Analytics

Global Rates, FX & Commodities Strategy 21 April 2022

► ENERGY & METALS ► COMMODITIES ► GLOBAL MARKETS

CTA Position Tracker Bart Melek

Head of Commodity
Strategy

Daniel Ghali
Daily Tracking of Systematic Trend Followers Senior Commodity
Strategist
Positioning | Estimated Key Triggers | Market Implications
Ryan McKay
Commodity Strategist

TDS CTA Position Tracker

1
Buying/ Market Proximity to Implied Target
Current/Target CTA Positioninga 1d ago
d Nearest Trigger Implied Flow**
Selling (Futures) Market* Position**
a
Copper 46% 45% $9,800 4%

Aluminium 21% 22% $3,091 12%

Zinc 25% 25% $3,572 7%

Nickel 14% 14% $22,055 6%

Lead 42% 39% $2,422 18%

Gold 50% 49% $1,858.60 18%

Silver 5% 5% $24.16 -11%
Platinum -25% -23% $1,028.00 -15%
Palladium 1% 1% $2,193.10 -7%
WTI Crude 23% 23% $82.75 10%
Brent Crude 19% 19% $82.75 8%
Gasoline 32% 31% 249.38 12%
Heating Oil 22% 21% 233.66 8%
HH Natural Gas 29% 29% $5.41 12%
E-mini S&P 2% -1% 4,570 25%
E-mini Nasdaq -25% -25% 14,139 -11%
E-mini Dow 0% -4% 35,399 31%
EUR -52% -49% 1.1365 -22%
JPY -22% -22% 88.0100 -10%
CAD -39% -44% 80.1750 6%
GBP -57% -52% 135.0800 -32%
T-Note -23% -23% 128.06 -8%
Bund -21% -22% 166.81 -5%
CGB -20% -20% 136.90 -8%
Long Gilt -33% -34% 124.56 -9%
Current CTA Positioning Target Positioning

a
As a percentage of maximum historical position *Proximity of prices relative to nearest trigger (larger bar: closer proximity); **Position/flow implied by a break above (below) key trigger level, at close.
Source: TDS Commodity Strategy

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.

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 1
 Analytics

Base Metals
Base metal traders fear the economic fallout from China's Zero-Covid strategy, but China's closed-loop
lockdowns are having a more limited impact on industrial production. Our return decomposition framework
continues to highlight a contrast with prior episodes, with both commodity demand and metals supply risks less
disrupted by the ongoing second-generation lockdowns, which is consistent with China's efforts to ease the
impact on supply chains. In this context, our real-time gauge of commodity demand is beginning to strengthen
once more, signaling that the impact of Chinese lockdowns on demand is beginning to wane, while a global
stockpiling impulse remains strong, creating a set-up for industrial metals markets to tighten once again. In fact,
tracking congestion data for the 15 largest cities in China by vehicle registrations suggests that the trough in
mobility may already be behind us. Meanwhile, market participants have been underwhelmed by the current
stimulus pledges, but China's ambitious growth implies additional support on the horizon which may morph
into a tailwind for commodity demand by year's end. At the same time, idiosyncratic supply risks are rising. A
fifth of Peruvian copper exports are at risk amid labour disputes, while concerns emerge surrounding Russia's
increased isolation, which could gradually translate into lower output. Zinc is also exhibiting strong asymmetry
to our gauge of global commodity demand, which suggests the presence of structural frictions helping prices
into an uptrend. CTA trend followers remain well positioned to benefit from a fat right tail in industrial metals.

Precious Metals
How sustainable is the flood of capital finding its way into gold? Thus far, the yellow metal's prices
have remained extremely resilient against an aggressively hawkish Fed, as a protracted war in Ukraine
simultaneously raised both geopolitical uncertainty and inflation risks, thereby fueling demand for the yellow
metal as a safe haven. This trend has also likely been exacerbated by the concurrent decline in global equity
and bond prices, which is consistent with fears that Treasuries may be less potent havens in a higher-inflation
regime. While the Fed is signaling its intent to combat inflation by reaching policy neutrality by year-end, and
to start an aggressive QT regime, outflows from gold markets have been scarce as participants are happy to
retain some optionality against the Fed's stated plan amid growth concerns. After all, some also believe the
US central bank is still behind the curve, effectively pricing in the Fed's inability to tame inflation with its current
plan, and highlighting the large gap between the current policy setting and the neutral rate. However, safe-
haven flows are likely to subside as the fear trade dissipates, leaving fewer participants left to buy gold. Comex
shorts have also largely been wiped out, further removing some fuel for price strength. In this context, the right
tail is narrow in gold.

