Deutsche Bank Markets Research
Global
Commodities
Date 13 October 2014
CFTC Commitment of Traders
Report for w/e 7 October 2014
________________________________________________________________________________________________________________
Deutsche Bank AG/London
DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 148/04/2014.
Michael Lewis
Strategist
(+44) 20 754-52166
Jayati Mukherjee
Strategist
(+91) 22 6181-2036
WTI: Net length lowest since June 2013
US NatGas : Net short highest since March 2011
Gold : Net length lowest since January 2014
Energy
With the exception of RBOB gasoline, the speculative community exhibited a bearish stance towards the energy complex during the latest reporting week. Net length in WTI decreased to the lowest level since June 2013 as prices moved lower. We believe that the weak economic data and ample supplies continue to pressure oil prices. We believe this bearishness to continue as we see no signs of possible cut back on supply from OPEC. A cut back in its official selling price from Saudi Arabia is a clear indication that they are focused on competing for market share. Hence in the short term we expect the speculator to cut back more on their net long positions.
Net shorts in heating oil continue to increase as prices fell during the latest reporting week. A drop in US distillate demand might be a possible factor for the decline in the prices. However, we expect this to change as we head into high demand winter season which will be supported further by low level of US inventories.
Meanwhile, net length in RBOB gasoline increased even as prices fell. Gasoline inventories in US continue to build despite lower imports and reduced crude runs. We expect this bearishness to continue in the short term as refineries in North America come out of maintenance.
Meanwhile net shorts in US natural gas increased to the highest level since March 2011 as prices advanced during the reporting week.
Metals
The speculative community exhibited a neutral to bullish stance towards the metals complex over the latest reporting week. Net length in gold decreased to its lowest level since January even though prices appreciated. In a scenario where the global economic growth remains passive the urge to hold length position in gold becomes attractive while benefitting the short term prices for gold. Once the adjustment in US rates, equities and the US dollar to the prospect of Fed tightening has occurred, we expect a more supportive flow story for gold may eventually emerge.
Net length in silver and palladium increased as prices advanced, while net length in platinum increased even as prices weakened over the reporting period.
The speculative community has increased its net shorts in copper even as prices strengthened during the latest reporting week. However, we expect China’s positive macro data to provide support to copper prices in the near term.
Agriculture With the exception of corn, the speculative community exhibited a bullish
stance towards the agricultural complex. Net shorts in soybeans decreased as prices gained during the reporting week. Meanwhile, net length in corn decreased even as prices strengthened.
Net shorts in sugar reversed to net length position as prices advanced during the latest reporting week. At the same time net shorts in wheat decreased as prices moved higher.
Comex Copper Open Interest vs Price
50
100
150
200
250
300
350
400
450
500
55
70
85
100
115
130
145
160
175
190
205
2007 2008 2009 2010 2011 2012 2013 2014
Open Interest (lhs)
Copper price (rhs)
K USc/lbK Open Interest
Source: CFTC, Deutsche Bank
Comex Gold Open Interest vs Price
250
450
650
850
1050
1250
1450
1650
1850
50
250
450
650
850
1050
1250
2007 2008 2009 2010 2011 2012 2013 2014
USD/oz
Open Interest (lhs)
Gold price (rhs)
KK Open Interest
Source: CFTC, Deutsche Bank
Nymex WTI Oil Open Interest vs Price
15
35
55
75
95
115
135
155
1000
1500
2000
2500
3000
3500
2007 2008 2009 2010 2011 2012 2013 2014
USD/bbl
Open Interest (lhs)
Crude Oil price (rhs)
K Open InterestK Open Interest
Source: Deutsche Bank
Net Non-Commercial Positions, 2 week summary
07-Oct-14 30-Sep-14 12M avg
Crude o il 299,755 303,079 383,675
Natural gas -193,119 -177,631 -112,474
RBOB Gasoline 42,709 34,183 54,478
Heating o il -14,172 -10,284 -9,378
Gold 66,968 67,083 107,977
Silver 2,987 2,836 18,270
Platinum 24,655 23,878 37,935
