COMMODITIES RESEARCH

16 April 2012

THE COMMODITY INVESTOR Short-term set backs: a chance to buy
The re-emergence of China and US growth concerns, plus worries over Spanish sovereign debt are undermining commodity prices but we recommend being alert to buying opportunities in the weeks ahead, especially in base and precious metals where fundamentals in some markets look particularly strong. We expect to see a bottoming in Chinese growth momentum before long and this, alongside steady US growth should more than offset the negatives of a weak Europe. While it may be tempting to short markets like oil and copper at present, we would advise against it. Although weaker compared with Q1, fundamentals in both markets still look positive and downside is limited unless there is a major negative macro shock in the form of a deterioration in Europe or evidence of a hard landing in China, neither of which we think likely. Rather, we would wait for buying opportunities in the markets we favour most at present, namely palladium and gold in precious metals, copper and lead in base metals. For index investors, we expect the YTD outperformance of value risk premia strategies, in particular those that focus investment on the most backwardated commodities to continue. When macro concerns ease as we expect, a period is likely where fundamentals in individual markets once more become a key differentiating factor in performance. Following a long period of weakness, commodity investment flows appear to have turned the corner in Q1 with a net inflow of $6.9bn, the strongest since Q1 2011. However, a poor March (outflows of $2.2bn) and persistent weakness in index swap flows, which saw a fourth consecutive quarterly outflow in Q1 (-$0.5bn), suggest that the recovery is fragile. Figure 1: March saw a $2.2bn outflow from commodities
15 10 5 0 -5 -10 Jul-09 Monthly inflows into commodities (Indices, ETP, MTNs, $bn)

Suki Cooper +1 212 526 7896 suki.cooper@barcap.com Roxana Mohammadian Molina +44 (0)20 7773 2117 roxana.mohammadian-molina@barcap.com Kevin Norrish +44 (0)20 7773 0369 kevin.norrish@barcap.com Amrita Sen +44 (0)20 3134 2266 amrita.sen@barcap.com www.barcap.com

Mar-10

Nov-10

Jul-11

Mar-12

Source: Bloomberg, MTN-i, ETP issuer data, Barclays Research

PLEASE SEE ANALYST CERTIFICATIONS AND IMPORTANT DISCLOSURES STARTING AFTER PAGE 30

Barclays | The Commodity Investor

TABLE OF CONTENTS
COMMODITY STRATEGY 3

Short-term set backs: a chance to buy.................................................................................................. 3 COMMODITY INVESTMENT PERFORMANCE 8

Time to be selective ................................................................................................................................... 8 INVESTOR ACTIVITY 11

Q1 12 investor activity review: fragile rebound.................................................................................11 Flows by sector .........................................................................................................................................12 Index Swaps...............................................................................................................................................13 Exchange-traded products.....................................................................................................................14 Medium-term notes.................................................................................................................................15 CHARTS AND DATA 17

Commodity assets under management..............................................................................................18 Commodity investment flows ...............................................................................................................19 Investor trends ..........................................................................................................................................20 CFTC data: positions by market ............................................................................................................22 Commodity returns by index and sector ............................................................................................24 Commodity returns by strategy ............................................................................................................25 PRICE TRENDS 26

Price changes ............................................................................................................................................26 Price and return forecast ........................................................................................................................27 CALENDAR OF KEY COMMODITY DATA RELEASES 29

16 April 2012

2

Barclays | The Commodity Investor

COMMODITY STRATEGY

Short-term set backs: a chance to buy
Current price weakness represents a buying opportunity in some base and precious metals markets

The phase of stability in commodity prices that lasted through March into early April has started to break down. We still think that gradual improvements in the global growth picture are likely to be the most important theme in commodities over the next month or so and that this will prove positive for commodity assets overall. However, for now, the macroeconomic environment is less supportive. In the short term, we see the potential for further limited weakness in commodity prices though we recommend being alert to buying opportunities, especially in the base and precious metals sectors as we expect to see a more constructive environment for these commodities to materialise before long, while fundamentals in a number of individual markets look very positive. Disappointing US data, deteriorating business confidence and a resurgence of inflation in China, plus worries that Spain is set to bring European sovereign debt issues to the forefront of market concerns once again are combining to undermine the commodity demand outlook. However, China’s March activity indicators were promising and we believe that active policy support will be forthcoming if evidence emerges that the slowdown is sharper than considered desirable. Meanwhile, US data is still pointing to a steady growth picture (+2.7% according to our economist’s latest tracking estimate), but if things continue to deteriorate, we expect further monetary loosening to be forthcoming. The disappointing performance of base and precious metals markets has not changed our view that markets in these sectors will be the ones that perform best over the rest of this year. For base metals, that view depends very much on a recovery in Chinese growth momentum, an improvement in its key metals indicators and the continuation of strong import levels for key metals like copper. For precious metals, especially gold, there needs to be a pick-up in physical demand with both ETP buying and demand from Asian physical markets looking a little slack at present. For both these sectors, the continuation of low interest rates in the US and Europe will be beneficial as this should help sustain a more positive growth environment, while also making gold cheap to hold, maintaining its low opportunity cost compared with other assets and contributing to the desire to hedge nascent inflationary trends. Figure 2: The outlook for index returns by sector
Total returns S&P GSCI S&P GSCI
TM

Renewed global growth concerns look a touch overdone

We still expect base and precious metals to outperform over the rest of 2012

Sub-Indices ER Composite Index

Q1 12 3M to end-Q2 '12 (F) 6M to end 2012 (F) 12M to end 2012 (F) 5.9% 7.3% 6.3% 7.7% 1.9% 0.1% -0.8% -1.2% 6.9% 12.3% 0.4% 0.7% 1.5% 3.1% 6.1% 5.1% -10.7% -1.5% 6.6% 9.2% 19.3% 25.1% -8.5% -0.7%

TM

S&P GSCI TM Energy S&P GSCI TM Industrial Metals S&P GSCI TM Precious Metals S&P GSCI TM Grains & oilseeds S&P GSCI TM Softs & fibres
Source: Barclays Research

16 April 2012

3

05 to $2.55/mmbtu and Q3 from $3.8 89. we revised down our Q2 copper price forecast from $9.350 25.200 2.700/t to $9.0 …though oil price risks are still skewed to the upside Notes: On March 20. nor is it likely to last long. some sort of catalyst that eases fears about a potential oil price spike is needed in order to spark a phase of heavy long liquidation. On April 11.400 1.396 59.755 9.000 19.500 2.009 2.325 1.500 28.350 2.0 Q4 Forecast 895 3. Speculative positioning is potentially a big downside risk for oil prices since it is close to alltime highs according to CFTC data.750 2.0 Q3 Forecast 860 2.815 9.7 90.850 34. Both sectors have proved resilient recently however. we revised down our Q2 US natgas forecast from $3.250 23.100 2. any respite will not last long as global oil balances look set to tighten once again in the second half of the year.55 1. Source: Barclays Research Geopolitical risks have eased a little Geopolitics have eased a little.0 23.6 24.Barclays | The Commodity Investor Softer energy and food price inflation trends support this outlook… Our expectations of lower energy and food prices are also a part of our positive view on base and precious metals prospects.402 105 644 182 124 641 1.300 107 580 170 121 595 1. Moreover. On April 11we revised down our Q2 WTI forecast from $112/barrel to $104/barrel and our Q4 forecast from $118/barrel to $107/barrel. Although market fundamentals still look slightly bearish in Q2.325 70.05/mmbtu to $2. and though we do not expect to see significantly higher oil and food prices in the months ahead.75/mmbtu.753 18.000/t.355 57.034 2. but the potential price downside is not very big.345 55.000 2.000 20.657 32.7 745 2.920 27.623 8.217 1.5 2.600/t and Q3 from $9.640 8.0 2.25 1. but probably not enough to encourage this.5 2.500 1. Figure 3: Commodities ranked by potential price change Commodity Palladium US Natural Gas Gold Silver Lead Aluminium Tin Nickel Zinc Cocoa Platinum Copper WTI Corn Coffee Brent Wheat Soybeans UK Natural Gas Sugar Cotton Unit US$/oz US$/mmbtu US$/oz US$/oz US$/t US$/t US$/t US$/t US$/t US$/t US$/oz US$/t US$/bbl Usc/bushel Usc/lb US$/bbl Usc/bushel Usc/bushel £p/therm Usc/lb Usc/lb Q3 Forecast/ current 4wk average 31% 27% 23% 19% 16% 11% 10% 10% 9% 8% 8% 7% 2% -1% -1% -2% -2% -3% -4% -5% -6% Current 4wk Q2 Avge Forecast 655 2. this will allow for only a very modest rebuilding of oil inventories after a long period of decline. Oil prices have eased a little in the past week.500 2. we revised up our Q3 Brent forecast from $112/barrel to $121/barrel.200 2.0 23.111 22. as this will help curb concerns that energy and food price inflation are constraining the ability of governments to cut interest rates in emerging markets and diverting consumer spending in the industrialised world.030 38.000/t to $8.2 1. However.000 107 640 180 121 628 1. On April 12. However. Although the noise around the potential closure of the Straits of Hormuz by Iran has died down somewhat and an imminent strike on its nuclear facilities is ruled out by most geopolitical 4 16 April 2012 .600 104 660 210 118 650 1.75 2.1 2. this is owing mainly to seasonally weak demand and the potential for small gains in OPEC output.210 2.7 80.0 23.000 20. fundamentals in both sectors now look stronger than they did a relatively short while ago and upside risks have grown.5 85. and there have been some signs recently of a willingness to close out long positions on the part of money managers.300 2.

