Analytics

Global Rates, FX & Commodities Strategy 4 April 2022

► ENERGY & METALS ► COMMODITIES ► GLOBAL MARKETS

CTA Position Tracker Bart Melek

Head of Commodity
Strategy

Ryan McKay
Daily Tracking of Systematic Trend Followers Commodity Strategist

Positioning | Estimated Key Triggers | Market Implications Daniel Ghali

Senior Commodity
Strategist

TDS CTA Position Tracker

Buying/ Market Proximity to Implied Target
Current/Target CTA Positioninga 1d ago Nearest Trigger Implied Flow**
Selling (Futures) Market* Position**
Copper 49% 49% $9,651 14%

Aluminium 27% 27% $3,067 7%

Zinc 28% 29% $3,477 9%

Nickel 13% 14% $20,583 6%

Lead 45% 45% $2,278 23%

Gold 45% 45% $1,794.70 30%

Silver -6% -6% $26.11 23%
Platinum -11% -6% $963.60 -17%
Palladium 0% 0% $2,468.50 15%
WTI Crude 24% 24% $75.86 5%
Brent Crude 16% 16% $75.34 4%
Gasoline 31% 30% 239.64 14%
Heating Oil 18% 18% 220.77 4%
HH Natural Gas 30% 25% $5.30 5%
E-mini S&P 10% 10% 4,679 25%
E-mini Nasdaq 13% 12% 14,648 -2%
E-mini Dow 11% 11% 34,048 -9%
EUR -36% -35% 1.1369 -12%
JPY -30% -30% 86.4750 -13%
CAD 1% 10% 80.2750 21%
GBP -42% -42% 135.1500 -15%
T-Note -31% -31% 128.47 -14%
Bund -28% -29% 167.00 -9%
CGB -23% -23% 137.79 -12%
Long Gilt -38% -38% 124.58 -11%
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 4 April 2022 CTA Position Tracker 1
 Analytics

Base Metals
Shanghai lockdowns continue with the military being called in to assist in mass testing, seeing the base metals
complex at a standstill as supply disruptions contrast with demand concerns from what could prove to be
a longer lockdown than expected as cases continue to rise. While China's zero-Covid strategy may once
again translate into a short-lived but sharp hit to mobility and demand, speculative length recently added on
the SHFE has not liquidated, suggesting there is still a level of confidence that the lockdowns will not spiral
into a more persistent hit to demand. In that sense, with market participants still willing to look beyond the
demand impact of the Chinese lockdowns, supply disruptions should offer a strong level of support. Indeed,
continued geopolitical tensions and disruptions to Russian supplies, along with still sky-high energy prices,
threaten to constrain supplies around the globe. In this context, the right tail remains fat for industrial metals
as idiosyncratic returns could continue to rise along with energy prices and supply disruptions associated with
Russian material. CTA trend followers are well positioned for a continued rise in prices across the complex.

Precious Metals
Gold remains firm in the aftermath of another strong jobs report as talk of war crimes and the potential for more
sanctions keep haven flows particularly strong. Aside from geopolitical flare-ups, the focus for the precious
metals market this week will shift toward the FOMC minutes and clues surrounding balance-sheet runoff, which
we expect will be announced at the May FOMC. In this sense, while safe-haven appetite and massive ETF
inflows provide a strong offset, the drag of a hawkish Fed backdrop is increasingly weighing on the upside
momentum of the yellow metal. Nonetheless, so long as material progress on ceasefire talks and de-escalation
remains elusive, haven flows are likely to keep the yellow metal supported. With that said, while geopolitical
tensions and yield curve recession signals re-ignite investor interest in gold, downside risks are more prevalent
amid a hawkish Fed backdrop and as negotiators continue to work towards a ceasefire.

Energy Markets
The persistence of geopolitical concerns continues to fuel global supply risks that are keeping the oil market
supported, with WTI crude prices bouncing back above $100/bbl despite the announcement of a record SPR
release and continued Covid lockdowns in the Middle Kingdom. Indeed, while the SPR release can quell
near-term tightness concerns, it does not solve the longer-term issues in the crude market. Structural deficit
conditions could still persist down the road as these reserves will need to be replenished at a time when global
spare capacity and inventory levels will still be stretched. In this sense, the right tail in energy markets is set to
remain structurally fat as depleted reserves would add to the existing risks of self-sanctioning, stretched spare
capacity across OPEC+, constrained shale production, an uncertain Iran deal and OECD inventories at their
lowest since the Arab Spring. We expect this vast array of supply risks to remain the driving force in the energy
market.

