Rates, FX and Commodities Strategy CFTC Commitment of Traders Report for the Week Ending January 09, 08 Gold specs continued to increase their net length, as traders aggressively added to their longs while shorts only modestly increased their positions. A flat yield curve, a weak jobs report revealing still lackluster wage pressures suggest the US central bank may well be slower in raising rates than suggested by the dot plots. These factors, combined with dollar weakness, have prompted investors to bet on gold and silver. Further, they have forced the previously extended shorts on silver to aggressively cover, while longs added to their positions, as specs have plenty of room to grow their length relative to global asset values. Platinum specs aggressively covered short positions and modestly added new longs this week. After reaching record highs for short positioning just one month ago, traders have been steadily covering positions and this week represents the largest bout of covering. Extreme USD weakness, ZAR strength and a rallying gold have done well to get investors interested in platinum again. The current price still being too low to encourage new needed supply is another additional factor that suggests platinum still has further upside potential. WTI specs increased net length again after adding new longs and covering shorts. Even as supply disruptions and geopolitical tensions have eased, the crude market remains quite strong as continued strong inventory drawdowns and a reduction in production due to colder weather saw WTI prices rally to their highest level since 04 this week. Investors seem fairly comfortable to remain long as the backwardated curve is providing an attractive roll yield, there is little resistance on route to $70/bbl should supply be disrupted or geopolitical tensions flair up and given where producers are hedged for 08, shale output growth should not outpace global demand and OPEC cuts. Weekly CFTC Commitment of Traders Report (January 9, 08) Net NonCommercial Position Net NonCommercial Position (% of Open Interest) Futures Change Futures & Options Change Futures Change Futures & Options Change WTI + Brent Crude Oil,34,54 63,404,93,68 66,409 WTI + Brent Crude Oil 9.8% 0.6% 6.% 0.% WTI Crude Oil 73,350 64,64 79,34 65,74 WTI Crude Oil 3.3%.5% 9.0% 0.6% Brent Crude Oil 40,9 (860) 400,944 695 Brent Crude Oil 5.6% 0.6%.6% 0.6% Natural Gas 7,047 5,5 48,608,008 Natural Gas.0% 0.6% 0.7% 0.5% RBOB Gasoline 87,759 3,48 89,478 3,868 RBOB Gasoline.5% 0.5%.7% 0.4% Heating Oil 64,38 79 67,696,78 Heating Oil 4.% 0.% 3.9% 0.% Gold 03,88 40,00,06 40,040 Gold 36.6% 4.0% 8.4% 3.5% Silver 38,035 5,85 37,878 5,365 Silver 9.5% 7.7% 7.7% 7.0% Platinum 8,654,39 30,793,745 Platinum 35.6% 4.% 36.8% 4.% Palladium 7,64 577 7,608 485 Palladium 69.8%.% 67.%.5% Copper 6,84 (,68) 6,95 (,56) Copper.3% 0.8% 0.7% 0.8% S&P 500 (,04) (,6) (4,5) (,396) S&P 500 3.6%.0% 3.%.% Canadian Dollar 7,46,7 8,576 4,030 Canadian Dollar.8% 0.%.%.3% Euro 44,69 6,83 4,468,3 Euro 5.7%.%.6%.0% U.S. TNotes, 0yr (96,853) (,03) (49,443) (97,560) U.S. TNotes, 0yr 5.9% 3.5% 3.7%.3% Long NonCommercial Position Short NonCommercial Position Futures Change Futures & Options Change Futures Change Futures & Options Change WTI + Brent Crude Oil,44,695 38,654,459,4 65,75 WTI + Brent Crude Oil,0,53 75,50,66,54 99,36 WTI Crude Oil 93,53 59,7 934,769 58,59 WTI Crude Oil 98,803 (4,99) 4,445 (7,) Brent Crude Oil,33,54 79,38,54,653 07,33 Brent Crude Oil 9,350 80,4,3,709 06,438 Natural Gas 677,08 (447) 766,8 (8,535) Natural Gas 559,98 (5,67) 67,60 (9,543) RBOB Gasoline 63,803 7,65 63,64 7,655 RBOB Gasoline 76,044 4,34 74,63 3,787 Heating Oil 47,385 6,0 46,88 5,957 Heating Oil 83,004 5,47 79,3 4,779 Gold 89,6 47,733 9,883 46,04 Gold 85,873 7,73 80,8 6,64 Silver 84,33 9,86 83,575 8,89 Silver 46,78 (6,099) 45,697 (6,536) Platinum 5,70,468 5,939 645 Platinum 4,056 (9,77),46 (,00) Palladium 3,0 66 3,87 605 Palladium 4,407 84 4,63 0 Copper 47,973 (,68) 47,60 (,98) Copper 85,689 (540) 86,35 (4) S&P 500 3,09 4 4,846,8 S&P 500 5,06,440 9,097 3,678 Canadian Dollar 58,58 9,84 58,378 0,5 Canadian Dollar 4,0 6,56 39,80 6, Euro 4,053 5,45 40,599 3,97 Euro 97,36 (,578) 98,3 (8,86) U.S. TNotes, 0yr 56,307 (98,938) 565,787 (87,94) U.S. TNotes, 0yr 758,60,075 75,30 9,646 Contract specifications: Crude Oil 000 bbl; Nat Gas* 0,000 MMbtu; Gasoline 4,000 gal; Heating Oil 4,000 gal; Gold 00 oz; Silver 5000 oz; Platinum 50 oz; Palladium 00 oz; Copper 5,000 lbs; Wheat, Corn Soybeans 5000 Bushels; S&P 500 $50 X S&P 500; Canadian $ C$; Euro 5,000 Note: Positions reflect available data as of Friday. ICE futures data lag NYMEX data by one week; Natural Gas ICE futures (,500 MMbtu) are adjusted :4 to reflect contract size of NYMEX (0,000 MMbtu) Source: Bloomberg, CFTC, TD Securities Disclaimer: This report is a marketing communication. It has not been prepared in accordance with legal requirements, as outlined in the UK FCA s COBS, designed to promote the independence of investment research and is also not subject to any prohibition of dealing ahead of the dissemination of investment research, although as a matter of policy TD Securities requires its employees not to deal ahead of the dissemination of this report.
CFTC Metals Charts 3 COMEX Gold Gold Net Spec Position (lhs) Gold Price (rhs) $UD/oz,700,600,500,400,300,00,00,000 900 4 3 COMEX Gold Long Gold Short Gold COMEX Silver $UD/oz 35 COMEX Silver 30 5 0 5 0 Silver Net Spec Position (lhs) Silver Price (rhs) Long Silver Short Silver 30,000 0,000 NYMEX Platinum Platinum Net Spec Position (lhs) Platinum Price (rhs) $UD/oz,800,700,600,500,400,300,00,00,000 900 800 70,000 30,000 0,000 NYMEX Platinum Long Platinum Short Platinum
35,000 NYMEX Palladium $UD/oz,000 NYMEX Palladium 30,000 5,000 5,000 0,000 5,000 900 800 700 600 500 35,000 30,000 5,000 5,000 0,000 5,000 400 Palladium Net Spec Position (lhs) Palladium Price (rhs) Long Palladium Short Palladium () () () COMEX Copper Copper Net Spec Position (lhs) Copper Price (rhs) $UD/lb 430 380 330 80 30 80 COMEX Copper Long Copper Short Copper 3
CFTC Energy Charts 900,000 800,000 700,000 500,000 4 3 () () () NYMEX & ICE WTI Crude Oil WTI Net Spec Position (lhs) NYMEX & ICE Brent Crude Oil WTI Price (rhs) $UD/bbl 0 0 00 90 80 70 60 50 40 30 0 $UD/bbl 0 0 00 90 80 70 60 50 40 30 0,000,000 900,000 800,000 700,000 500,000,,000,000 800,000 NYMEX & ICE WTI Crude Oil Long WTI Short WTI NYMEX & ICE Brent Crude Oil Brent Net Spec Position (lhs) Brent Price (rhs) Long Brent Short Brent NYMEX Gasoline Gasoline Net Spec Position (lhs) Gasoline Price (rhs) $UD/gal 350 300 50 00 50 00 50 NYMEX Gasoline Long Gasoline Short Gasoline Note: Positions reflect available data as of Friday. ICE futures data lag NYMEX data by one week. 4
NYMEX Heating Oil $UD/gal NYMEX Heating Oil () () () 500,000 () () Heating Oil Net Spec Position (lhs) NYMEX & ICE Natural Gas Heating Oil Price (rhs) 90 40 90 40 90 Natural Gas Net Spec Position (lhs) $UD/MMbtu 6.50 6.00 5.50 5.00 4.50 4.00 3.50 3.00.50.00.50 Natural Gas Price (rhs),,000,000 800,000 Long Heating Oil Short Heating Oil NYMEX & ICE Natural Gas Long Natural Gas Short Natural Gas Notes: Positions reflect available data as of Friday. ICE futures data lag NYMEX data by one week. Natural Gas ICE futures (,500 MMbtu) are adjusted :4 to reflect contract size of NYMEX (0,000 MMbtu) 5
CFTC Agricultural Charts () () () () () () () CBOT Wheat Wheat Net Spec Position (lhs) Wheat Price (rhs) $UD/bsh 850 800 750 700 650 600 550 500 450 400 350 CBOT Wheat Long Wheat Short Wheat CBOT Corn $UD/bsh 850 CBOT Corn 750 500,000 650 550 450 () 350 () Corn Net Spec Position (lhs) Corn Price (rhs) 50 Long Corn Short Corn () () () CBOT Soybean $UD/bsh,700,600,500,400,300,00,00,000 900 800 3 CBOT Soybean Soybean Net Spec Position (lhs) Soybean Price (rhs) Long Soybean Short Soybean 6