000 level. A pick-up in these areas of demand is necessary if gold prices are to regain their upward momentum as we expect. The recent strength in agricultural commodity prices stems from a combination of reductions to end 2011/2012 US corn inventory levels forecast by the USDA. it will take place against the backdrop of a market that is highly vulnerable to supply losses owing to a lack of spare crude oil capacity. though we continue to forecast a sizeable deficit and there are a number of promising signs. ETP flows are a little weaker in April as is physical demand with India and China a little soft at present.000/t. especially after the recent sharp price decline to around $8. the macro-environment has turned more positive again as Spanish government bond yields are rising and the government has its work cut out to regain credibility with investors.Barclays | The Commodity Investor analysts. Tightness in corn markets is expected to be short lived therefore and focused on old-crop contracts. Nonetheless. copper and lead in base metals. Copper remains our favoured base metal exposure. For gold. however. Although weaker compared with Q1. A modest recovery in China’s vehicle sales in March and the implementation later this year of tighter emission standards suggest that there is upside potential to China’s import levels. the lack of any progress in settling Iran’s nuclear issue is likely to keep its external relations tense and the oil market on edge for some time to come. which have been very weak in the YTD. alongside a pick-up in Chinese imports and surveys of US planting intentions. 5 Some tightness likely in corn and soybeans. From a fundamental perspective. This would represent an attractive level to establish some length with a potential recovery likely to be driven by improving sentiment on China as the sequential rate of growth improves over the second half of the year. Swiss trade data shows Russian exports are subdued. in our view. which show that farmers intend to raise corn plantings to their highest levels in 75 years at the expense of soybeans and wheat. with those further ahead from September 2012 onward remaining depressed as a result of the big increase in future supplies. we have not altered our overall view that global agriculture commodity prices will ease in H2 on better harvests as the La Nina effect that created such bad conditions for most of the past 18 months fades. namely palladium and gold in precious metals. An SPR release is increasingly likely Even the release of oil from strategic reserves – something that is looking increasingly likely – will probably not result in much downward price pressure if past experience is anything to go by. Palladium has been the weakest-performing precious metal this year. However. While it may be tempting to short markets like oil and copper. while demand for palladium from ETP investors has been very strong so far this year. Although this is bearish for prices. the risk of an oil price spike has diminished very little in the past month or so. we advise a period of caution in the month ahead. plus accumulating evidence that supply is underperforming significantly relative to expectations once again should limit the potential downside to the mid-$7. in our view. but it will not last We advise against shorting markets like oil and copper Wait for buying opportunities instead Palladium fundamentals still look strong The macro-environment is getting better for gold Copper still our favoured base metals exposure along with lead 16 April 2012 . the strength of US demand. and we continue to see some upside to this market. In terms of trading recommendations. fundamentals in both markets look positive at present and downside limited unless there is a major negative macro shock in the form of a deterioration in Europe or evidence of a hard landing in China. Rather we would wait for buying opportunities in the markets we favour most at present. weighed down by concerns over China’s demand for autocatalysts. which we estimate to be equivalent to less than 2% of global demand at present. Strength in soybeans could prove more persistent. If it does happen. we would advise against doing so. We expect Chinese imports to ease over the next few months and for exports to boost LME stock levels in Asia. neither of which we think likely.

Closing time for short coffee Figure 4: Key recommendations Current price (April-13-2012) Gain/Loss Unit $ % Contract Open trades Entry Date Entry price Rationale: We see the medium-term crude oil price risks. The only major change to our established trading positions this month are in coffee where we are closing our short position. Short ICE coffee Dec-12 29/02/2012 212 187 25. lack of spare capacity and constraints on non-OPEC supply. helped by a strong growth in autocatalyst demand. The picture for raw materials is tight. The AugustSeptember spread has eased in the past few weeks and the front end of the gasoline price curve looks weak with CFTC net long money manager positions at 25% of open interest still close to recent highs. As a result.4% Rationale: China's rising costs for aluminium suggest a production slowdown ahead. weekly US gasoline demand readings are improving and with the US northeast in particular looking short of gasoline. plus strong demand from Japanese electricity generators is underpinning demand.Barclays | The Commodity Investor We also see an opportunity for short-term gains in lead prices as the Chinese market is looking exceptionally tight with stocks falling fast.96 $/bbl $/bbl 1.18 48. However.8 $/bbl -0. Long LME aluminium Dec-15 29/03/2011 2884 2410 $/t -474. demand continues to grow very strongly and incentive prices for producers are rising.68 127.54 97. we expect further production growth in the current marketing year.28 -29.95 -46. Fuel oil versus gasoil differentials Long Rotterdam fuel oil Short ICE gasoil Q4 2013 Q4 2013 29/02/2012 -30.27 0.0 265 263 5. summer gasoline prices should increase.2 97. prices will need to rise higher in order to encourage imports. SHFE nearby spreads moving into backwardation and the import arbitrage window opening up. which is currently showing a gain of almost 12%.94 0. but a substantial loss in refining capacity is set to squeeze supplies.1 314 309 cents/g cents/g 2. Long NYMEX palladium Dec-12 29/02/2012 710 650 $/oz -59. This should support steady appreciation in prices over the medium-term with the back end of the curve expected to outperform.4 -0. Long Brent crude oil Dec-15 27/01/2011 98. We also expect a rebound in net investment buying of palladium in 2012. Consequently.28 98. Barclays Research 16 April 2012 6 . with our long-term price forecast for Brent pegged at $135/bbl. with a narrowing in scrap discounts and recent supply problems at Grasberg.5 -16. Meanwhile. we expect sluggish consumption growth in 2011-12. Meanwhile expansion in bulk carrier and tanker fleets.5% Rationale: LME copper stocks are declining and Chinese imports have remained firm.32 - Rationale: After a strong increase in global supply in the 2010-11 marketing year. We expect the market to swing from surplus in 2011 to a small deficit in 2012.77 - Rationale:Palladium has potentially the weakest supply outlook in 2012 of any commodity we forecast. we are sticking with our gasoline spread trade for now. we our maintaining our bullish US gasoline spread trade.4% Rationale: The long-running push to reconfigure refineries globally to maximise the production of light products is coming at the expense of fuel oil output. Long LME copper Jun-12 21/11/2011 7328 7997 $/t -1070 -10.74 128. We expect far-forward prices to benefit. as being to the upside mainly due to strong EM demand growth.1 11. US gasoline (RBOB) spread tightening Long position Short position Aug-12 Sep-12 20/12/2011 3.9 -8. After recent weakness we still see upside in US gasoline In energy markets. Source: Reuters.1% Rationale: Our expectation of stable crude oil prices should support US gasoline demand at reasonable levels in 2012. Coffee demand is more leveraged to trends in mature economies than is the case for most other commodities. plus some other mines.8% Note: The long position in LME copper was originally opened on 26/05/2011 and includes losses from the previous trade (Dec-2011).

3 2065 7143 532 17.8 6.43 35 214 345 88 -5 6429 3.65 4.7% 11.2 84.8 5.54 75.44 5.41 4.7 0.3% -12.84 106.5 14.5 733 58.9 -231 -5.75 686.9% 13.4% -22.6 16331 75.1 114.01 -0.4 -4680 16 -6 1672 245 -5 12.2% 7.8 52.4 23.4% 4.84 -0.0% 14.7 22760 79.50 0.50 720.1% -26.46 1.1% -11.45 8.3 -17.3% 14.0 1154 -1122 0.4 964 63.5 27.27 0.0% 19.75 0.5 99.6% 29.3 5.7 -15.37 115.03 -5.40 100.41 105.1 0.67 -1.66 0.35 5.1 -16.5 8471 8456 0.1 1628 13.43 4.67 Exit price 1356 670 4. Barclays Research 16 April 2012 7 .3 -66 -1.4 1694 15.0 553.47 -0.66 5.3% 55.6% 39.8 669.22 0. **These trades include gains/losses from previous trades.6% 5.8% -21.50 35.01 5.03 14.34 -8.5 22821 125.1 26.Barclays | The Commodity Investor Figure 5: Recent trade history Closed Trades Directional trades Long CBOT soybeans Long CBOT corn Short US nat gas Henry Hub Long COMEX gold** Long Carbon EUA Long KBOT wheat ** Long UK natural gas Long LME nickel Long European delivered coal (API2) ** Short Comex silver Long LME copper Long CBOT corn ** Short UK natural gas Long NYMEX crude oil ** Short US natural gas Long ICE cotton Long LME lead Long LME copper ** Long NYMEX palladium Long ICE sugar Long LME Nickel Long NYMEX crude oil Long ICE sugar Spread trades Copper spreads tightening Long position Short position WTI contango widening Short position Long position Natural gas spread widening Short forward Henry Hub Long forward Henry Hub Crude oil spread tightening ** Long forward Brent crude Short forward Brent crude Gasoil spread tightening Long nearby ICE gasoil Short further forward ICE gasoil US Henry Hub natgas Short position Long position Contract Mar-12 Mar-12 Oct-13 Dec-12 Dec-11 Dec-11 Q3-11 Jun-11 Apr-11 Dec-11 Jun-11 Mar-11 Summer 2011 Dec-11 Dec-11 Dec-10 Dec-10 Sep-10 Jun-10 Jul-10 Jun-10 May-10 Mar-10 Entry Date 20/12/2011 21/11/2011 21/11/2011 21/11/2011 24/02/2011 20/04/2011 29/03/2011 24/02/2011 27/01/2011 27/01/2011 22/09/2010 26/11/2010 19/10/2010 19/10/2010 13/08/2010 14/04/2010 21/06/2010 10/12/2009 22/02/2010 18/03/2010 10/12/2009 10/12/2009 10/12/2009 21/11/2011 Mar-12 Sep-12 19/07/2011 Mar-12 Apr-12 15/12/2010 Oct-11 Jan-12 20/04/2011 26/05/2011 Jul-11 Aug-11 22/09/2010 19/10/2010 Dec-10 Jun-11 21/06/2010 13/08/2010 Oct-10 Jan-11 30/06/2011 29/02/2012 Exit Date 14/03/2012 14/03/2012 20/12/2011 20/12/2011 30/06/2011 30/06/2011 26/05/2011 26/05/2011 29/03/2011 24/02/2011 24/02/2011 24/02/2011 27/01/2011 27/01/2011 26/11/2010 19/10/2010 13/08/2010 13/08/2010 11/05/2010 14/04/2010 18/03/2010 18/02/2010 18/02/2010 21/03/2012 Entry price 1155 605 4.4% 21.63 4.7 33.7% 45.75 -34.78 0.12 110.3 705.36 123.0 47.00 Unit c/Bsh c/Bsh $/mmbtu $/oz €/t c/Bsh p/therm $/t $/t $/oz $/t c/Bsh p/therm c/bbl $/mmbtu c/lb $/t $/t $/oz c/lb $/t $/b c/lb Gain/Loss $ % -57.5% -17.1 7833.9% 6.12 -0.38 100.05 -0.0% 1.5 123.49 5.4% -8.8% - $/t $/t $/b $/b $/mmbtu $/mmbtu $/mmbtu $/b $/b $/b $/t $/t $/t $/mmbtu $/mmbtu $/mmbtu Note: Entry and exit prices reference closing prices on the day of publication.3 7317 7334 0.25 0.1 9505 685.9 27501 114.25 0.8 0. Source: Reuters.7 1851 7062 444 22.