Energy Markets
Energy markets are coiling towards a breakout. While crude oil prices remain elevated, they are also
simultaneously being pressured by the immense weight of Chinese lockdowns and by the massive SPR
release. However, these forces are transient in nature, and crude oil's impressive resilience in the face of these
temporary headwinds highlights that prices are coiling towards a breakout. After all, the trough in Chinese
mobility may already be behind us. While the nation continues to battle the spread of covid-19, our tracking of
congestion data for the 15 largest cities in China by vehicle registrations shows a +0.6% increase in mobility
on the week (or +1.3% on the month). Demand for energy products is firming once more, driving a tightening in
crude oil timespreads and cracks, and energy supply risks should remain elevated. Persistent underproduction
from OPEC+, related to a decade of underinvestment, along with stretched global spare capacity and critically
low inventories provide little buffer for any further disruptions. Yet, high food and energy prices raise disruption

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 2
 Analytics

risks associated with a higher likelihood of unrest across the globe. This informs our decision to re-engage
upside in far-dated Brent.

Positioning Chart Pack

TDS CTA Position Tracker — Copper TDS CTA Position Tracker — Aluminium
11000 100% 4450 100%
10500 80% 80%
10000 60% 3950
60%
9500 40%
40%

% max historical

% max historical
3450
9000 20%
20%
$/t

8500 0%

$/t
2950 0%
8000 -20%
-20%
7500 -40% 2450
-40%
7000 -60%
-60%
1950
6500 -80%
-80%
6000 -100%
4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022 1450 -100%
4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022
CTA Positioning Estimate Roll-Adjusted Copper Prices
CTA Positioning Estimate Roll-Adjusted Aluminium Prices
Source: TDS Commodity Strategy
Source: TDS Commodity Strategy

5000 TDS CTA Position Tracker — Zinc 70% TDS CTA Position Tracker — Nickel
50100 100%

60% 45100 90%

4500
80%
50% 40100
70%
% max historical

4000

% max historical
35100 60%
40%
$/t

3500
$/t

30100 50%
30%
25100 40%
3000
20% 30%
20100
2500 20%
10%
15100 10%
2000 0% 10100 0%
4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022 4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022
CTA Positioning Estimate Roll-Adjusted Nickel Prices
CTA Positioning Estimate Roll-Adjusted Zinc Prices
Source: TDS Commodity Strategy
Source: TDS Commodity Strategy

TDS CTA Position Tracker — Lead

2600 100%
80%
2400
60%
40%
% max historical

2200
20%
$/t

2000 0%
-20%
1800
-40%
-60%
1600
-80%
1400 -100%
4/20/2021 7/20/2021 10/20/2021 1/20/2022 4/20/2022
CTA Positioning Estimate Roll-Adjusted Lead Prices
Source: TDS Commodity Strategy

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 3
 Analytics

TDS CTA Position Tracker — Gold TDS CTA Position Tracker — Silver
2100 100% 31 100%
2050 80% 29 80%
2000 60% 27 60%
1950 40% 25 40%

% max historical
% max historical
1900 20% 23 20%

$/oz
$/oz

1850 0% 21 0%
1800 -20% 19 -20%
1750 -40% 17 -40%
1700 -60% 15 -60%
1650 -80% 13 -80%
1600 -100% 11 -100%
4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022 4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022
CTA Positioning Estimate Roll-Adjusted Gold Prices CTA Positioning Estimate Roll-Adjusted Silver Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TDS CTA Position Tracker — Platinum TDS CTA Position Tracker — Palladium
1400 100% 3250 100%

1300 80% 80%

60% 2750 60%
1200
40% 40%

% max historical
% max historical
1100 20% 2250 20%

$/oz
$/oz

1000 0% 0%

900 -20% 1750 -20%

-40% -40%
800
-60% 1250 -60%
700 -80% -80%
600 -100% 750 -100%
4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022 4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022
CTA Positioning Estimate Roll-Adjusted Platinum Prices CTA Positioning Estimate Roll-Adjusted Palladium Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TDS CTA Position Tracker — WTI Crude TDS CTA Position Tracker — Brent
130 100% 140 100%

