cftc commitment of traders · increased during this reporting week despite opec leaving its quota...

Deutsche Bank Markets Research

Global

Commodities

Date 8 December 2014

CFTC Commitment of Traders

Report for w/e 2 December 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

[email protected]

Jayati Mukherjee

Strategist

(+91) 22 6181-2036

[email protected]

WTI: Net length is increased despite extreme price drop

Copper: Net short position at record high

Sugar: Net long positions reversed to net short

Energy

With the exception of WTI, the speculative community exhibited a bearish stance towards the energy complex. We find that net length in WTI increased during this reporting week despite OPEC leaving its quota levels unchanged and oil prices hitting multi-year lows. However, this adjustment in positioning was largely as a result of gross short positions being cut by 14% rather than an increase in gross long positions, which rose by a meager 1%. This would tend to suggest that after the rapid decline in oil prices the speculative community may have thought the sell-off in oil prices was overdone.

In our opinion this could also be a result of speculators unwinding risk positions as we approach the year end. With Saudi Arabia announcing additional reductions in its official selling price to Asian and US markets and Libya’s El Sharara oil field coming online shortly we expect the bias among the speculative community will be to start cutting back its gross net length in the few coming weeks.

Net length in RBOB gasoline was cut for the second consecutive week as prices fell sharply during this reporting week. We expect this sentiment to continue in the short term as US gasoline inventories rise despite lower refinery production.

Net short positioning in heating oil increased to its largest level since January 2014 as prices continued to slide downward. We expect the speculative community will increase their net short positions heading into the year end on the back of higher inventory builds and the possibility of a milder US winter.

Net short positioning in US natural gas was increased during the reporting week. Along with copper and heating oil, this is one of the strongest directional views held by the speculative community and in danger of reversing in the event of unforeseen cold weather appearing in the US.

Metals

In metals, speculators exhibited bullishness towards gold, silver, and

platinum by increasing their net long positions whereas they exhibited a bearish sentiment towards copper and palladium. In copper, the speculative community increased their net shorts to historically extreme levels. While monetary easing in China is unlikely to have a material impact on metals demands in the near term, it may help to stem additional building in net shorts.

Agriculture With the exception of wheat the speculative community exhibited a

bearish stance towards the agricultural complex. Net length in corn and

soybean decreased as prices fell during the reporting week whereas

positioning in sugar reversed to a net short from a net long

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


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

2-Dec-14 25-Nov-14 12M avg

Crude o il 291,357 270,010 374,880

Natural gas -206,295 -188,266 -120,750

RBOB Gasoline 66,863 69,354 57,100

Heating o il -29,641 -22,439 -10,433

Gold 104,751 91,479 106,921

Silver 20,751 14,574 16,329

Platinum 26,796 23,301 36,476

Palladium 21,130 21,601 22,542

Copper -34,190 -28,325 -11,419

Corn 287,680 291,535 169,248

Wheat -5,940 -8,044 -24,695

Soybean 28,786 51,561 94,092

Sugar -7,950 28,200 69,253 Source: Deutsche Bank

8 December 2014

CFTC Commitment of Traders: Report for w/e 2 December 2014


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 December 02, 2014 WTI: Money Managers increase net length after two weeks RBOB: Net length highest since July 2014 US Natural Gas: Money Manager reverse net long to net short Soybean: Money Managers trim 60% of existing net length

Despite the fact that the prices for WTI plummeted during this

reporting week, money managers/speculators were seen boosting their bullish bets in WTI by increasing their net long positions after two consecutive weeks of scaling back. We find that the money managers cut their gross short positions by 15% while increasing gross length by a mere 4%. We believe that this sentiment could be supported by the fact that the market dropped so dramatically after the OPEC meeting that speculators thought there was limited downside. We expect the money managers will reverse course as oil market fundamentals remain weak. Refining margins in the US Gulf Coast continue to weaken despite the slump in crude price due to diminished product contributions from gasoline and diesel. The recent drop in Saudi Arabia’s crude OSP to the US market could open the crude arbitrages from other region to the US which threatens to add further downward pressure on US crude oil prices.