Barclays Research Source: Ecowin.5% and 5.1%.Barclays | The Commodity Investor COMMODITY INVESTMENT PERFORMANCE Time to be selective Q1 12 was positive for commodities but the performance range was wide… Commodities overall closed a positive quarter in March. the S&PGSCI excess return has underperformed the spot return by 1. But returns lost momentum as the quarter progressed. which saw a rally following last year’s sharp liquidation. if married with our view of overall tight inventories in 2012.5% -1. Barclays Research 16 April 2012 8 . But over the previous three years.5%) and in the case of the S&PGSCI also energy (7.5% 0 Mar-00 Mar-02 Mar-04 Mar-06 Mar-08 Mar-10 Mar-12 Source: Ecowin. but benchmark returns differed widely with the S&PGSCI up by almost 6% while the DJ-UBS only gained a modest 1%. the excess return underperformed the spot return by 30% owing to the negative roll yield drag on overall returns.0% Industrial metals roll yield . S&PGSCI’s larger weight in gasoline and Brent crude oil (two of the strongest commodities in Q1.2% and 14. there is no evidence of a structural change in these relationships.3%). In particular. Value risk premia strategies are the best performers so far this year. As Figure 7 suggests. respectively) meant that the S&PGSCI energy index was up by 7.5% 0. Since June 2011.RHS 6 5 4 3 2 1 Roll yields versus fundamentals 9 8 The year started strongly but lost momentum in March Negative roll yields continue to shrink Value and trend risk premia have outperformed so far this year Figure 6: Negative roll yields continue to shrink 1% 0% -1% -2% -3% -4% -5% -6% -7% Jan-08 Roll yield S&PGSCI Jan-09 Jan-10 Jan-11 Jan-12 -1. Gains were lead by precious metals (S&PGSCI 7.5%. by between 0. its largest increase since November 2009. three of the four sources of risk premia strategies identified by Barclays Research have outperformed the DJ-UBS index.8%) meant that the DJ-UBS energy index ended Q1 down by 6. up by 27. its strongest performance since December 2010. and March closed on a negative note – the first since December 2011. The year started strongly for commodities.3% in Q1.0% 7 0.7%. Meanwhile. Negative roll yields have continued to shrink and for soft commodities turned positive in Q1 12. The S&PGSCI base metals gained 10.1% owing to negative roll yields. suggests negative roll yields may continue to shrink. which reflects the outperformance of a long investment in a portfolio of the most Figure 7: Strong relationship between roll yields and stocks 1. and for crude oil around 85%. while the S&PGSCI precious metals was up by 12%.8%. down by 28. DJ-UBS’s large weight in US natural gas (the weakest commodity overall in Q1 12. particularly base and precious metals. Between 2000-10.1%. This. Which sources of return have driven commodities performance in the year-to-date? So far this year. Our previous analysis shows that there is a very strong relationship between changes in inventory levels and roll yields.5% 1.0% -0.LHS Copper stocks to consumption ratio . DJ-UBS 8. the backwardation alpha strategy. the correlation between base metals inventories and roll yields is around 70%.

0% 1. ETP issuer data.1% year-to-date. gas oil. Meanwhile. soybeans. soybean meal. Natural gas prices decreased. Meanwhile. the strategy has outperformed by going long the following commodities while shorting the DJ-UBS nearby index: Brent crude. KBOT wheat. outperforming the DJ-UBS by 5.6% 1. lean hogs. is up by 5% yearto-date.0% -0. That said we do believe that this year investor will benefit from avoiding those points on the curve that are most heavily populated by other investors.Barclays | The Commodity Investor backwardated commodities versus a short position in the nearby indices.8%.9% over the same period. natural gas. we believe that the traditional pre.2% 0. CBOT wheat. So far this year. Going forward. Liquidity timing risk premia picked up q/q but remains weak Liquidity risk premia strategies based on positions at the front end of the curve have so far lagged behind other sources of risk premia due to a combination of still relatively weak inflows into commodities markets and a large number of market participants now positioning themselves to try and extract this premium. sugar. The strategy is applied to an underlying benchmark and the directional signal assess whether the exposure should be long.4% Figure 9: Value and trend strategies lead investor returns in Q1 Selected commodity strategy returns Value Trend Liquidity 0. The performance of the index in the year-to-date was derived from being long Brent crude. live cattle. short or neutral and is measured as the change in price over two different historical rolling windows. gas oil. Barclays Research Note: see Figure 48 for a fuller explanation of risk premia strategies.8% 0.8% Sep-08 Nov-09 Jan-11 Mar-12 Source: Bloomberg. MTN-I. gold. Source: Barclays Research 16 April 2012 9 . copper. corn.4% Curve -2% 0% 2% YTD 2012 Q4 11 4% 6% -20 Mar-05 May-06 Jul-07 -0. heating oil. Trend risk premia strategies are up by 3. gasoline and WTI crude. Figure 8: An improvement in investor flow has coincided with a slight improvement in liquidity timing returns 50 40 30 20 10 0 -10 Total inflows into commodities ($bn) Liquidity timing q/q% Investment flows into commodities and liquidity timing risk premia return 2. gasoline and WTI crude. corn. especially at the front of the curve as the market received larger-than-expected storage injection. coffee.or post rolling way of harvesting the liquidity timing risk premia will be less successful than in the past simply because so many investors are now targeting it. That said. Sugar prices decreased further at the back-end with India giving the widely anticipated go-ahead for another 1 million tonnes of sugar exports. the liquidity risk premia strategy still managed to outperform the DJ-UBS by a non-negligible 0. sugar produced the largest loss as a result of long-dated future prices decreasing more than front-end prices. This strategy reflects the performance of a strategy designed to take advantage of upward or downward trends observed in the commodity markets. cotton.5% YTD and has clearly picked up q/q as shown in Figure 7. the following commodities were shorted: aluminium. lean hogs. soybeans. and nickel. In March. the short natural gas position contributed the largest gain as a result of the price of the short-dated future contracts decreasing more than that of the long-dated contracts. outperforming the DJ-UBS by 3.

Barclays | The Commodity Investor This could be achieved through strategies designed to pre. the largerthan-anticipated oversupply along with mild winter weather suggests the front end of the curve will likely continue to underperform in the next few months. renewed global growth concerns are again weighing on base metals prices – the strongest sector earlier this year when negative views of another global recession failed to materialise – and likely to keep a lid on prices until later on in the year. In natural gas. which is where an increasing amount of investor positions are concentrated. we expect that the recent resurgence of macro concerns will ease before long and this will give way once again to a period where value in individual markets once more becomes a key differentiating factor in performance. For example. We expect momentum in trend strategies to stabilise 16 April 2012 10 .1% year-to-date. we remain relatively bearish on price trends for this year – more so for softs than for grains. we expect a calmer Q2 12 as geopolitical risks have eased a little and a SPR release is looking increasingly likely. the three months point on the curve. Market volatility and lack of conviction in the sustainability of the recovery has made these investors wary of further price corrections. we expect performance to be mixed with outperformance in some sectors. such as base metals. Similarly. or by employing a strategy aimed at dynamically selecting points on the curve where investors are most likely to get paid for providing liquidity. offset by underperformance in some other sectors. Brent is in backwardation. In crude oil. still outperforming the DJ-UBS by 0.7% but underperforming the S&PGSCI by almost 5%. Furthermore. Indeed. Regarding curve risk premia strategies. crude oil might still have a positive contribution to curve strategies. In addition. With regards to agriculture. but given the relatively larger weight of WTI. such as agriculture and energy. The HFRX index suggests hedge funds have returned an average of -0. we see momentum stabilising over the next few months until fears of a China hard landing dissipate and growth picks up later in H2 12. a warm winter and a series of extremely weak OECD demand indications have paved the way for further downgrades to short-term demand and demand expectations. As a result. expect value strategies to continue to outperform.or post-roll around different points on the commodities forward curve. partly because they tend to be the most robust of all the strategies under a variety of different market conditions. in energy. For trend. WTI moved from contango to backwardation last year and back into contango this year. Value strategies should continue to outperform over the next few months Going forward. we recommend investors shift their exposure further down along the curve to protect themselves from nearby price declines.

an all-time high (Figure 10). may now be getting exposure to commodities through commodity-linked ETPs. In contrast. Q1 12 was the strongest quarter for flows in a year. As a result. First. index swaps saw $1. ETP issuer data. Second. respectively. driven mainly by the weakness in index swaps (-$4. Barclays Research 16 April 2012 11 . ETPs and MTNs relatively strong We have seen a trend towards more active management Figure 10: Total commodity AUM ended Q1 12 at $412bn 450 400 350 300 250 200 150 100 50 0 Q1 06 Q1 07 Q1 08 Q1 09 Q1 10 Q1 11 Q1 12 Institutional and retail commodity AUM ($bn) Medium term notes Exchange traded products Commodity index swaps Figure 11: Flows into commodities rebounded in Q1 12 35 30 25 20 15 10 5 0 -5 -10 Q1 06 Q1 07 Q1 08 Q1 09 Q1 10 Q1 11 Q1 12 Quarterly flows into commodities ($bn) Inflows into ETPs and MTNs Estimated inflows into commodity indices Net flows Source: Bloomberg.9bn. Barclays Research Source: Bloomberg.2bn net outflows.2bn.5bn outflow over the quarter. That said the monthly profile of flows in Q1 was uneven. this time around the weakness appears to be driven not only by cyclical factors. MTN-I. In terms of flows by products. During Q3 and Q4 08. Since Q1 11. the rebound seen in commodity investment flows in Q1 12 remains fragile. MTN-I. As a result. though still a long way below Q1 11 ($19bn) and the average quarterly inflow over the past five years ($11bn). in our view. including long/short strategies and those that enable focus on individual markets. but March saw a marked weakness with $2.2bn). the relative strength of ETPs suggests that a number of institutional investors. index swaps have had cumulative outflows of $15. ETP issuer data. total assets under management bounced back to $435bn. This move is in line with the change observed in investors’ attitudes towards commodities as the asset class has matured and investors have become more sophisticated.4bn). January and February were relatively strong with $2. and during the following eight quarters they saw an average inflow of $7bn per quarter. Index swaps were weak. the strength of the quarterly inflows masks a very large bias towards commodity ETPs ($7bn) and structured notes ($1. who previously used index swaps. But it also reflects the widespread evidence of an increased dispersion in commodity price outcomes. investment flows into commodities rebounded in Q1 12 with $6.Barclays | The Commodity Investor INVESTOR ACTIVITY Q1 12 investor activity review: fragile rebound Investment flows into commodities picked up in Q1 12 Following three quarters of extremely weak investor activity last year. but also by some structural factors that may turn out to be ‘stickier’ and have longer-lasting effects. we have observed a trend away from passive long-only indices to more sophisticated approaches and active management. However. but the pace of outflows moderated in Q1 12.9bn fresh inflows into the asset class (Figure 11).9bn and $6. This is the first time in our history of commodity investment flow data to see such a long period of weakness in any form of investment product. the fourth consecutive quarter of outflow. outflows from commodity index swaps amounted to $13bn but this trend reversed quickly.

