Introducing MarFA™: BNP Paribas Market Factor Analysis

. Non Independent Research - Marketing Communication Please refer to important information at the end of the report www.GlobalMarkets.bnpparibas.com

CROSS-ASSET STRATEGY | QUANT INSIGHT

Introducing MarFA™: BNP Paribas Market Factor

Analysis 14 September 2016

Non-Independent Research – Marketing Communication

Michael Sneyd

+44 (0)20 7595 1307

MarFA™ (Market Factor Analysis) is our new cross-asset model that identifies correlations between assets and the main market and macroeconomic factors currently driving them.

The model includes two strategies providing trading signals: MarFA™ Trading (short-term signals lasting 1-2 weeks) and MarFA™ Macro (longer-term signals lasting 1-2 months). For example:

MarFA™ Trading currently indicates that curves in Japan, France and Canada have steepened too far, while high yield credit spreads and Australian equities appear too low.

According to MarFA™ Macro, Chinese equities are overvalued and Mexican equities are undervalued on a 1-2 month horizon.

This new model will be used for quantitative input into our cross-asset strategy.

What is MarFA™?

The movements between asset classes are inextricably linked, but monitoring these

links can be time consuming and does not provide an insight into what is driving

assets or prediction of future moves.

Our new framework, BNP Paribas Market Factor Analysis (or MarFA™), provides a

tool that monitors the links between asset classes, identifies market-based and

macroeconomic-based themes driving the markets, and generates trading signals.

This framework will be used for quantitative input into our cross-asset strategy.

MarFA™ framework monitors the relationships between 75 assets across equities,

fixed income, credit, FX and commodities using Principal Component Analysis (PCA).

PCA is a statistical approach which calculates a set of data series that are correlated

to the asset, but uncorrelated with each other.

We use the three most statistically important of these data series to calculate: 1) the

correlations between assets based on a sample of the last three months; 2) the

‘Market Factors’ driving assets calculated on the last three months of data and the

‘Macro Factors’ driving assets based on the last 12 months of data; and 3) calculate

an estimate of fair values for assets based on these factors. MarFA™ then provides

a signal when an asset has become statistically rich or cheap.

Our new cross-asset framework monitors

correlations, identifies driving factors and

signals if an asset is mispriced

MarFA™ tracks 75 assets across equities, fixed income, credit, FX

and commodities

MarFA™ utilises Principal Component

Analysis (PCA)

This publication is classified as non-objective research

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Cross Asset Strategy www.GlobalMarkets.bnpparibas.com

The outputs of our MarFA™ framework in more detail:

1) Identifying correlations between asset classes. A correlation matrix is

the most common way to track co-movements between assets. However, these

matrices can become unwieldy when there is a large number of assets included, and

making inferences from them is often not straightforward. Our alternative approach

identifies the main market factors driving assets over the past three months and

monitors the sensitivities of assets to these factors, ie if equities and credit both have

a high sensitivity to the same factor, then these two asset classes are highly

correlated. An example of the output is shown in Table 1 below.

