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
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17