CFTC Commitment of Traders - · PDF fileCFTC Commitment of Traders ... MCI (P) 148/04/2014. Michael Lewis Strategist ... Change contracts 2,434 -5,941 736 63 1,846

Deutsche Bank Markets Research

Global

Commodities

Date 10 November 2014

CFTC Commitment of Traders

Report for w/e 4 November 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]

Gold: Net length lowest since December 2013

Silver: Net short reversed to net long position

Sugar: Net long reversed to net short position

Energy

With the exception of heating oil, the speculative community has exhibited a bullish stance towards the energy complex during the last reporting week. Net length in WTI increased despite a decline in oil prices. We believe this bullish sentiment among speculators was mainly driven by geopolitical tensions in Ukraine coupled with supply disruptions from Libya. A lower than expected rise in US crude stockpiles and a positive US job growth news lended further support. However, we believe that this rebuilding in net length will be short lived as the fundamental picture continues to remain bleak. Weakening demand and ample supply will continue to drive the market downwards, in our opinion. Further, we believe that weakening China demand, a stronger US dollar and no sign of OPEC production cuts will sustain strong headwinds for oil prices over the short term. Hence, we look for a further reduction in speculative net length heading into the year end.

Net length in RBOB gasoline increased marginally even though prices fell during this reporting week. We believe that the ongoing outages of the gasoline making Fluid Catalytic Cracker unit in the US is currently supporting the bullish view. However, we believe this sentiment will reverse course as these units come back from maintenance and supply resumes.

In contrast, the speculative community has increased net short position in heating oil driven by less than expected inventory draws and low demand according to the latest data published by EIA. In terms of US natural gas net shorts have decreased as prices strengthened.

Metals

The speculative community exhibited a mixed stance towards the metals complex over the last reporting week. Gold saw the largest reduction in net length in both absolute and percentage terms since the Fed’s Operation Twist programme in September 2011. As a result, this may introduce a less bearish positioning environment in the very near term.

Net shorts in silver reversed to net long position even as prices deteriorated. Across the PGMs, net length in palladium and platinum increased even as prices weakened over the reporting period.

The speculative community has increased its net shorts in copper as prices fell during the reporting week. However, we expect positive growth in China and US will support copper prices in the near term and help close net shorts in copper.

Agriculture With the exception of sugar, the speculative community exhibited a

bullish stance towards the agricultural complex. Net length in soybean increased as prices gained. Net length in corn also increased even as there was no change in the price compared to last week. Net length in sugar reversed to net short position as prices moved lower.

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

04-Nov-14 28-Oct-14 12M avg

Crude o il 284,840 282,406 379,331

Natural gas -206,365 -207,101 -117,976

RBOB Gasoline 56,832 56,769 55,362

Heating o il -29,623 -27,777 -10,531

Gold 61,239 104,521 106,717

Silver 145 -98 16,645

Platinum 21,635 21,509 37,253

Palladium 22,811 22,224 22,897

Copper -25,993 -21,414 -11,040

Corn 261,714 219,022 140,749

Wheat -19,579 -29,275 -27,745

Soybean 45,759 28,533 100,701

Sugar -2,994 5,798 82,707 Source: Deutsche Bank

10 November 2014

CFTC Commitment of Traders: Report for w/e 4 November 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 November 4, 2014 WTI: Money Managers net long positions lowest since March 2013 US Nat Gas: Money Managers trim 80% of their net shorts Corn: Money Managers net length highest since June 2014

As WTI prices dropped further this reporting week we saw Money

Managers/large speculators scale back their net long positions for the

fifth consecutive week on concerns of crude oil oversupply. The

increased Saudi OSP for the US market will have added to the

bearishness sentiment among speculators. We believe this bearish

sentiment is likely to continue in the near term due to the fact that US

crude inventories continue to build despite high crude runs and low

imports. The commercial hedgers/PMPU’s also shared this bearish

sentiment by increasing their net short positions by a substantial

amount.