We identify the main cross-asset correlations

Table 1: BNP Paribas MarFA™– Market Correlations

Source: Macrobond, Bloomberg, BNP Paribas

BetaExplanatory

powerBeta

Explanatory

powerBeta Explanatory power

MSCI Emerging Markets 0.17 96% 0.03 1% -0.01 0% 0.98MSCI Brazil 0.17 95% -0.01 0% 0.03 0% 0.95TSX (Canada) 0.17 93% -0.01 0% 0.05 1% 0.95EM credit, spread -0.17 93% -0.04 2% 0.01 0% 0.95UK Invt credit, spread -0.16 91% -0.03 1% -0.05 2% 0.94MSCI Korea 0.16 91% 0.04 2% -0.03 1% 0.93FTSE100 0.16 90% -0.04 3% 0.03 1% 0.94MSCI World 0.16 90% 0.03 2% 0.04 1% 0.94EZ HY, spread -0.16 89% -0.04 3% -0.03 1% 0.93MSCI India 0.16 89% 0.00 0% 0.03 1% 0.90MSCI New Zealand 0.16 88% -0.02 1% 0.02 0% 0.89USDKRW -0.16 87% -0.03 1% 0.00 0% 0.88DAX 0.16 86% 0.08 10% 0.00 0% 0.96US Invt credit, spread -0.16 85% -0.06 5% -0.03 1% 0.91EZ Invt credit, spread -0.16 84% -0.04 3% -0.11 8% 0.96SP500 0.16 84% -0.01 0% 0.10 7% 0.91MSCI China 0.15 81% 0.06 6% -0.07 4% 0.91SBX (Sweden) 0.15 81% 0.08 10% 0.02 0% 0.91Italy 10yr yield -0.15 79% 0.09 13% 0.04 1% 0.93MSCI Switzerland 0.15 78% 0.02 1% 0.04 1% 0.80US 2yr swap 0.15 74% 0.10 18% 0.06 3% 0.94UK 10y real rates -0.15 72% 0.05 5% 0.12 10% 0.87Nikkei 0.15 72% 0.08 10% 0.10 6% 0.88CAC 0.14 71% 0.09 14% 0.05 2% 0.87UK 2s10s -0.14 68% 0.07 9% 0.06 3% 0.80EURPLN -0.14 63% -0.04 2% -0.01 0% 0.66MSCI South Africa 0.14 63% 0.03 1% 0.16 17% 0.81UK 10yr yield -0.13 62% 0.13 29% 0.05 2% 0.92MSCI Australia 0.13 61% -0.03 1% 0.17 20% 0.82Ger 10y real rates -0.13 60% 0.07 9% 0.11 9% 0.78Australia 2yr yield -0.13 59% 0.06 6% 0.04 1% 0.65USDZAR -0.13 55% 0.02 0% -0.02 0% 0.56MECI Mexico 0.13 54% 0.00 0% -0.04 1% 0.55AUDUSD 0.13 53% -0.01 0% -0.09 6% 0.59Canada 2s10s -0.12 49% 0.13 31% 0.04 1% 0.81Sweden 10yr yield -0.12 48% 0.17 46% -0.01 0% 0.94UK HY, spread -0.12 47% -0.16 43% -0.01 0% 0.90Japan 10yr yield 0.11 44% 0.12 24% -0.13 11% 0.79US 2yr yield 0.11 43% 0.15 40% 0.03 1% 0.83Australia 10yr yield -0.11 42% 0.15 36% 0.01 0% 0.79Japan 2yr yield 0.11 41% 0.09 14% -0.13 11% 0.66Plantinum 0.11 39% -0.13 28% 0.12 9% 0.76EURSEK 0.10 36% -0.06 6% 0.11 8% 0.50France 2yr yield -0.10 31% 0.12 24% 0.17 20% 0.75EURCHF 0.09 28% 0.07 8% -0.04 1% 0.38NZDUSD 0.09 27% 0.04 2% -0.26 46% 0.75JP 2s10s 0.08 23% 0.13 29% -0.08 4% 0.56UK 2yr yield -0.08 23% 0.18 54% 0.01 0% 0.77US 2s10 -0.08 21% 0.16 42% 0.07 3% 0.66France 10yr yield -0.08 21% 0.21 74% 0.00 0% 0.95EURNOK -0.08 20% -0.07 8% 0.24 39% 0.67GBPUSD -0.07 19% 0.18 56% -0.01 0% 0.75JP Invt credit, spread -0.07 17% -0.14 32% 0.18 22% 0.71EURUSD 0.06 14% 0.12 26% -0.22 32% 0.72Oil, WTI -0.06 12% 0.08 11% -0.24 37% 0.60Canada 10yr yield -0.06 12% 0.21 75% 0.10 6% 0.93Canada 2yr yield 0.06 12% 0.18 55% 0.12 9% 0.76Sweden 2s10 -0.06 11% 0.18 56% -0.05 2% 0.69MSCI Norway 0.06 10% -0.03 1% 0.16 18% 0.30USDJPY -0.05 9% 0.06 6% 0.26 45% 0.61USDMXN -0.05 9% 0.00 0% 0.13 11% 0.20USDTRY 0.05 9% -0.02 1% 0.31 65% 0.74Gold 0.05 8% -0.19 62% -0.04 1% 0.71US 10yr yield 0.05 8% 0.22 85% 0.07 3% 0.96Germany 2yr yield 0.04 7% 0.16 41% 0.15 16% 0.64France 2s10s -0.04 7% 0.19 64% -0.09 6% 0.77Copper -0.04 7% -0.08 11% 0.24 39% 0.57Switzerland 10yr yield 0.03 3% 0.23 86% -0.01 0% 0.89Sweden 2yr yield -0.02 2% 0.20 65% -0.10 7% 0.74US 10y TIIPs 0.02 1% 0.22 84% 0.03 1% 0.86Germany 2s10s -0.01 1% 0.19 59% 0.09 6% 0.65Australia 2s10s 0.01 0% 0.16 44% -0.05 2% 0.47Germany 10yr yield 0.01 0% 0.21 77% 0.14 13% 0.90USDCAD 0.01 0% -0.07 7% 0.24 40% 0.48MSCI Turkey -0.01 0% -0.03 1% -0.19 23% 0.24

1st Market Factor 2nd Market Factor 3st Market Factor Explanatory power

of the 3 market

factors

Where the % is high, it means that an asset’s variation is explained by the 2

nd Market Factor.