Even though prices fell for RBOB gasoline, money managers exhibited a bullish stance by increasing their net long positions for the fourth consecutive week. We believe this is the result of the ongoing maintenance in gasoline making Fluid Catalytic Cracker (FCC) in the US and Eastern Canada. However, with increasing refinery run rates and an inventory build of 2.1 million bbls for the last reporting week we expect this sentiment among money managers to reverse in the coming weeks.

On the other hand even though prices for heating oil declined sharply, money managers were seen cutting back on their bearish bets by reducing their net short positions for the fifth consecutive week. We believe sentiment was supported by a sharp distillate inventory drop due to extreme cold weather in the US. However as distillate inventories increase, which will indicate a weaker demand picture, we expect this sentiment will be short lived.

In US natural gas, as prices declined during this reporting week the money managers were seen reversing their net long positions to net short positions. During this week, the commercial hedgers were seen reducing their net short positions after a large increase last week.

Net Money Managers Positions, 2 week summary

2-Dec-14 25-Nov-14 12M avg

Copper -5,919 -1,872 6,233

Gold 79,497 66,228 80,595

Silver 14,428 8,826 8,707

Platinum 18,439 14,922 27,236

Palladium 19,107 18,942 19,656

Crude o il 184,374 162,009 263,229

Natural gas -5,491 31,616 73,317

RBOB Gasoline 43,022 39,747 43,550

Heating o il -20,345 -22,367 6,966

Corn 197,339 207,196 108,150

Wheat -4,115 -12,103 -29,031

Soybean 14,895 37,819 80,661

Sugar -58,268 -35,595 25,591 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

Dec-10 Jun-11 Dec-11 Jun-12 Dec-12 Jun-13 Dec-13 Jun-14 Dec-14

K Contracts

Producers / Merchants Money Managers WTI price

USD/bbl


Comex gold net position vs Price

(Money Managers & PMPU)

500

1000

1500

2000

-300

-200

-100

0

100

200

300


K Contracts

Producers / Merchants Money Managers Gold price

USD/oz


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


K Contracts

Producers / Merchants Money Managers Copper price

USc/lbK Contracts


8 December 2014



Figure 1: Commitments of non-commercial traders energy data summary

Contracts NYMEX Crude oil Natural gas RBOB Heating oil

Long 402,027 253,997 98,112 50,044

Change 4,869 -27,151 -3,294 -3,601

Short 110,670 460,292 31,249 79,685

Change -16,478 -9,122 -803 3,601

Net 291,357 -206,295 66,863 -29,641

Change contracts 21,347 -18,029 -2,491 -7,202

Price USD 66.88 3.87 1.81 2.15

Change -9.7% -12.0% -10.8% -10.0%

Open Interest 2,211,505 1,010,631 336,048 389,073

Change 7.8% 1.3% 2.7% -2.7%

Source: CFTC, ICE, Deutsche Bank

Figure 2: Nymex Crude Oil (contract 1,000bbl) Figure 3: US Natural Gas (contract 10,000mmBTU)

0

25

50

75

100

125

150

-60

0

60

120

180

240

300

360

420

480

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Crude oil price (rhs)

Net Long

K UK Contracts

Net Short

ShortShort

1

4

7

10

13

16

-350

-300

-250

-200

-150

-100

-50

0

50

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Natural gas price (rhs)

Net Long USD/mmBtu

Net Short

K Contracts

Source: CFTC, Bloomberg Finance LP, Deutsche Bank


Figure 4: Nymex RBOB Gasoline* (contract 1,000bbl) Figure 5: Nymex Heating Oil (contract 1,000bbl)

40

80

120

160

200

240

280

320

360

400

-20

0

20

40

60

80

100

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Gasoline price (rhs)

Net Long

Net Short

K ContractsUSc/g

40

100

160

220

280

340

400

460

-35

-25

-15

-5

5

15

25

35

45

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Heating oil price (rhs)

