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1、,Macro,GlobalMarketsResearch,Commodities,Global2 October 2012,Commodities QuarterlyCommodities as an Asset Class:We recommend a long DBLCI-OY Balancedposition.We expect precious metals will remain a reliable source of positivereturns heading into next year.While the growth outlook is weak,we expectc
2、entral bank action will support energy and industrial metal returns.Crude Oil:We do not believe the shale oil revolution in the US will trigger asignificant price correction as occurred in the US natural gas market.Rather,we expect the immediate effect will be to sustain the discount of WTI toother
3、major regional benchmarks.US Natural Gas:The downgrades to US economic growth introduce a newheadwind for prices heading into next year.While supply is being rationalized,we still expect US domestic gas production to rise in 2013.EU Energy:The near-term outlook for power,gas,and emissions pricesrema
4、ins weak.However,Japans ongoing demand for LNG should supportEU gas hub prices this coming winter.Thermal Coal:We continue to view thermal coal as oversupplied.Largerproducers have sought to cut costs and staffing levels without reducingvolume significantly.As indicators of industrial activity also
5、remain weak,wedo not yet envision a convincing turnaround in prices.Precious Metals:We expect gold prices are poised to strengthen furtherhelped by additional central bank action.Supply constraints in South Africacould be supportive for not only for gold but platinum as well.Industrial Metals:While
6、physical fundamentals remain poor we expect thatthe market may surprise to the upside,as a result of policy action bygovernment authorities.We expect copper and nickel are likely to outperformwhile lead and aluminium will under-perform.Bulk Commodities:The sector has floundered in response to the sl
7、owdownin Chinese economic activity.We expect price recoveries will be slow tomaterialise.However,we see fundamentals beginning to tighten in somemarkets,such as dry freight,during the course of 2013.Agriculture:While sentiment has turned more negative as the quarter hascome to a close,we go back to
8、fundamentals.Supply and demand balancesare tight,particularly in the soybean complex and although demanddestruction is anticipated,we see limited evidence of it thus far.Sugar Rush:Commodities&Central Banks,Market UpdateTable of ContentsCommodity Views.2#1 Executive Summary.3#2 Trade Recommendations
9、.4#3 Commodity Indices.7#4 Global Macro.10#5 Commodities&QE.13#6 US Energy Independence.17#7 Crude Oil.24#8 WTI vs Brent vs Dubai.31#9 US Natural Gas.33#10 Japans Energy Strategy.38#11 Thermal Coal.41#12 German Power.48#13 European Gas.53#14 Precious Metals.59#15 PGMs.63#16 Industrial Metals.67#17 I
10、ron Ore.79#18 Coking Coal.82#19 Dry Freight.84#20 EU Emissions.87#21 Agriculture.94Commodities Chartbook.107Commodity Price Forecasts.114Global Economic Indicators.116Glossary.117Correlation Matrix.118Research TeamMichael LewisResearch Analyst(44)20 7545 Daniel BrebnerResearch Analyst(44)20 7547 Mic
11、hael HsuehResearch Analyst(44)20 7547 Xiao Fu,Research Analyst(44)20 7547 Soozhana ChoiResearch Analyst(65)6423 Mark-C LewisResearch Analyst(33)1 4495 6761mark-Isabelle CurienResearch Analyst(33)1 4495 Christina McGlone-HahnResearch Analyst(1)203 863 Deutsche Bank AG/LondonAll prices are those curre
12、nt at the end of the previous trading session unless otherwise indicated.Prices are sourced from localexchanges via Reuters,Bloomberg and other vendors.Data is sourced from Deutsche Bank and subject companies.DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1.MICA(P)072/04/2012.,2 Octo
13、ber 2012,Commodities Quarterly,Commodity ViewsEnergy,USDWTIBrentHeating oilGasoline(RBOB/gallon)US natural gas(/mmBtu)Coal(API#4/tonne)Uranium(/lb)EUR Emissions Dec 12,Level92.19112.393.173.343.3286.0546.507.96,QTD8.51%14.92%17.56%22.54%17.56%-4.43%-8.37%-3.86%,YTD-6.7%4.7%8.0%24.4%11.1%-19.5%-11.0%
14、8.7%,12M Low75.6789.232.532.451.9180.0946.506.21,12M High109.77126.223.323.423.93115.8856.2511.22,5Y Avg86.2691.832.502.395.0697.4854.5716.38,Outlook,Precious Metals,Spot(USD/oz)GoldSilverPlatinumPalladium,Level1772.1034.541662.00639.00,QTD10.94%25.69%14.86%9.65%,YTD13.3%24.0%18.6%-2.5%,12M Low1539.
