IMM Positioning Update

Kristoffer Kjær Lomholt Kirstine Kundby-Nielsen

Director Analyst
klom@danskebank.dk kigrn@danskebank.dk
+45 45 12 85 29

19 February 2024

Marketing communication. This communication is “marketing communication” and is not intended to constitute “investment research” as that term is defined by applicable regulations. This
communication has as such not been prepared in accordance with the legal requirements designed to promote the independence of investment research and is not subject to any prohibition
on dealing ahead of the dissemination of the communication .

https://research.danskebank.com Important disclosures and certifications are contained from page 18 of this report
 Non-commercial FX positioning
FX summary
The latest IMM data covers the week from 6 February to 13 February 2024
Commodity summary
Level Weekly changes
Overview table Stretched short Neutral Stretched long Abs. position Positioning trend
EUR Long
Details
JPY Short
USD, ‘carry’, EUR GBP Long 5th largest increase**
CHF Short
JPY & GBP
CAD Short
CHF & CAD AUD Short
NZD Long
AUD & NZD
MXN Long
MXN & RUB BRL Long
BRL
RUB Short 2nd largest increase**
USD* Long
Oil, gold & Copper
16. percentile 84. percentile
Wheat, oats,
soybean & corn
*Adjusted according to USD value of contracts
= Latest = Second latest
Financials

Note that percentiles are not based on any distributional assumption.

Data description Positioning trend is defined as follows.
• Two/three consecutive weekly changes in positioning (% of open interest) of the same sign: or .
Strategy history • Four or more consecutive weekly changes in positioning (% of open interest) of the same sign: or .
** Over a two-year period
Source: Commodity Futures Trading Commission, Danske Bank

2
 Non-commercial commodity positioning
FX summary
The latest IMM data covers the week from 6 February to 13 February 2024
Commodity summary Level Weekly changes
Stretched short Neutral Stretched long Abs. position Positioning trend
Overview table
Oil* Long
Details Gold Long 2nd largest reduction**
Copper Short 5th largest reduction**
USD, ‘carry’, EUR
Wheat Short
JPY & GBP Corn Short
CHF & CAD
Soybean Short
Oats Short
AUD & NZD 2Y US Short
MXN & RUB 10Y US Short
S&P500* Short
BRL
VIX Short
Oil, gold & Copper 16. percentile 84. percentile
Wheat, oats, *'Oil': Light Sweet NYMEX Futures
soybean & corn
*'S&P500': E-mini S&P 500 Futures
Financials = Latest = Second latest
Note that percentiles are not based on any distributional assumption.
Data description Positioning trend is defined as follows.
• Two/three consecutive weekly changes in positioning (% of open interest) of the same sign: or .
Strategy history • Four or more consecutive weekly changes in positioning (% of open interest) of the same sign: or .
** Over a two-year period
Source: Commodity Futures Trading Commission, Danske Bank

3
 IMM overview table for FX and commodities
FX summary Non-commercial 000 contracts % of open interest USD bn Statistics (POI)
positioning
Commodity summary Asset 13-Feb 6-Feb Change 13-Feb 6-Feb Change 13-Feb Change Percentile Z-score
USD* 1.4 1.9 52 0.01
Overview table EUR 52.8 62.2 -9.3 7.2 8.5 -1.3 7.1 -1.3 51 0.19
JPY -111.5 -84.2 -27.3 -36.6 -32.5 -4.1 -9.3 -2.2 20 -0.97
GBP 50.5 34.5 16.0 25.4 17.3 8.1 4.0 1.3 89 1.29
Details
CHF -6.0 -5.6 -0.4 -11 -11.2 0.2 -0.8 0.0 52 -0.09
CAD -5.5 -7.7 2.3 -3.4 -4.8 1.4 -0.4 0.2 46 -0.18
USD, ‘carry’, EUR
AUD -79.0 -71.8 -7.2 -39.6 -39.7 0.1 -5.1 -0.4 5 -1.51
NZD 3.4 0.8 2.6 8.1 2.1 6 0.21 0.2 50 -0.08
JPY & GBP MXN 100.4 86.8 13.6 37.9 33.3 4.6 2.92 0.4 65 0.53
RUB #N/A #N/A #N/A #N/A #N/A #N/A #N/A #N/A 15 -0.78
CHF & CAD BRL 19.3 19.7 -0.3 34.8 32.2 2.6 0.39 0.0 71 0.73