As prices weakened for RBOB gasoline, money managers were seen

trimming back on their long positions after building net length for the

last two weeks. We believe this bullishness in the recent past was

driven by the ongoing US maintenance of Fluid Catalytic cracker units,

a conversion unit which specializes in making gasoline in a refinery.

However, in the near term as these units come back online we expect

this sentiment to reverse and we expect to see the speculative

community reduce net length once again. Meanwhile commercial

hedgers were seen consistently increasing their net short positions for

the fourth consecutive week.

Money managers increased net shorts in heating oil, as prices moved

lower. We believe this bearish sentiment is likely to continue as the

latest US DOE inventories show less than expected inventory draws

suggesting weak demand.

In US natural gas, as prices gained money managers indicated

bullishness by cutting back approximately 80% of their net short

positions.

Money managers have decreased net long positions aggressively as gold prices plummet over this reporting week. Meanwhile in silver,

even though prices fell, the money managers indicated bullishness by

cutting back aggressively on their existing net short positions.

Net Money Managers Positions, 2 week summary

04-Nov-14 28-Oct-14 12M avg

Copper -5,961 -1,246 5,070

Gold 45,072 70,298 78,932

Silver -6,163 -10,321 8,471

Platinum 13,727 13,148 27,803

Palladium 19,358 18,237 19,988

Crude o il 167,906 182,486 267,691

Natural gas -5,295 -28,487 69,240

RBOB Gasoline 30,587 31,086 43,553

Heating o il -30,737 -35,704 9,124

Corn 163,673 141,788 82,702

Wheat -31,517 -43,280 -32,363

Soybean 18,697 8,382 88,791

Sugar -60,613 -50,421 38,863 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

-20

0

20

40

60


K Contracts

Producers / Merchants Money Managers Copper price

USc/lbK Contracts


10 November 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 412,129 75,802 249,876 102,539 50,028

Change 11,667 -688 296 -2,109 -5,080

Short 127,289 41,152 456,241 45,707 79,651

Change 9,233 5,253 -440 -2,172 -3,234

Net 284,840 34,650 -206,365 56,832 -29,623

Change contracts 2,434 -5,941 736 63 -1,846

Price USD 77.19 77.19 4.13 2.08 2.44

Change -5.2% -5.2% 10.7% -3.6% -1.5%

Open Interest 2,373,870 719,654 954,772 336,682 441,178

Change 5.7% 4.10% 3.4% 1.6% 4.3%


Figure 2: Nymex Crude Oil (contract 1,000bbl) Figure 3: US 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


10 November 2014



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

Contracts Copper Gold Silver Platinum Palladium

Long 47,290 174,202 51,453 40,513 25,822

Change -7,100 -22,171 -160 170 -49

Short 73,283 112,963 51,308 18,878 3,011

Change -2,521 21,111 -403 44 -636

Net -25,993 61,239 145 21,635 22,811

Change contracts -4,579 -43,282 243 126 587

Price US$ 3.02 1,167.70 15.95 1,224.70 790.65

Change -2.4% -5.0% -7.4% -3.3% -0.3%

Open Interest 165,732 691,425 246,984 61,450 37,328

Change -2.9% 7.8% 6.5% -1.7% 0.0%


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)



10 November 2014



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

Corn Wheat Soybean Sugar

Long 452,397 123,487 187,974 239,800

Change 17,839 -3,601 3,529 -464

Short 190,683 143,066 142,215 242,794

Change -24,853 -13,297 -13,697 8,328

Net 261,714 -19,579 45,759 -2,994

Change contracts 42,692 9,696 17,226 -8,792

Price US$ 364.50 530.50 1,010.00 15.68

Change 0.0% 0.0% 0.2% -2.8%

Open Interest 1,895,470 536,005 893,426 966,354

Change 2.5% -1.0% -0.9% 2.7%


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)



10 November 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 -54.2 -6.6 -31.9 -250.5 0.6 -367.3 167.9 -14.6 267.7 116.9 17.0 112.5

