巴黎银行全球汽油和原油超买贸易风险令贱金属承压

1、Please refer to important information and MAR disclosures at the end of this reportCOMMODITIES | MACRO QUANT & DERIVATIVESComFA: Gasoil and Brent overbought; trade risks weighing on base msThe strongest new signal from ComFA is that Gasoil looks overvalued and likely to decline in the next 2-4 weeks

2、. Fair value stands at USD627.4/tonne, 5.0% below the current price. Fair value has risen recently due to the decline in US 2y real yields and lower inventories, but the rise in the futures price has been too extreme, ComFA implies.Brent crude also looks overvalued by 2.0 z-scores vs its USD70.27/bb

3、l fair value. The fair-value has increased in recent days, but the rise in the price is not fully justified by short-term fundamentals (which are currently identified as global equity market performance, US real yields and US economic data), our analysis suggests.KEY MESSAGESBrentcrudeappearsoverval

4、uedby2.0z-scores (3.5%) and therefore is currently at the thresholdfor triggering a bearish outlook over the next 204 weeks. WTI is 1.3 z-score above its USD61.5/bbl fair value .Gasoil looks significantly overvalued, by 2.6 z-scores, which results in a bearish outlook over the next 2-4 from ComFA. F

5、air value stands at USD627.4/tonne, 5.0% below current spot.Base ms (Copper, Zinc and el) continue toappear undervalued, according to ComFA, although their fair values have fallen slightly over the week as financial conditions have tightened slightly and our data trackers for China have softened.Bas

6、e ms continue to appear impacted by US-Chinatrade tensions, with copper, zinc andel lookingundervalued by over one z-score. Their respective fair values have fallen slightly, due to a slight tightening inAluminum is the exception it appears overvalued by 1.4 z-scores following this weeks rally. The

7、deviation is notfinancial conditions and paring back of strongdata.The ms highest conviction is for copper and zinc toyet large enoughto trigger a bearishsignal risefor the abovecontinue to recover (els mshows less confidence).commodity(thiswouldrequireaAluminiums rise this week has caused it to swi

8、ng from appearing significantly undervalued at the start of May to now appearing moderately overvalued by 1.4 z-score, not quite enough to trigger a bearish signal though. Fair value has fallen during this price action, due to a tightening in global financial conditions.USD1,872/tonne).The “What to

9、watch” listof variablesthat ComFAidentifies as important for oil andbase ms issummarised on pages 2 and 3.Fig. 1: Current deviations from ComFA fair-values3.0Overvalued2.01.00.0-1 0-2 0UndervaluedWTI oil-3 0Brent oilGasoilGasolineNatural GasAluminiumZincCopperel08-May-1916-May-19WTI oilBrent oilGaso

10、ilGasolineNatural GasAluminiumZincCopperelComFA fair-value Deviation (%)Z-score61.512 2%1.370.273.5%2.0627.435.0%2.6207.61-1.1%-0.52 503.6%0.41813.482 3%1.42762.82-5.0%-1.96204.14-1.9%-1 312919.65-6.0%-1.9Source: BNP Paribas1ComFA is a global trademark of BNP Paribas. Please see Deep Dive: Introduci

11、ng BNP Paribas ComFA for details of the approach.Michael Sneyd, Head of Macro Quantitative & Derivatives Strategy | BNP Paribas London Branch16/05/20191Z-score Deviation from ComFAFLASH | Global16 May 2019获取报告1、2、3、每周群内7+报告；当日华尔街日报、4、行研报告均为公开利归原作者所有，起点财经仅分发做内部学习。扫一扫关注 回复：加入“起点财经”群。COMMODITIES | MACR

12、O QUANT & DERIVATIVESComFA: Energy overviewWhat to watch:1.Global equities: Identified as an important variable, with the rise in the oil price correspondeding with the performance of global equity markets. (Bloomberg ticker: MXWO Index)Trade weighted USD: A negative correlation holds, suggesting th

13、at the USDs recent rise is weighing on the fair value of oil prices.(Bloomberg ticker: BBDXY Index)US 2y real yield: Higher real yields correspond with a lower oil price. While this may be partly due to the inflation ponent of real yield, the variable is selected by the mbecause o

14、f forward-looking information for oil having been identified.4.Inventory data for distillates: these have been declining in recent weeks, contributing to slightly higher fair values for Gasoline and Gasoil. (Bloomberg ticker: DOESGAS1 Index and DOESDIL5 Index)Atlanta Feds GDP Nowcast: currently at 1

15、.1%, this is weighing on the fair values for energy prices. (Bloomberg ticker: GDGCAFJP Index)5.Previously identified variables which are no longer deemed significantly important: US 10y yield (USGG10YR Index), 321 crack spread (CRK321M1 Index), global refinery outage (CDUTGLBL Index).Fig. 3: ComFA

16、ICE Brent oil fair valueFig. 2: ComFA WTI oil fair valueFig. 4: ComFA Gasoline fair value (USc/gal)Fig. 5: ComFA Gasoil (USD/tonne)Fig. 6: ComFA Natural gas (USD/MM Btu)Fig. 7: Oil is seen as highly correlated with global equitiesAll sources Bloomberg Macrobond BNP Paribas Note Light shading on ConF

17、A fair-value charts denotes periods when co-integration does not hold.trategy | BNP Paribas London Branch16/05/20192USc/galUSD/bblUSD/bblUSD/tonneCOMMODITIES | MACRO QUANT & DERIVATIVESComFA: Base ms overviewWhat to watch:1.Global financial conditions: Global financial conditions appear overall supp

18、ortive for base m caused fair values to decline (Bloomberg tickers: BFCIUS Index, BRCIEU Index, BFCIGB Index).s, but a tightening over the week has2.US 5y5y real yields and 1y1y US rates: The recent level of both these series appears supportive for commodity prices (Bloomberg tickers: USGGT5Y5 Index

19、 and USFS011 Currency).3.China economic data surprises: The recovery of Chinas economic data was initially supportive for base m support has faded over the past week following weaker industrial production and retail sales data.prices, but this4.Inventory data: Aluminium and copper inventories have f

20、allen in the past week (following a rise), which has had a positive impact onthe fair values for base ms. (Bloomberg tickers: MRSELSCU Index and MRSELSAL Index).Fig. 8: Aluminium (LME 3m) USD/tonneFig. 9:el (LME 3m) USD/tonneFig. 11: ComFA Zinc (LME 3m) USD/tonneFig. 10: ComFA Copper (LME 3m) USD/to

21、nneFig. 12: Global financial conditions have tightened over the weekFig. 13: Aluminium and copper inventories have declined over the weekAll sources Bloomberg Macrobond BNP Paribas Note Light shading on ConFA fair-value charts denotes periods when co-integration does not hold.trategy | BNP Paribas L

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