AUD & NZD Oil** 171.1 161.8 9.2 10 9 1 46 -0.08

Gold 131.2 161.7 -30.6 31.2 38.5 -7.3 46 0.18
MXN & RUB Copper*** -32.7 -13.7 -19.0 -12.7 -5.6 -7.1 20 -0.93
Corn**** -245.9 -229.4 -16.5 -15.2 -14.3 -0.9 1 -2.08
BRL Wheat**** -29.0 -38.3 9.3 -7.4 -9.1 1.7 35 -0.47
Soybean**** -161.8 -160.8 -0.9 -21 -20.7 -0.3 1 -2.52
Oil, gold & Copper Oats**** #N/A #N/A #N/A #N/A #N/A #N/A 17 -1.03
2Y US Treasury -1188.0 -1305.6 117.6 -29.9 -33.1 3.2 2 -2.52
Wheat, oats,
soybean & corn 10Y US Treasury -760.5 -828.5 67.9 -16.1 -17.6 1.5 2 -1.84
E-mini S&P500 -215.8 -233.0 17.2 -9.2 -10.2 1 15 -1.03
Financials VIX -51.0 -49.0 -2.0 -14.1 -13.6 -0.5 49 -0.12
* Adjusted according to USD value of contracts
Data description ** NYMEX Light Sweet WTI Crude Futures
*** COMEX
Strategy history **** CBOT
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank

4
FX summary

Commodity summary

Overview table

Details

USD, ‘carry’, EUR

Details
JPY & GBP

CHF & CAD

AUD & NZD

MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history

5
 Historical FX (1 of 6)
FX summary
Aggregate USD as sum of EUR, JPY, GBP, CHF, Non-commercial ‘carry’ positioning
CAD, AUD, NZD, MXN, BRL and RUB
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Net-long EUR positioning EUR positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Sum of 'leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reports
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

6
 Historical FX (2 of 6)
FX summary
Net-long JPY positioning Net-long JPY positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Net-long GBP positioning Net-long GBP positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reports
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

7
 Historical FX (3 of 6)
FX summary
Net-long CHF positioning Net-long CHF positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Net-long CAD positioning Net-long CAD positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reports
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

8
 Historical FX (4 of 6)
FX summary
Net-long AUD positioning Net-long AUD positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Net-long NZD positioning Net-long NZD positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reports
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

9
 Historical FX (5 of 6)
FX summary
Net-long MXN positioning Net-long MXN positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Net-long RUB positioning Net-long RUB positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reports
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

10
 Historical FX (6 of 6)
FX summary
Net-long BRL positioning Net-long BRL positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Sum of 'Leverage funds' and 'Asset manager/Institutional' does not sum to 'Non-Commercial' because they are from two different reports
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

11
 Historical commodities (1 of 2)
FX summary
Oil* and non-commercial positioning Oil** and non-commercial positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

* NYMEX Light Sweet WTI Crude Futures * *ICE Light Sweet Brent Crude Futures Europe
AUD & NZD
Gold and non-commercial positioning Copper and non-commercial positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Past performance is not a reliable indicator of current or future results.
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

12
 Historical commodities (2 of 2)
FX summary
Wheat and non-commercial positioning Oats and non-commercial positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Soybean and non-commercial positioning Corn and non-commercial positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history
Note: Past performance is not a reliable indicator of current or future results.
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