Palladium 22,944 21,443 23,108
Copper -25,201 -23,689 -9,509
Corn 140,687 157,258 116,492
Wheat -60,571 -61,431 -24,345
Soybean -24,227 -30,345 108,730
Sugar 13,166 -2,007 98,926 Source: Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 2 Deutsche Bank AG/London
Disaggregated COT report
In the past, COT reports have divided reportable traders into two broad categories: “commercial” and “non-commercial”. However, in 2009 significant improvements were made to the original CFTC report. These new reporting categories were an attempt to identify the significant increase in financial flows into commodities not just in ETFs but also OTC activities, particularly swaps as well as the increasing participation of pension and endowment funds into the commodities complex. With the publication of the new disaggregated COT report, the CFTC classifies traders into specific categories such as Producer/Merchant/Processor/User, Swap Dealers, Money Managers and Other Reportables. The characteristics of these various players are outlined below: Producer/Merchant/Processor/User represents commercial hedgers and predominantly engages in production and processing of a physical commodity and uses the futures markets to hedge risks. Swap Dealer deals primarily in swaps for a commodity and uses the futures markets to manage or hedge risks. The swap dealer’s counterparties may be speculative traders or commercial clients. Money Manager represents the large speculators and engages in managing futures trading on behalf of clients. They are typically registered commodity trading advisor (CTA), registered commodity pool operator (CPO) or hedge funds. Other Reportables are other non commercial traders.
Key Findings w/e October 7, 2014 WTI: Money Managers cut back on net long positions RBOB: Money Manager add long positions despite low prices Gold: Money Managers net long position lowest since Jan’14
As prices fell for WTI, large speculators or money managers were seen cutting back on their net long positions during the latest reporting week. We believe the recent US crude inventory buildup coupled with new infrastructure coming online (Pony Express pipeline) to deliver crude into Cushing will increasingly drive bearish sentiment among the speculators. We expect this bearish sentiment to continue in the short term as OPEC fails to cut back on supply. Additionally the crude arbitrage for West African crude and EU crudes to the USGC looks marginally open and we can expect to see US bound cargoes in the short term which will add to bearishness for US crude. Hence we expect this bias among money managers will be to continue to cut back on their net long positions. Commercial hedgers reinforced this bearishness as they increased their net short positions.
Despite a drop in prices for RBOB gasoline, money managers have become more bullish by increasing their net long positions. We believe this is due to ongoing refinery maintenance in North America. However, in our opinion this is likely to change as US inventories build in spite of lower imports and lower crude runs, indicating poor demand. We believe that the speculative community will cut back on their net long positions as refineries come out of maintenance in North America.
Meanwhile as prices continued to decline for heating oil we saw money managers increasing their net short positions for the seventh consecutive week. We expect this to reverse in the coming months as the US heads into what is likely to be a colder than normal winter and upcoming refinery maintenance. Commercial hedgers were also seen decreasing their net short position in heating oil.
As prices weakened for US natural gas we have seen money managers cut back on their bullish bets by reducing aggressively their net long positions, whereas commercial hedgers were seen adding contracts to their net long positions.
Money managers continue to cut their bullish bets on gold by decreasing their net long positions for the eighth consecutive week, even though prices have been relatively flat during. In silver even though prices appreciated we have seen money managers continue to increase their net short positions.
In copper, as prices appreciated during this reporting week, we have seen money managers cutting back on their net short positions indicating a bullish view on the industrial metal.