ICE WTI 70.2 2.6 69.9 -108.7 1.5 -141.6 -9.7 -1.5 36.8 44.4 -4.4 31.5

Heating oil -50.6 -2.5 -52.8 75.1 0.8 50.5 -30.7 5.0 9.1 1.1 -6.8 -19.3

RBOB gasoline -81.8 -0.3 -93.6 26.1 -0.6 31.8 30.6 -0.5 43.6 26.2 0.6 12.1

US Natural gas -5.8 -8.5 -36.4 175.5 1.1 110.5 -5.3 23.2 69.2 -201.1 -22.5 -186.4


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 -19.4 2.3 -28.8 55.4 2.5 45.1 -6.0 -4.7 5.1 -20.0 0.1 -16.1

Gold -30.9 15.1 -25.9 -23.0 33.1 -85.9 45.1 -25.2 78.9 16.2 -18.1 27.6

Silver -17.8 -1.4 -25.4 10.7 3.5 -1.9 -6.2 4.2 8.5 6.3 -3.9 8.0


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 -351.7 -18.4 -268.5 277.9 -7.6 281.1 163.7 21.9 82.7 98.0 20.8 63.0

Wheat -81.6 -9.8 -59.9 115.8 1.3 101.0 -31.5 11.8 -32.4 11.9 -2.1 4.6

Soybeans -29.4 -21.6 -114.3 85.1 4.3 83.6 18.7 10.3 88.8 27.1 6.9 11.7

Sugar -184.7 10.4 -255.0 199.5 3.3 175.6 -60.6 -10.2 38.9 57.6 1.4 41.1

Note: ICE WTI 12M averages are the averages of data since September 2009 Source: CFTC, Deutsche Bank

10 November 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

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

0

100

200

300

400

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 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



10 November 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 295.5 -0.1 302.9 142.8 -5.0 128.9 249.0 -0.8 309.9 163.1 12.5 165.2

ICE WTI 212.8 7.9 224.4 17.9 -4.8 13.1 22.1 2.2 52.2 53.7 -2.9 39.3

Heating oil 139.6 1.6 96.9 76.2 0.6 55.6 27.1 1.5 36.9 22.9 -6.6 18.0

RBOB gasoline 97.6 -0.5 83.9 35.6 0.3 35.9 67.4 -0.8 65.9 35.1 -1.3 32.0

US Natural gas 120.7 12.9 137.6 187.0 0.6 141.9 225.0 7.5 271.3 24.9 -7.2 29.8




Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Copper 33.2 2.7 19.8 58.8 2.6 51.7 32.8 -5.6 38.1 14.5 -1.5 12.1

Gold 65.1 7.0 80.2 64.6 15.4 41.5 120.5 -16.1 128.2 53.7 -6.1 50.7

Silver 25.5 -0.2 21.7 43.2 0.6 36.2 38.7 2.2 35.3 12.7 -2.4 12.4




Long

Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Long Weekly Change

12M Average

Corn 335.2 18.0 373.0 286.8 -4.3 285.1 304.3 -1.1 279.7 148.1 18.9 122.0

Wheat 67.9 -2.2 74.0 118.4 1.4 108.9 83.0 1.3 84.9 40.5 -4.9 31.2

Soybeans 260.8 -6.8 216.5 89.1 1.3 92.8 107.1 3.6 156.4 80.8 -0.1 60.9

Sugar 242.3 31.5 226.2 227.7 0.7 210.1 161.0 -1.5 179.9 78.8 1.1 60.2


10 November 2014



Chartbook of CFTC disaggregated COT report – Long Position


category

75

80

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 Oct-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

-90

-70

-50

-30

-10

10

30

50



Other Reportables Soybean price

K contracts

Soybean

USc/bu



10 November 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 349.7 6.5 334.8 393.3 -5.6 496.2 81.1 13.7 42.2 46.2 -4.5 52.7

