CFTC Commitment of Traders - etf.dws.com · the US heads into what is likely to be a colder than normal winter and upcoming refinery maintenance. Commercial hedgers were also seen

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

[email protected]

Jayati Mukherjee

Strategist

(+91) 22 6181-2036

[email protected]

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


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


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

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0

20

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60


K Contracts

Producers / Merchants Money Managers Copper price

USc/lbK Contracts


13 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%


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

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


13 October 2014



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%


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



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



13 October 2014



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%


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



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



13 October 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 -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


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 -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


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 -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



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

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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


K Contracts

Producers / Merchants Swap Dealers Money Managers

Other Reportable US Natural gas Price

USD/mmBTU



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

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50

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450

500

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-60

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-20

0

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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 DealersMoney 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



13 October 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 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




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




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


13 October 2014



Chartbook of CFTC disaggregated COT report – Long Position


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



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



13 October 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 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




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




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


13 October 2014



Chartbook of CFTC disaggregated COT report – Short Position


category

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



13 October 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.

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


13 October 2014



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


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



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

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13 October 2014



(a) Regulatory Disclosures

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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

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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

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13 October 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.

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Member of the Group Executive Committee

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Research

Marcel Cassard Global Head

FICC Research & Global Macro Economics

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Deutsche Bank Research, Germany

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Equity Research, Germany

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Americas Research

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