Net Money Managers Positions, 2 week summary
07-Oct-14 30-Sep-14 12M avg
Copper -21,249 -21,438 6,385
Gold 37,275 37,743 80,618
Silver -7,071 -6,073 10,477
Platinum 16,844 13,265 28,622
Palladium 19,091 18,318 20,463
Crude o il 192,208 201,863 272,730
Natural gas 6,288 26,166 69,012
RBOB Gasoline 20,363 10,321 43,679
Heating o il -30,604 -29,867 12,242
Corn 73,093 85,086 59,756
Wheat -67,970 -71,301 -27,929
Soybean -24,457 -15,214 154,351
Sugar -36,604 -51,789 57,273 Source: Deutsche Bank
Nymex crude oil net position vs Price
(Money Managers & PMPU)
20
40
60
80
100
120
140
160
-600
-400
-200
0
200
400
Jun-10 Feb-11 Oct-11 Jun-12 Feb-13 Oct-13 Jun-14
K Contracts
Producers / Merchants Money Managers WTI price
USD/bbl
Source: CFTC, Deutsche Bank
Comex gold net position vs Price
(Money Managers & PMPU)
500
1000
1500
2000
-300
-200
-100
0
100
200
300
Jun-10 Feb-11 Oct-11 Jun-12 Feb-13 Oct-13 Jun-14
K Contracts
Producers / Merchants Money Managers Gold price
USD/oz
Source: CFTC, Deutsche Bank
Comex copper net position vs Price (Money Managers & PMPU)
0
50
100
150
200
250
300
350
400
450
500
-80
-60
-40
-20
0
20
40
60
Jun-10 Feb-11 Oct-11 Jun-12 Feb-13 Oct-13 Jun-14
K Contracts
Producers / Merchants Money Managers Copper price
USc/lbK Contracts
Source: Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 3
Figure 1: Commitments of non-commercial traders energy data summary
Contracts NYMEX Crude oil ICE WTI Natural gas RBOB Heating oil
Long 427,007 82,332 255,510 91,207 56,417
Change 2,621 -5,750 -14,539 4,207 -2,433
Short 127,252 33,754 448,629 48,498 70,589
Change 5,945 2,174 949 -4,319 1,455
Net 299,755 48,578 -193,119 42,709 -14,172
Change contracts -3,324 -7,924 -15,488 8,526 -3,888
Price USD 88.85 88.85 3.96 2.37 2.61
Change -2.5% -2.5% -4.0% -2.8% -1.6%
Open Interest 2,146,776 646,132 955,101 299,805 418,748
Change 3.7% 5.89% -1.3% 2.5% 3.8%
Source: Deutsche Bank
Figure 2: Nymex Crude Oil (contract 1,000bbl) Figure 3: Natural Gas (contract 10,000mmBTU)
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Figure 4: Nymex RBOB Gasoline* (contract 1,000bbl) Figure 5: Nymex Heating Oil (contract 1,000bbl)
Source: CFTC, Bloomberg Finance LP, Deutsche Bank *Historical data up to 12 December 2006 relates to the Nymex unleaded gasoline contract
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 4 Deutsche Bank AG/London
Figure 6: Commitments of non-commercial traders: metals data summary
Contracts Copper Gold Silver Platinum Palladium
Long 54,273 172,662 51,878 40,757 26,850
Change 2,513 456 -2,302 -524 782
Short 79,474 105,694 48,891 16,102 3,906
Change 4,025 571 -2,453 -1,301 -719
Net -25,201 66,968 2,987 24,655 22,944
Change contracts -1,512 -115 151 777 1,501
Price US$ 3.04 1,212.40 17.24 1,261.90 787.00
Change 1.0% 0.1% 1.1% -3.0% 1.5%
Open Interest 168,359 619,593 234,169 61,597 37,248
Change 4.5% 1.6% 0.0% 1.4% -1.1%
Source: Deutsche Bank
Figure 7: Comex Copper (contract 25,000lbs) Figure 8: Comex Gold (contract 100oz)
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Figure 9: Comex Silver (contract 5,000oz) Figure 10: Nymex Platinum (contract 50oz)
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 5
Figure 11: Commitments of non-commercial traders: agricultural commodities data summary
Corn Wheat Soybean Sugar
Long 458,371 119,855 174,508 236,706
Change -6,544 -3,173 -5,519 -8,238
Short 317,684 180,426 198,735 223,540
Change 10,027 -4,033 -11,637 -23,411
Net 140,687 -60,571 -24,227 13,166
Change contracts -16,571 860 6,118 15,173
Price US$ 340.50 506.25 940.75 17.03
Change 6.2% 6.0% 3.0% 10.0%
Open Interest 1,893,351 548,921 1,232,537 919,609
