LEONTEQ SECURITIES AG COMMODITY MAP 13.10.2014
LEONTEQ SECURITIES AG COMMODITY MAP 13.10.2014 This information is issued to qualified investors only and is not research. The information contained in this paper is based on or derived from information generally available to the public from sources believed to be reliable. No representation or warranty is made or implied that it is accurate or complete. Any opinions expressed in this paper are subject to change without notice This paper has been prepared solely for information purposes and does not constitute any solicitation to buy or sell any instrument, or to engage in any trading strategy. Products mentioned in this document qualify as structured products and are derivative financial instruments. The products do not qualify as units of a collective investment scheme pursuant to art. 7 et seqq. of the Swiss Federal Act on Collective Investment Schemes (CISA) and are therefore neither registered nor supervised by the Swiss Financial Market Supervisory Authority FINMA. Investors should be aware that they are exposed to the full credit risk of the issuer, respectively. Charts and market data provided by Reuters. © Leonteq Securities AG 2013. All Rights reserved. . 2 CONTENT COMMODITY HISTORICAL CORRELATION MAP 3 PRODUCT OFFERING MATRIX 4 RETURN/VOLATILTY OVERVIEW 5 FORWARD CURVE OVERVIEW 6 ENERGY 7 PRECIOUS METALS 11 BASE METALS 16 AGRICULTURE 22 GOLD 12% 10% -11% 100% SILVER 17% 14% -4% 82% 100% PLATINUM 20% 17% -17% 65% 64% 100% PALLADIUM 21% 20% -16% 40% 46% 75% 100% ALUMINUM 16% 13% 2% 19% 33% 38% 40% 100% COPPER 17% 18% 2% 18% 41% 34% 39% 61% 100% LEAD 25% 26% -2% 19% 33% 40% 45% 69% 70% NICKEL 15% 17% -4% 13% 22% 30% 38% 46% 48% 52% 100% ZINC 23% 23% -5% 15% 30% 38% 43% 70% 70% 79% 55% 100% WHEAT -3% -6% 9% 4% 3% -4% -2% -7% -16% -12% 1% -11% 100% CORN 3% -3% 8% 10% 14% 11% 13% 6% 3% 2% 7% 6% 57% 100% COTTON NO. 2 COCOA SUGAR NO. 11 COFFEE "C" SOYBEAN CORN WHEAT ZINC 100% NICKEL -5% LEAD -1% 3 COPPER NATURAL GAS ALUMINUM 100% PALLADIUM 84% PLATINUM BRENT CRUDE OIL SILVER 100% GOLD WTI CRUDE OIL NATURAL GAS Correlation WTI CRUDE OIL BRENT CRUDE OIL COMMODITY HISTORICAL CORRELATION MAP 100% SOYBEAN 1% -6% 2% 7% 8% 7% 5% -1% -4% 6% -2% 0% 37% 60% 100% COFFEE "C" 4% -1% 3% 11% 14% 3% -1% -1% 2% -1% -8% 2% 13% 11% 8% 100% SUGAR NO. 11 22% 13% 0% 4% 11% 7% 7% 18% 12% 19% 9% 20% 18% 18% 19% 27% 100% COCOA -9% -7% 5% -5% -17% -21% -24% -18% -24% -26% -13% -18% 0% -5% 0% 7% -7% 100% COTTON NO. 2 36% 37% -1% 18% 25% 37% 37% 28% 28% 39% 29% 33% -3% 4% -2% 3% 18% -37% 100% Correlation is based historical daily returns of the front-month contracts (no roll adjustment) over the last 12 months. Source: Bloomberg, Past performance is no indication of future performance. PRODUCT OFFERING MATRIX WTI CRUDE OIL BRENT CRUDE OIL NATURAL GAS GOLD SILVER PLATINUM PALLADIUM ALUMINUM COPPER LEAD NICKEL ZINC WHEAT CORN SOYBEAN COFFEE "C" SUGAR NO. 11 COCOA COTTON NO. 2 0 Please see the commodity slides for more details (e.g. type of barrier). Please contact the Leonteq Securities AG FICC trading desk for quotes on other commodities and structured products not mentioned above. Mini Future Warrant with KnockOut Spread Warrant Warant Leverage Twin-Win Certificate Bonus Outperformance Certificate Bonus Certificate Outperformance Certificate Tracker Certificate Participation Express Certificate Barrier Reverse Convertible Reverse Convertible Barrier Discount Certificate Discount Certificate Yield Enhancement Capital Protection Certificate with Coupon Barrier Capital Protection Certificate Capital Protection + Participation Convertible Certificate Capital Protection Category Product 4 RETURN/VOLATILTY OVERVIEW 5 1-month Return Monthly Commodity Returns 3-month Return 50% 40% 30% 20% 10% 0% -10% -20% -30% -40% Current 12 Month ATM Implied Volatility 60% 50% 40% 30% 20% 10% Return calculation based on historical returns of the front-month contracts (no roll adjustment). Source: Bloomberg, Past performance is no indication of future performance. COTTON NO. 2 COCOA SUGAR NO. 11 COFFEE "C" SOYBEAN CORN WHEAT ZINC NICKEL LEAD COPPER ALUMINUM PALLADIUM