20180104-法国巴黎银行-Energy_Monthly__Specs_and_financial_channel_lead_9页_219kb

COMMODITY QUANT STRATEGY SUMMARY

Core Content

This report outlines the findings of the MarFA™ Energy strategy, which analyzes the drivers of energy prices using Principal Component Analysis (PCA) and focuses on the interplay between financial conditions, market activity, and commodity pricing. The report is produced by BNP Paribas Brasil S.A. and authored by several members of the Commodity Quant Strategy team.

Main Underlying Factors

• Short-term factors (last 35 business days):

  • The US dollar and global activity (Baltic Dry Index) are the main underlying factors influencing energy prices.
  • The shape of the US interest rate curve (UST Slope 2s10s) and speculative positions are also significant drivers.

• Long-term factors (last 35 weeks):

  • The US dollar effect and shape of the US swap curve are the most important drivers for energy prices.
  • Global activity (Baltic Dry Index) and speculative positions also play a major role.

Market Component Analysis

Weekly Market Components

• The first market component explains the majority of the weekly variations in energy prices:

  • NYMEX WTI Crude: 94.1%
  • ICE Brent Crude: 97.6%
  • NYMEX Gasoline: 99.2%
  • ICE Gasoil: 99.6%

• The second market component is a significant driver for gasoline prices, particularly related to financial conditions and days of gasoline supply.

• The third market component has negligible explanatory power across all cases.

Daily Market Components

• The first market component dominates the daily variations in energy prices, with the US dollar and Baltic Dry Index being the most relevant variables.

• The second market component is mostly insignificant for most energy products, except for gasoline.

• The explanatory power of the second and third market components has significantly decreased compared to September 2017.

Key Insights

• MarFA™ Energy indicates that energy prices are currently not rich to their short-term fair value. The model suggests:

  • WTI Crude: USD 59.70/bbl
  • Brent Crude: USD 65.34/bbl

• The US interest rate curve flattening is expected to be supportive for energy prices in the future.

• Speculative positions and global activity (Baltic Dry Index) are the top drivers of the first market component, while financial stress and days of supply are key for the second component.

Recommendations

• Complement MarFA™ Energy with:

  • Commodity Positioning Weekly (focus on positioning and stocks)
  • Commodities and the Fed (assess the impact of Fed policies)

• Consider the forgotten link between crude oil, the US dollar, and real interest rates for a more comprehensive view.

Strategy Overview

• The MarFA™ Energy strategy uses PCA to identify market components and model the fair value of energy commodities based on key variables.
• The model highlights the importance of the US dollar and global growth indicators in determining energy prices.
• The strategy is not investment research under MiFID, but rather a marketing communication.

Legal and Regulatory Notice

• This document is non-independent research and may be subject to conflicts of interest due to interactions with sales and trading teams.
• It is intended for Professional Clients and Eligible Counterparties under MiFID.
• It is not investment advice and does not constitute a prospectus for EU Directive 2003/71/EC.
• The document is not suitable for retail investors and is only for Qualified Investors in Switzerland.
• It is not eligible for sale in all jurisdictions or to all investors.

Key Contacts