TDS Commodities Forecast Table Commodity Spot 08 09 (Avg of forward month contracts) Price QF QF Q3F Q4F QF QF Q3F Q4F 08F 09F Precious Metals Gold $/oz,37,300,300,35,35,35,35,375,375,33,350 Silver $/oz 7.6 8.50 8.50 9.5 9.5 9.5 9.5 0.50 0.50 8.88 9.88 Platinum $/oz 959,000,050,075,00,50,50,00,00,056,75 Palladium $/oz,00,000,000,05,050,00,00,50,50,09,5 Base Metals #N/A Copper $/lb 3. 3.03 3.03 3. 3. 3. 3. 3.5 3.5 3.07 3.4 $/tonne 7,079 6,675 6,675 6,850 6,850 6,875 6,875 6,950 6,950 6,763 6,93 Zinc $/lb.53.58.58.47.47.50.50.60.60.53.55 $/tonne 3,380 3,475 3,475 3,50 3,50 3,307 3,307 3,57 3,57 3,36 3,47 Lead $/lb.6.0.0...8.8.4.4.6.6 $/tonne,547,646,646,469,469,60,60,53,53,557,557 Nickel $/lb 5.66 5.00 5.00 5.0 5.0 5.00 5.00 5.0 5.0 5.05 5.05 $/tonne,488,03,03,44,44,03,03,44,44,33,33 Aluminium $/lb 0.99 0.93 0.93 0.96 0.96 0.96 0.94 0.94 0.96 0.94 0.95 $/tonne,88,050,050,6,6,6,07,07,6,083,094 Ene rgy #N/A WTI Crude Oil $/bbl 6 60 60 6 6 6 6 60 60 6 6 Brent Crude Oil $/bbl 68 64 63 64 64 63 63 6 6 64 6 Heating Oil (ULSD) $/gal.06.90.85.85.95.95.95.85.85.89.90 Gasoline $/gal.79.80.95.95.85.85.85.85.80.89.84 NYMEX Natural Gas $/MMBtu.79 3.0 3.5 3.0 3.0 3.5 3.5 3.5 3.5 3.6 3.5 AECO Natural Gas $/MMBtu.8.05.45.60.60.65.65.65.65.43.65 CAD/GJ.5.49.88 3.06.96 3.0 3.0 3.0 3.0.85 3.0 Uranium $/lb 4 5 5 5 30 30 30 30 4 30 New castle Thermal 5 $/tonne 6 95 90 90 90 90 95 95 90 9 93 Notes: F = Forecast, E = Estimate, A = Actual;. London PM Fix;. LME; 3. Molybdenum equivalent to moly oxide, FOB USA; 4. CFR China, 6% Fe, dry; 5. Japan CIF steam coal markernewcastle Source: Bloomberg, TD Securities Commodities Strategy Team: Bart Melek Global Head of Commodity Strategy bart.melek@tdsecurities.com + 46 983 988 Ryan McKay Commodity Strategist ryan.mckay@tdsecurities.com + 46 98 586 Daniel Ghali Commodity Strategist daniel.ghali@tdsecurities.com + 46 983 8075 This report has been prepared solely for information purposes and is not intended to provide financial, legal, accounting or tax advice and should not be relied upon in that regard. Information provided in this Report is believed to be accurate and reliable, but we cannot guarantee it is accurate or complete or current at all times and no representation is made in this regard. Conclusions and opinions do not guarantee any future event or performance. It is not an offer, recommendation or solicitation to buy or sell, nor is it an official confirmation of terms. It is based on public information. Changes to assumptions may have a material impact on any returns detailed. Historic information or performance is not indicative of future returns. The information is subject to change without notice. Any views expressed are those of the author and do not necessarily express those of The Toronto Dominion Bank ( TD Bank ). TD Bank or an associated company may have effected or may effect transactions for its own account in the securities described herein. Any transaction entered into is in reliance only upon your judgment as to both financial and suitability criteria. No proposed customer or counterparty relationship is intended or implied between TD Bank or any of its regulated subsidiaries and a recipient of this document where that recipient is not an existing customer or counterparty of TD Bank or one of its regulated subsidiaries. COPYRIGHT 03 by TD Securities Inc. TD Securities is a trademark of the TD Bank, representing TD Securities Inc., TD Securities (USA) LLC and certain investment activities of the TD Bank. The TorontoDominion Bank is regulated by the FSA. 7
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