15、5726.381369.25563.00,12M High1795.1036.911724.00724.13,5Y Avg1218.7422.391527.77490.88,Outlook,Industrial Metals,3M Fwd(USD/tonne)AluminiumCopperLeadNickelTinZinc,Level21128205228018475218002096,QTD10.52%6.77%22.51%10.43%16.11%11.67%,YTD4.6%8.0%12.0%-1.3%13.5%13.6%,12M Low18366735175915250173451740,
16、12M High23538740232521800255002205,5Y Avg22257262214620313196512026,Outlook,Agriculture,1st nearby(USc)Cocoa(USD)CoffeeCornCottonSoybeansSugarWheat,Level251617475669160120903,QTD9.92%2.00%12.45%-4.17%5.83%-10.22%22.12%,YTD19.3%-23.5%17.0%-24.7%33.6%-16.0%38.3%,12M Low193614955268110019574,12M High27
17、56251831104177128943,5Y Avg269116952386119820674,Outlook,Source:Deutsche Bank,Bloomberg(Prices as of close of business September 29,2012)Price forecast are in the back of this report,Page 2,Deutsche Bank AG/London,-11.0,4.6,2 October 2012,Commodities Quarterly,#1 Executive SummarySugar Rush:Central
18、Banks&CommoditiesCentral banks took significant action to supportgrowth and reduce systemic risk during the thirdquarter.Historically such steps have provided shortterm support for energy and industrial metal prices.We believe the next event risk for commoditymarkets is the US fiscal cliff.The US au
19、thorities willneed to tread a delicate path between restoring fiscalcredibility,but not damaging the growth outlook.We believe the major beneficiary of a third roundof quantitative easing by the US Federal Reserveand fiscal cliff fears will be the precious metalscomplex.Not only will it keep US real
20、 interest ratesnegative for the foreseeable future,but,it will sustainUS dollar weakness,in our view.We forecast gold prices moving aboveUSD2,200/oz next year.As a result,it will moveinto territory that we would view as extreme.However,as it often witnessed in FX markets,commodity prices can be pron
21、e to overshooting.Wewould attach a non-negligible risk that this will occurin the gold market.The PGM complex has not only benefited fromQE,but,also significant supply disruptions inSouth Africa.While we are looking for prices tomove even higher into next year,positioning risk isbuilding given the s
22、ignificant accumulation inspeculative length over the past few weeks.We are maintaining our cautiously bullishforecasts for energy prices.We believe in anenvironment of falling OPEC spare capacity and,Elsewhere within the energy complex,we expectthe oil products market will out-perform.Not onlyare g
23、asoil inventories low and refinery maintenanceprogrammes underway,but,the approachingnorthern hemisphere weather adds a new layer of riskfor the complex.We expect the industrial metals sector will beunderpinned by central bank policy action.However,the complex continues to be vulnerable tothe US fis
24、cal cliff,Euro area sovereign risk and slowprogress towards another Chinese stimulus package.The bulk commodity sector has floundered inresponse to the slowdown in Chinese economicactivity.We expect price recoveries in thesemarkets will be slow to materialise.However,wesee fundamentals in some marke
25、ts beginning totighten.For example,in the dry freight market weexpect new fleet supply growth to slow significantlyin 2013 and 2014.In Europe,power,gas and emission prices remainweak.However,Japans ongoing demand for LNGcould support EU hub prices this coming winter.Anend year rally in emission pric
26、e is possible in theevent of political agreement on back-end loadingEUAs over Phase 3 of the scheme.Physical fundamentals across parts of theagricultural complex remain tight.Indeedinventory-to-use ratios have fallen to precariously lowlevels in the soybean market.Moreover,thepossibility of further
27、downgrades to the Australianwheat crop and the ongoing risk of a disruption inRussian wheat exports threaten to reverse the recentmoderation in agricultural prices.,positive oil demand growth,price corrections in theoil price will be short-lived.We would have toabandon this view if our world growth
28、assumptionsfell to 2.5%or less as this would imply a contractionin world oil consumption growth.At the moment weexpect world GDP to rise 2.9%and 3.2%this yearand next.,Figure 1:2012 commodity scorecardBaltic dry freight-55.9Steel-31.1Iron ore-24.8Coal(API#4)-19.5Sugar-16.0UraniumWTI-6.7Palladium-2.5
29、Nickel-1.3Aluminium,%returns year-to-date,We examine the shale oil and gas revolution inthe US.We expect the effect will be to sustain thediscount of WTI to other major regional benchmarks.However,we do not expect the US shale oilrevolution will trigger a similar price collapse thatoccurred followin
30、g the US shale gas phenomenon.,BrentCopperHeating oilEU Emissions Cal 2012US natural gasLeadLumberGoldTinZincCornPlatinumSilver,4.78.08.08.711.112.012.913.313.513.617.018.6,24.0,We expect the downgrades to US growth will,Gasoline(RBOB)Soybeans,24.4,33.6,introduce a new headwind for US natural gaspri
31、ces.While supply rationalization is taking place,USgas production is still set to rise next year.We continue to view thermal coal asoversupplied,as producers cut costs instead ofvolume and industrial activity remains weak.Deutsche Bank AG/London,Wheat 38.3-65-60-55-50-45-40-35-30-25-20-15-10-5 0 5 1
32、0 15 20 25 30 35 40 45Source:Deutsche Bank,Bloomberg Finance LP(Data as of end September 2012)Michael Lewis,(44)20 7545 Page 3,37%,2 October 2012,Commodities Quarterly,#2 Trade Recommendations,#1 Long DBLCI-OY BalancedWe are adopting a mildly constructive view towardscommodity markets heading into n
