20171115-法国巴黎银行-MarFATM_Energy__Take_profits_on_short_crude_oil_7页_215kb

COMMODITY QUANT STRATEGY Summary

Core Content

This document outlines a commodity quant strategy recommendation by BNP Paribas, specifically related to crude oil trading. The strategy is known as MarFA™ Energy, and the key action is to take profits on a short crude oil position.

Key Recommendation

• Position Closure: The short crude oil position (CLF8) is being closed at USD 55.11/bbl, resulting in a +4.25% profit and loss (pnl).
• Original Target: The original target for the position was USD 55.00/bbl, which was reached on 15 November 2017.
• Reason for Closure: According to the MarFA™ Energy weekly approach, the correction to the downside has more room to go, so the position is being taken off the table to lock in profits.

Strategy Recap

• Date of Recommendation: 07 November 2017
• Asset Under Review: WTI and Brent crude oil
• Model Insight: The model suggested that crude oil prices were ~7% above their short-term fair value on that date.
• Back-Testing Insight: Historical back-testing indicates that when an asset deviates significantly from its fair value, it tends to return to it within one to three weeks.
• Chart Reference: Chart 1-2 illustrates the first and second principal components and selected factors used in the analysis, which are sourced from Bloomberg and BNP Paribas.

Key Information

• Strategy Team: The strategy was developed by the Commodity Quant Strategy team at BNP Paribas, with key members including:

  • Gabriel Gerszttein: Head of FX & IR Latam Strategy
  • Gustavo Mendonca, Samuel Castro: Latam GM Strategists
  • Michael Sneyd: Cross Asset and Commodity Quant Strategy, Global Head of FX Strategy

• Contact Information:

  • Gabriel Gerszttein: +551138413421 | gabriel.gersztein@br.bnpparibas.com
  • Samuel Castro: +551138413492 | samuel.castro@br.bnpparibas.com
  • Gustavo Mendonca: +551138413445 | gustavo.mendonca@br.bnpparibas.com
  • Robert McAdie: Global Markets Head of Strategy
  • Michael Sneyd: Global Head of FX Strategy & Cross-Asset Strategist

• Legal Notice:

  • The document is a marketing communication and not investment research.
  • It is not independent research and may be subject to conflicts of interest.
  • It is not a prospectus or public offering in any jurisdiction, and not intended for retail investors.
  • Indicative prices are provided for informational purposes and are not binding or indicative of actual transaction terms.
  • BNP Paribas may have conflicts of interest and may engage in transactions inconsistent with the views expressed.

Important Disclosures

• Options Disclosures: Options are complex instruments and may involve high risk. They are only suitable for sophisticated investors.
• ETF Disclosures: ETFs have tracking error, currency, geopolitical, credit, and interest rate risks.
• Restricted Securities: Certain securities may not be registered under US Securities Laws and are considered restricted securities under Rule 144A.
• Confidentiality: The document is provided on a confidential basis and must not be distributed without prior written consent.

Jurisdictional Information

• United States: The report is only for institutional investors and must be reviewed by a BNP Paribas Securities Corp. representative.
• UK: The document is communicated by BNP Paribas London Branch and is subject to limited regulation by the Financial Conduct Authority (FCA) and Prudential Regulation Authority (PRA).
• France: The report is distributed by BNP Paribas SA and BNP Paribas Arbitrage, both authorized and supervised by the ECB and ACPR.
• Germany, Belgium, Italy, Netherlands, Portugal, Spain, Switzerland: The document is distributed by BNP Paribas branches in these countries, each authorized and supervised by relevant national and European authorities.

Disclaimer

• The information and opinions are based on public sources and internal models, but not independently verified.
• Performance data is based on back-testing and is not indicative of future performance.
• No liability is accepted by BNP Paribas for any direct or consequential losses arising from reliance on the document.
• No investment, financial, legal, or tax advice is provided.

Summary

The MarFA™ Energy strategy recommends taking profits on a short crude oil position at USD 55.11/bbl. The decision is based on the model's assessment that crude oil prices had moved ~7% above fair value and were expected to correct. The document is a marketing communication and not investment research, with important legal and risk disclosures for all relevant jurisdictions. BNP Paribas has multiple roles including market making, advisory, and underwriting, which may create conflicts of interest. The information is not guaranteed and must not be relied upon as authoritative.