Barclays Research 16 April 2012 12 . Most of these flows came in through ETPs ($5. We estimate that long-short AUM has increased ten-fold in the last five years. respectively. MTN-i. March saw a $2.Barclays | The Commodity Investor Figure 31 shows our estimated breakdown of index swap AUM by strategy type. Activity and employment data in the US pointed towards a solid economic recovery.2bn outflow from commodities. Indeed. Precious metals received $5.5bn in January. As a result.3bn outflow in March. MTN-I. ETP issuer data. partly offsetting outflow from agriculture (Figure 13). the euro area saw an improvement in business confidence suggesting that the recession is likely to be a mild one. investors’ rather fickle mood and the lack of any strong conviction among a number of institutional investors and hedge funds around price direction. …and volatility was most present in index swaps Flows by sector Precious metals and energy received the bulk of Q1 flows In contrast to the trend witnessed in H2 11. inflows into commodity ETPs and MTNs remained relatively more stable and these products saw fresh inflows during every month in Q1 12. energy-linked indices saw a $1. signs of stabilisation emerged in early 2012. volatility was not broad-based across the different forms of investment.2bn outflow in March.2bn in February and a large $4. Q1 12 was volatile in terms of monthly flows… In terms of the monthly breakdown of quarterly flows. ETP issuer data. In contrast. However. owing mainly to the weakness of index swaps. growth-sensitive commodity sectors and those sectors which fell most as a result of the macro headwinds in 2011 witnessed a sharp rally.3bn. Barclays Research Source: Bloomberg. Given energy’s relative large share in index swaps. the first outflow since December 2011. January and February were relatively strong with $2. The strength was concentrated towards the middle of the quarter in all sectors. driven by the relative strength of inflows into ETPs.1bn). precious metals and energy received the bulk of total flows through the quarter.9bn and $6. when the focus of the market was on a repeat of the 2008 financial meltdown. and all sectors except precious metals saw an outflow in March. inflows into index swaps took the form of a roller coaster with $0. and Q4 GDP in China surprised to the upside. $2. Nonetheless.2bn.2bn). almost 80% of total flows in Q1 12 and 4x more than in Q1 11 ($1. The volatility of flows in Q1 was a reflection of jittery market sentiment. In contrast. it was most present among index swaps.9bn inflow in Q1 12 masks a high degree of monthly flow volatility. Q1 12 started on a Figure 12: Index swaps were the only product sector to see an outflow in Q1… 30 25 20 15 10 5 0 -5 -10 ETP Q1 09 Indices Q1 10 MTN Q1 11 Q1 12 Inflows into commodity by product ($bn) Figure 13: … and all commodity sectors except Ags saw inflows 30 25 20 15 10 5 0 -5 -10 Precious Q1 09 Energy Q1 10 Base Ags Q1 11 Q1 12 Monthly inflows into commodity by sector ($bn) Source: Bloomberg. the $6.

9bn in Q1 the first quarterly inflow in a year… Within the energy sector. For instance. the forth consecutive quarter to see net liquidations. Energy received $1. and Q1 12 is the weakest quarter for index swap flows since Q1 07. gathered momentum in February with a further $3. Q1 tends to be a seasonally strong quarter for commodity investment flows. strength was largely focused in February ($2.5bn. owing mainly to price increases.9bn Index swaps closed another quarter of outflows in Q1. Figure 14: Estimated total inflows to commodity indices Figure 15: Inflows to major US commodity index-linked mutual funds. agriculture was the only commodity sector to see an outflow in Q 12. Q1 09 saw $3bn fresh inflows into commodity index swaps. commodity index AUM increased by $4. This is the first time in the history of our data on commodity investment flows to see such a long period of weakness in any form of investment product. the first inflow following three consecutive quarters of outflows. taking total outflows since Q1 11 to $15. Finally.2bn. the weakest inflow since August 2011. and slowed down sharply in March with $0. Energy received $1.5bn outflow marked the fourth consecutive quarter of outflows from agriculture products. base metals received an average of $1. Q1 12 was the weakest quarter for flows since we started compiling our data in 2009.6bn q/q to $141bn. Energy-linked ETPs accounted for the bulk of fresh inflows ($1.RHS 40 35 10 8 6 4 2 0 -2 -4 -6 -8 -10 Jul-09 Monthly inflows into commodity index swaps ($bn) Mar-10 Nov-10 Jul-11 Mar-12 Source: Bloomberg. This has not been the case this time around. derived from reported data 8 7 6 5 4 3 2 1 0 -1 -2 5 0 Q1 07 Q1 08 Q1 09 Q1 10 Q1 11 Q1 12 -3 Q1 06 30 25 20 15 10 Derived real flows ($bn) .2bn) while March saw a $1. …this was also the case of base metals Index Swaps Outflows from index swaps since Q1 11 amounts to $15. Barclays Research Source: Bloomberg. Total index AUM is still over $40bn short of its peak reached in April 2011. Nevertheless. when flows have remained weak despite a brighter macroeconomic picture.5bn.3bn outflow driven by the weakness of index swaps.5bn in January.9bn per quarter.8bn. at a mere $0.LHS AUM ($bn) . Indeed. geopolitical tensions ratcheted up in Q1 and probably boosted investor interest in the sector. in 2009-10. although the magnitude of inflows was very small on a historical perspective.9bn. Base metals received positive flows for the first time in a year.7bn) and structured notes contributed a further $0. Barclays Research 16 April 2012 13 . The cumulative outflow from agriculture since Q2 11 amounts to $7. even during the post-2008 financial crisis. The $0.9bn in Q1. Q1 12 outflows amounted to $1. Indeed.7bn.Barclays | The Commodity Investor strong note with $1. In terms of the monthly profile of flows into energy.3bn inflow.

1bn) and energy ($1. with the PGMs recording three months of net inflows. It was also the first time since early 2011 to see three consecutive months of relatively strong inflows. The strength of ETP flows in Q1 was broad-based Figure 16: AUM and flows into commodity-linked ETPs 12 10 8 6 4 2 0 -2 -4 -6 Mar-08 Monthly Flows (LHS) AUM (RHS) Mar-09 Mar-10 Mar-11 0 Mar-12 50 150 100 200 Commodity ETPs: monthly inflows and AUM ($bn) 250 Figure 17: Flows into commodity-linked ETPs by sector 10 8 6 4 2 0 -2 -4 Agriculture Base metals -6 Total Sep-10 Dec-10 Mar-11 Energy Precious metals Jun-11 Sep-11 Dec-11 Mar-12 Monthly inflows into commodity ETPs by sector ($bn) Source: Bloomberg. Our preliminary estimate for March shows a modest increase of $125mn for the full month and a regional deviation where net inflows in Europe offset net redemptions in the US. Silver on the other hand suffered modest net redemptions of $57mn but net inflows in January and February meant flows were up by $111mn for Q1 12. Flows across the physically backed precious metals ETPs were mixed in March.7bn. which marked its strongest quarter in terms of flows since Q4 10. Q1 12. strength was broad-based with $2bn inflows in January. with only $0. This was perhaps most notable for palladium. The strength of flows into ETPs in Q1 12 took total ETP AUM up by $30bn q/q to $217bn.7bn). Barclays Research Source: Bloomberg.4bn in March. Q1 12 was the strongest quarter for flows into commodity-linked ETPs since Q2 10.8bn inflows into precious metal ETPs.Barclays | The Commodity Investor Exchange-traded products ETP received the largest share of Q1 inflows into commodities At $7bn.6bn in February and $1. ETP issuer data. Palladium net inflows of $177mn were partially offset by weaker prices. which combined received almost all inflows into ETPs.1bn in Q1 11 and net inflows of $4. an all-time high. This marks the largest ever q/q increase in ETP AUM. ETP issuer data.5bn in Q4 11. That said. gold prices would be susceptible to deeper corrections. inflows through the quarter were highly biased towards precious metals ($5. compared with net redemptions of $2. Should the longer-term sticky investor interest turn vastly negative. $3. silver suffering net redemptions and gold mostly unchanged. however. March saw a clear slowdown. In terms of the monthly profile of ETP flows. AUM across the precious metals closed the quarter at $150bn up from $136bn at the end of the year. both in ounces and in dollar value. Barclays Research 16 April 2012 14 . Although gold flows for March were lacklustre it does show ETP holdings have been resilient despite the price volatility reflecting the long term nature of this exposure. positive ETP interest failed to support prices as concerns over China and the global economy weighed upon the metal. Platinum drew net inflows of $224mn supported by its tightening fundamental picture on the back of supply disruptions in South Africa. but all four precious metals recorded net inflows for the quarter. the weakest number since September 2011. Q1 12 recorded net inflows of $3.

5bn notes linked to energy and a similar amount of notes linked to broad-based commodity indices.910 tonne increase in copper held under LME warrants in mid-February – the largest increase since these products were launched in December 2010. aluminium held decreased by 1.6 0.2 1. The relative weakness of structured notes in Q1 12 is somehow surprising given that this category held up pretty well throughout last year despite broad-based weakness of flows in other categories.7mn is tin. Figure 18: Commodity medium term notes issuance 2.0 Mar-11 Jun-11 Sep-11 Dec-11 Mar-12 Commodity MTN issuance ($bn.2 0.8 0. The former saw zero issuance over the quarter and the latter received a mere $11mn. given the delayed nature of reporting in this category.631 tonnes to 348 tonnes.6 1. Barclays Research 16 April 2012 15 . Q1 12 issuance took the cumulative issuance of MTNs since 2003 to $77bn.Barclays | The Commodity Investor Regarding physically-backed base metal ETPs. an all-time high.2 0.4 1. total AUM for the six base metals amounts to $65mn. notes linked to agriculture and base metals were particularly weak. The monthly profile of notes issuance was fairly constant in every category. However. down from a peak of 1.883 tonnes (2.6 0.8 1. In addition.8 1. All in all. Medium-term notes The issuance of fresh commodity notes came in relative weak in Q1 11. Within the product category.2 1. out of which $58mn alone is copper and $3.0 0. On the other hand. This took total copper held to 6.4 0.6 1. At $1.8 0.0 1.4 1.7% of total LME stocks).4bn it was the weakest quarterly issuance since Q3 05. we would expect the issuance number to be revised higher. the main change over the past two months was a 4.4 0.0 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 Commodity medium-term note monthly issuance: notional value ($bn) Figure 19: Commodity MTN issuance by sector 1. notional value) Index Energy Basket Precious Base Agriculture Source: MTN-I. we saw the issuance of $0.980 tonnes earlier in the year. Barclays Research Source: MTN-I.0 0.

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Barclays | The Commodity Investor CHARTS AND DATA 16 April 2012 17 .

