

50

2015

0.00 1985

1990

1995

2000

2005

2010

2015

Source: Bloomberg, TD Securities

Source: Bloomberg, TD Securities

Zinc Warehouse Inventories 90

2.20

Inve nto ry at L ME + SHFE (lh s) Zin c Price (rhs)

80

2.00 1.80 1.60

60

1.40 50 1.20

$US/lb

Days Supply

70

40 1.00 30

0.80

20

0.60

10

0.40

0 1980

0.20 1985

1990

1995

2000

2005

2010

2015

Source: Bloomberg, TD Securities

13

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — PETROLEUM & NATURAL GAS INVENTORIES U.S. Crude Oil Inventory

Gasoline Inventory

570

270 260 250 240

470

MMbbl

MMbbl

520

420

230 220 210

370

200

Prior 5yr Range Source: DOE, TD Securities

Prior 5yr Avg

2015

Prior 5yr Range Source: DOE, TD Securities

2016

Crude Oil Inventory at Cushing, OK

Prior 5yr Avg

2015

Dec-23

Nov-25

Oct-28

Sep-30

Sep-2

Aug-5

Jul-8

Jun-10

Apr-15

May-13

Mar-18

Feb-19

Jan-22

Dec-25

Oct-30

Nov-27

190

Dec-23

Nov-25

Oct-28

Sep-30

Sep-2

Aug-5

Jul-8

Jun-10

May-13

Apr-15

Mar-18

Feb-19

Jan-22

Dec-25

Nov-27

Oct-30

320

2016

Heating Oil (ULSD) Inventory

75 65

170

55

160

140 130

Prior 5yr Range

Source: DOE, TD Securities

Prior 5yr Avg

2015

Dec-23

Nov-25

Oct-28

Sep-30

Sep-2

Aug-5

Jul-8

Jun-10

May-13

Apr-15

Mar-18

Feb-19

2016

Jan-22

2015

Dec-23

Nov-25

Oct-28

Sep-30

Sep-2

Aug-5

Jul-8

Jun-10

Prior 5yr Avg

100

Oct-30

Prior 5yr Range

May-13

Apr-15

Mar-18

Jan-22

Feb-19

110 Dec-25

15

Nov-27

120 Oct-30

25

Dec-25

35

150

Nov-27

45

MMbbl

MMbbl

180

2016

Source: DOE, TD Securities

US Natural Gas Storage Level

Refinery Utilization 4,500 4,000 95.0%

3,500

Storage (Bcf)

2,000

5yr Range

1,500

5yr Avg

1,000

2015

500

30/Sep

2/Sep

5/Aug

8/Jul

10/Jun

13/May

15/Apr

18/Mar

Dec-23

Nov-25

Sep-30

Oct-28

2016

19/Feb

2015

Sep-2

Aug-5

Jul-8

Jun-10

May-13

Apr-15

Mar-18

5yr Avg

2016

-

22/Jan

5yr Range Source: DOE, TD Securities

Feb-19

Jan-22

Dec-25

Nov-27

Oct-30

75.0%

23/Dec

80.0%

2,500

25/Nov

85.0%

3,041 Bcf

3,000

28/Oct

90.0%

25/Dec

Operating Capacity Utilization (%)

100.0%

Source: EIA, TD Securities

14

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — CFTC COMMITMENTS OF TRADERS Net Contracts

COMEX Gold

$UD/oz

Net Contracts

350,000

1,700

90,000

300,000

1,600

80,000

1,500

70,000

250,000

1,400

200,000

1,300

COMEX Silver

$UD/oz 35 30

60,000 25

50,000 40,000

Gold Net Spec Position (lhs)

-

Gold Price (rhs)

NYMEX Platinum

$UD/oz

60,000

1,800 1,700

50,000

1,600 1,500

40,000

1,400

Oct-16

Jul-16

Apr-16

Jan-16

Jul-15

Oct-15

Jan-15

Silver Net Spec Position (lhs)

Source: CFTC, Bloomberg, TD Securities

Net Contracts

Apr-15

10

Jan-13

Oct-16

Jul-16

Apr-16

Jan-16

Jul-15

Oct-15

Apr-15

Jan-15

Jul-14

Oct-14

Apr-14

Jan-14

Jul-13

Oct-13

Apr-13

Jan-13

900

15

10,000

Jul-14

-

20,000

Oct-14

1,000

Apr-14

50,000

Jan-14

1,100

20

30,000

Jul-13

100,000

Oct-13

1,200

Apr-13

150,000

Silver Price (rhs)

Source: CFTC, Bloomberg, TD Securities

Net Contracts

NYMEX Palladium

$UD/oz

35,000

1,000

30,000

900

25,000

800

20,000

1,300

30,000 20,000

700

1,200

15,000

1,100

10,000

600

1,000

Platinum Price (rhs)

COMEX Copper

$UD/lb

20,000

430

10,000

Oct-16

Jul-16

Apr-16

Jan-16

Oct-15

Jul-15

Apr-15

Palladium Net Spec Position (lhs)

Source: CFTC, Bloomberg, TD Securities

Net Contracts

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

400

Jan-13

Oct-16

Jul-16

Apr-16

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Jan-13

Platinum Net Spec Position (lhs)

-

Oct-13

800

-

500

5,000

Jul-13

900

Apr-13

10,000

Palladium Price (rhs)

Source: CFTC, Bloomberg, TD Securities

Net Contracts

NYMEX & ICE Natural Gas

$UD/MMbtu

600,000

6.50

500,000

6.00

380

5.50

400,000

Copper Price (rhs)

