cftc commitment of traders - dws · 2 march 2015 cftc commitment of traders: report for w/e 24...

Deutsche Bank Markets Research

Global

Commodities

Date 2 March 2015

CFTC Commitment of Traders

Report for w/e 24 February 2015

________________________________________________________________________________________________________________

Deutsche Bank AG/London

DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 148/04/2014.

Michael Hsueh

Strategist

(+44) 20 754-78015

[email protected]

Jayati Mukherjee

Strategist

(+91) 22 6181-2036

[email protected]

WTI: Net length smallest since December 2014

Platinum: Net length smallest since November 2014

Corn: Net length smallest since October 2014

Energy With the exception of heating oil the speculative community exhibited a

bearish stance towards the energy complex during the past reporting week. As prices for WTI dropped by $5/bbl for this reporting week the speculative community was seen cutting back on their net long positions by 24.2K contracts. This significant level of cutback was last seen in August ’14. We believe that this bearish sentiment is driven by very high current levels of US crude inventory builds indicating an oversupplied market. The Brent-WTI discount has widened out to its largest discount for more than a year. In absence of a lifting of restrictions on US crude exports, we expect continued inventory builds in the US. In our opinion, better than expected Chinese factory activity data and low OPEC (Iraq) output levels in February and multiyear high refinery margins will offer temporary support to Brent prices in the coming week and thus risks widening the Brent-WTI discount even further. Hence we expect the speculative community to further trim their net long positioning in WTI.

The speculative community continued to cut net long positioning for RBOB by 4.8K contracts despite a significant increase in gasoline prices. Meanwhile, in heating oil even though prices declined this reporting week the speculative community was seen reducing net short positions by 2.8K contracts.

In US natural gas, the speculative community increased their net short positions by 2.7K contracts despite an increase in the prices during this reporting week. We believe that the dry gas production is likely to be strong in the coming months, leading to storage surpluses in coming months, and creating downside pressure on prices. As a result we expect the speculative community to further increase net short positioning in this market.

Metals

The speculative community exhibited a mixed stance towards the metals complex during the latest reporting week. Over the last four weeks the speculative community has continued to trim net long positions in gold, silver, and platinum as prices continued to decline in the last month. We believe that stronger US growth will prove bearish for the gold price and in our view the only risk to this assessment would be the effect of extreme cold weather affecting US rate expectations.

In copper the speculative community reduced net shorts as prices appreciated over this reporting week. With copper prices close to marginal cost of production and investors holding record shorts the market may start to look oversold in the event of Chinese growth numbers improving and the Fed tightening rates. We expect these events to unfold in the second half of the year.

Agriculture

As prices for soybeans increased the speculative community increased its net long positioning during this reporting week. As for corn and sugar, speculators were seen trimming net length as prices declined as a result of lower feedstock prices associated with lower energy prices and continued ample supplies.

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 2015

USD/bbl

Open Interest (lhs)

Crude Oil price (rhs)

K Open InterestK 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 2015

USD/oz

Open Interest (lhs)

Gold price (rhs)

KK Open Interest


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 2015

Open Interest (lhs)

Copper price (rhs)

K USc/lbK Open Interest

Source: Deutsche Bank


2 March 2015

CFTC Commitment of Traders: Report for w/e 24 February 2015


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 Feb 24, 2015 Heating Oil: Money Managers net short lowest since Aug’14 Copper: Money managers almost eliminate their net short positions

As prices declined for WTI during this reporting week, money managers were seen cutting back on their net long positioning after building additional net length last week. We believe that the seasonal record high US crude inventory level is weighing down on the US crude market. According to the latest data published by the EIA, US total crude inventory level built to a record of 8.4 million barrels on back of reduced refinery runs, elevated imports and oversupply. Cushing inventories rose to 2.4 million barrels for last week and with the ongoing high levels of weekly crude inventory builds, the market expects Cushing storage capacity to max out by end of April. We believe this to be extremely bearish for the US crude market and as a result we expect the money managers to continue trimming net long positioning in the US crude market. Meanwhile commercial hedgers were seen increasing net short positioning for the third consecutive week now.

