Want a clue as to how corn, sugar, wheat, oil or gold futures will perform? Take a look at what investors think of the chances of bank default.
A "bloodbath" in one segment of the commodities market in September, which in futures landed copper with its worst month in three years, and corn its worst since 1996, was down to fears for banks being unable to pay up more than concerns for the raw materials themselves.
"Of course, some outflows may have come from higher levels of risk aversion, but we think this was only a secondary cause," Societe Generale said.
The main trigger was the rise in prices of so-called credit default swaps, or CDSs, which offer insurance to bond holders against default on these loans.
SocGen's comments concerned the market for over-the-counter index swaps, a large market – historically worth more than that for exchange traded products – but which in September suffered record outflows, of $24.8bn.
"There are almost no words to describe what happened in September, but bloodbath is maybe the most appropriate," SocGen analyst Remy Penin said.
The "massacre" was sparked by a jump in bank CDS prices, in some cases by 400 basis points, as fears for eurozone loans grew.
This jump in CDS values, by breaching risk management triggers, forced many commodity investors to close positions.
"In accordance with several investors' risk management procedures, positions had to be cut compulsorily as the counterparty risk was seen as too high," Mr Penin said.
Impact on futures
And this would have sparked sales on futures markets too, given the mechanics of the swaps, which offer relatively simple access to tailored commodity investments.
Typically the swaps see the investor, often a pension fund, buying exposure to commodities from a bank – hence the counterparty risk - which in turn manages the risk through long positions in the relevant futures contracts.
Unwinding the swap would mean selling the futures contract, so adding to price pressure.
CME Group, the operator of the Chicago grains and livestock exchanges, launched cleared over-the-counter (OTC) swaps last year against the S&P GSCI commodity index to cut out the counterparty risk.
The mechanical nature of the CDS trigger was evident in the fact that even precious metal index swaps were closed, despite fundamentals which should have favoured gold.
"It explains why all subsectors, including precious metals, had record outflows in September for OTC index swaps," Mr Penin said.
Indeed, the market for exchange traded products, precious metal instruments enjoyed a net inflow in September, of $1.1bn, against net outflows of$110m in base metal products and $300m in agriculture.
The analysis also highlights another influence on food prices unrelated to agriculture fundamentals, over which many anti-hunger campaigners have voiced concerns.