13
 Historical financials
FX summary
Net-long 2Y US Treasury positioning Net-long 10Y US Treasury positioning
Commodity summary

Overview table

Details

USD, ‘carry’, EUR

JPY & GBP

CHF & CAD

AUD & NZD

Net-long S&P 500 and Nasdaq positioning (mini) Net-long VIX positioning
MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history

Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank (all charts)

14
 IMM data description
FX summary
The IMM data
Commodity summary

The IMM data is part of the Commitments of Traders (COT) reports published by the U.S. Commodity Futures
Overview table Trading Commission (CFTC). The IMM data provides a breakdown of each Tuesday’s open futures positions on
the International Money Market (IMM) a division of the Chicago Mercantile Exchange. All of a trader's reported
Details futures positions in a commodity are classified as commercial if the trader uses futures contracts in that
particular commodity for hedging as defined in CFTC Regulation 1.3(z), 17 CFR 1.3(z). A trader may be
USD,
USD,‘carry’,
‘carry',
EUR classified as a commercial trader in some commodities and as a non-commercial trader in other commodities.
EUR & JPY

JPY & GBP

Source: Commodity Futures Trading Commission, Danske Bank

CHF & CAD

AUD & NZD

MXN & RUB

BRL

Oil, gold & Copper

Wheat, oats,
soybean & corn

Financials

Data description

Strategy history

15
 Trading strategies over time (1 of 2)
FX summary Accumulated return* for each currency

Commodity summary EUR JPY

Index Percent of open Index Percent of open
Trend Contrarian % OI (rhs) interest Trend Contrarian % OI (rhs) interest
Overview table 250 60 140 60

40 120 40
200
Details 100 20
20
150
80 0
0
USD, ‘carry’, EUR
100 60 -20
-20
40 -40
JPY & GBP 50
-40
20 -60

CHF & CAD 0 -60 0 -80

01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11
01/12
01/13
01/14
01/15
01/16
01/17
01/18
01/19
01/20
01/21
01/22
01/23
01/24

01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11
01/12
01/13
01/14
01/15
01/16
01/17
01/18
01/19
01/20
01/21
01/22
01/23
01/24
AUD & NZD

GBP CHF
MXN & RUB
Index Percent of open Index Percent of open
Trend Contrarian % OI (rhs) interest Trend Contrarian % OI (rhs) interest
160 80 140 80
BRL
140 60 120 60

120 40 40
Oil, gold & Copper 100
100 20 20
80
Wheat, oats, 0
80 0
soybean & corn 60
60 -20 -20
40
Financials 40 -40 -40
20 -60
20 -60
Data description 0 -80
0 -80

01/12

01/19

01/21

01/24
01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11

01/13
01/14
01/15
01/16
01/17
01/18

01/20

01/22
01/23
01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11
01/12
01/13
01/14
01/15
01/16
01/17
01/18
01/19
01/20
01/21
01/22
01/23
01/24

Strategy history

* Returns are based on a ‘trend’ strategy and a ‘contrarian’ strategy where trigger levels are defined as the 16th and the 84th percentile
Note: Past performance is not a reliable indicator of current or future results.
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank
16
 Trading strategies over time (2 of 2)
FX summary Accumulated return* for each currency
CAD AUD
Commodity summary
Index Percent of open Index Percent of open
Trend Contrarian % OI (rhs) interest Trend Contrarian % OI (rhs) interest
140 60 250 80
Overview table
120 40 60
200
100 40
Details 20
150 20
80
0
USD, ‘carry’, EUR 60 100 0
-20
40 -20
50
JPY & GBP 20 -40 -40

0 -60 0 -60
CHF & CAD

01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11
01/12
01/13
01/14
01/15
01/16
01/17
01/18
01/19
01/20
01/21
01/22
01/23
01/24
01/03