Meanwhile, even though prices for RBOB gasoline rose significantly during this reporting week, money managers were seen cutting back on bullish positions for the second consecutive week now. We believe that the recent 3.1 million barrel gasoline draw in the US, with ongoing refinery maintenance and issues in PADD 1 refineries have kept prices supported in recent weeks and as a result we expect money managers to start rebuilding net long positioning in coming weeks. Meanwhile even though prices increased for heating oil, money managers reduced net short positions by 5K contracts. The recent large distillate draw, especially in the US Northeast, was driven by extreme cold weather and came despite higher imports. In our opinion, this is likely to keep prices for heating oil elevated in the short run. Hence we expect money managers to continue cutting back on net short positioning for heating oil.

Money managers cut back on bullish strategies in gold for the fourth consecutive week as prices fell during this reporting week. Meanwhile in copper as prices continue to appreciate, money managers were seen reducing their net short positioning by a significant degree (8.8K contracts). They have now almost eliminated their bearish stance in copper on renewed expectations that US monetary policy will stay flexible for longer.


Nymex crude oil net position vs Price

(Money Managers & PMPU)

20

40

60

80

100

120

140

160

-600

-400

-200

0

200

400

Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15

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


2 March 2015



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

Contracts NYMEX Crude oil Natural gas RBOB Heating oil

Long 502,034 246,152 117,766 67,195

Change 16,223 5,111 -469 1,339

Short 197,607 476,984 49,066 90,861

Change 40,452 7,858 4,298 -1,541

Net 304,427 -230,832 68,700 -23,666

Change contracts -24,229 -2,747 -4,767 2,880

Price USD 49.28 2.89 1.82 1.87

Change -9.2% 4.7% 14.6% -5.2%

Open Interest 2,532,558 1,002,032 359,458 396,945

Change 1.6% -3.4% -4.7% -9.6%

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



2 March 2015



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

Contracts Copper Gold Silver Platinum Palladium

Long 50,684 199,755 57,582 47,323 24,421

Change 5,812 -5,017 -2,158 500 113

Short 80,677 60,890 19,852 22,948 4,840

Change -1,986 2,709 100 3,407 -494

Net -29,993 138,865 37,730 24,375 19,581

Change contracts 7,798 -7,726 -2,258 -2,907 607

Price US$ 2.64 1,197.30 16.23 1,162.60 791.50

Change 2.3% -0.9% -1.1% -1.2% 0.9%

Open Interest 172,321 592,890 207,996 70,077 33,836

Change -7.9% -1.6% -8.1% 1.9% -3.6% Source: CFTC, Deutsche Bank

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

50

125

200

275

350

425

500

-50

-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



2 March 2015



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

Corn Wheat Soybean Sugar

Long 359,908 118,678 173,054 233,398

Change -2,949 7,238 8,868 3,834

Short 205,950 145,307 158,041 209,669

Change 16,439 9,040 -14,942 30,568

Net 153,958 -26,629 15,013 23,729

Change contracts -19,388 -1,802 23,810 -26,734

Price US$ 377.50 505.75 1,016.00 14.17

Change -3.1% -5.4% 0.8% -6.4%

Open Interest 1,621,404 489,298 884,614 963,188

Change -8.9% -8.5% -6.9% -0.9% 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



2 March 2015



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 -130.6 -0.5 -62.9 -186.0 8.8 -317.0 202.6 -6.5 248.5 101.8 -17.7 110.2

ICE WTI 20.0 -3.5 61.1 -68.6 4.7 -118.0 27.5 -1.2 20.8 19.1 0.8 33.0

Heating oil -68.3 -2.6 -55.9 80.4 -2.8 61.9 -15.2 5.0 -4.3 -8.4 -2.2 -10.5

RBOB gasoline -115.0 3.2 -98.9 44.9 0.8 31.8 41.2 -3.2 45.0 27.5 -1.6 18.4

US Natural gas -8.4 -4.7 -15.2 209.7 0.4 129.3 -67.2 -6.2 29.0 -163.6 3.4 -183.9


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 -19.5 -9.0 -24.4 59.5 0.3 50.8 -0.3 8.8 1.4 -29.6 -1.0 -20.5