PLATINUM SILVER GOLD NATURAL GAS BRENT CRUDE OIL WTI CRUDE OIL 0% FORWARD CURVE OVERVIEW 6 Precious Metals Energy WTI CRUDE OIL BRENT CRUDE OIL SILVER NATURAL GAS GOLD PLATINUM PALLADIUM 109% 111% 109% 107% 107% 105% 105% 103% 103% 101% 101% 99% 99% 97% 97% 95% 93% 95% 0m 6m 12m 18m 24m 30m 36m COPPER NICKEL 6m 12m 18m Agriculture I Base Metals LEAD 0m ALUMINUM ZINC COFFEE "C" CORN SOYBEAN 24m 30m Agriculture II WHEAT COTTON NO. 2 SUGAR NO. 11 COCOA 130% 111% 116% 125% 111% 120% 106% 115% 101% 106% 110% 101% 105% 96% 96% 100% 95% 91% 0m 6m 12m 18m 24m 30m 36m Source: Bloomberg, Past performance is no indication of future performance. 91% 0m 6m 12m 18m 24m 30m 36m 0m 6m 12m 18m 24m 30m 36m 7 LEONTEQ SECURITIES AG ENERGY WTI CRUDE OIL 8 Crude oil is the world's most actively traded commodity, and the NYMEX Division light, sweet crude oil futures contract is the world's most liquid forum for crude oil trading, as well as the world's largestvolume futures contract trading on a physical commodity. Because of its excellent liquidity and price transparency, the contract is used as a principal international pricing benchmark. The contract trades in units of 1,000 barrels, and the delivery point is Cushing, Oklahoma, which is also accessible to the international spot markets via pipelines. The contract provides for delivery of several grades of domestic and internationally traded foreign crudes, and serves the diverse needs of the physical market. Light, sweet crudes are preferred by refiners because of their low sulfur content and relatively high yields of high-value products such as gasoline, diesel fuel, heating oil, and jet fuel. Price Chart (USD/bbl) 120 12 Month ATM Volatility Normalised Forward Curves 105% 40 100% 35 95% 30 115 110 105 100 95 90% 25 90 85% 85 20 80 80% 75 70 Okt 11 15 75% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 48m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker CLA Comdty Exchange New York Mercantile Exchange Contract Size 1,000 Barrels Futures Price (USD/bbl) 85.49 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y BRENT CRUDE OIL 9 Brent Crude Oil is a combination of crude oils from 15 different oil fields in the Brent and Ninian systems located in the North Sea. Brent Crude Oil is ideal for making gasoline and middle distillates, both of which are consumed in large quantities in Northwest Europe, where Brent blend crude oil is typically refined. The ICE Brent Crude futures contract is a deliverable contract based on EFP delivery with an option to cash settle. The name 'Brent' comes from the naming policy of Shell Oil, which originally named all of its fields after birds (in this case the Brent Goose). Oil production from Europe, Africa and the Middle East flowing West tends to be priced relative to this oil, i.e. it forms a benchmark. Price Chart (USD/bbl) 12 Month ATM Volatility Normalised Forward Curves 140 112% 30 130 107% 28 26 102% 120 24 97% 22 92% 20 110 100 18 87% 16 90 82% 80 Okt 11 77% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 14 12 0m 6m 12m 18m 24m 30m 36m 42m 48m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker COA Comdty Exchange ICE Futures Europe Contract Size 1,000 Barrels Futures Price (USD/bbl) 88.51 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y NATURAL GAS 10 Natural gas accounts for almost a quarter of United States energy consumption, and the NYMEX Division natural gas futures contract is widely used as a national benchmark price. The futures contract trades in units of 10,000 million British thermal units (mmBtu). The price is based on delivery at the Henry Hub in Louisiana, the nexus of 16 intra- and interstate natural gas pipeline systems that draw supplies from the region's prolific gas deposits. The pipelines serve markets throughout the U.S. East Coast, the Gulf Coast, the Midwest, and up to the Canadian border Price Chart (USD/MMBtu) 10 12 Month ATM Volatility Normalised Forward Curves 100 124% 9 90 119% 8 80 7 114% 6 109% 5 104% 70 4 60 50 99% 40 3 94% 30 1 89% 20 0 Okt 11 84% 2 Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 10 0m 6m 12m 18m 24m 30m 36m 42m 