01/07

01/11

01/15

01/19

01/21
01/01
01/02

01/04
01/05
01/06

01/08
01/09
01/10

01/12
01/13
01/14

01/16
01/17
01/18

01/20

01/22
01/23
01/24
AUD & NZD
NZD MXN
MXN & RUB Percent of open Index Percent of open
Index Trend Contrarian % OI (rhs) Trend Contrarian % OI (rhs)
interest interest
160 100 140 100
BRL 140 80 80
120
120 60 60
Oil, gold & Copper 100
40 40
100
20 80 20
Wheat, oats, 80
0 0
soybean & corn 60
60
-20 -20
40 40
Financials -40 -40
20 -60 20
-60
0 -80
Data description 0 -80
01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11
01/12
01/13
01/14
01/15
01/16
01/17
01/18
01/19
01/20
01/21
01/22
01/23
01/24

01/01
01/02
01/03
01/04
01/05
01/06
01/07
01/08
01/09
01/10
01/11
01/12
01/13
01/14
01/15
01/16
01/17
01/18
01/19
01/20
01/21
01/22
01/23
01/24
Strategy history

* Returns are based on a ‘trend’ strategy and a ‘contrarian’ strategy where trigger levels are defined as the 16th and the 84th percentile
Note: Past performance is not a reliable indicator of current or future results.
Source: Commodity Futures Trading Commission, Macrobond Financial, Danske Bank
17
Disclosures and disclaimers

The following disclaimer and disclosure apply to all communication as such, though for the parts that refer to the term “investment
recommendation”, the disclaimer and disclosure are only applicable as far as the communication falls under the definition in Regulation
(EU)No 596/2014. This communication has been prepared by personnel in the LC&I Sales & Trading departments or non-independent
Research departments of Danske Bank A/S. The views set forward in this communication may differ from views or opinions in other
departments of Danske Bank A/S. It constitutes a short-term view and is subject to change and Danske Bank A/S does not undertake to
notify any recipient of this communication of any such change. Details of the producer’s previous investment recommendations on the
relevant financial instrument and all previous investment recommendations made in the past 12 months by the producer will be available
upon request.
LC&I’s Sales & Trading departments’ or non-independent Research departments’ personnel are not independent research analysts, and
this communication is not intended to constitute “investment research” as that term is defined by applicable regulations. This
communication has as such not been prepared in accordance with the legal requirements designed to promote the independence of
investment research and is not subject to any prohibition on dealing ahead of the dissemination of the communication. The personnel in
LC&I’s Sales & Trading departments or non-independent Research departments may be remunerated based on investment banking
revenues. Danske Bank A/S may hold a position or act as market maker in any financial instrument discussed herein. Prices and availability
are indicative and may change without notice.
This communication is provided for informational purposes only and should not be considered investment, legal or tax advice. It does not
constitute or form part of, and shall under no circumstances be considered as, an offer to sell or a solicitation of an offer to purchase or sell
any relevant financial instruments. Danske Bank A/S is not acting as an advisor, fiduciary or agent. Recipients of this communication should
obtain advice based on their own individual circumstances from their own tax, financial, legal and other advisors about the risks and merits
of any transaction before making an investment decision, and only make such decisions on the basis of the investor's own objectives,
experience and resources.
This communication has been prepared independently and solely on the basis of available information that Danske Bank A/S considers to
be reliable, but Danske Bank A/S has not independently verified the contents hereof. While reasonable care has been taken to ensure that
its contents are not untrue or misleading, no representation or warranty, express or implied, is made as to and no reliance should be placed
on the fairness, accuracy, completeness or reasonableness of the information, opinions and projections contained in this communication
and Danske Bank A/S, its affiliates and subsidiaries accept no liability whatsoever for any direct or consequential loss, including without
limitation any loss of profits, arising from reliance on this communication.
For current disclosures of Danske Bank A/S’ interests and potential conflicts of interest regarding issuers and financial instruments
subject of investment recommendations please refer to the following webpage: https://danskeci.com/ci/research/disclosures-and-
disclaimers .