2 6.7 37 56 2008 65 7 2.2 4.9 94 115 Q4 11 Quarterly data 399 179 17.6 Q4 11 Q3 11 Quarterly data 187 195 30 147 1. MTN-i.8 56 64 Q1 12 141 19 9.0 6.3 4.8 2008 2007 Monthly data Note: Breakdown not available across MTN AUM.7 Q4 11 Quarterly data 75.2 6.0 92 109 2011 399 179 17.7 47 62 20 7.3 2011 187 30 147 1.1 1.3 96 113 2009 Annual data 270 92 14.7 32 151 1.3 65. Barclays Research 16 April 2012 18 .6 31 184 1.0 37 0.Barclays | The Commodity Investor COMMODITY ASSETS UNDER MANAGEMENT Figure 20: Total commodity AUM (US $bn) AUM Total Commodity AUM of which Precious Metals Base Metals Agriculture Energy Mar-12 Feb-12 Q1 12 435 206 19. Source: MTN-i.2 52 61 20 9.5 4.6 45 65 Source: Bloomberg.8 4.8 60 67 2009 Annual data 111 10 7.0 2009 Annual data 104 13 73 1.3 12 2008 48 4.8 61 84 Monthly data 435 454 206 19.4 98 118 Source: Bloomberg. ETP issuer data.3 5.3 73.1 5.9 94 115 217 20.6 5.1 45 58 2007 196 41 8.8 33.4 25 31 2007 125 10 5. ETP issuer data.2 Q1 12 76.2 75.7 47 62 2010 155 18 9.9 Q1 12 217 31 174 1.1 26 0. Barclays Research Figure 22: Exchange-traded products (ETP) AUM (US $bn) AUM Barcap estimates of ETPs of which Broad-based Indices Precious Metals Base Metals Agriculture Energy Mar-12 Feb-12 Monthly data 217 227 31 174 1.0 1.1 2.8 88 114 Q3 11 402 183 18.6 4.2 9.7 50 57 2011 137 20 7.2 52 61 Q4 11 Q3 11 Quarterly data 137 134 20 7.6 4.7 2010 160 20 124 1.4 Q3 11 2011 2010 2009 Annual data 55.9 Source: Bloomberg.7 Feb-12 76.7 2007 37 6.4 66 97 2008 160 51 6. Barclays Research Figure 23: Medium-term notes (MTN) AUM (US $bn) Cummulative Issuance Barcap estimates of MTNs Mar-12 76.3 46. Barclays Research Figure 21: Estimate of index AUM (US $bn) AUM Barcap estimates of indices of which Precious Metals Base Metals Agriculture Energy Mar-12 Feb-12 Monthly data 141 150 19 9.8 88 114 2010 380 153 18.0 6.1 5.2 4.

6 2011 15.26 Feb-12 0.1 6.14 0.4 1.5 0.01 0.2 2008 19.1 2010 10.84 0.0 7.1 0.4 0.4 -2.5 2011 9.7 16.1 2.8 0.5 -0.5 5.30 0.1 0.9 Q1 12 -0.0 12.3 0.8 -0.2 1.1 6.4 3.5 1.7 -0.6 0.1 0.6 0.3 -1.1 2010 66.8 Q1 12 7.0 Source: Bloomberg.1 7.1 4.9 2010 33 3.5 0.1 -0.1 1.8 0.6 -0.0 13. Barclays Research Figure 25: Estimate of index flows (US $bn) Flows Barcap estimates of indices of which Precious Metals Base Metals Agriculture Energy Mar-12 Feb-12 Monthly data -4.51 0.5 -1.4 -1.01 0.2 Q4 11 Q3 11 Quarterly data 0.0 0.1 12.5 1.7 -0.02 0.4 29.8 1.3 -0.8 27.5 -0.9 -2.8 4.23 0.5 12.00 0.1 0.53 Q3 11 Quarterly data 2.2 3.1 -0.3 -2.2 0.6 0.2 -0.4 -1.00 0.1 -0.1 1.0 -0.5 5.6 2.00 0.3 0.2 6.00 0.0 0.4 -0.36 0.5 20 2.27 0.2 -1.7 -4.0 -0.7 6.2 -0.03 0.1 5.2 2007 11 2.9 2008 -11 -0.8 5.7 0.3 -2.3 2009 Annual data 26 2.0 8.8 2009 Annual data 43 10.0 15.8 -1.9 5.4 2007 13.0 -0.4 4.2 1.9 -2.4 4.06 0.9 Monthly data 16 April 2012 19 .15 Q4 11 1.1 0.2 2009 Annual data 77.3 -0.2 Source: Bloomberg.4 0.3 -1.4 9.4 2007 17.9 -0.1 -0.2 0.4 2010 24 3.9 Q4 11 Quarterly data -1.3 -1.1 0.5 1.2 0.3 2008 11.3 0.7 0.3 0.8 -0.9 -5.7 2009 Annual data 8.2 2.1 -2.47 0.2 -0.02 0.4 20.1 2. Barclays Research Figure 26: Exchange-traded products (ETP) flows (US $bn) Flows Barcap estimates of ETPs of which Broad-based Indices Precious Metals Base Metals Agriculture Energy Mar-12 Feb-12 Monthly data 1.4 Source: Bloomberg.9 1.0 -1.7 -0.1 1.3 3.4 0.2 Q4 11 Q3 11 Quarterly data -4.7 3.1 25.7 2007 -7.4 12 0.7 -0.7 -2.2 -0.2 12.09 0.6 2008 19 0.0 0.3 2.18 2011 9.22 Q2 11 1.7 Monthly data -2. MTN-i.4 3.6 -0.46 0.9 -0.2 -0.9 1.0 2011 -4.1 0.0 -0.3 0.2 1.7 Q3 11 1.10 0.1 0. Barclays Research Mar-12 0.3 1.5 3.3 0.7 0.8 1.9 15.3 21 0.1 -0.01 0.3 0.1 -1.2 6. Barclays Research Figure 27: Medium term notes (MTN) flows (US $bn) Monthly Issuance Barcap estimates of MTNs of which Broad-based Indices Commodity Basket Precious Metals Base Metals Agriculture Energy Source: MTN-i.9 4.4 0.Barclays | The Commodity Investor COMMODITY INVESTMENT FLOWS Figure 24: Total commodity flows (US $bn) Flows Total Flows of which Precious Metals Base Metals Agriculture Energy Mar-12 Feb-12 Q1 12 6.4 -5.2 1.9 0.5 0.00 0.06 0.3 0.5 -3.5 -0.9 -0.2 1.7 -2.6 -1.8 0.4 7. ETP issuer data. ETP issuer data.3 -2.4 0.00 0.1 0.4 3.

Barclays Research Source: Bloomberg. Barclays Research Source: Bloomberg. Barclays Research Figure 30: Breakdown of index swap AUM by index type 160 140 120 100 80 60 40 20 0 2000 2002 2004 2006 2008 2010 2012 TD Index swap AUM split of S&PGSCI and DJ-UBS ($bn) DJ AIG SP GSCI Figure 31: Breakdown of index swap AUM by strategy type 120 100 80 60 40 20 0 2005 2006 2007 2008 2009 2010 2011 $bn Barclays capital AUM estimates of Passive long only index Enhanced beta Long-short Source: Bloomberg. Barclays Research 16 April 2012 20 . MTN-i. ETP issuer data. ETP issuer data. CFTC. Barclays Research Figure 32: Commodity index swaps AUM 200 Commodity index swap AUM by sector ($bn) Energy 150 Agriculture Base metals Precious Metals 100 Figure 33: All index-linked AUM (swaps.Barclays | The Commodity Investor INVESTOR TRENDS Figure 28: Total commodity assets under management 500 450 400 350 300 250 200 150 100 50 0 Mar-07 Mar-08 Mar-09 Mar-10 Mar-11 Mar-12 -15 Mar-10 -5 -10 Medium term notes Exchange traded products Commodity index swaps Total Sep-10 Mar-11 Sep-11 Mar-12 0 Institutional and retail commodity AUM ($bn) Medium term notes Exchange traded products Commodity index swaps Figure 29: Total commodity investment inflows 15 10 5 Monthly inflows into commodities ($bn) Source: Bloomberg. MTN-i. Barclays Research Source: Bloomberg. ETPs and MTNs) 300 250 200 150 100 Barclays capital CFTC CFTC and Barclays Capital estimates of indexlinked AUM ($bn) 50 50 0 Nov-04 Sep-06 Jul-08 May-10 Mar-12 0 Nov-04 Sep-06 Jul-08 May-10 Mar-12 Source: Bloomberg. CFTC.

0 -0. Barclays Research Source: Bloomberg.2 -0.6 0.8 -1. ETP issuer data. ZKB. Barclays Research 16 April 2012 21 . JB.8 0. ETP issuer data.500 Sep-10 Mar-11 Sep-11 Mar-12 Nov-10 Mar-11 Jul-11 Nov-11 Mar-12 Source: MTN-I. Barclays Research Source: iShares.000 500 Monthly flows to silver ETPs (tonnes) 0 -500 -1. US$bn) Figure 39: Monthly change in physically backed silver ETPs 1.6 -0. Barclays Research Figure 38: Issuance of medium term notes 0.000 -1.Barclays | The Commodity Investor Figure 34: ETP assets under management 250 200 Energy 150 100 50 0 Mar-08 Others Precious Commodity-linked ETP AUM by sectors ($bn) Figure 35: US and Europe ETP flows 12 10 8 6 4 2 0 -2 -4 US Mar-09 Europe Mar-10 Mar-11 Mar-12 Monthly flows into US and Europe ETPs ($bn) Mar-09 Mar-10 Mar-11 Mar-12 -6 Mar-08 Source: Bloomberg. Barclays Research Figure 36: Physically-backed base metal ETPs 80 70 60 50 40 30 20 Base metal Physically-backed ETPs AUM ($mn) Copper Lead Tin Zinc Nickel Aluminium Figure 37: Monthly change in physically backed gold ETPs 225 175 125 75 25 -25 Monthly flows in gold ETPs (tonnes) 10 Jan-11 Mar-11 Jun-11 Aug-11 Nov-11 Jan-12 Apr-12 Source: ETF Securities.4 -0.0 Mar-10 y/y change in issuance (notional value. ETF Securities.4 0.2 0. Bloomberg. Barclays Research -75 Mar-10 Sep-10 Mar-11 Sep-11 Mar-12 Source: Various ETP Issuer websites.