Change -2.0% -0.4% -0.6% -2.2%
Source: Deutsche Bank
Figure 12: CBOT corn (contract 5,000 bushels) Figure 13: CBOT wheat (contract 5,000 bushels)
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Figure 14: CBOT soybean (contract 5,000 bushels) Figure 15: COMEX sugar (contract 112,000 lbs)
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
Source: CFTC, Bloomberg Finance LP, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 6 Deutsche Bank AG/London
Net Position changes
Disaggregated COT report - Energy Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Net
Weekly Change
12M Average
Net Weekly Change
12M Average
Net Weekly Change
12M Average
Net Weekly Change
12M Average
Nymex WTI -49.9 -11.1 -25.5 -278.3 10.2 -377.2 192.2 -9.7 272.7 107.5 6.3 111.5
ICE WTI 76.8 5.0 73.3 -126.5 2.0 -147.5 -1.0 -7.4 41.4 49.6 -0.6 29.9
Heating oil -58.2 1.7 -51.3 71.6 1.9 47.6 -30.6 -0.7 12.2 16.4 -3.2 -21.7
RBOB gasoline -73.0 -3.5 -94.0 31.9 -3.1 33.1 20.4 10.0 43.7 22.3 -1.5 11.0
US Natural gas 9.6 7.9 -42.8 146.9 19.1 112.2 6.3 -19.9 69.0 -199.4 4.4 -180.9
Source: CFTC, Deutsche Bank
Disaggregated COT report - Metals Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Net
Weekly Change
12M Average
Net Weekly Change
12M Average
Net Weekly Change
12M Average
Net Weekly Change
12M Average
Copper -18.5 1.0 -29.7 52.6 0.3 44.2 -21.2 0.2 6.4 -4.0 -1.7 -16.0
Gold -28.5 1.6 -24.6 -36.0 -2.1 -89.4 37.3 -0.5 80.6 29.7 0.4 27.3
Silver -16.1 1.6 -26.8 4.4 -0.1 -2.1 -7.1 -1.0 10.5 10.1 1.1 7.7
Source: CFTC, Deutsche Bank
Disaggregated COT report - Agriculture Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Net
Weekly Change
12M Average
Net Weekly Change
12M Average
Net Weekly Change
12M Average
Net Weekly Change
12M Average
Corn -279.7 -21.8 -245.2 305.0 -0.4 279.6 73.1 -12.0 59.8 67.6 -4.6 61.0
Wheat -43.1 -8.2 -61.9 115.9 2.9 100.6 -68.0 3.3 -27.9 7.4 -2.5 2.9
Soybeans 62.8 -14.9 -128.7 84.9 0.4 83.7 -24.5 -9.2 97.5 0.2 15.4 11.1
Sugar -176.8 -11.7 -274.0 176.3 -9.8 174.0 -36.6 15.2 57.3 49.8 0.0 39.6
Note: ICE WTI 12M averages are the averages of data since September 2009 Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 7
Chartbook of CFTC disaggregated COT report – Net position
Figure 16: Nymex crude oil position by trading category Figure 17: Nymex natural gas position by trading
category
20
40
60
80
100
120
140
160
-600
-400
-200
0
200
400
Jun-06 May-07 Apr-08 Mar-09 Feb-10 Jan-11 Dec-11 Nov-12 Oct-13 Sep-14
K Contracts
Producers / Merchants Swap Dealers
Money Managers Other Reportable
WTI price
USD/bbl
0
2
4
6
8
10
12
14
16
-340
-240
-140
-40
60
160
260
Jun-06 May-07 Apr-08 Mar-09 Feb-10 Jan-11 Dec-11 Nov-12 Oct-13 Sep-14
K Contracts
Producers / Merchants Swap Dealers Money Managers
Other Reportable US Natural gas Price
USD/mmBTU
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
Figure 18: Comex gold position by trading category Figure 19: Comex copper position by trading category
500
1000
1500
2000
-300
-200
-100
0
100
200
300
Jun-06 May-07 Apr-08 Mar-09 Feb-10 Jan-11 Dec-11 Nov-12 Oct-13 Sep-14
K Contracts
Producers / Merchants Swap Dealers
Money Managers Other Reportable
Gold price
USD/oz
0
50
100
150
200
250
300
350
400
450
500
-80
-60
-40
-20
0
20
40
60
Jun-06 May-07 Apr-08 Mar-09 Feb-10 Jan-11 Dec-11 Nov-12 Oct-13 Sep-14
K Contracts
Producers / Merchants Swap Dealers
Money Managers Other Reportable
Copper price
USc/lb
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
Figure 20: CBOT corn position by trading category Figure 21: CBOT soybean position by trading category
100
300
500
700
900
-900
-700
-500
-300
-100
100
300
500