ICE WTI 142.7 5.3 154.5 126.5 -6.3 154.7 31.8 3.7 15.4 9.3 1.6 7.8

Heating oil 190.1 4.2 149.7 1.0 -0.2 5.2 57.9 -3.4 27.7 21.8 0.2 37.3

RBOB gasoline 179.4 -0.3 177.5 9.4 0.9 4.1 36.9 -0.3 22.4 8.8 -1.9 19.8

US Natural gas 126.6 21.4 174.1 11.6 -0.5 31.4 230.3 -15.7 202.0 225.9 15.2 216.2




Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Copper 52.6 0.4 48.6 3.4 0.2 6.5 38.8 -0.9 33.1 34.5 -1.6 28.2

Gold 95.9 -8.1 106.1 87.6 -17.7 127.3 75.4 9.1 49.2 37.6 12.0 23.1

Silver 43.2 1.1 47.1 32.5 -3.0 38.1 44.9 -1.9 26.8 6.4 1.5 4.4




Short

Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Short Weekly Change

12M Average

Corn 686.9 36.4 641.5 8.9 3.3 4.0 140.6 -23.0 197.0 50.1 -1.9 59.0

Wheat 149.5 7.7 133.9 2.6 0.0 7.9 114.5 -10.5 117.2 28.6 -2.8 26.6

Soybeans 290.3 14.9 330.8 4.0 -3.0 9.2 88.4 -6.7 67.6 53.8 -7.0 49.1

Sugar 427.0 21.2 481.3 28.2 -2.6 34.5 221.7 8.6 141.0 21.1 -0.3 19.0


10 November 2014



Chartbook of CFTC disaggregated COT report – Short Position


category

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



10 November 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 copper and net length in palladium remain at aggressive levels.

Figure 34: DB Commodity Positioning Index (DB CPI)

-0.87 0.05 -0.41

1.14

-4.89

0.00 -2.11

0.02

0.81

1.050.07

0.02

0.15

-10

-6

-2

2

6

10

Copper NatGas Heating oil

Wheat Sugar Silver Gold Soybean RBOB Platinum Corn WTI Palladium


10 November 2014



Figure 35: DB Commodity Positioning Index

4-Nov-14 3mma Change (WoW)

WTI 7.70 8.04 0.02

RBOB 6.07 3.84 0.02

Heating oil -9.38 -4.62 -0.41

NatGas -9.40 -9.07 0.05

Copper -9.45 -6.55 -0.87

Gold 0.50 2.09 -2.11

Silver 0.00 1.15 0.00

Palladium 8.76 9.13 0.15

Platinum 6.11 7.70 0.07

Sugar -2.76 0.75 -4.89

Soybean 1.90 -3.63 0.81

Corn 6.85 3.85 1.05

Wheat -4.24 -7.84 1.14

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

4-Nov-14 3mma 28-Oct-14 Change

WTI 52.8% 55.8% 54.5% -1.7%

RBOB 38.3% 32.1% 37.2% 1.1%

Heating oil -22.8% -8.9% -20.1% -2.7%

NatGas -29.2% -26.5% -29.3% 0.1%

Copper -21.6% -13.6% -16.4% -5.1%

Gold 21.3% 35.2% 36.3% -14.9%

Silver 0.1% 9.6% -0.1% 0.2%

Palladium 79.1% 76.3% 75.3% 3.8%

Platinum 36.4% 52.1% 36.3% 0.1%

Sugar -0.6% 1.3% 1.2% -1.8%

Soybean 13.9% -2.7% 8.4% 5.5%

Corn 40.7% 22.9% 33.7% 7.0%

Wheat -7.3% -16.5% -10.3% 3.0% Source: CFTC, Deutsche Bank

10 November 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

10 November 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

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.

Qatar: Deutsche Bank AG in the Qatar Financial Centre (registered no. 00032) is regulated by the Qatar Financial Centre

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

Regulatory Authority.