18
Disclosure and disclaimer (continued)
Please note that while information on the great majority of relevant issuers and financial instruments are contained on this website, it may
not contain information on all relevant issuers and financial instruments. The absence of information on any relevant issuer or financial
instrument should not be seen as an indication that Danske Bank A/S does not have any interests or potential conflicts of interest on the
issuer or financial instrument. Please contact your Danske Bank A/S representative for information regarding any issuer subject of
investment recommendation that is not mentioned on https://danskeci.com/ci/research/disclosures-and-disclaimers.

Danske Bank A/S is authorised and subject to regulation by the Danish Financial Supervisory Authority and is subject to the rules and
regulation of the relevant regulators in all other jurisdictions where it conducts business. Danske Bank A/S is subject to limited regulation
by the Financial Conduct Authority and the Prudential Regulation Authority (UK). Details on the extent of the regulation by the Financial
Conduct Authority and the Prudential Regulation Authority are available from Danske Bank A/S on request.

This communication is protected by copyright and is intended solely for the designated addressee. It may not be reproduced or distributed,
in whole or in part, by any recipient for any purpose without Danske Bank A/S’ prior written consent.

Disclaimer related to distribution in the United States

This communication was created by Danske Bank A/S and is distributed in the United States by Danske Markets Inc., a U.S. registered
broker-dealer and subsidiary of Danske Bank A/S, pursuant to SEC Rule 15a-6 and related interpretations issued by the U.S. Securities and
Exchange Commission. The communication is intended for distribution in the United States solely to ‘U.S. institutional investors’ as defined
in SEC Rule 15a-6. Danske Markets Inc. accepts responsibility for this investment recommendation in connection with distribution in the
United States solely to ‘U.S. institutional investors’.
Any U.S. investor recipient of this communication who wishes to purchase or sell any Relevant Financial Instrument may do so only by
contacting Danske Markets Inc. directly and should be aware that investing in non-U.S. financial instruments may entail certain risks.
Financial instruments of non-U.S. issuers may not be registered with the U.S. Securities and Exchange Commission and may not be subject
to the reporting and auditing standards of the U.S. Securities and Exchange Commission.
This communication is for the general information of our clients and is a ‘solicitation’ only as that term is used within CFTC Rule 23.605
promulgated under the U.S. Commodity Exchange Act. Unless otherwise expressly indicated, this communication does not take into account
the investment objectives or financial situation of any particular person.

19
Disclaimer related to distribution in the United Kingdom
In the United Kingdom, this communication is for distribution only to (I) persons who have professional experience in matters relating to
investments falling within article 19(5) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 (the ‘Order’); (II)
high net worth entities falling within article 49(2)(a) to (d) of the Order; or (III) persons who are an elective professional client or a per se
professional client under Chapter 3 of the FCA Conduct of Business Sourcebook (all such persons together being referred to as ‘Relevant
Persons’). In the United Kingdom, this document is directed only at Relevant Persons, and other persons should not act or rely on this
document or any of its contents.

Disclaimer related to distribution in the European Economic Area

This communication is being distributed to and is directed only at persons in member states of the European Economic Area (‘EEA’) who are
‘Qualified Investors’ within the meaning of Article 2(e) of the Prospectus Regulation (Regulation (EU) 2017/1129) (‘Qualified Investors’). Any
person in the EEA who receives this document will be deemed to have represented and agreed that it is a Qualified Investor. Any such
recipient will also be deemed to have represented and agreed that it has not received this document on behalf of persons in the EEA other
than Qualified Investors or persons in the UK and member states (where equivalent legislation exists) for whom the investor has authority to
make decisions on a wholly discretionary basis. Danske Bank A/Swill rely on the truth and accuracy of the foregoing representations and
agreements. Any person in the EEA who is not a Qualified Investor should not act or rely on this document or any of its contents.

Report completed: 18 February 2024, 14:30 CET

Report first disseminated 19 February 2024 , 07:00 CET

20