48m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker NGA Comdty Exchange New York Mercantile Exchange Contract Size 10,000 MMBtu Futures Price (USD/MMBtu) 3.92 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y 11 LEONTEQ SECURITIES AG PRECIOUS METALS GOLD 12 COMEX Division gold futures provide an important alternative to traditional means of investing in gold such as bullion, coins, and mining stocks. Gold futures contracts are also valuable trading tools for commercial producers and users of the metal. Commercial concentrations of gold are found in widely distributed areas: in association with ores of copper and lead, in quartz veins, in the gravel of stream beds, and with pyrites (iron sulfide). Seawater contains astonishing quantities of gold, but its recovery is not economical. Price Chart (USD/oz) 12 Month ATM Volatility Normalised Forward Curves 110% 1'830 30 108% 25 1'730 106% 1'630 104% 1'530 20 102% 15 1'430 100% 1'330 98% 1'230 96% 1'130 Okt 11 94% 10 5 Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker GCA Comdty Exchange CMX Commodity Exchange Inc. Contract Size 100 troy oz Futures Price (USD/oz) 1'229.30 Roll Feb, Apr, Jun, Aug, Oct, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU, AM na EU, AM na na na EU, AM EU, AM EU, AM na na EU, AM na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y SILVER 13 Silver is sought as a valuable and practical industrial commodity, and as an appealing investment. The largest industrial users of silver are the photographic, jewelry, and electronic industries. Newly mined metal provides most of the needed supply, and Mexico, the United States, and Peru are the primary producers. Secondary silver sources include coin melt, scrap recovery, and dishoarding from countries where export is restricted. Price Chart (USD/oz) 12 Month ATM Volatility Normalised Forward Curves 40 40 109% 35 35 107% 30 105% 30 103% 25 25 101% 20 99% 15 20 97% 15 10 Okt 11 95% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker SIA Comdty Exchange CMX Commodity Exchange Inc. Contract Size 5,000 troy oz Futures Price (USD/oz) 17.40 Roll Jan, Mar, May, Jul, Sept, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection Participation na na na na EU, AM na EU, AM na na na EU, AM EU, AM EU, AM na na EU, AM na Tenure Barrier Capital Protection Certificate Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y PLATINUM 14 Platinum possess unique chemical and physical qualities that make it a vital industrial material. Jewelry creates the largest demand for platinum, accounting for 51%. Automotive catalysts take 29% and chemical and petroleum refining catalysts, 13%. Platinum is used in 1'760 the computer industry and in other high-tech electronic applications since it is an excellent conductor of electricity, does not corrode, and 1'660 has a low reactivity with other metals. This sector accounts for about 7% of consumption. 1'560 Price Chart (USD/oz) 12 Month ATM Volatility Normalised Forward Curves 40 105% 35 103% 30 101% 1'460 25 99% 1'360 20 97% 1'260 15 1'160 Okt 11 95% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker PLA Comdty Exchange New York Mercantile Exchange Contract Size 50 troy oz Futures Price (USD/oz) 1'260.70 Roll Jan, Apr, Jul, Oct .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU, AM na EU, AM na na na EU, AM EU, AM EU, AM na na EU, AM na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y PALLADIUM 15 Palladium is the other major metal of the platinum group. It is mined with platinum, and resembles it in many respects, yet there are important differences between the two metals. Palladium is also produced as a by-product of nickel mining. Russia supplies about 67% of production, South Africa, 23%; and North America, 8%. Annual production runs approximately 8.1 million ounces. Automotive catalysts are the largest consuming sector, accounting for 63% of demand. Electronic equipment accounts for 21%; dental alloys, 12%; and jewelry, 4%. Price Chart (USD/oz) 12 Month ATM Volatility Normalised Forward Curves 106% 40 104% 35 930 880 830 102% 30 780 100% 730 25 680 98% 20 630 96% 580 15 530 Okt 11 94% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker PAA Comdty Exchange New York Mercantile Exchange Contract Size 100 troy oz Futures Price (USD/oz) 787.10 Roll Quarterly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU, AM na EU, AM na na na EU, AM EU, AM EU, AM na na EU, AM na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y 16 LEONTEQ SECURITIES AG BASE METALS ALUMINUM 17 Aluminium is the third most abundant element, and the most abundant metal, in the Earth's crust. It makes up about 8% by weight of the Earth's solid surface. Aluminium is remarkable for the metal's low density and for its ability to resist corrosion due to the phenomenon of passivation. Structural components made from aluminium and its alloys are vital to the aerospace industry and are important in other areas of transportation and structural materials. Due in part to its presence in several other markets, aluminium prices are subject to various external forces as well as other markets' conditions. Changes in the industries that use aluminium in their products can have a significant impact on the aluminium industry itself. Price Chart (USD/Mt) 12 Month ATM Volatility Normalised Forward Curves 40 125% 35 2'550 120% 30 2'350 115% 25 110% 20 105% 15 100% 10 2'150 1'950 1'750 1'550 Okt 11 5 95% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 48m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker LAA Comdty Exchange London Metal Exchange Contract Size 25 Mt Futures Price (USD/Mt) 1'902.25 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y COPPER 18 Copper is the world's third most widely used metal, after iron and aluminium, and is primarily used in highly cyclical industries such as construction and industrial machinery manufacturing. Copper is a metal used extensively as a heat and electrical conductor, as well as a component in metal alloys, most notably brass and bronze. Profitable extraction of the metal depends on cost-efficient highvolume mining techniques, and supply is sensitive to the political situation particularly in those countries where copper mining is a government-controlled enterprise. Copper market participants across the board use COMEX Division high-grade copper futures and options to mitigate price risk, and the copper contracts are used as investment vehicles, as well. Improving living conditions and expansion of infrastructure require electrification of houses, manufacturing facilities, and offices. Further copper is required in electrical powerplants, transformation and transport of the energy and for the extension of public transport. Price Chart (USD/Mt) 12 Month ATM Volatility Normalised Forward Curves 30 9'090 107% 105% 8'590 25 103% 8'090 20 101% 7'590 99% 7'090 97% 15 10 95% 6'590 93% 5 6'090 Okt 11 91% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 48m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker LPA Comdty Exchange London Metal Exchange Contract Size 25 Mt Futures Price (USD/Mt) 6'699.50 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y LEAD 19 Lead is a metal which is mainly used in lead-acid batteries. The usage of lead is related to the number of deployed vehicles. Lead-acid batteries have a limited lifecycle and need frequent replacement. However, most of the lead can be recovered from the old batteries and reused. Improving living conditions increase the number of light duty vehicles for private transport and the number of trucks required for the transport of goods. Specific for these economies will be the extensive usage of lead-acid batteries in electrical driven bicycles. Lead-acid batteries do not suit the need for use with hybrid or fuel cell powertrains and will be replaced by other battery technology (NiMH or Lithium). Price Chart (USD/Mt) 2'550 112% 2'450 110% 2'350 108% 2'250 106% 2'150 104% 2'050 102% 1'950 100% 1'850 98% 1'750 96% 1'650 Okt 11 94% Apr 12 Nov 12 Jun 13 Dez 13 12 Month ATM Volatility Normalised Forward Curves Jul 14 30 25 20 15 10 5 0m 6m 12m 18m 24m 30m 36m 42m 48m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker LLA Comdty Exchange London Metal Exchange Contract Size 25 Mt