5 2.4 -2.5 2.7 Wheat NYBOT -1% -20% 186.7 109.9 Oats CME 13% 36% 345.2 -39.7 4.5 26.2 -41.8 -22.9 159.5 0.2 304.1 10.4 Wheat Nymex 21% 60% 20.8 -51.4 22.3 Cocoa 10% 9987.1 88.1 -6.5 -0.7 -35.4 -5.5 1.0 -38.3 -101.5 -4.4 1.7 13.4 93.8 Heating Oil Comex 12% 35% 114.6 4. First column total reflects a weighted average.7 -12.8 4.6 7.4 -6.4 -15.7 30.7 Palladium ICE 16% 26% 726.0 20.4 -21.8 4.1 Cotton ICE -5% -22% 158.9 -7.9 8.1 -16.9 -100. we present a breakdown by market of managed money and swap dealer positioning data.0 -4.5 -9.3 1.5 87.3 4.6 Soybeans CME 27% 43% 40.8 -3.3 Soybean Meal CBOT 28% 28% 787.6 -5.3 -35.6 27.5 15.3 207.5 2.0 -1.2 -0. Figure 40: Commitments of traders – managed money overview Futures Net Long Futures and Options as % of Open Interest Total Futures Open Interest Futures Net Long Net Long All-time High/Low Current 1 mth ch Current 1 mth ch Current 1 mth ch Current 10 Apr 12 Nymex 36% 62% 39.2 -2.4 -42. Barclays Research Source: CFTC.3 104.2 Lean Hogs KBOT 0% 31% 146.2 2.4 9.5 0.6 Soybean Oil CME 11% 46% 10.2 -3.6 8.4 -21.1 86.3 -7.1 -0.7 1.7 144. All-time high/low is based on data since mid-2006 and since 8 December 2009 for platinum. Source: CFTC (‘000 lots unless otherwise stated) Managed Money Figure 41: CFTC managed money positions in major US commodity futures markets (‘000 lots) 2500 2000 1500 1000 500 0 -500 -1000 Apr-08 Long Short Net Figure 42: CFTC managed money positions as a percentage of total open interest in major US commodity futures markets 11000 10000 9000 8000 9% 7000 6000 5000 4000 Apr-08 6% 3% 0% Apr-12 Open interest ('000 lots) Percentage of open interest 18% 15% 12% Apr-09 Apr-10 Apr-11 Apr-12 Apr-09 Apr-10 Apr-11 Source: CFTC.5 Platinum CBOT 33% 33% 260.5 -29.6 Wheat CBOT -9% -18% 16. palladium and MGEX wheat.6 -13.4 34.4 -6.3 49. reported weekly by the US Commodities Futures Trading Commission.0 Live Cattle Nymex 12% 17% 279.2 2.7 181.6 107.5 1.5 Total Note: This table ranks key commodities markets by the percentage of total open interest accounted for by managed money in the weekly US Commodities Futures Trading Commission “Commitments of Traders” report.7 14.7 Coffee Nymex -8% -25% 1252.8 13.2 -12.0 183.5 Natural Gas CBOT -9% -12% 471.6 46.9 50.6 -24.7 3.2 Gasoline 24% 58% 19.1 -15.7 216.1 0.0 191.3 Copper CME 1% 27% 249.1 -12.0 8.9 Sugar CBOT 15% 26% 1349.5 3.8 Feeder Cattle Comex 26% 45% 404.3 29.7 -8.8 -66.0 11.6 WTI ICE 2% 9% 425.4 193.5 1.0 -6.7 -1.7 -9.5 Corn CBOT 14% 37% 11.5 116.1 242.0 Gold Nymex 25% 27% 350.8 -0.9 -15.7 0.5 0.9 2. Barclays Research 16 April 2012 22 .3 5.1 -10.4 11.2 20.3 -2.5 -2.1 9.0 -14.8 1006.0 1063.7 -8.9 Rough Rice ICE -10% -15% 181.5 -2.4 54.Barclays | The Commodity Investor CFTC DATA: POSITIONS BY MARKET In this section.0 71.8 Silver CBOT 12% 27% 389.0 -11.1 -0.5 2.0 -17.9 Lumber Nymex 10% 17% 1563.3 1.9 -2.5 2.7 66.2 -166.6 38.5 14.9 88.3 ICE Orange Juice MGEX 22% 30% 38.6 20.0 -30.1 0.2 -13.9 WTI Comex 2% 23% 148.3 -13.1 13.9 34.9 45.6 -3.0 -5.

1 10.5 0. First column total reflects a weighted average.1 -0.7 965.6 -4.6 38.7 -35.5 -2.9 26% 47% 148.5 13% 34% 787.8 -1.5 3.8 22.9 24% 37% 389.6 110.4 9% 27% 1252.2 20.0 11% 30% 279.0 -0.1 9.4 -1. Figure 43: Commitments of traders – swap dealer overview Swap Dealers 10 Apr 12 Wheat Lean Hogs Copper Palladium Cotton Live Cattle Soybean Oil Wheat Corn Lumber Oats Coffee Sugar Soybeans Rough Rice Orange Juice Silver Wheat Heating Oil Natural Gas Feeder Cattle Soybean Meal Gasoline Cocoa WTI Gold WTI Platinum Total Futures Net Long as % of Open Interest Total Futures Open Interest All-time Current High/Low Current 1 mth ch 36% 45% 471.1 0.2 20.4 -4.5 1 mth ch 5.0 111.4 -2.8 3.5 15.4 1.4 -6.0 5% 11% 260.6 3.3 94.1 0.2 14.1 -4.3 25% 47% 186. The swap dealer’s counterparties may be speculative traders.2 41.7 13% 23% 16.1 -19.6 27.6 20.8 100.7 14.1 0.7 11% 11% 38.9 0.2 2.9 -3.0 183.8 Futures Net Long Current 170.2 10.0 -38.5 0.9 288.4 37.0 72.8 -22.9 -2.4 0.8 -0.5 -3.0 -0.0 -4.6 22% 26% 146.6 85.8 4.9 1.2 25% 43% 345.1 101.7 15% 30% 726.6 -17.1 5.3 19% 37% 10.3 106.2 30.5 13.9 39.4 12.4 -16.7 1047.9 2% 14% 181.4 47. palladium and MGEX wheat.5 10% 9987.4 85.0 -234.6 2.4 49.4 4.7 -1.5 1.Barclays | The Commodity Investor A ‘swap dealer’ is an entity that deals primarily in swaps for a commodity and uses the futures markets to manage or hedge the risk associated with those swaps transactions.6 -13.3 CBOT CME Comex Nymex ICE CME CBOT KBOT CBOT CME CBOT ICE ICE CBOT CBOT ICE Comex MGEX Nymex Nymex CME CBOT Nymex ICE ICE Comex Nymex Nymex Note: This table ranks key commodities markets by the percentage of total open interest accounted for by swap dealers in the weekly US Commodities Futures Trading Commission “Commitments of Traders” report.4 105.1 Futures and Options Net Long Current 171. All-time high/low is based on data since mid-2006 and since 8 December 2009 for platinum.7 -4.1 3.4 -20.7 -41.4 3. Barclays Research 16 April 2012 23 .5 2.8 0.4 -6.2 28% 45% 249.9 1.4 14.2 289.6 31.1 -2.4 1.3 -3.5 26% 26% 20.5 -2.9 0.3 -11% -14% 1563.0 -5% -13% 425.3 49.8 -3.1 21% 35% 1349.9 -7% -23% 404.2 8.7 4. Barclays Research Source: CFTC.3 2.6 3.7 12% 16% 19.5 -165.6 -3.8 1 mth ch 8.0 0.4 70.1 4.5 2.3 9% 24% 40.6 -5.0 -22.4 0.7 -0.5 31.2 32.8 11% 18% 114.6 1.9 11.1 5.8 2.4 93.1 9.1 0.2 3.1 -15.1 2.7 30.3 -28.9 -1.1 4% 27% 350.4 3.2 304.8 23.8 1.5 39.9 4.5 0.3 15% 41% 158.4 9.1 3.2 31.9 1.1 -0.9 -12% -39% 39.1 2.6 0. Source: CFTC (‘000 lots unless otherwise stated) Figure 44: CFTC swap dealer positions in major US commodity futures markets (‘000 lots) 2500 2000 1500 1000 Long Short Net Figure 45: CFTC swap dealer positions as a percentage of total open interest in major US commodity futures markets 10000 9000 8000 7000 Open Interest ('000 lots) Percentage of open interest 22% 20% 18% 16% 14% 12% 10% Apr-12 500 0 -500 -1000 Apr-08 6000 5000 4000 Apr-08 Apr-09 Apr-10 Apr-11 Apr-12 Apr-09 Apr-10 Apr-11 Source: CFTC.4 1.4 17% 24% 11. such as hedge funds or traditional commercial clients who are managing risk arising from their dealings in the physical commodity.0 20.