TD Securities Global Rates, FX & Commodities Strategy 4 April 2022 CTA Position Tracker 2
 Analytics

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
3450

% max historical
9000 20%
20%
8500 0%
$/t

2950 0%

$/t
8000 -20%
-20%
7500 -40% 2450
-40%
7000 -60%
-60%
1950
6500 -80%
-80%
6000 -100%
1450 -100%
4/6/2021 7/6/2021 10/6/2021 1/6/2022
4/6/2021 7/6/2021 10/6/2021 1/6/2022
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
4000 70%
% max historical

% max historical
35100 60%
40%
3500
$/t

30100 50%
$/t

30%
25100 40%
3000
20% 30%
20100
2500 20%
10%
15100 10%
2000 0% 10100 0%
4/6/2021 7/6/2021 10/6/2021 1/6/2022 4/6/2021 7/6/2021 10/6/2021 1/6/2022
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%
2200
% max historical

20%
2000 0%
$/t

-20%
1800
-40%
-60%
1600
-80%
1400 -100%
4/6/2021 7/6/2021 10/6/2021 1/6/2022
CTA Positioning Estimate Roll-Adjusted Lead Prices
Source: TDS Commodity Strategy

TD Securities Global Rates, FX & Commodities Strategy 4 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%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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%
90 100

% max historical
% max historical

20% 20%
$/bbl
$/bbl

70 0% 80 0%

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

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

10 -100% 20 -100%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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 4 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

260

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

160 -40% 190 -40%

-60% -60%
110 140
-80% -80%
60 -100% 90 -100%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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

7 100%
80%
6
60%
40%
5
% max historical
20%
$/MMBtu

4 0%
-20%
3
-40%
-60%
2
-80%
1 -100%
4/5/2021 7/5/2021 10/5/2021 1/5/2022
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 13500
% max historical

% max historical
20% 20%
3700 0% 11500 0%
-20% -20%
3200 9500
-40% -40%
-60% -60%
2700 7500
-80% -80%
2200 -100% 5500 -100%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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 4 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%
32000

% max historical

% 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%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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
96 100%
145.00 100%
94 80%
80%
92 60%
140.00
60% 90
40%

% max historical
40% 88
135.00
% max historical

20%
20% 86
0%
130.00 0% 84
-20%
-20% 82
125.00 -40%
-40% 80
78 -60%
-60%
120.00 76 -80%
-80%
74 -100%
115.00 -100% 4/5/2021 7/5/2021 10/5/2021 1/5/2022
4/5/2021 7/5/2021 10/5/2021 1/5/2022 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
136 100% 145 100%
134 80% 80%
132 60% 140 60%
130
40% 40%
% max historical

% max historical
128
20% 135 20%
126
0% 0%
124
-20% 130 -20%
122
-40% -40%
120
118 -60% 125 -60%
116 -80% -80%
114 -100% 120 -100%
4/5/2021 7/5/2021 10/5/2021 1/5/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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 4 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%
40% 40%
165 126

% max historical

% max historical
20% 20%
124
160 0% 0%
122
-20% -20%
155 120
-40% -40%
-60% 118 -60%
150
-80% 116 -80%
145 -100% 114 -100%
4/6/2021 7/6/2021 10/6/2021 1/6/2022 4/5/2021 7/5/2021 10/5/2021 1/5/2022
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 $1,034,055 $860,000 ($174,055)
GCQ2 Jul22 bear put spread 8-Feb-22 ($292,541) ($292,541) ($140,000) $1,600,000 ($152,541)
Long Dec23 Brent crude 17-Mar-22 $82.67 $64.50 $90.81 $100.00 $154,660
COQ2 $100/90 bull put spread 28-Mar-22 $251,138 ($300,000) $277,200 $251,138 $26,062
*open model trades pnl as of 4/Apr/22
Closed Model Trades
Trade Entry Date Entry Exit Exit Date Target P/L

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 4 April 2022 CTA Position Tracker 7
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TD Securities Global Rates, FX & Commodities Strategy 4 April 2022 CTA Position Tracker 8
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TD Securities Global Rates, FX & Commodities Strategy 4 April 2022 CTA Position Tracker 9
 Global Strategy
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TD Securities Global Rates, FX & Commodities Strategy 4 April 2022 CTA Position Tracker 10
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