Futures Price (USD/Mt) 2'055.25 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y NICKEL 20 Nickel is a metal which is mainly used as an alloying element of stainless steel, major ingredient of brass, and for electroplating. Nickel is also used together with lanthanum in the nickel metal hybrid (NiMH) battery. Nickel is highly resistant to corrosion and is widely used to create corrosion resistant alloys and is also used heavily in the electroplating process. Nickel is used with Chromium to create Nichrome, which has a high melting point and is used for the efficient conversion of electricity to heat. Nickel deposits are classified as either sulphide or laterite deposits. Economical viable laterite deposits are huge but with lower concentration of the ore in comparison with sulphide deposits. The primary ore associated with sulphide deposits is Millerite Nickel prices are reacting significant to over or undersupply of the markets with the metal. Price Chart (USD/Mt) 22'560 12 Month ATM Volatility Normalised Forward Curves 40 112% 20'560 110% 35 108% 30 106% 18'560 25 104% 16'560 102% 20 100% 15 98% 14'560 10 96% 12'560 Okt 11 5 94% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 48m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker LNA Comdty Exchange London Metal Exchange Contract Size 6 Mt Futures Price (USD/Mt) 16'302.00 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y ZINC 21 Zinc is used for galvanizing steel to prevent it from rusting as well as to make copper based alloys like brass. This special galvanized steel finds end use in outdoor construction and transportation related activities. The increased supply of zinc from mine expansions in China, Australia, Bolivia, Kazakhstan, India and Canada has led to a global surplus inventory. The lower prices have reduced the already narrow margin of some of the more cost ineffective mines around world. Intec, Aim Resources and Hudson Bay Minerals have suspended operations and stopped development works at their mines. Price Chart (USD/Mt) 12 Month ATM Volatility Normalised Forward Curves 40 2'440 114% 35 2'340 30 2'240 109% 25 2'140 2'040 20 104% 1'940 15 1'840 99% 10 1'740 1'640 Okt 11 5 94% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 42m 48m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker LXA Comdty Exchange London Metal Exchange Contract Size 25 Mt Futures Price (USD/Mt) 2'308.50 Roll Monthly .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y 22 LEONTEQ SECURITIES AG AGRICULTURE WHEAT 23 Wheat is a commodity input that goes into many food products, from pasta to bread to baked sweets. Wheat futures are traded on Chicago's commodities exchange. The primary uses for wheat are flour, brewing, gluten and livestock feed. Kansas is the largest wheat producing state, followed by North Dakota and Oklahoma. There are different varieties of wheat grown in the U.S. Soft Red Winter Wheat is grown from the Southern Midwest down to Texas. These wheat futures trade at the CBOT. Price Chart (USd/bu) 12 Month ATM Volatility Normalised Forward Curves 50 950 120% 850 115% 750 110% 650 105% 550 100% 45 40 35 30 25 450 Okt 11 20 15 95% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker W A Comdty Exchange Chicago Board of Trade Contract Size 5,000 Bushels Futures Price (USd/bu) 505.25 Roll Mar, May, Jul, Sep, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y CORN 24 Corn is the most widely produced feed grain in the United States, accounting for more than 90 percent of total production. Corn prices are intimately tied to energy prices, because corn is used to make ethanol, an additive in gasoline. The majority of the crop is used as livestock feed; the remainder is processed into a multitude of food and industrial products including starch, sweeteners such as high fructose corn syrup, corn oil, and ethanol for use as a fuel. The grades of corn that are traded on the Chicago Board of Trade are mainly used for animal feed. The U.S. produces about 10-12 billion bushels of corn a year and is the leading exporter of corn. Price Chart (USd/bu) 12 Month ATM Volatility Normalised Forward