Net Long USc/gK Contracts

Net Short

Source: CFTC, Bloomberg Finance LP, Deutsche Bank *Historical data up to 12 December 2006 relates to the Nymex unleaded gasoline contract


8 December 2014



Figure 6: Commitments of non-commercial traders: metals data summary

Contracts Copper Gold Silver Platinum Palladium

Long 50,598 184,614 49,681 43,399 24,411

Change -4,697 4,428 -2,289 4 -352

Short 84,788 79,863 28,930 16,603 3,281

Change 1,168 -8,844 -8,466 -3,491 119

Net -34,190 104,751 20,751 26,796 21,130

Change contracts -5,865 13,272 6,177 3,495 -471

Price US$ 2.89 1,199.40 16.46 1,217.50 803.75

Change -2.9% 0.1% -0.9% -0.6% 0.9%

Open Interest 159,724 578,664 198,388 65,899 33,093

Change -1.0% -2.8% -3.0% -0.1% -3.9% Source: CFTC, Deutsche Bank

Figure 7: Comex Copper (contract 25,000lbs) Figure 8: Comex Gold (contract 100oz)

50

125

200

275

350

425

500

-40

-30

-20

-10

0

10

20

30

40

50

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Copper price (rhs)

K ContractsNet Long

USc/lb

Net Short

K Contracts

250

450

650

850

1050

1250

1450

1650

1850

-90

-40

10

60

110

160

210

260

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Gold price (rhs)

Net Long

Net Short

K Contracts USD/oz



Figure 9: Comex Silver (contract 5,000oz) Figure 10: Nymex Platinum (contract 50oz)

300

800

1300

1800

2300

2800

3300

3800

4300

-15

0

15

30

45

60

75

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Silver price (rhs)

Net Long

K Contracts

Net Short

USc/oz

400

800

1200

1600

2000

2400

-5

5

15

25

35

45

55

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Platinum price (rhs)

Net Long

Net Short

USD/ozK Contracts



8 December 2014



Figure 11: Commitments of non-commercial traders: agricultural commodities data summary

Corn Wheat Soybean Sugar

Long 440,954 112,393 168,341 248,323

Change -1,452 -2,620 -12,563 -7,077

Short 153,274 118,333 139,555 256,273

Change 2,403 -4,724 10,212 29,073

Net 287,680 -5,940 28,786 -7,950

Change contracts -3,855 2,104 -22,775 -36,150

Price US$ 367.75 605.25 995.75 15.24

Change -1.7% 9.7% -5.3% -4.8%

Open Interest 1,536,954 461,562 915,637 1,012,469

Change -0.6% 8.1% 2.6% 2.1% Source: CFTC, Deutsche Bank

Figure 12: CBOT corn (contract 5,000 bushels) Figure 13: CBOT wheat (contract 5,000 bushels)

150

250

350

450

550

650

750

850

950

-150

-50

50

150

250

350

450

550

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Corn price (rhs)

Short

USc/buK Contracts

Short

Net Short

Net Long

150

350

550

750

950

1150

1350

-70

-50

-30

-10

10

30

50

70

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Wheat price (rhs)

Net LongUSc/bu

K Contracts

Net Short



Figure 14: CBOT soybean (contract 5,000 bushels) Figure 15: COMEX sugar (contract 112,000 lbs)

400

600

800

1000

1200

1400

1600

1800

2000

-80

-30

20

70

120

170

220

270

320

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Soybean price (rhs)

Net Long

Short

USc/bu

Net Short

K Contracts

4

8

12

16

20

24

28

32

36

-70

-20

30

80

130

180

230

280

2007 2008 2009 2010 2011 2012 2013 2014 2015

Non-commercial net positions (lhs) Sugar price (rhs)

Net Long

Net Short

USc/lbK Contracts



8 December 2014



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 -58.3 -8.1 -38.3 -243.2 -2.0 -357.0 184.4 22.4 263.2 107.0 -1.0 112.0