Jun-06 May-07 Apr-08 Mar-09 Feb-10 Jan-11 Dec-11 Nov-12 Oct-13 Sep-14
K Contracts
Producers / Merchants Swap DealersMoney Managers Other ReportableCorn price
USc/bu
500
700
900
1100
1300
1500
1700
1900
-400
-300
-200
-100
0
100
200
300
Jun-06 May-07 Apr-08 Mar-09 Feb-10 Jan-11 Dec-11 Nov-12 Oct-13 Sep-14
K Contracts
Producers / Merchants Swap Dealers
Money Managers Other Reportable
Soybean price
USc/bu
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 8 Deutsche Bank AG/London
Long Position changes
Disaggregated COT report - Energy Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Long
Weekly Change
12M Average
Long Weekly Change
12M Average
Long Weekly Change
12M Average
Long Weekly Change
12M Average
Nymex WTI 254.8 19.1 312.7 122.7 2.5 128.6 266.2 -4.2 311.7 160.8 6.8 164.9
ICE WTI 202.2 14.7 230.3 10.2 2.0 12.1 26.8 -5.3 55.3 55.6 -0.4 37.5
Heating oil 115.1 3.7 95.2 72.0 1.3 53.4 24.4 -0.2 37.1 32.0 -2.2 17.0
RBOB gasoline 86.9 4.1 81.6 37.6 -0.6 36.9 56.9 4.6 64.1 34.3 -0.3 31.4
US Natural gas 127.7 4.8 139.8 163.8 13.8 144.5 233.6 -15.8 274.1 21.9 1.2 30.2
Source: CFTC, Deutsche Bank
Disaggregated COT report - Metals Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Long
Weekly Change
12M Average
Long Weekly Change
12M Average
Long Weekly Change
12M Average
Long Weekly Change
12M Average
Copper 29.0 3.4 19.0 57.2 -0.2 51.4 33.5 1.3 37.7 20.8 1.2 11.5
Gold 63.2 5.0 84.5 50.7 -7.4 40.2 118.3 -0.7 126.8 54.3 1.1 49.8
Silver 27.2 -0.5 21.0 41.9 0.5 35.4 36.6 -2.2 34.7 15.2 -0.1 11.9
Source: CFTC, Deutsche Bank
Disaggregated COT report - Agriculture Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Long
Weekly Change
12M Average
Long Weekly Change
12M Average
Long Weekly Change
12M Average
Long Weekly Change
12M Average
Corn 321.5 -1.0 382.5 308.6 -2.5 283.8 332.2 0.2 270.9 126.1 -6.8 120.7
Wheat 71.7 -4.5 73.3 118.1 2.0 109.1 80.7 -0.4 86.3 39.2 -2.8 29.5
Soybeans 358.9 -5.2 208.3 93.3 0.7 93.3 98.3 -5.7 159.5 76.2 0.2 57.6
Sugar 209.4 -14.5 224.1 210.0 -4.2 210.8 173.6 -3.9 185.5 63.1 -4.3 58.4
Note: ICE WTI 12M averages are the averages of data since September 2009 Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 9
Chartbook of CFTC disaggregated COT report – Long Position
Figure 22: Nymex crude oil position by trading category Figure 23: Nymex natural gas position by trading
category
85
90
95
100
105
110
-80
-60
-40
-20
0
20
40
60
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables WTI price
K contracts
WTI
USD/bbl
3
4
5
6
-60
-40
-20
0
20
40
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables US natural gas price
K contracts
US natural gas
USD/mmBTU
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
Figure 24: Comex gold position by trading category Figure 25: Comex copper position by trading category
1100
1200
1300
1400
1500
-40
-20
0
20
40
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Gold price
K contracts
Gold
USD/oz
250
300
350
400
-20
-15
-10
-5
0
5
10
15
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Copper price
K contracts
Copper
USc/lb
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
Figure 26: CBOT corn position by trading category Figure 27: CBOT soybean position by trading category
300
400
500
600
700
-100
-80
-60
-40
-20
0
20
40
60
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Corn price
K contracts
Corn
USc/bu
900
1000
1100
1200
1300
1400
1500
1600
-50
-30
-10
10
30
50
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Soybean price
K contracts
Soybean
USc/bu
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 10 Deutsche Bank AG/London
Short Position changes