Curves 40 126% 800 35 121% 700 116% 600 30 111% 25 106% 500 101% 400 20 96% 15 300 Okt 11 91% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker C A Comdty Exchange Chicago Board of Trade Contract Size 5,000 Bushels Futures Price (USd/bu) 346.00 Roll Mar, May, Jul, Sep, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y SOYBEAN 25 Soybeans are crushed to produce two main products - soybean oil and soybean meal. The oil is used in an extensive list of products and the meal is primarily used in animal feed. The U.S. is the largest producer of soybeans and they are mainly grown throughout the Midwest. The United States grows more soybeans than any other country in the world, accounting for 32% of the world's production. Its fields yield 2,585 million bushels of soybeans every year. Unlike other commodities, derivative components of soybeans are also bought and sold by hedgers and speculators on futures markets. These derivative soybean products are soybean meal and soybean oil. Both are the result of pressing and separating soybeans into their oil and meal components. Price Chart (USd/bu) 12 Month ATM Volatility Normalised Forward Curves 1'860 40 1'760 107% 1'660 35 102% 30 1'560 97% 1'460 25 1'360 92% 1'260 87% 20 1'160 15 82% 1'060 860 Okt 11 10 77% 960 5 72% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 0 Source: Bloomberg, Past performance is no indication of future performance. Ticker S A Comdty Exchange Chicago Board of Trade Contract Size 5,000 Bushels Futures Price (USd/bu) 945.25 Roll Jan, Mar, May, Jul, Nov .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y COFFEE "C" 26 Coffee is traded on major futures and commodity exchanges, most importantly in London and New York. The movements of coffee prices are largely determined by supply/demand fundamentals. The world's largest producers of coffee are Brazil, Vietnam, Columbia and Indonesia. The biggest consumers of coffee are developed countries such as the United States, Germany, and Italy, which account for the majority of worldwide coffee imports. A coffee tree will yield an amount of coffee beans to fill a one-pound can of ground coffee during each growing season. The world typically consumes about 120 million, 60 kilo bags of coffee per year. Kraft, Nestlé, Procter & Gamble, and Sara Lee are the "Big 4" roaster companies that buy about 50 percent of all the annual production of coffee. 12 Month ATM Volatility Normalised Forward Curves Price Chart (USd/lb) 270 90 250 125% 230 80 120% 70 210 115% 190 60 170 110% 50 150 105% 130 40 100% 110 90 Okt 11 30 95% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 20 Source: Bloomberg, Past performance is no indication of future performance. Ticker KCA Comdty Exchange ICE Futures US Soft Contract Size 37,500 lbs Futures Price (USd/lb) 218.10 Roll Mar, May, Jul, Sep, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y SUGAR NO. 11 27 Sugar is produced from sugarcane and sugar beets. Both produce the identical refined sugar product. Sugarcane accounts for about 70% of world sugar production. The largest sugarcane producing countries are Brazil, India, China, and Thailand. The largest producing regions of sugar beets are Europe, U.S., China and Japan. Sugar has been facing increasing competition from alternative sweeteners like high fructose corn syrup. Nearly 80 percent of world import demand comes from developing countries. The "Number 11" in the contract refers the way shipping costs are handled between the buyer and the seller of the contract. Sugar #11 is sold "Free on Board (FOB)", which means the seller pays to ship the sugar to a port, and is responsible for loading costs. The buyer, however, is responsible for unloading costs. Price Chart (USd/lb) 12 Month ATM Volatility Normalised Forward Curves 30 40 28 118% 35 26 113% 24 30 22 108% 20 25 18 103% 16 20 14 98% 12 10 Okt 11 15 93% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 36m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker SBA Comdty Exchange ICE Futures US Soft Contract Size 112,000 lbs Futures Price (USd/lb) 16.67 Roll Mar, May, Jul, Oct .