ICE WTI 57.0 7.8 69.2 -96.2 8.0 -137.5 -5.7 -2.8 32.1 44.5 -11.2 32.2

Heating oil -43.4 3.4 -54.7 70.7 2.1 53.1 -20.3 2.0 7.0 -9.3 -9.2 -17.4

RBOB gasoline -96.3 0.7 -93.9 28.2 -0.5 30.9 43.0 3.3 43.6 23.8 -5.8 13.7

US Natural gas -14.5 1.6 -32.8 178.8 18.5 108.3 -5.5 -37.1 73.3 -200.8 19.1 -193.5


Disaggregated COT report - Metals Market (in thousands)


Net

Weekly Change

12M Average

Net Weekly Change

12M Average

Net Weekly Change

12M Average

Net Weekly Change

12M Average

Copper -9.6 4.8 -28.8 56.1 4.7 45.7 -5.9 -4.0 6.2 -28.3 -1.8 -17.3

Gold -45.6 -7.7 -28.5 -59.1 -12.8 -84.1 79.5 13.3 80.6 25.3 0.0 27.4

Silver -23.3 -0.2 -24.7 -3.2 -4.2 -2.4 14.4 5.6 8.7 6.3 0.6 7.9


Disaggregated COT report - Agriculture Market (in thousands)


Net

Weekly Change

12M Average

Net Weekly Change

12M Average

Net Weekly Change

12M Average

Net Weekly Change

12M Average

Corn -386.2 13.1 -293.7 265.5 -0.6 281.6 197.3 -9.9 108.2 90.3 6.0 65.7

Wheat -98.5 -6.3 -65.3 115.2 1.0 102.0 -4.1 8.0 -29.0 -1.8 -5.9 5.1

Soybeans -19.0 26.6 -102.0 85.8 0.0 83.9 14.9 -22.9 80.7 13.9 0.1 12.1

Sugar -155.7 32.2 -241.5 172.5 6.8 174.9 -58.3 -22.7 25.6 50.3 -13.5 42.9


8 December 2014



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

Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-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

Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14

K Contracts

Producers / Merchants Swap Dealers Money Managers Other ReportableUS Natural gas Price

USD/mmBT



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

Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14

K Contracts



Gold price

USD/oz

0

50

100

150

200

250

300

350

400

450

500

-80

-60

-40

-20

0

20

40

60


K Contracts



Copper price

USc/lb



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


K Contracts

Producers / Merchants Swap Dealers Money Managers Other ReportableCorn price

USc/bu

500

700

900

1100

1300

1500

1700

1900

-400

-300

-200

-100

0

100

200

300


K Contracts



Soybean price

USc/bu



8 December 2014



Long Position changes



Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Nymex WTI 261.2 13.5 296.6 118.5 -7.2 127.8 256.7 9.8 307.8 145.4 -4.9 163.6

ICE WTI 180.2 24.2 220.1 7.5 1.2 12.9 24.4 1.9 49.1 51.8 -7.8 40.2

Heating oil 108.8 -7.1 97.4 74.5 1.1 57.6 28.8 0.6 36.7 21.2 -4.2 18.8

RBOB gasoline 91.8 3.4 86.3 36.8 -1.0 35.5 62.8 -1.9 67.3 35.3 -1.4 32.4

US Natural gas 152.3 7.4 138.2 188.5 16.6 139.6 229.8 -31.1 270.3 24.2 4.0 29.1




Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Copper 27.6 3.6 19.9 59.1 3.8 51.8 35.9 -3.4 38.7 14.7 -1.3 12.4

Gold 48.7 -5.2 76.6 53.5 -7.4 43.0 128.7 3.7 129.4 56.0 0.7 51.5

Silver 22.0 2.0 22.0 38.2 -0.7 36.6 38.9 -1.6 36.1 10.8 -0.7 12.4




Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Corn 271.3 -0.7 362.4 278.2 0.4 286.2 307.3 -4.0 287.4 133.7 2.6 123.9