80% 80%
110 120
60% 60%

40% 40%

% max historical
100
% max historical

90
20% 20%
$/bbl
$/bbl

70 0% 80 0%

-20% -20%
50 60
-40% -40%

-60% -60%
30 40
-80% -80%

10 -100% 20 -100%
4/21/2021 8/21/2021 12/21/2021 4/21/2022 4/21/2021 8/21/2021 12/21/2021 4/21/2022
CTA Positioning Estimate Roll-Adjusted WTI Crude Prices CTA Positioning Estimate Roll-Adjusted Brent Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 4
 Analytics

TDS CTA Position Tracker — Gasoline TDS CTA Position Tracker — Heating Oil
410 100% 440 100%
80% 80%
360 390
60% 60%
310 40% 340 40%

% max historical

% max historical
20% 20%
$c/gallon

$c/gallon
260 290
0% 0%
210 240
-20% -20%

160 -40% 190 -40%

-60% -60%
110 140
-80% -80%
60 -100% 90 -100%
4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022 4/21/2021 7/21/2021 10/21/2021 1/21/2022 4/21/2022
CTA Positioning Estimate Roll-Adjusted Gasoline Prices CTA Positioning Estimate Roll-Adjusted HO Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TDS CTA Position Tracker — NatGas

9 100%

8 80%
60%
7
40% % max historical
6 20%
$/MMBtu

5 0%

4 -20%
-40%
3
-60%
2 -80%
1 -100%
4/19/2021 7/19/2021 10/19/2021 1/19/2022 4/19/2022
CTA Positioning Estimate Roll-Adjusted Natgas Prices
Source: TDS Commodity Strategy

TDS CTA Position Tracker — E-Mini S&P TDS CTA Position Tracker — NQ
5200 100% 17500 100%
80% 80%
4700 15500
60% 60%
40% 40%
4200
% max historical

% max historical
13500
20% 20%
3700 0% 11500 0%
-20% -20%
3200 9500
-40% -40%
-60% -60%
2700 7500
-80% -80%
2200 -100% 5500 -100%
4/21/2021 8/21/2021 12/21/2021 4/21/2022 4/21/2021 8/21/2021 12/21/2021 4/21/2022
CTA Positioning Estimate Roll-Adjusted S&P Prices CTA Positioning Estimate Roll-Adjusted NQ Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 5
 Analytics

TDS CTA Position Tracker — Dow TDS CTA Position Tracker — EUR
38000 100% 1.29 100%

36000 80% 80%

34000 1.24 60%

60%
40%

% max historical
32000

% max historical
40%
1.19 20%
30000
20% 0%
28000
0% 1.14 -20%
26000
-40%
-20%
24000
1.09 -60%
22000 -40%
-80%
20000 -60% 1.04 -100%
4/21/2021 8/21/2021 12/21/2021 4/21/2022 4/21/2021 8/21/2021 12/21/2021 4/21/2022
CTA Positioning Estimate Roll-Adjusted Dow Prices CTA Positioning Estimate Roll-Adjusted EUR Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TDS CTA Position Tracker — GBP TDS CTA Position Tracker — JPY
95 100%
145.00 100%
80%
80%
140.00 90 60%
60%
40%

% max historical
40%
% max historical
135.00 85 20%
20%
0%
130.00 0%
80 -20%
-20%
125.00 -40%
-40%
75 -60%
-60%
120.00 -80%
-80%
70 -100%
115.00 -100% 4/21/2021 8/21/2021 12/21/2021 4/21/2022
4/21/2021 8/21/2021 12/21/2021 4/21/2022 CTA Positioning Estimate Roll-Adjusted JPY Prices
CTA Positioning Estimate Roll-Adjusted GBP Futures Prices
Source: TDS Commodity Strategy
Source: TDS Commodity Strategy

TDS CTA Position Tracker — T-Note TDS CTA Position Tracker — CGB
135 100% 150 100%
80% 80%
145
130 60% 60%
40% 140 40%
% max historical

% max historical
125 20% 20%
135
0% 0%
120 -20% 130
-20%
-40% 125 -40%
115 -60% -60%
120
-80% -80%
110 -100% 115 -100%
4/21/2021 8/21/2021 12/21/2021 4/21/2022 4/21/2021 8/21/2021 12/21/2021 4/21/2022
CTA Positioning Estimate Roll-Adjusted T-Note Prices CTA Positioning Estimate Roll-Adjusted CGB Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 6
 Analytics