Source: CFTC, Bloomberg, TD Securities

Natural Gas Net Spec Position (lhs)

Oct-16

Jul-16

Apr-16

Jan-16

Oct-15

1.50

Jul-15

(200,000)

Apr-15

2.00

Jan-15

Oct-16

Jul-16

Apr-16

Oct-15

Jan-16

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Jan-13

Apr-13

Copper Net Spec Position (lhs)

2.50

(100,000)

Oct-14

180

(50,000)

3.00

-

Jul-14

(40,000)

3.50

Apr-14

230

100,000

Oct-13

(30,000)

4.00

Jan-14

280

4.50

200,000

Jul-13

(20,000)

5.00

300,000

Apr-13

330

(10,000)

Jan-13

-

Natural Gas Price (rhs)

Source: CFTC, Bloomberg, TD Securities

15

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

CHART PACKAGE — CFTC COMMITMENTS OF TRADERS $UD/bbl

250,000

120

110

200,000

110

100

150,000

100

90

100,000

90

80

50,000

80

-

70

WTI Net Spec Position (lhs)

WTI Price (rhs)

Brent Net Spec Position (lhs)

Source: CFTC, Bloomberg, TD Securities

Net Contracts

NYMEX Gasoline

$UD/gal

120,000

350

100,000

300

80,000

250

Jul-16

20

Oct-16

(250,000)

Apr-16

30

20

Jan-16

(200,000)

Jul-15

40

30

Oct-15

(150,000)

Apr-15

50

40

Jan-15

Jul-16

(100,000)

Oct-16

Apr-16

Jan-16

Jul-15

Oct-15

Apr-15

Oct-14

Jan-15

Jul-14

Apr-14

Jan-14

Jul-13

Oct-13

Apr-13

Jan-13

-

60

50

Jul-14

100,000

(50,000)

Oct-14

200,000

70

60

Jan-13

300,000

Apr-14

400,000

$UD/bbl

120

Jan-14

500,000

NYMEX & ICE Brent Crude Oil

Jul-13

600,000

Net Contracts

Oct-13

NYMEX & ICE WTI Crude Oil

Apr-13

Net Contracts

Brent Price (rhs)

Source: CFTC, Bloomberg, TD Securities

Net Contracts

NYMEX Heating Oil

$UD/gal

50,000 40,000 290

30,000 20,000

240

10,000 60,000

200

190

(10,000) 40,000

150

20,000

100

(20,000) 140

(30,000) (40,000)

Gasoline Net Spec Position (lhs)

Gasoline Price (rhs)

90

Heating Oil Net Spec Position (lhs)

Source: CFTC, Bloomberg, TD Securities

Oct-16

Jul-16

Apr-16

Jan-16

Oct-15

Jul-15

Apr-15

Jan-15

Oct-14

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

(50,000)

Apr-13

Oct-16

Jul-16

Apr-16

Jan-16

Oct-15

Jul-15

Apr-15

Oct-14

Jan-15

Jul-14

Apr-14

Jan-14

Oct-13

Jul-13

Apr-13

Jan-13

50

Jan-13

-

Heating Oil Price (rhs)

Source: CFTC, Bloomberg, TD Securities

COMMODITIES RESEARCH TEAM: Bart Melek Head of Global Commodity Strategy [email protected] +1 416 983 9288

Mike Dragosits Senior Commodity Strategist [email protected] +1 416 983 8075 16

Commodities Weekly

20 June, 2016 | TD Securities | Global Strategy

GLOBAL STRATEGY TEAM Commodities Strategy Bart Melek

Head of Global Commodity Strategy

1 416 983 9288

Mike Dragosits

Senior Commodity Strategist

1 416 983 8075

Global Strategy Richard Kelly

Head of Global Strategy

44 20 7786 8448

Global Macro Strategy David Tulk

Head of Global Macro Strategy

1 416 983 0445

Millan Mulraine

Deputy Chief US Macro Strategist

1 212 827 7186

Annette Beacher

Chief Asia-Pacific Macro Strategist

Jacqui Douglas

Chief European Macro Strategist

44 20 7786 8439

James Rossiter

Senior Global Strategist

44 20 7786 8422

Robert Both

Macro Strategist

65 6500 8047

1 416 983 0859

Global Rates Strategy

Global Strategy

Priya Misra

Head of Global Rates Strategy

1 212 827 7156

Gennadiy Goldberg

US Rates Strategist

1 212 827 7180

Cheng Chen

US Rates Strategist

1 212 827 7183

Andrew Kelvin

Canada Rates Strategist

1 416 983 7184

Prash Newnaha

Asia/Pac Rates Strategist

Renuka Fernandez

Quantitative Strategist

44 20 7786 8408

44 20 7786 8420

65 6500 8047

FX Strategy Ned Rumpeltin

European Head of FX Strategy

USA

Mark McCormick

North American Head of FX Strategy

1 212 827 7190

Canada

Mazen Issa

Senior FX Strategist

1 212 827 7182

Australia New Zealand

Emerging Markets Strategy

UK

Cristian Maggio

Head of Emerging Markets Strategy

44 20 7786 8436

Europe

Paul Fage

Senior Emerging Markets Strategist

44 20 7786 8424

Emerging Markets

Sacha Tihanyi

Senior Emerging Markets Strategist

1 212 827 7043

FX & Commodities

Global Disclaimer https://goo.gl/Fa25VD TD Securities is a trademark of TD Bank and represents TD Securities Inc., TD Securities (USA) LLC and TD Securities Limited and certain investment and corporate banking activities of TD Bank and its subsidiaries. © Copyright 2015 The Toronto-Dominion Bank. All rights reserved.

17