巴黎银行-全球-商品行业-锌：因子模型触发多头-20180815-8页_440kb

COMMODITY QUANT STRATEGY Summary

Core Content

This document outlines a commodity quantitative strategy focused on zinc, detailing the rationale for opening a long position in the metal based on a factor model. It also includes important legal and regulatory disclosures for various jurisdictions, emphasizing the nature of the information provided and the associated risks.

Key Information

Zinc Strategy Overview

• Factor Model Insight: The strategy uses a factor model to determine the fair value of zinc.
• Position Opening: A long position in zinc was initiated following a price drop, as the model indicated the metal was undervalued.
• Historical Context:
  • A short position was opened on 24 January 2018 when zinc breached the upper error band.
  • The short position was closed on 8 March 2018 with a 5.8% gain as the price returned to the model's fair value.
  • Since then, zinc has continued to retrace, now breaching the 95% non-parametric error lower band, suggesting the price is too cheap.
• Trade Details:
  • Entry Price: USD 2,355/MT
  • Allocation: 68 contracts
  • Initial Target: USD 2,575/MT (subject to revision)
  • Stop Loss: Dynamic stop loss starting at USD 2,192/MT
• Model-Based Decisions: Allocation and stop loss levels are based on metrics defined in the accompanying technical paper.

Charts and Data

• Charts 1-3: Illustrate the market price and model values of zinc, showing the deviation from the central value and the position relative to the error bands.
• Data Source: Bloomberg LLP and BNP Paribas.
• Date: Information as of 15 August 2018.

Main Views and Recommendations

• Zinc Valuation: The current price of zinc is 11.1% below the central value, indicating it is undervalued.
• Trading Strategy: A long position is recommended due to the model's indication of undervaluation.
• Market Dynamics: The strategy is subject to market changes, and the initial target and stop loss may be adjusted accordingly.

Important Disclosures

• Conflicts of Interest: BNPP may have financial interests in the entities mentioned, including positions in their securities, options, futures, or other derivatives.
• Confidentiality: The document is provided on a strictly confidential basis and may not be copied or distributed without prior written consent.
• No Liability: BNPP and its affiliates disclaim any liability for the accuracy, completeness, or use of the information provided.
• Preliminary Information: The information is not an official transaction confirmation and is for informational purposes only.
• Risk Disclaimer: Transactions involving the products discussed may involve high risk and significant volatility. Risks include market developments, counterparty default, adverse events, and illiquidity.
• No Investment Advice: The document is not intended as investment, tax, or legal advice.
• Regulatory Context: The document is subject to various legal and regulatory requirements depending on the jurisdiction, and may only be distributed to certain categories of investors, such as Qualified Investors in Switzerland or institutional investors in the U.S.

Jurisdictional Information

• United States:
  • Options and ETFs discussed may not be registered under U.S. securities laws.
  • Transactions must be conducted through BNPP Securities Corp. (BNPPSC) unless otherwise authorized.
  • BNPPSC is registered with multiple U.S. regulatory bodies, including SEC, CFTC, FINRA, and NFA.
• United Kingdom:
  • The document is communicated by BNPP London Branch, authorized by ECB, ACPR, and FCA.
• France:
  • The report is distributed by BNPP SA and BNPP Arbitrage, both authorized and supervised by ECB and ACPR.
• Germany:
  • BNPP Niederlassung Deutschland is a branch of BNPP S.A. authorized and supervised by ECB, ACPR, and BaFin.
• Belgium:
  • BNPP Fortis SA/NV is authorized and supervised by ECB, ACPR, and FSMA.
• Ireland:
  • BNPP S.A., S.E. is a branch of BNPP S.A. authorized and supervised by ECB and ACPR.
• Italy:
  • BNPP Succursale Italia is a branch authorized by ECB, ACPR, and CONSOB.
• Netherlands:
  • BNPP Fortis SA/NV, Netherlands Branch is authorized and supervised by ECB, ACPR, and AFM.
• Portugal:
  • BNPP - Sucursal em Portugal is authorized and supervised by ECB, ACPR, and Banco de Portugal.
• Spain:
  • BNPP S.A., S.E. is authorized and supervised by ECB and ACPR.
• Switzerland:
  • The document is intended solely for Qualified Investors as defined by CISA and CISO.
• Canada:
  • The document does not constitute a prospectus or public offering. Offers must be made through a registered dealer.
• Brazil:
  • The report is for informational purposes only and does not constitute an offer or request for investment.
• Turkey:
  • The document is distributed by TEB Investment and TEB, and does not constitute investment advisory services.
• Israel:
  • BNPP does not hold a license to provide investment advice in Israel.
• Bahrain:
  • BNPP Wholesale Bank Bahrain is a licensed institution under the Central Bank of Bahrain.

Summary of Risks

• High market volatility and potential for significant loss.
• Illiquidity and counterparty risk.
• Adverse market developments and unanticipated events.
• Inconsistent transactions with the views expressed in the document.
• No guarantee of returns or performance based on historical or back-tested data.

Final Notes

• The information is subject to change and may be discontinued.
• Readers are advised to consult independent advisors before making any investment decisions.
• The document does not constitute a prospectus or public offering in any jurisdiction.
• It is not intended to provide tax, legal, or investment advice.