33、ext year.We aretherefore recommending a long commodity index strategy.Of the long only commodity index strategies,we prefer along exposure to the DBLCI-Optimum Yield Balanced.Given the dynamic nature of commodity forward curves,we believe part of the DBLCI-OY Balanceds appealreflects the indexs stra
34、tegy of optimizing the futuresrolling contracts via the Optimum yield technology.Inorder to estimate the contribution of the roll optimizationvia the OY technology,we examined the relativeperformance of the OY individual atoms over the individualcommodity returns from the DJUBSCI.We find that theene
35、rgy sector has been the main source of out-performance relative to traditional benchmark commodityindex strategies.In terms of sector weights,the DBLCI-OY Balanced has anoverweight allocation to precious metals and underweightallocation to US natural gas compared to benchmarkcommodity indices such a
36、s the DJUBSCI and SPGSCI.Onour forecasts,we believe a higher allocation to theprecious metals sector is prudent given the Feds decisionto continue its programme of quantitative easing untillabour market trends improve.Since the weakness in USoil demand would tend to indicate a fragile labour marketr
37、ecovery this will keep QE alive and with it the possibilityof an overshooting in the gold price.Figure 1:Long only commodity indices compared,#2 Long goldAfter trading in a range between USD1,550-1,625/oz formuch of the summer.Central bank actions in late Augustand early September have provided the
38、catalyst necessaryto cause a break to the upside with prices now seeminglyfinding a floor at the USD1,750/oz level.The outlook for Q4 2012,remains uncertain in the sensethat the timing and magnitude of future policy rhetoric andaction is very difficult to determine.For instance,weexpect the PBOC(Peo
39、ples Bank of China)to underpinweakening Chinese economic activity by stimulating,butwe are unsure whether this will be as early as October,oras late as March(when the new government is fully inplace).We dont know when the next round of risk-aversion from the Eurozone could erupt but it very likelywi
40、ll.We are unsure of the markets reaction to a loomingfiscal cliff in the US or the debt ceiling.Nevertheless,despite these challenges we do believe thatpolicy makers will likely err on the side of caution,that anoverly supportive action or response will be preferred infavour of under-responding(the
41、exception to this wouldbe Europe of course).On this basis we believe thatexpanding monetary conditions globally will provide thecatalyst for higher gold prices over the near-medium term.We would also highlight that supply constraints arebecoming a larger issue for the gold mining industry,particular
42、ly given the labour disruptions which have beengrowing in South Africa.As of the end of Q3 2012,thecountry had closed down approximately 39%,including allof AngloGold Ashantis South African gold mines andseveral Gold Fields mines.We expect prices to average USD1,850/oz in the fourth,200175150125100,
43、Total returns2-Jan-07=100DBLCI-OYBalancedDJUBSCI,quarter of the year and then exceed USD2,000/oz in thefirst half of 2013.Figure 2:Global gold mine supply by country 2011ChinaGold supply in 2011 13%OtherAustralia9%,SPGSCI75,50,United States,2007,2008,2009,2010,2011,2012,8%,Source:Deutsche Bank,Bloom
44、berg Finance LP(Data as of end September 2012)Russia,Ghana3%,8%,Page 4,Canada4%Indonesia4%Source:WGC,Deutsche Bank,Peru7%,South Africa7%Deutsche Bank AG/London,2 October 2012,Commodities Quarterly,#3 Long copper vs.short lead,aluminiumWhile we believe that the physical fundamentals for theindustrial
45、 metals complex will remain moribund withdemand from Europe stagnant and demand from the USand China weak we in fact expect that the complex mayconfound expectations and witness some modeststrength.The reason for this surprise is likely,once again,to come from government policy,which could see riska
46、ssets perform relatively well.We also expect thatdifferentiation in performance between metals mayincrease.Copper fundamentals have remained sound despite theoverall deterioration in demand over the past severalquarters in our view.This is partially a function ofdisappointing supply growth due to po
47、or grades,technical challenges and poor weather.Also,apparentdemand from China has remained quite strong,partially afunction of stock build in the country in our view.Altogether this has resulted in continued scarcityperceptions in the broader market supported by highpremiums.On the other hand the f
48、undamentals for lead andaluminium remain considerably less robust.We expectsurpluses in both markets.Furthermore both metals have,over the past few weeks,benefitted from considerableshort-covering rallies.This has left the two at levels whichwe believe represent poor value,particularly relative tome
49、tals which did not benefit from such reactive buying(such as copper).We believe that aluminium and lead appear likely to seelittle upside over the near-term(with aluminium inparticular likely to see producer selling in our opinion).Copper on the other hand could outperform asfundamentals remain supe
50、rior and investors/funds usecopper as a proxy for a potential recovery in the worldeconomy into 2013 on the back of further monetarystimulus.Figure 3:Copper to lead price ratio,Although Chinese inventories at both ports andindependent power producers have moderated sinceJune,the differential between