Gold -68.3 4.6 -43.8 -82.2 4.7 -87.5 103.5 -6.6 95.9 35.3 -1.1 29.6

Silver -24.4 4.1 -24.8 -18.5 -0.1 -6.8 29.3 -2.2 13.3 8.4 0.0 8.1


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 -245.9 -4.9 -338.8 231.2 17.4 273.9 80.2 -22.6 158.9 73.8 3.2 71.7

Wheat -68.3 6.7 -83.9 103.8 -2.5 106.9 -32.2 -6.0 -16.7 5.6 4.2 5.0

Soybeans -29.7 -25.6 -58.8 91.0 -1.7 86.2 0.3 15.9 47.2 14.7 7.9 10.0

Sugar -191.2 20.2 -238.0 162.5 7.7 173.2 -37.1 -30.9 22.4 60.8 4.1 44.3


2 March 2015



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

Feb-07 Feb-08 Feb-09 Feb-10 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15

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


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


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



2 March 2015



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 318.4 19.6 289.6 183.0 5.8 128.2 320.3 10.6 304.3 181.8 5.6 164.0

ICE WTI 175.5 5.5 205.7 19.3 3.3 13.2 48.9 0.6 41.4 31.5 4.5 41.4

Heating oil 102.1 -10.8 99.4 82.5 -2.2 65.1 37.8 1.6 35.2 29.4 -0.3 22.0

RBOB gasoline 84.5 -3.7 89.3 47.7 0.7 36.8 79.1 -0.3 71.9 38.7 -0.2 35.1

US Natural gas 117.5 -10.4 134.6 222.8 0.5 155.9 213.6 5.0 248.3 32.6 0.1 28.6




Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Copper 26.0 -6.2 22.9 62.8 0.8 55.3 39.9 3.8 37.2 10.8 2.1 12.2

Gold 41.0 1.3 62.3 54.4 3.9 44.9 139.5 -4.5 137.3 60.2 -0.5 55.1

Silver 22.9 -2.9 22.9 32.0 -1.9 36.7 44.3 -2.7 39.3 13.3 0.5 12.8




Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Corn 363.4 -59.7 353.9 259.9 16.9 282.8 227.0 -6.3 303.1 132.9 3.3 128.6

Wheat 62.3 -0.8 64.0 109.0 -2.3 112.6 72.7 0.4 82.4 46.0 6.9 33.4

Soybeans 262.8 -36.9 252.0 95.4 -0.9 92.7 98.0 8.5 132.5 75.1 0.4 66.6

Sugar 265.2 -9.8 235.6 200.8 -1.7 207.9 149.9 -0.4 177.0 83.5 4.2 65.1


2 March 2015



Chartbook of CFTC disaggregated COT report – Long Position


category

404550556065707580859095100105110

-80

-60

-40

-20

0

20

40

60

Feb-14 Apr-14 Jun-14 Aug-14 Oct-14 Dec-14 Feb-15

Producer/Merchants Swap Dealers Money Managers

Other Reportables WTI price

K contracts

WTI

USD/bbl

2

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

240

290

340

390

-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



2 March 2015



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 449.0 20.1 352.5 369.0 -3.0 445.1 117.6 17.2 55.8 80.0 23.3 53.9

ICE WTI 155.4 9.1 144.7 87.8 -1.4 131.3 21.4 1.8 20.7 12.4 3.7 8.4

Heating oil 170.4 -8.2 155.2 2.1 0.6 3.2 53.0 -3.4 39.5 37.9 1.9 32.5

RBOB gasoline 199.5 -6.9 188.2 2.9 -0.1 5.0 37.9 2.9 26.9 11.1 1.4 16.7

US Natural gas 125.9 -5.6 149.9 13.2 0.1 26.6 280.8 11.2 219.3 196.2 -3.3 212.5




Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Copper 45.6 2.8 47.2 3.3 0.5 4.5 40.3 -5.1 35.8 40.4 3.1 32.7