Disaggregated COT report - Energy Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Short
Weekly Change
12M Average
Short Weekly Change
12M Average
Short Weekly Change
12M Average
Short Weekly Change
12M Average
Nymex WTI 304.7 30.2 338.3 401.0 -7.7 505.8 74.0 5.5 39.0 53.2 0.5 53.4
ICE WTI 125.5 9.7 157.0 136.7 0.0 159.6 27.8 2.0 13.9 6.0 0.1 7.6
Heating oil 173.3 2.0 146.5 0.4 -0.6 5.8 55.0 0.5 24.8 15.6 1.0 38.7
RBOB gasoline 159.9 7.6 175.7 5.7 2.5 3.8 36.5 -5.5 20.4 12.0 1.2 20.4
US Natural gas 118.1 -3.1 182.6 16.9 -5.3 32.3 227.3 4.1 205.1 221.3 -3.1 211.1
Source: CFTC, Deutsche Bank
Disaggregated COT report - Metals Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Short
Weekly Change
12M Average
Short Weekly Change
12M Average
Short Weekly Change
12M Average
Short Weekly Change
12M Average
Copper 47.5 2.4 48.7 4.5 -0.5 7.2 54.7 1.1 31.4 24.8 2.9 27.5
Gold 91.7 3.5 109.0 86.7 -5.2 129.5 81.1 -0.2 46.1 24.6 0.8 22.5
Silver 43.3 -2.1 47.7 37.5 0.6 37.5 43.7 -1.2 24.2 5.2 -1.3 4.2
Source: CFTC, Deutsche Bank
Disaggregated COT report - Agriculture Market (in thousands)
Contracts Producer/Merchant/Processor/User Swap Dealers Managed Money Other Reportables
Short
Weekly Change
12M Average
Short Weekly Change
12M Average
Short Weekly Change
12M Average
Short Weekly Change
12M Average
Corn 601.1 20.8 627.7 3.6 -2.1 4.2 259.2 12.2 211.2 58.5 -2.2 59.7
Wheat 114.9 3.7 135.1 2.2 -0.9 8.5 148.6 -3.7 114.3 31.8 -0.3 26.6
Soybeans 296.1 9.8 337.0 8.3 0.3 9.6 122.8 3.6 62.0 75.9 -15.2 46.4
Sugar 386.2 -2.9 498.1 33.7 5.6 36.8 210.2 -19.1 128.3 13.4 -4.3 18.7
Note: ICE WTI 12M averages are the averages of data since September 2009 Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 11
Chartbook of CFTC disaggregated COT report – Short Position
Figure 28: Nymex crude oil position by trading category Figure 29: Nymex natural gas position by trading
category
85
90
95
100
105
110
-70
-50
-30
-10
10
30
50
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables WTI price
K contracts
WTI
USD/bbl
3.0
3.5
4.0
4.5
5.0
5.5
6.0
-60
-40
-20
0
20
40
60
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables US natural gas price
K contracts
US natural gas
USD/mmBTU
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
Figure 30: Comex gold position by trading category Figure 31: Comex copper position by trading category
1100
1200
1300
1400
1500
-50
-25
0
25
50
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Gold price
K contracts
Gold
USD/oz
250
300
350
400
-20
-15
-10
-5
0
5
10
15
20
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Copper price
K contracts
Copper
USc/lb
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
Figure 32: CBOT corn position by trading category Figure 33: CBOT soybean position by trading category
300
400
500
600
700
-100
-80
-60
-40
-20
0
20
40
60
80
100
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Corn price
K contracts
Corn
USc/bu
900
1000
1100
1200
1300
1400
1500
1600
-60
-40
-20
0
20
40
60
80
Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14
Producer/Merchants Swap Dealers Money Managers
Other Reportables Soybean price
K contracts
Soybean
USc/bu
Source: CFTC, Deutsche Bank
Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 12 Deutsche Bank AG/London
DB Commodity Positioning Index
The DB Commodity Positioning universe covers non-commercial future positions held on 13 different commodities across energy, precious metals, industrial metals and agriculture sectors as reported by the Commodities Futures Trading Commission (CFTC) every Friday. The index measures the magnitude of the current net speculative position relative to its long-term average on a scale of -10 to +10. A positive value indicates a net long position, while a negative value indicates a net short and the index level corresponds to its percentile rank.
