全球商品系统性曲线收益策略可能已接近尾声

Global Commodities The worst is likely over for systematic curve carry strategies CITI'S TAKE Kenny Hu, CFAAC+65-6657-3873kenny.x.hu@citi.com We expect commodities systematic curve carry strategies to continue torecover as oil prices trend lower over the coming 6-12 months. A major de-escalation is our new base case, and we view any temporary summer rally inoil prices as a rally to fade and a potential entry opportunity for curve carry. Maximilian J LaytonAC+44-20-7986-4556max.layton@citi.com Systematic curve carry strategies which short front-end and long back-end of thecommodities curves have underperformed during the US-Iran war,as the energyprice spikes led to big losses on the short leg (front-end) which cannot be offsetby the relatively small gains on the long leg (back-end).Using the BCOM-weightedCVICFF60 Index as a proxy – which goes short the frond-end vs long 6m fwd – thestrategy suffered a max drawdown of ~10% from the beginning of the war through Eric G Leeeric.g.lee@citi.com Wenyu Yaowenyu.yao@citi.com In our early Aprilsystematic playbook for the Iran war outcomes, we highlightedcurve carry as the potential outperformer in the de-escalation scenario.Curvecarry strategies indeed recovered with the initial US-Iran ceasefire but continuedvolatile sideways performance alongside choppy oil trading through late May. Sincethen, the strategies have seen steadier recovery as a full-blown re-escalation lookedincreasingly unlikely and oil prices declined, leading to moderating backwardationon the curves. As the backwardation was driven primarily by the spot move while the Francesco Martocciafrancesco.martoccia@citi.comMaggie Xueting Linmaggie.x.lin@citi.com Tom Mulqueentom.mulqueen@citi.com Arkady Gevorkyanarkady.gevorkyan@citi.com We see Brent falling to $60–65/bbl over the next 6–12 months driven bySoH flowsnormalizingvia a rolling MoU or a durable agreement, as the US administration hasmoved on and Iran appears willing to take payment/turn this into a broader re-integration and domestic economic boom.At ~$75/bbl, the market is currentlypricing the MoU itself but not yet fully pricing a final deal that secures SoH flows overthe medium term; if it were, prices would likely already be ~$10-15/bbl lower. We arerecommending selling any summer rallies in oil, with temporary rallies potentiallycoming from any of the following: logistical constraints (e.g. insufficient incoming Shreyas Madabushishreyas.madabushi@citi.com Viswanathrao Kintaliviswanathrao.kintali@citi.comXiaodan Zhuxiaodan.zhu@citi.com We also see limited risks for curve carry from the other commodities complexes.The precious metal curves are the stickiest and have historically been the least relevant to curve carry performance. While we are bullish copper and aluminium,their weights are small within BCOM (totaling 10%, vs 27.8% for the petroleumcomplex) and we expect a structural bull market which will likely see back-end of thecurve also lift, unlike short-term supply squeeze rallies. A strong El Niño risks Citi Quant Macro Strategy team confirmed a continuation of the “normal” macroregime, historically the most bullish regime setup for curve carry(see Figure 5). See Appendix A-1 for Analyst Certification, Important Disclosures and Research Analyst Affiliations. Figure 1. The BCOM-weighted CVICFF60 Index – which goes short the frond-end vs long 6m fwd – suffered a max drawdown of 9.7% from the beginning ofthe war through early April, out of which 9.4% was driven by the petroleum Figure 5. Curve carry strategies historically saw best risk-adjusted returns inthe “normal” macro regime as defined by Citi Quant Macro Strategy team’s If you are visually impaired and would like to speak to a Citi representative regarding the detailsof the graphics in this document, please call USA 1-888-500-5008 (TTY: 711), from outside the Appendix A-1 ANALYST CERTIFICATIONThe research analysts primarily responsible for the preparation and content of this research report are either (i) designated by “AC” in the author block or (ii) listed in bold alongside content which is attributable to that analyst. If multiple ACanalysts are designated in the author block, each analyst is certifying with respect to the entire research report other than(a) content attributable to another AC certifying analyst listed in bold alongside the content and (b) views expressed solelywith respect to a specific issuer which are attributable to another AC certifying analyst identified in the price charts orrating history tables for that issuer shown below. Each of these analysts certify, with respect to the sections of the report IMPORTANT DISCLOSURES Analysts’ compensation is determined by Citi Research management and Citigroup’s senior management and is based uponactivities and services intended to benefit the investor clients of Citigroup Global Markets Inc. and its affiliates (the “Firm”).Compensation is not linked to specific transactions or recommendations.