6% 0.3% -4.6% -0.3% 17.3% 2.9% -0.0% -1.2% -5.7% -11.9% -0.1% 4.0% 9.7% -0.9% -24.1% 2.1% -4.1% -2.8% 3.6% -3.3% 9.1% -27.5% -6.0% 3.8% 6.1% 0.8% -3.0% 0.9% -2.9% -0.1% 0.1% 1.9% 7.4% 0.5% 12.6% 12.7% -13.8% 5.6% 5.3% 5.9% -0.8% 5.0% -4.8% -14.6% -4.7% -0.4% 1.0% -1.9% 9.2% -4.0% -6.9% 7.3% -5.3% -11.1% 4.9% -8.4% -2.0% 4.5% 4.3% 20.8% 8.4% -5.7% -4.5% 0.9% -2.2% 2.8% -6.1% 5.7% 5.9% 6.5% S&P 500 Composite Index TR S&P BRIC 40 Index TR JPM Govt Bond Index TR JPM Emerging Markets Bond Index TR Europe STOXX Oil & Gas Index TR Europe STOXX Food Producers Index TR Europe STOXX Basic Resources Index TR Europe STOXX Mining Index TR HFRX Commodity HF Index New Edge Commodity HF Index Source: EcoWin.9% 0.5% -7.4% -5.2% -1.7% 9.1% -1.8% 0.9% 13.3% -22.0% 0.4% -0.7% -9.5% -5.1% -2.6% 12.7% -0.9% -6.6% 10.1% 0.9% -3.5% -11.6% 2.2% -3.0% -6.8% -3.6% -22.8% 3.4% 1. Barclays Research Figure 47: Commodity sub-indices Monthly and quarterly returns Mar-12 S&P GSCI TM Returns (annualised) YTD '12 2011 Last 5 years Start of data Q1’ 12 Q4 ‘11 Q3’ 11 Sub-Indices TR Composite Index TR -2.2% -4.3% -30.1% 1.8% -4.4% -1.1% n/a 9.8% -0.1% -1.0% -22.5% -4.2% S&P GSCITM Energy TR S&P GSCITM Industrial Metals TR S&P GSCITM Precious Metals TR S&P GSCITM Agriculture TR S&P GSCITM Softs TR S&P GSCITM Livestock TR S&P GSCITM Sub-Indices roll yield S&P GSCITM Composite Index roll yield S&P GSCITM Energy roll yield S&P GSCITM Industrial Metals roll yield S&P GSCITM Precious Metals roll yield S&P GSCITM Agriculture roll yield S&P GSCITM Softs roll yield S&P GSCITM Livestock roll yield DJ-UBS Sub-Indices TR -4.6% 6.7% 12.3% -17.0% -0.3% 7.9% 6.7% 2.4% n/a 9.7% 4.4% -1.2% 12.2% 1.3% -16.2% -5.3% -16.1% -0.2% -2.4% 9.1% 1.4% -4.7% -11.5% 13.5% -0.9% 5.8% 8.4% -4.4% 10.8% 7.0% 6.2% -8.5% 5.0% 2.3% -8.2% -0.4% -0.Barclays | The Commodity Investor COMMODITY RETURNS BY INDEX AND SECTOR Figure 46: Benchmark indices for selected asset classes Monthly and quarterly returns Mar-12 Commodity Indices Q1’ 12 Q4’ 11 Q3’ 11 YTD '12 Returns (annualised) 2011 Last 5 years Start of data S&P GSCI Composite Index TR DJ-UBS Composite Index TR Rogers International Index (RICI) TR Other asset classes -2.8% -4.0% 1.5% 1.9% -0.7% -0.4% -1.6% 13.7% 11.5% 1.3% -9.7% -3.5% -17.6% -12.0% n/a 5.6% 4.0% 0.0% 5.3% 11.7% 8.9% 8.6% -12.2% 0.1% -19.4% 14.3% -11.3% 6.1% S&P GSCI TM 5.7% -8.8% 4.8% -12.3% -9.0% -0.5% -3.4% 7.6% 3.6% -2.6% -7.9% -0.2% 5.2% -0.5% 10.3% 2.6% -15.5% -0.3% 4.6% -21.2% -0.4% -1.9% 18.7% 4.3% -15.4% -15.5% -0.6% -0.3% -1.4% 5.4% 8.8% -5.0% 8.9% -3.9% 0. Barclays Research 16 April 2012 24 .8% -3.0% -9.6% 4.9% -4.7% 0.6% -2.0% 1.9% 1.0% -6.3% -2.5% 1.0% 13.7% -11.4% 7.8% -0.9% -7.5% -0.4% 0.1% -3.8% -3.3% -0.7% 1.9% -0.7% 9.6% 8.6% 4.3% -0.8% -13.4% 9.5% 4.3% -10.4% -3.5% 3.1% -7.2% 0.1% 15.8% -8.9% 2.2% 6.9% -24.4% -2.8% DJ-UBSTM Composite Index TR DJ-UBSTM Energy TR DJ-UBSTM Industrial Metals TR DJ-UBSTM Precious Metals TR DJ-UBSTM Agriculture TR DJ-UBSTM Softs TR DJ-UBSTM Livestock TR Source: EcoWin.1% 2.4% -3.4% 1.1% -4.9% 0.4% n/a -10.6% -4.2% 3.3% -11.2% -0.3% 1.4% -8.0% -1.1% -1.8% -3.8% -5.7% 5.9% -0.8% 15.5% -0.4% 0.

8% 0. Source: EcoWin.8% 1.6% 15.4% -8.8% 3.6% 10.4% 1.4% 5. short front month Trend risk premia strategy Backwardation alpha index Alpha Modified Roll GSCI LE -0. Barclays Research Figure 49: Commodity risk premia strategies Quarterly change Mar-12 Q1 '12 Q4 '11 Q3 '11 YTD '12 2011 Returns (annualised) Last 5 years Start of data Curve risk premia strategy Long 3-mth.6% 6.9% -0. Roll yield strategy dynamically positions exposure across the commodity curve based on implied roll yields. heating oil.3% 0.9% -3.3% -4.3% 1. sugar.5% 1. trend.1% 0. It uses Momentum Alpha for agriculture and live stock.5% 1.5% -12. value and liquidity/timing) were identified as providing separate.0% -3.8% Trend risk premia strategy Value risk premia strategy Liquidity timing risk premia strategy Note: This table classifies commodity returns according to the approach described in “Commodity Markets Investment Insight: Structural Sources of Excess Return”.1% -9.9% 1.6% n/a -1. natural gas.8% -0.0% -0.3% 9.4% -2.3% 0.9% 12.6% 1.7% 1.3% 4.9% -10.1% 6.9% -10.8% -10.9% -12. The Barclays ComBATS index is designed to reflect the performance of a balanced market neutral commodity alpha strategy involving long/short futures positions in the following ten commodities: crude oil.6% -9.7% -11.6% 2.9% 0.1% 22.7% -0.9% 1.7% 9.8% 9.4% 0.0% -0.5% 5.4% 3.8% -0.4% 1.3% 2.1% 0.1% -0.0% 1.1% 6.1% 2. and lean hogs.8% 3.2% 1.8% 5.7% -10.2% 1.8% 2. The Barclays Commodities Research Index (BCRI) uses fundamental rankings published by the Barclays Commodities Research Team to over/underweight individual commodities and sectors relative to the weights of a benchmark commodities portfolio. BCRI includes the commodities for which Barclays Commodities Research provide a fundamental ranking.2% Pure beta BCI Pure beta S&PGSCI Pure beta DJ-UBS Momentum alpha S&PGSCI Momentum alpha DJ-UBS Roll yield S&PGSCI Multistrategy ComBATS BCRI Note: Pure Beta aims to replicate the average price of the front-year futures strip of any commodity market while avoiding parts of the forward curve that are subject to market distortions.9% 6.2% -12.3% -3.8% -4.8% -9.8% 8.7% 15.1% 1. wheat.5% -2.9% -10.6% -0.9% 9.9% -2. Roll Yield for base metals and energy commodities and nearby for precious metals.7% -2.0% -2.1% 5.5% -12.0% -3.0% -2.8% 2. nickel.1% 9.6% 0.5% 1. Multi-Strategy index employs a mixture of different enhanced beta strategies applied to existing benchmarks. low correlation sources of commodity risk and return.2% 16.4% 1.8% 12.3% 15.5% 2.1% 9.6% 2. copper. in which four risk premia (curve.5% 8.5% n/a 10.8% 6. Momentum Alpha dynamically positions exposure across the commodity curve based on historical outperformance.8% 5.4% 1. Source: EcoWin.6% 13.4% 1.2% 8.6% 3.1% 0.4% 5.3% -0.3% -12.0% 0.0% -0.0% -2. The performance of these risk premia over time is represented by sets of different Barclays Capital Indices.3% 1.Barclays | The Commodity Investor COMMODITY RETURNS BY STRATEGY Figure 48: Commodity index strategies Quarterly change Mar-12 Static deferred Q1 '12 Q4 '11 Q3 '11 YTD '12 2011 Returns (annualised) Last 5 years Start of data S&PGSCI 1M S&PGSCI 2M S&PGSCI 3M S&PGSCI 4M DJ-UBS 1M DJ-UBS 2M DJ-UBS 3M DJ-UBS 4M Dynamic -2.0% -12.1% -0.5% -1.1% 1.2% -13.1% 4.0% -2.3% 14.2% 1. Barclays Research 16 April 2012 25 .5% 0.0% -0.6% 13.2% -3.1% -3.9% -1. zinc.4% 1.9% -7.7% 15.1% 14.8% 2.1% 3.6% 13.1% 13.3% -10.3% 9.9% 2.7% 5.5% 12.3% -4.3% -2.7% -3.5% 0. aluminium.2% 5.0% 0.1% 3.9% -10.2% 6.1% 13.3% 18.9% -2.5% -3.8% -12.7% 2.2% -0.1% 2.4% 6.4% -11.5% 1.3% -0.3% 3.3% 6.9% 2.1% -2.7% 15.

162 24.1 2.011.6% -15.5% -3.3% -3.7 46.1% -8.450 127.3 103.250 707.41 0.7% 0.7 1.0% 13.3 295.0 2.85 126.9% -21.0% 8.3 266.7 51.2% -1.49 9.0% 17.2% 12.0% -3.1% -22.33 2.5% -4.0 271.5% -26.27 0.125 8.4 3.52 0.1% -0.2 3.1% -16.984 2.1% -6.8% -2.54 1.6% -24.4 3.1% -16.8% 7.392 6.0 0.5% 5.8 321.5 12.0 1.9% 4.2 242.0% -15.0% -6.1% -17.990 6.64 41.4% -8.7 4.1 2.1 13.145 43.4% 13.24 1.7% 2.29 1.0 3.0 3.6 1.3% -28.9 0.96 0.793 16.634 2.4% -53.6% -56.8% -16.9% -6.3% -4.56 1.88 19.5 1.1% -36.9% 14.248 6.30 12.1% -8.70 2.5 12.5% -13.7% -4.2 1.399 3.1% 0.17 0.1 218.79 121.471.31 9.6% 4.3% -0.8 1. M/M) Month-ago price Price change (%.0 392.0% -68.5 13.205 646.5 4.225 773.35 3.24 0.4% -6.558 6.72 102.4 6.1% -25.659.19 0.797 2.440 99.57 8.98 8.059 1.065 41.1% -3.84 2.380 32.6% -14.94 25.0% 6.23 3.7 7.1% 3.82 122.6% -6.3 102.011.85 33.0% -2.700 7.6 3.35 108.9% -29.2% -0.4% -4.51 1.1% -1.0% -27.5% -10.5 1.08 2.110 2.9% -4.24 1.7 200.585 7.247 2.6% -3.3% -1.0 1.8% -0.8 12.2% -3.66 9.6% 2.21 16 April 2012 26 .35 3.74 1.8% -31.0 2.9 13.0% -6.8 468.4% 7.1 14.4% -8.0 290.3 235.3% -5.429 2.034.23 1.350 99.5% -0.8% -53.8% -7.6% -6.1% 7.43 31.7 3.37 9.8% -11.5 271.6% -11.3 6.6% -5.2% -17. Y/Y) Year-ago Price Rough Rice Barley Soybean Meal Soybeans Freight Capesize C4 Carbon CER Cotton UK Natural Gas UK Power Azuki Beans Coal API2 Gasoline Oats Coal API4 Lumber Gold Gas Oil Heating Oil Sugar Feeder Cattle Coffee Crude Oil Crude Oil Lead German Power Wheat Lean Hogs Nickel Zinc Cocoa Wheat Silver Copper Corn Platinum Carbon EUA Rubber Aluminium Aluminium Alloy Tin Palladium US Natural Gas Source: Barclays Research CBOT WCE CBOT CBOT OTC ECX ICE ICE APX TGE ICE NYMEX CBOT ICE CME OTC ICE NYMEX ICE CME ICE ICE NYMEX LME EEX CBOT CME LME LME ICE KBOT OTC LME CBOT NYMEX ECX TOCOM LME LME LME NYMEX NYMEX $/56 lb bu C$/tonne $/bushel $/bushel $/tonne €/tonne $/lb £/therm €/MWh JPY/30 Kg $/tonne $/gallon $/bushel $/tonne $/1000 ft $/oz $/tonne $/gallon $/lb $/lb $/lb $/barrel $/barrel $/tonne €/MWh $/bushel $/lb $/tonne $/tonne $/tonne $/bushel $/oz $/tonne $/bushel $/oz €/tonne Y/kg $/tonne $/tonne $/tonne $/oz $/mmbtu 15.410 7.8% -36.0% 10.83 18.Barclays | The Commodity Investor PRICE TRENDS Price changes Figure 50: Commodity price comparisons Commodity 13-Apr-2012 Price change (%.981 22.92 0.615 56.7 45.3% -3.8 123.8% -21.292 1.88 0.693.3% -8.20 106.41 7.