For example, an index level of +8.7 indicates that the current net long position lies at the 87th percentile relative to the net long positions held historically (since January 03, 2006). Similarly, an index level of -4.3 suggests that the current net short position lies at the 43rd percentile of the net shorts distribution.
The DB Sector Positioning Index tracks the degree of speculative positioning in energy, metals and agriculture sectors. To avoid any offsetting effect, only absolute values of net positions are taken into account in calculating the index level. Thus, the DB Sector Positioning Index can only take positive values between 0 and 10. In essence, the DB Sector Positioning Index gives a sense of the scale of speculative positioning or liquidation risk in a particular sector.
Figure 37 shows the ratio between net positions (difference between total open long and open short) and open speculative interest (total number of open long and short contracts held by speculators). The standardized net speculative position reflects the speculative community’s directional view towards the underlying commodity.
DB Commodity Positioning Index
Net shorts in wheat and net length in palladium remain at aggressive levels.
Figure 34: DB Commodity Positioning Index (DB CPI)
0.09-0.11 -0.33
-1.40
0.63
0.04 -0.02
-0.644.38
0.22
1.20
-0.04
0.31
-10
-6
-2
2
6
10
Wheat Copper NatGas Heating oil
Soybean Silver Gold Sugar Corn RBOB Platinum WTI Palladium
Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 13
Figure 35: DB Commodity Positioning Index
7-Oct-14 3mma Change (WoW)
WTI 8.01 8.45 -0.04
RBOB 3.39 3.60 1.20
Heating oil -6.88 -3.27 -1.40
NatGas -9.30 -8.62 -0.33
Copper -9.34 -2.72 -0.11
Gold 0.70 3.13 -0.02
Silver 0.11 3.82 0.04
Palladium 8.82 9.22 0.31
Platinum 7.17 8.80 0.22
Sugar 2.24 1.43 4.38
Soybean -5.21 -4.04 0.63
Corn 3.04 2.94 -0.64
Wheat -9.57 -8.61 0.09
Net long bigger Net short smaller
Net short bigger Net long smaller Source: CFTC, Deutsche Bank
Figure 36: DB Sector Positioning Index
0
2
4
6
Energy Metals Agriculture
Current week
Previous week
Source: Deutsche Bank
Figure 37: Net position as a percentage of open speculative interest
7-Oct-14 3mma 30-Sep-14 Change
WTI 54.1% 59.9% 55.5% -1.5%
RBOB 30.6% 32.2% 24.4% 6.1%
Heating oil -11.2% -5.3% -8.0% -3.1%
NatGas -27.4% -24.2% -24.7% -2.7%
Copper -18.8% -6.0% -18.6% -0.2%
Gold 24.1% 45.4% 24.2% -0.1%
Silver 3.0% 28.1% 2.7% 0.3%
Palladium 74.6% 71.6% 69.9% 4.7%
Platinum 43.4% 66.2% 40.7% 2.7%
Sugar 2.9% 4.1% -0.4% 3.3%
Soybean -6.5% -4.7% -7.8% 1.3%
Corn 18.1% 18.2% 20.4% -2.2%
Wheat -20.2% -18.7% -20.0% -0.2% Source: CFTC, Deutsche Bank
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 14 Deutsche Bank AG/London
Appendix 1
Important Disclosures
Additional information available upon request
For disclosures pertaining to recommendations or estimates made on securities other than the primary subject of this research, please see the most recently published company report or visit our global disclosure look-up page on our website at http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr
Analyst Certification
The views expressed in this report accurately reflect the personal views of the undersigned lead analyst(s). In addition, the undersigned lead analyst(s) has not and will not receive any compensation for providing a specific recommendation or view in this report. Michael Lewis/Jayati Mukherjee