Wheat 64.2 14.6 72.2 119.9 1.1 109.6 85.0 2.4 84.2 27.4 -5.0 31.8

Soybeans 282.0 11.2 225.2 90.7 -2.5 92.6 99.5 -12.8 152.1 68.8 0.2 63.0

Sugar 277.4 13.7 230.8 201.7 3.4 208.4 168.4 -3.8 178.7 79.9 -3.3 62.4


8 December 2014



Chartbook of CFTC disaggregated COT report – Long Position


category

65

70

75

80

85

90

95

100

105

110

-80

-60

-40

-20

0

20

40

60

Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-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



Other Reportables US natural gas price

K contracts

US natural gas

USD/mmBTU




1100

1200

1300

1400

1500

-40

-20

0

20

40



Other Reportables Gold price

K contracts

Gold

USD/oz

250

300

350

400

-20

-15

-10

-5

0

5

10

15



Other Reportables Copper price

K contracts

Copper

USc/lb




300

400

500

600

700

-100

-80

-60

-40

-20

0

20

40

60



Other Reportables Corn price

K contracts

Corn

USc/bu

900

1000

1100

1200

1300

1400

1500

1600

-50

-30

-10

10

30

50



Other Reportables Soybean price

K contracts

Soybean

USc/bu



8 December 2014



Short Position changes



Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Nymex WTI 319.4 21.7 335.0 361.7 -5.2 484.8 72.3 -12.6 44.6 38.4 -3.9 51.5

ICE WTI 123.2 16.4 150.8 103.7 -6.7 150.4 30.1 4.6 16.9 7.3 3.4 8.0

Heating oil 152.2 -10.6 152.0 3.8 -1.0 4.5 49.2 -1.4 29.8 30.5 5.0 36.2

RBOB gasoline 188.1 2.6 180.2 8.5 -0.5 4.6 19.8 -5.2 23.7 11.5 4.4 18.7

US Natural gas 166.8 5.7 171.0 9.7 -1.9 31.3 235.3 6.0 197.0 225.0 -15.1 222.6




Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Copper 37.2 -1.1 48.7 2.9 -0.9 6.2 41.8 0.6 32.4 43.0 0.6 29.7

Gold 94.4 2.5 105.1 112.6 5.4 127.0 49.2 -9.6 48.8 30.7 0.7 24.1

Silver 45.3 2.2 46.7 41.4 3.6 39.0 24.5 -7.2 27.4 4.4 -1.3 4.6




Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Corn 657.5 -13.9 656.1 12.7 1.0 4.6 109.9 5.8 179.3 43.4 -3.4 58.2

Wheat 162.7 20.9 137.5 4.6 0.0 7.6 89.2 -5.6 113.2 29.2 0.8 26.8

Soybeans 301.0 -15.4 327.1 4.9 -2.5 8.7 84.6 10.2 71.4 54.9 0.1 50.9

Sugar 433.1 -18.5 472.4 29.2 -3.4 33.5 226.7 18.9 153.1 29.6 10.2 19.5


8 December 2014



Chartbook of CFTC disaggregated COT report – Short Position


category

65

70

75

80

85

90

95

100

105

110

-70

-50

-30

-10

10

30

50



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



Other Reportables US natural gas price

K contracts

US natural gas

USD/mmBTU




1100

1200

1300

1400

1500

-50

-25

0

25

50



Other Reportables Gold price

K contracts

Gold

USD/oz

250

300

350

400

-20

-15

-10

-5

0

5

10

15

20



Other Reportables Copper price

K contracts

Copper

USc/lb




300

400

500

600

700

-100

-80

-60

-40

-20

0

20

40

60

80

100



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



Other Reportables Soybean price

K contracts

Soybean

USc/bu



8 December 2014



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.


Net shorts in Copper and net length in palladium remain at aggressive levels.