TDS CTA Position Tracker — Bund TDS CTA Position Tracker — Long Gilts
175 100% 132 100%
80% 130 80%
170
60% 128 60%
165 126
40% 40%

% max historical

% max historical
124
20% 20%
160
122
0% 0%
120
155
-20% -20%
118
150 -40% -40%
116
-60% 114 -60%
145
-80% 112 -80%
140 -100% 110 -100%
4/21/2021 8/21/2021 12/21/2021 4/21/2022 4/21/2021 8/21/2021 12/21/2021 4/21/2022
CTA Positioning Estimate Roll-Adjusted Bund Prices CTA Positioning Estimate Roll-Adjusted Long Gilt Prices
Source: TDS Commodity Strategy Source: TDS Commodity Strategy

Commodities Model Portfolio

Open Model Trades
Trade Entry Date Entry Stop Current/notional Target P/L
Copper Dec22 $8500/$9500 Bear Call Spread 16/Nov/21 $860,000 -300k $1,052,220 $860,000 ($192,220)
GCQ2 Jul22 bear put spread 8-Feb-22 ($292,541) ($292,541) ($70,000) $1,600,000 ($222,541)
Long Dec23 Brent Crude 19-Apr-22 $88.90 $79.00 $89.49 $1,600,000 $17,110
*open model trades pnl as of 20/Apr/22
Closed Model Trades
Trade Entry Date Entry Exit Exit Date Target P/L

Long Dec23 Brent crude 17-Mar-22 $82.67 $89.49 4/7/2022 $100.00 $96,330
COQ2 $100/90 bull put spread 28-Mar-22 $251,138 $392 4/7/2022 $251,138 ($11,762)
Short Brent Crude Dec22-Dec23 15-Feb-22 $5.62 $8.18 3/1/2022 $3.50 ($435,200)
Short LME aluminium Dec22-Dec23 8-Feb-22 $248 $220 2/28/2022 $150 $168,000
Short gold active futures 27-Jan-22 $1,821 $1,871 2/14/2022 $1,740 ($400,000)
Long LME 1m aluminium 10-Jan-22 $2,930 $3,092 1/31/2022 $3,200 $129,200
Copper Dec21 $9000/$8250 Bear Call Spread 31/Aug/21 816,000 516,000 16/Nov/21 816,000 -300,000
Long/Short Gold/Silver 31/Aug/21 1813/23.97 6% 7/Dec/21 15% $95,095
Long/Short HO/XB 30/Sep/21 229.37/221.39 5% 7/Dec/21 20% $32,374
Long Brent Z2-Z3 Timespread 23/Nov/21 3.88 2.03 26/Nov/21 5.50 ($232,500)
Long $1850/$2000 GCJ2 gold call spread 13/Oct/21 -306,000 -561,310 16/Nov/21 1,470,000 $255,310
Long/Short Aluminium/Nickel 30/Sep/21 $2850/ $18030 -8% 20/Oct/21 20% -8%
Long/Short Aluminium/Copper 31/Aug/21 2713/9525.25 14% 30/Sep/21 20% 14%
Short gold active futures 23/Jul/21 1,800 1,707 9/Aug/21 1,730 4%
Long WTI Sept21-Dec21 21/Jul/21 1.98 1.00 6/Aug/21 3.00 -0.98
Short Copper 5/Mar/21 8,945 9,650 26/Apr/21 7,090 -7.9%
Short WTI 23/Feb/21 61.28 63.75 4/Mar/21 52.80 -4.0%
Long Gold 4/Sep/20 1,931 1,790.00 17/Feb/21 2,200 -7.3%
Long Heating Oil Dec 21 -Dec 22 10/Sep/20 -0.0869 -0.0176 3/Dec/20 -0.025 0.0693
Long WTI 9/Sep/20 38.25 42.10 20/Nov/20 45.00 10.1%
Short Copper 14/Jul/20 6,500 6,421 2/Oct/20 5,400 1.2%
Long Silver 4/Sep/20 26.80 24.00 23/Sep/20 32.00 -10.4%
Long Gold 20/Apr/20 1,710 1,890.00 23/Jul/20 1,900 10.5%
Long WTI Dec20-Dec21 29/Apr/20 -5.50 -1.92 9/Jun/20 -1.00 3.58
Source: Bloomberg, TD Securities

TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 7
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TD Securities Global Rates, FX & Commodities Strategy 21 April 2022 CTA Position Tracker 10
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