CFTC Commitment of Traders

Transcription

1 Deutsche Bank Markets Research Global Commodities Date 2 March 215 CFTC Commitment of Traders Report for w/e 24 February 215 Energy WTI: length smallest since December 214 Platinum: length smallest since November 214 Corn: length smallest since October 214 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 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 4.8 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 2.7 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. Michael Hsueh Strategist (+44) michael.hsueh@db.com Jayati Mukherjee Strategist (+91) jayati.mukherjee@db.com Nymex WTI Oil Open Interest vs Price K Open Interest Open Interest (lhs) USD/bbl Crude Oil price (rhs) Comex Gold Open Interest vs Price K Open KInterest Open Interest (lhs) Gold price (rhs) USD/oz COMEX Copper Open Interest vs Price K Open Interest Source: Deutsche Bank Open Interest (lhs) Copper price (rhs) K USc/lb DISCLOSURES AND ANALYST CERTIFICATIONS ARE LOCATED IN APPENDIX 1. MCI (P) 148/4/214.

2 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Disaggregated COT report In the past, COT reports have divided reportable traders into two broad categories: commercial and non-commercial. However, in 29 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, 215 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 5. 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. Source: Deutsche Bank Nymex crude oil net position vs Price (Money Managers & PMPU) Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Producers / Merchants Money Managers WTI price USD/bbl Comex gold net position vs Price (Money Managers & PMPU) Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Producers / Merchants Money Managers Gold price USD/oz Comex copper net position vs Price (Money Managers & PMPU) Feb-11 Aug-11 Feb-12 Aug-12 Feb-13 Aug-13 Feb-14 Aug-14 Feb-15 Producers / Merchants Money Managers Copper price USc/lb Page 2

3 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Figure 1: Commitments of non-commercial traders energy data summary Contracts NYMEX Crude oil Natural gas RBOB Heating oil 52,34 246, ,766 67,195 16,223 5, , ,67 476,984 49,66 9,861 4,452 7,858 4,298-1,541 34,427-23,832 68,7-23,666 contracts -24,229-2,747-4,767 2,88 Price USD % 4.7% 14.6% -5.2% Open Interest 2,532,558 1,2,32 359, , % -3.4% -4.7% -9.6% Source: CFTC, ICE, Deutsche Bank Figure 2: Nymex Crude Oil (contract 1,bbl) Figure 3: US Natural Gas (contract 1,mmBTU) K U Crude oil price (rhs) USD/mmBtu Natural gas price (rhs) Figure 4: Nymex RBOB Gasoline* (contract 1,bbl) Figure 5: Nymex Heating Oil (contract 1,bbl) 1 USc/g Gasoline price (rhs) USc/g Heating oil price (rhs) Page 3

4 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Figure 6: Commitments of non-commercial traders: metals data summary Contracts Copper Gold Silver Platinum Palladium 5, ,755 57,582 47,323 24,421 5,812-5,17-2, ,677 6,89 19,852 22,948 4,84-1,986 2,79 1 3, , ,865 37,73 24,375 19,581 contracts 7,798-7,726-2,258-2,97 67 Price US$ , , % -.9% -1.1% -1.2%.9% Open Interest 172, ,89 27,996 7,77 33, % -1.6% -8.1% 1.9% -3.6% Figure 7: Comex Copper (contract 25,lbs) Figure 8: Comex Gold (contract 1oz) 5 USc/lb USD/oz Copper price (rhs) Gold price (rhs) Figure 9: Comex Silver (contract 5,oz) Figure 1: Nymex Platinum (contract 5oz) 75 USc/oz USD/oz Silver price (rhs) Platinum price (rhs) Page 4

5 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Figure 11: Commitments of non-commercial traders: agricultural commodities data summary Corn Wheat Soybean Sugar 359,98 118, ,54 233,398-2,949 7,238 8,868 3,834 25,95 145,37 158,41 29,669 16,439 9,4-14,942 3, ,958-26,629 15,13 23,729 contracts -19,388-1,82 23,81-26,734 Price US$ , % -5.4%.8% -6.4% Open Interest 1,621,44 489, , , % -8.5% -6.9% -.9% Figure 12: CBOT corn (contract 5, bushels) Figure 13: CBOT wheat (contract 5, bushels) 55 USc/bu USc/bu Corn price (rhs) Wheat price (rhs) Figure 14: CBOT soybean (contract 5, bushels) Figure 15: COMEX sugar (contract 112, lbs) 32 USc/bu Soybean price (rhs) 28 USc/lb Sugar price (rhs) Page 5