Figure 34: DB Commodity Positioning Index (DB CPI)

-10.00-9.41 -9.34

-4.67

-1.29

1.11

2.673.22

7.52 7.58 7.78 7.898.39

-11

-7

-3

1

5

9

Copper Heatingoil

NatGas Sugar Wheat Soybean Gold Silver Platinum Corn RBOB WTI Palladium


8 December 2014



Figure 35: DB Commodity Positioning Index

2-Dec-14 3mma Change (WoW)

WTI 7.89 7.82 0.54

RBOB 7.78 5.19 -0.43

Heating oil -9.41 -7.28 -1.29

NatGas -9.34 -9.22 -0.30

Copper -10.00 -8.88 -0.25

Gold 2.67 1.49 0.84

Silver 3.22 0.58 1.45

Palladium 8.39 8.66 -0.06

Platinum 7.52 6.88 0.88

Sugar -4.67 0.19 -7.32

Soybean 1.11 -1.54 -1.06

Corn 7.58 5.38 -0.14

Wheat -1.29 -6.02 0.29

Net long bigger Net short smaller

Net short bigger Net long smaller



Figure 36: DB Sector Positioning Index

0

2

4

6

8

10

Energy Metals Agriculture

Current week

Previous week

Source: Deutsche Bank

Figure 37: Net position as a percentage of open speculative interest

2-Dec-14 3mma 25-Nov-14 Change

WTI 56.8% 54.2% 51.5% 5.3%

RBOB 51.7% 37.3% 52.0% -0.3%

Heating oil -22.8% -15.5% -17.3% -5.6%

NatGas -28.9% -27.5% -25.1% -3.8%

Copper -25.3% -19.0% -20.4% -4.9%

Gold 39.6% 29.3% 34.0% 5.6%

Silver 26.4% 6.3% 16.3% 10.1%

Palladium 76.3% 76.1% 77.4% -1.1%

Platinum 44.7% 41.5% 36.7% 8.0%

Sugar -1.6% 1.0% 5.8% -7.4%

Soybean 9.3% 4.0% 16.6% -7.3%

Corn 48.4% 32.6% 49.1% -0.7%

Wheat -2.6% -12.3% -3.4% 0.8%

Net Position as % of open spec interest


8 December 2014



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

http://gm.db.com/ger/disclosure/DisclosureDirectory.eqsr

8 December 2014



(a) Regulatory Disclosures

(b) 1. Country-Specific Disclosures

Australia and New Zealand: This research, and any access to it, is intended only for "wholesale clients" within the

meaning of the Australian Corporations Act and New Zealand Financial Advisors Act respectively.

Brazil: The views expressed above accurately reflect personal views of the authors about the subject company(ies) and

its(their) securities, including in relation to Deutsche Bank. The compensation of the equity research analyst(s) is

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.

Japan: Disclosures under the Financial Instruments and Exchange Law: Company name - Deutsche Securities Inc.

Registration number - Registered as a financial instruments dealer by the Head of the Kanto Local Finance Bureau

(Kinsho) No. 117. Member of associations: JSDA, Type II Financial Instruments Firms Association, The Financial Futures

Association of Japan, Japan Investment Advisers Association. This report is not meant to solicit the purchase of specific

financial instruments or related services. We may charge commissions and fees for certain categories of investment

advice, products and services. Recommended investment strategies, products and services carry the risk of losses to

principal and other losses as a result of changes in market and/or economic trends, and/or fluctuations in market value.

Before deciding on the purchase of financial products and/or services, customers should carefully read the relevant

disclosures, prospectuses and other documentation. "Moody's", "Standard & Poor's", and "Fitch" mentioned in this

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name of the entity.

Malaysia: Deutsche Bank AG and/or its affiliate(s) may maintain positions in the securities referred to herein and may

from time to time offer those securities for purchase or may have an interest to purchase such securities. Deutsche Bank

may engage in transactions in a manner inconsistent with the views discussed herein.

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Regulatory Authority. Deutsche Bank AG - QFC Branch may only undertake the financial services activities that fall

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West Bay, Level 5, PO Box 14928, Doha, Qatar. This information has been distributed by Deutsche Bank AG. Related

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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

http://www.globalmarkets.db.com/riskdisclosures

8 December 2014



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

Raj Hindocha 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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