9% 7.043 24.3% 7.393 266 1387 31.200 20.000 25.310 2.757 2.3% 25.7% 6M to end 2012 (F) 1.489 1.1% -8.983 18.750 28.4% 0.000 2.224 239 1705 38.550 24.137 2.6 1604 680 103 118 2.9% 0.600 2.853 1.3 70 2500 170 23.950 2.500 9.177 8.100 225 1850 34.000 2.8% -1.7% -1.250 254 1508 38.8 89 650 660 1345 Q3 12F 2.7 95 615 620 1175 Q1 12 2.2% 19.982 2.5 180 786 670 1379 Q2 11 2.646 2.8 1527 626 94 109 3.000 2.7 107 690 696 1356 Q4 11 2.899 29.8 1766 747 90 112 4.090 7.500 19.200 235 2030 38.7% 1.9% 12.350 9.6 93 643 641 1272 Q2 12F 2.897 201 1682 31.5 85 628 640 1355 Q4 12F 2.1% 6.3% 0.025 219 1690 32.600 9.6% 9.5 1815 895 107 121 3.1 54 2962 256 28.250 8.7 80 595 580 1325 16 April 2012 27 .5 57 2383 229 24.5% 12M to end 2012 (F) 6.300 245 1920 27.694 2.8 57 2400 180 23.165 28.6 55 2325 210 23.1% 3M to end-Q2 '12 (F) -0.093 19.Barclays | The Commodity Investor Price and return forecasts Figure 51: Quarterly returns by sector Total returns S&P GSCITM Sub-Indices ER S&P GSCITM Composite Index S&P GSCI TM Energy S&P GSCI TM Industrial Metals S&P GSCI TM Precious Metals S&P GSCI TM Grains & oilseeds S&P GSCI TM Softs & fibres Q1 12 5.2% 6.9 1789 788 95 106 4.2 57 3303 256 30.000 2.5 59 2308 205 24.4 58 3043 271 24.651 22.7% Figure 52: Quarterly price forecasts Q1 11 Base Metals (LME cash) Aluminium US$/t Copper US$/t Lead US$/t Nickel US$/t Tin US$/t Zinc US$/t Base Metal Index^ Precious metals Gold US$/oz Silver US$/oz Platinum US$/oz Palladium US$/oz Energy WTI US$/bbl Brent US$/bbl US Natural Gas US$/mmbtu UK Natural Gas £p/therm Agriculture Cocoa US$/t Coffee Usc/lb Sugar Usc/lb Cotton Usc/lb Wheat Usc/bushel Corn Usc/bushel Soybeans Usc/bushel 2.5 1640 745 104 118 2.4 1781 756 102 117 4.500 23.503 9.1% 5.303 20.5 168 745 731 1361 Q3 11 2.300 2.605 26.941 2.3% 6.0 1755 860 107 121 2.1% -10.5% -0.350 20.459 22.5% 3.399 8.

7 22.205 1.716 1.146 2.961 5.90 4.2 210 240 231 274 N/A Precious Metals Gold US$/oz 697 872 972 1.093 1.200 Lead US$/t 2.4 15.Barclays | The Commodity Investor Figure 53: Annual price forecasts 2007 2008 2009 2010 2011 2012F 2015F Cycle average Base Metals 2.500 6.12 8.3 99.533 8.640 2.2 33.200 1.975 25. Wheat. Cycle Average: denote cost driven estimates of the minimum sustainable price over a business cycle.03 2.000 Copper US$/t 7.592 2.129 6.1 42.125 Silver US$/oz 13. Precious metals spot prices.500 2.398 2.4 60. Cotton: front month ICE close. Soybeans: front month CBOT close.000 19.700 Nickel US$/t 37.400 1. Source: Barclays Research 16 April 2012 28 .9 26 N/A Cotton Usc/lb 57 64 57 94 138 87 88 N/A Wheat Usc/bushel 636 798 530 581 709 629 650 N/A Corn Usc/bushel 373 527 374 427 680 630 620 N/A Soybeans Usc/bushel 861 1234 1031 1048 1318 1324 1350 N/A Note: ^Economist Intelligence Unit weight. US natural gas: NYMEX front month close.2 21 16 Platinum US$/oz 1.191 2.809 22.4 63 80 111 120 135 95 US Natural Gas US$/mmbtu 7.1 23.319 3. Base metals prices are LME cash.304 1.813 8.251 1.721 2. Sugar.569 1.16 4.850 Palladium US$/oz 354 348 262 526 729 795 1.286 3.399 2.750 Aluminium US$/t 2.2 56.876 1. WTI: front month NYMEX close. Coffee.00 4.853 19.2 35.0 14.600 Base Metal Index^ 237.571 1.115 14.000 Zinc US$/t 3.172 2.500 13.200 650 Energy WTI US$/bbl 72. Brent: front month IPE close.75 4.873 1.276 21.7 62 80 95 105 125 95 Brent US$/bbl 72.7 98. Cocoa.3 146.000 Tin US$/t 14.2 31.654 2.650 2.226 1.664 2.704 2.610 1.0 N/A Coal API2 US$/t 87 144 71 93 123 102 114 92 Coal API4 US$/t 62 120 66 92 119 102 115 95 Coal Newcastle US$/t 66 128 72 99 120 112 120 97 Carbon (EUA) €/t 20 23 13 15 13 9 15 16 Carbon (CER) €/t 16 17 12 12 10 4 7 7 Agriculture Cocoa US$/t 1882 2555 2794 2944 2923 2383 3200 N/A Coffee Usc/lb 117 132 125 163 253 191 180 N/A Sugar Usc/lb 9.2 204.542 18.407 26.0 UK Natural Gas £p/therm 30.0 58.573 1.3 85.735 30.1 17.579 20.9 12.3 27.158 2. Corn.39 4.604 21.803 9.000 18.148 7.063 24.156 3.6 20.

Barclays | The Commodity Investor CALENDAR OF KEY COMMODITY DATA RELEASES Monday 16 Apr US Empire State Mfg Survey Tuesday 17 Apr US IP German ZEW Survey Euro Area HICP Wednesday 18 Apr Dept of Energy Weekly Oil Data Thursday 19 Apr EIA Weekly Natural Gas Storage US Philly Fed Survey GFMS World Silver Survey 2012 Friday 20 Apr CFTC Data SHFE Aluminium. Copper and Zinc Inventory Data 07 May Preliminary (April) China Commodity Data out this week (National Bureau of Statistics) LME Holiday 08 May EIA Short-Term Energy Outlook 09 May Dept of Energy Weekly Oil Data 11 May CFTC Data SHFE Aluminium. Copper and Zinc Inventory Data US GDP US Consumer Sentiment 30 Apr US Chicago PMI Euro Area HICP Flash 01 May US Auto Sales US Construction Spending US ISM Mfg Index 02 May Dept of Energy Weekly Oil Data US Factory Orders 03 May EIA Weekly Natural Gas Storage US ISM Non-Mfg Index Euro Area PPI ECB Announcement GFMS Platinum & Palladium Survey 2012 10 May EIA Weekly Natural Gas Storage OPEC Monthly Oil Market Report OECD Main Economic Indicators USDA WASDE Report 04 May CFTC Data SHFE Aluminium. Copper and Zinc Inventory Data IEA Oil Market Report 23 Apr Detailed (March) China Commodity Data out this week (National Bureau of Statistics) 24 Apr US FOMC Meeting Begins US New Home Sales 25 Apr Dept of Energy Weekly Oil Data US Durable Goods Orders FOMC Meeting Announcement 26 Apr EIA Weekly Natural Gas Storage EIA Monthly Energy Review 27 Apr CFTC Data SHFE Aluminium. Copper and Zinc Inventory Data IEA Oil Market Report US PPI US Consumer Sentiment 16 April 2012 29 .

berry@barcap.sen@barcap.tang@barcap.cooper@barcap.zenker@barcap.com Martin Woodhams Commodity Structuring +44 (0)20 7773 8638 martin.unnikrishnan@barcap.com Sudakshina Unnikrishnan Commodities Research +44 (0)20 7773 3797 sudakshina.wang@barcap.norrish@barcap.sikorski@barcap.snowdon@barcap.mahesh@barcap.com Nicholas Snowdon Commodities Research +1 212 526 7279 nicholas.com Shiyang Wang Commodities Research +1 212 526 7464 shiyang.com Miswin Mahesh Commodities Research +44 (0)20 77734291 miswin.com Michael Zenker Commodities Research +1 212 526 2081 michael.com Helima Croft Commodities Research +1 212 526 0764 helima.Barclays | The Commodity Investor COMMODITIES RESEARCH ANALYSTS Barclays Capital 5 The North Colonnade London E14 4BB Gayle Berry Commodities Research +44 (0)20 3134 1596 gayle.woodhams@barcap.com Roxana Mohammadian-Molina Commodities Research +44 (0)20 7773 2117 roxana.mohammadian-molina@barcap.horsnell@barcap.com Amrita Sen Commodities Research +44 (0)20 3134 2266 amrita.shapiro@barcap.com Suki Cooper Commodities Research +1 212 526 7896 suki.com Paul Horsnell Commodities Research +44 (0)20 7773 1145 paul.com 16 April 2012 30 .com Commodities Sales Craig Shapiro Head of Commodities Sales +1 212 412 3845 craig.croft@barcap.com Kate Tang Commodities Research +44 (0)20 7773 0930 kate.com Kevin Norrish Commodities Research +44 (0)20 7773 0369 kevin.com Trevor Sikorski Commodities Research +44 (0)20 3134 0160 trevor.

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