Gold 109.3 -3.3 106.0 136.6 -0.9 132.4 36.0 2.1 41.4 24.9 0.6 25.5

Silver 47.3 -7.0 47.7 50.5 -1.8 43.5 15.0 -0.4 26.0 4.8 0.5 4.7




Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Corn 609.3 -54.8 692.7 28.7 -0.5 8.9 146.9 16.3 144.2 59.1 0.1 56.9

Wheat 130.6 -7.5 147.8 5.2 0.2 5.8 104.9 6.4 99.1 40.4 2.7 28.4

Soybeans 292.6 -11.3 310.8 4.4 0.8 6.5 97.7 -7.4 85.2 60.4 -7.5 56.6

Sugar 456.4 -29.9 473.6 38.3 -9.4 34.7 187.0 30.5 154.6 22.7 0.1 20.8


2 March 2015



Chartbook of CFTC disaggregated COT report – Short Position


category

404550556065707580859095100105110

-70

-50

-30

-10

10

30

50



Other Reportables WTI price

K contracts

WTI

USD/bbl

2.5

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

240

290

340

390

-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



2 March 2015



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 Nat Gas and net length in Palladium remain at aggressive levels.

Figure 34: DB Commodity Positioning Index (DB CPI)

-9.71 -9.45

-7.70

-5.27

0.52

2.523.35

4.40

6.937.60 7.84 7.99 8.01

-11

-7

-3

1

5

9

NatGas Copper Heatingoil

Wheat Soybean Sugar Corn Gold Platinum Silver RBOB WTI Palladium


2 March 2015



Figure 35: DB Commodity Positioning Index


Figure 36: DB Sector Positioning Index

0

2

4

6

8

10

Energy Metals Agriculture

Current week

Previous week


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


2 March 2015



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 Hsueh/Jayati Mukherjee

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

2 March 2015



(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

report are not registered credit rating agencies in Japan unless "Japan" or "Nippon" is specifically designated in the

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

within the scope of its existing QFCRA license. Principal place of business in the QFC: Qatar Financial Centre, Tower,

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

financial products or services are only available to Business Customers, as defined by the Qatar Financial Centre

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any appraisal or evaluation activity requiring a license in the Russian Federation.

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Capital Market Authority. Deutsche Securities Saudi Arabia may only undertake the financial services activities that fall

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defined by the Dubai Financial Services Authority.

(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

2 March 2015



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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Global Disclaimer

Investing in and/or trading commodities involves significant risk and may not be suitable for everyone. Participants in commodities transactions may incur risks from several factors, including changes in supply and demand of the commodity that can lead to large fluctuations in price. The use of leverage magnifies this risk. Readers must make their own investing and trading decisions using their own independent advisors as they believe necessary and based upon their specific objectives and financial situation. Past performance is not necessarily indicative of future results. Deutsche Bank may with respect to securities covered by this report, sell to or buy from customers on a principal basis, and consider this report in deciding to trade on a proprietary basis. Deutsche Bank makes no representation as to the accuracy or completeness of the information in this report. Target prices are inherently imprecise and a product of the analyst judgement. Deutsche Bank may buy or sell proprietary positions based on information contained in this report. Deutsche Bank may engage in securities transactions, on a proprietary basis or otherwise, in a manner inconsistent with the view taken in this research report. In addition, others within Deutsche Bank, including strategists and sales staff, may take a view that is inconsistent with that taken in this research report. Deutsche Bank has no obligation to update, modify or amend this report or to otherwise notify a reader thereof. This report is provided for information purposes only. It is not to be construed as an offer to buy or sell any financial instruments or to participate in any particular trading strategy. Prices are current as of the end of the previous trading session unless otherwise indicated and are sourced from local exchanges via Reuters, Bloomberg and other vendors. Data is sourced from Deutsche Bank and subject companies.

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