Russia: This information, interpretation and opinions submitted herein are not in the context of, and do not constitute,

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

Kingdom of Saudi Arabia: Deutsche Securities Saudi Arabia LLC Company, (registered no. 07073-37) is regulated by the

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

within the scope of its existing CMA license. Principal place of business in Saudi Arabia: King Fahad Road, Al Olaya

District, P.O. Box 301809, Faisaliah Tower - 17th Floor, 11372 Riyadh, Saudi Arabia.

United Arab Emirates: Deutsche Bank AG in the Dubai International Financial Centre (registered no. 00045) is regulated

by the Dubai Financial Services Authority. Deutsche Bank AG - DIFC Branch may only undertake the financial services

activities that fall within the scope of its existing DFSA license. Principal place of business in the DIFC: Dubai

International Financial Centre, The Gate Village, Building 5, PO Box 504902, Dubai, U.A.E. This information has been

distributed by Deutsche Bank AG. Related financial products or services are only available to Professional Clients, as

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

10 November 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

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

International Locations

Deutsche Bank AG

Deutsche Bank Place

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Sydney, NSW 2000

Australia

Tel: (61) 2 8258 1234

Deutsche Bank AG

Große Gallusstraße 10-14

60272 Frankfurt am Main

Germany

Tel: (49) 69 910 00

Deutsche Bank AG

Filiale Hongkong

International Commerce Centre,

1 Austin Road West,Kowloon,

Hong Kong

Tel: (852) 2203 8888

Deutsche Securities Inc.

2-11-1 Nagatacho

Sanno Park Tower

Chiyoda-ku, Tokyo 100-6171

Japan

Tel: (81) 3 5156 6770

Deutsche Bank AG London

1 Great Winchester Street

London EC2N 2EQ

United Kingdom

Tel: (44) 20 7545 8000

Deutsche Bank Securities Inc.

60 Wall Street

New York, NY 10005

United States of America

Tel: (1) 212 250 2500

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.

Unless governing law provides otherwise, all transactions should be executed through the Deutsche Bank entity in the investor's home jurisdiction. In the U.S. this report is approved and/or distributed by Deutsche Bank Securities Inc., a member of the NYSE, the NASD, NFA and SIPC. In Germany this report is approved and/or communicated by Deutsche Bank AG Frankfurt authorized by the BaFin. In the United Kingdom this report is approved and/or communicated by Deutsche Bank AG London, a member of the London Stock Exchange and regulated by the Financial Conduct Authority for the conduct of investment business in the UK and authorized by the BaFin. This report is distributed in Hong Kong by Deutsche Bank AG, Hong Kong Branch, in Korea by Deutsche Securities Korea Co. This report is distributed in Singapore by Deutsche Bank AG, Singapore Branch or Deutsche Securities Asia Limited, Singapore Branch (One Raffles Quay #18-00 South Tower Singapore 048583, +65 6423 8001), and recipients in Singapore of this report are to contact Deutsche Bank AG, Singapore Branch or Deutsche Securities Asia Limited, Singapore Branch in respect of any matters arising from, or in connection with, this report. Where this report is issued or promulgated in Singapore to a person who is not an accredited investor, expert investor or institutional investor (as defined in the applicable Singapore laws and regulations), Deutsche Bank AG, Singapore Branch or Deutsche Securities Asia Limited, Singapore Branch accepts legal responsibility to such person for the contents of this report. In Japan this report is approved and/or distributed by Deutsche Securities Inc. The information contained in this report does not constitute the provision of investment advice. In Australia, retail clients should obtain a copy of a Product Disclosure Statement (PDS) relating to any financial product referred to in this report and consider the PDS before making any decision about whether to acquire the product. Deutsche Bank AG Johannesburg is incorporated in the Federal Republic of Germany (Branch Register Number in South Africa: 1998/003298/10). Additional information relative to securities, other financial products or issuers discussed in this report is available upon request. This report may not be reproduced, distributed or published by any person for any purpose without Deutsche Bank's prior written consent. Please cite source when quoting.

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