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y COCOA 28 The cocoa tree needs a hot and rainy climate (tropical rain forest) in order to thrive and is generally confined to areas not more than 20 degrees north or south of the equator. The cocoa tree takes about five years after planting to produce cocoa beans and about ten years to achieve maximum production. Cocoa trees produce pods. Each pod produces from 20 to 50 beans (approximately 400 beans are required to make one pound of chocolate). The largest cocoa producing countries are Côte d’Ivoire (40% +), Ghana (15%); Indonesia (14%); Nigeria (5%) and Brazil (4%). Cocoa is mainly consumed in Europe, North America, Japan and Singapore. The U.S. consumes about 13% of the world's cocoa; Germany 9.1%; France 7.2%; UK 6.8%). Political, social and labour issues regularly threaten to decrease or disrupt the supply of cocoa. Price Chart (USD/Mt) 12 Month ATM Volatility Normalised Forward Curves 107% 30 105% 28 103% 26 3'430 3'230 3'030 24 101% 2'830 22 99% 2'630 20 2'430 97% 2'230 95% 2'030 93% 1'830 Okt 11 91% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 18 16 14 12 0m 6m 12m 18m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker CCA Comdty Exchange ICE Futures US Soft Contract Size 10 Mt Futures Price (USD/Mt) 3'059.00 Roll Mar, May, Jul, Sep, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y COTTON NO. 2 29 Cotton No. 2 futures are traded on the Intercontinental Exchange Inc. in cents and hundredths of a cent per pound. Cotton is a basic crop that is a major input for the textile, agriculture, and food industries. 64 percent of cotton is used for apparel, 28 percent for home furnishings, and 8 percent for industrial products. In the US, $120 billion of business revenue is stimulated by cotton. The U.S. is a major cotton producer, but its domestic textile industry is relatively small, so it exports much of the cotton it produces. Overall, China is the largest producer and consumer of cotton, accounting for 29 percent of the world's production and 43 percent of the world's use of milled cotton in 2007. China manufactures apparel and other textile products from the milled cotton, often for export. Demand in this and other emerging markets is a leading driver of cotton prices, as are seasonal growing conditions and the prices of competing crops. Price Chart (USd/lb) 110 12 Month ATM Volatility Normalised Forward Curves 50 115% 100 110% 90 105% 80 100% 45 40 35 30 70 95% 25 60 90% 20 50 Okt 11 15 85% Apr 12 Nov 12 Jun 13 Dez 13 Jul 14 0m 6m 12m 18m 24m 30m 10 Source: Bloomberg, Past performance is no indication of future performance. Ticker CTA Comdty Exchange ICE Futures US Soft Contract Size 50,000 lbs Futures Price (USd/lb) 65.02 Roll Mar, May, Jul, Oct, Dec .Price Chart: The first chart above illustrates the development of the front-month future (no roll adjustment) over the last three years .Forward Curves: The current forward curve ( ) and superimposed the forward curves as seen 6 ( ) and 12 ( ) months ago are displayed in the second chart above Implied Volatility: The chart to the right illustrates the historical development of the implied volatility of an ATM call option. The box shows the range of the implied volatility over the last 12 months. The various markers show today's implied volatility ( ) , historical implied volatilities 3 months ( ) and 6 months ago ( ) and the .average implied volatility over the last 12 months ( ). Source: Bloomberg, Leonteq Securities AG own calculation Product Offering Matrix (Swiss Derivative Map) Capital Protection na na na EU na EU na na na EU EU EU na na EU na Tenure Capital Protection Certificate with Coupon Discount Certificate Barrier Discount Certificate Reverse Convertible Barrier Reverse Convertible Express Certificate Tracker Certificate Outperformance Certificate Bonus Certificate Bonus Outperformance Certificate Twin-Win Certificate Warant Spread Warrant Warrant with KnockOut Mini Future Leverage na Barrier Capital Protection Certificate Participation na Convertible Certificate Yield Enhancement Barrier Capital Protection + Participation Category 3m 6m 1Y 2Y 3Y
© Copyright 2024