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Deutsche Bank AG/London Page 15
(a) Regulatory Disclosures
(b) 1. Country-Specific Disclosures
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indirectly affected by revenues deriving from the business and financial transactions of Deutsche Bank. In cases where
at least one Brazil based analyst (identified by a phone number starting with +55 country code) has taken part in the
preparation of this research report, the Brazil based analyst whose name appears first assumes primary responsibility for
its content from a Brazilian regulatory perspective and for its compliance with CVM Instruction # 483.
EU countries: Disclosures relating to our obligations under MiFiD can be found at
http://www.globalmarkets.db.com/riskdisclosures.
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Registration number - Registered as a financial instruments dealer by the Head of the Kanto Local Finance Bureau
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(c) Risks to Fixed Income Positions
Macroeconomic fluctuations often account for most of the risks associated with exposures to instruments that promise
to pay fixed or variable interest rates. For an investor that is long fixed rate instruments (thus receiving these cash
flows), increases in interest rates naturally lift the discount factors applied to the expected cash flows and thus cause a
loss. The longer the maturity of a certain cash flow and the higher the move in the discount factor, the higher will be the
loss. Upside surprises in inflation, fiscal funding needs, and FX depreciation rates are among the most common adverse
macroeconomic shocks to receivers. But counterparty exposure, issuer creditworthiness, client segmentation, regulation
(including changes in assets holding limits for different types of investors), changes in tax policies, currency
13 October 2014
CFTC Commitment of Traders: Report for w/e 7 October 2014
Page 16 Deutsche Bank AG/London
convertibility (which may constrain currency conversion, repatriation of profits and/or the liquidation of positions), and
settlement issues related to local clearing houses are also important risk factors to be considered. The sensitivity of fixed
income instruments to macroeconomic shocks may be mitigated by indexing the contracted cash flows to inflation, to
FX depreciation, or to specified interest rates - these are common in emerging markets. It is important to note that the
index fixings may -- by construction -- lag or mis-measure the actual move in the underlying variables they are intended
to track. The choice of the proper fixing (or metric) is particularly important in swaps markets, where floating coupon
rates (i.e., coupons indexed to a typically short-dated interest rate reference index) are exchanged for fixed coupons. It is
also important to acknowledge that funding in a currency that differs from the currency in which the coupons to be
received are denominated carries FX risk. Naturally, options on swaps (swaptions) also bear the risks typical to options
in addition to the risks related to rates movements.
David Folkerts-Landau Group Chief Economist
Member of the Group Executive Committee
Guy Ashton Global Chief Operating Officer
Research
Marcel Cassard Global Head
FICC Research & Global Macro Economics
Richard Smith and Steve Pollard Co-Global Heads Equity Research
Michael Spencer Regional Head
Asia Pacific Research
Ralf Hoffmann Regional Head
Deutsche Bank Research, Germany
Andreas Neubauer Regional Head
Equity Research, Germany
Steve Pollard Regional Head
Americas Research
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