6 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Position changes Disaggregated COT report - Energy Market (in thousands) Nymex WTI ICE WTI Heating oil RBOB gasoline US Natural gas Disaggregated COT report - Metals Market (in thousands) Copper Gold Silver Disaggregated COT report - Agriculture Market (in thousands) Corn Wheat Soybeans Sugar Page 6

7 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Chartbook of CFTC disaggregated COT report position Figure 16: Nymex crude oil position by trading category USD/bbl -6 2 Feb-7 Feb-8 Feb-9 Feb-1 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Producers / Merchants Swap Dealers Money Managers Other Reportable WTI price Figure 17: Nymex natural gas position by trading category USD/mmBT -34 Feb-7 Feb-8 Feb-9 Feb-1 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Producers / Merchants Swap Dealers Money Managers Other Reportable US Natural gas Price Figure 18: Comex gold position by trading category Figure 19: Comex copper position by trading category USD/oz -3 5 Feb-7 Feb-8 Feb-9 Feb-1 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Producers / Merchants Swap Dealers Money Managers Other Reportable Gold price USc/lb -8 Feb-7 Feb-8 Feb-9 Feb-1 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Producers / Merchants Swap Dealers Money Managers Other Reportable Copper price Figure 2: CBOT corn position by trading category Figure 21: CBOT soybean position by trading category USc/bu USc/bu Feb-7 Feb-8 Feb-9 Feb-1 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Producers / Merchants Swap Dealers Money Managers Other Reportable Corn price -4 5 Feb-7 Feb-8 Feb-9 Feb-1 Feb-11 Feb-12 Feb-13 Feb-14 Feb-15 Producers / Merchants Swap Dealers Money Managers Other Reportable Soybean price Page 7

8 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Position changes Disaggregated COT report - Energy Market (in thousands) Nymex WTI ICE WTI Heating oil RBOB gasoline US Natural gas Disaggregated COT report - Metals Market (in thousands) Copper Gold Silver Disaggregated COT report - Agriculture Market (in thousands) Corn Wheat Soybeans Sugar Page 8

9 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Chartbook of CFTC disaggregated COT report Position Figure 22: Nymex crude oil position by trading category Figure 23: Nymex natural gas position by trading category USD/bbl -8 Other Reportables WTI price WTI USD/mmBTU US natural gas -6 Other Reportables US natural gas price Figure 24: Comex gold position by trading category Figure 25: Comex copper position by trading category 4 USD/oz USc/lb Gold -4 Other Reportables Gold price Copper -2 Other Reportables Copper price 24 Figure 26: CBOT corn position by trading category Figure 27: CBOT soybean position by trading category USc/bu USc/bu Corn -1 Other Reportables Corn price Soybean Other Reportables Soybean price Page 9

10 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Position changes Disaggregated COT report - Energy Market (in thousands) Nymex WTI ICE WTI Heating oil RBOB gasoline US Natural gas Disaggregated COT report - Metals Market (in thousands) Copper Gold Silver Disaggregated COT report - Agriculture Market (in thousands) Corn Wheat Soybeans Sugar Page 1

11 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Chartbook of CFTC disaggregated COT report Position Figure 28: Nymex crude oil position by trading category Figure 29: Nymex natural gas position by trading category USD/bbl -7 Other Reportables WTI price WTI USD/mmBTU US natural gas -6 Other Reportables US natural gas price Figure 3: Comex gold position by trading category Figure 31: Comex copper position by trading category 5 USD/oz USc/lb Gold -5 Other Reportables Gold price Copper -2 Other Reportables Copper price 24 Figure 32: CBOT corn position by trading category Figure 33: CBOT soybean position by trading category USc/bu -8 Corn -1 Other Reportables Corn price USc/bu -6 Soybean Other Reportables Soybean price Page 11

12 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 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 -1 to +1. 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 3, 26). 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 and 1. 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 shorts in Nat Gas and net length in Palladium remain at aggressive levels. Figure 34: DB Commodity Positioning Index (DB CPI) NatGas Copper Heating oil Wheat Soybean Sugar Corn Gold Platinum Silver RBOB WTI Palladium Page 12

13 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 Figure 35: DB Commodity Positioning Index Figure 36: DB Sector Positioning Index 1 Current week Previous week Energy Metals Agriculture Source: Deutsche Bank Figure 37: position as a percentage of open speculative interest Page 13

14 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 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 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 Page 14

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16 2 March 215 CFTC Commitment of Traders: Report for w/e 24 February 215 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. Page 16

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