Many fixed income movements are largely explained by this factor, indicating a high degree of correlation between these assets

80%-95% of the movements of these assets (mainly equity and credit indices) are explained by the 1st Market Factor. Hence, these assets are highly correlated amongst themselves


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2) Identifying the market and macroeconomic drivers of assets. The PCA

process we use to estimate the market factors provides the data series of which

assets are correlated, but it does not indicate what these factors are driven by. The

PCA is run over the last three months of data to calculate the three most significant

factors driving markets. We then regress the factors against a set of around 50 other

financial market variables, such as implied and historic vols, gauges of investor risk

appetite, real yields and gauges of liquidity to determine quantititively the factors

driving markets.

For example, the 1st Market Factor is currently moving in tandem with equity and FX

market vols (Chart 1). The 2nd Market Factor can currently be explained by US 10y

real yields (Chart 2), and the 3rd Market Factor can currently explained by the xccy

basis (Chart 3). Combining these results with the correlation identified in Table 1, we

can establish that equity and credit markets have been benefiting from the decline in

implied volatilities, while declining long-term US real yields are in line with global

yields and coming under pressure.

We repeat this process using a 12 month sample of data to identify longer-term

factors driving assets, which we term “Macro Factors”. These are timely

macroeconomic variables such as economic data surprise indices, the strength of

economic surveys and data, inflation rates, real rates and employment data. Using

the same approach as for the three Market Factors, we regress the the three most

The framework quantitatively identifies

Market and Macro Factors that have been

driving asset prices

Macroeconomic factors that are important to

assets are also identified

Chart 1: The 1st Market Factor can currently be explained by declining FX and equity volatility

Chart 2: The 2nd Market Factor can currently be explained by long-term real rates

Source: Macrobond, Bloomberg, BNP Paribas Source: Macrobond, BNP Paribas

9

9.5

10

10.5

11

11.5

12

12.5

13

13.5

14-15

-10

-5

0

5

10

Jun-16 Jul-16 Aug-161st Market Factor (lhs) G4 FX vol, average

-0.55

-0.5

-0.45

-0.4

-0.35

-0.3

-0.25

-0.2

-0.15

-0.1

-10

-5

0

5

10

15

Jun-16 Jul-16 Aug-162nd Market Factor (lhs) US 10y real rates

Chart 3: The 3rd Market Factor can be currently explained by the xccy basis

Source: Macrobond, BNP Paribas

-55

-50

-45

-40

-35

-30

-25-5

-3

-1

1

3

5

7

Jun-16 Jul-16 Aug-163rd Market Factor (lhs) EURUSD x-ccy


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important factors from the PCA process on a set of around 50 macroeconomic

variables, including high frequency and timely survey data, inflation, unemployment,

inflation, and the strength and surprises of economic data in developed and

emerging markets. Chart 4 shows that the 1st Macro Factor can largely be explained

by declining long-term inflation expectations, while the 2nd and 3rd Macro Factors

are largely explained by series of economic activity (Charts 5 and 6).

The framework also allows us quantitatively to track which variables are important

over time. For example, Chart 7 above shows the extent to which the 1st Market

Factor is explained by implied vol for the major FX pairs using the R-squared statistic.

This analysis is backward looking (it shows what has been driving the market), but it

can provide a useful tool for formulating a view of what variables are likely to drive

markets in the future. For example, the prospect of rising volatility if the Fed raises

rates is likely to have a large impact on the market, with emerging market equities

and credit the most sensitive to such moves according to the Market Correlations

(Table 1 on p.2).

We can monitor how the importance of market and macroeconomic

factors changes over time

Chart 4: The 1st Macro Factor is currently explained by declining long-term inflation

expectations

Chart 5: The 2nd Macro Factor is currently driven by series reflecting economic

activity


1.2

1.3

1.4

1.5

1.6

1.7

1.8

1.9-12

-7

-2

3

8

13

Oct-15 Dec-15 Feb-16 Apr-16 Jun-16 Aug-16

1st Macro Factor (lhs) EZ 5y5y inflation

200

300

400

500

600

700

800

900

-11

-9

-7

-5

-3

-1

1

3

5

7

9

Oct-15 Jan-16 Apr-16 Jul-16

2nd Macro Factor (lhs) Baltic dry index

Chart 6: The 3rd Macro Factor currently appears to correspond closely with eurozone PMI

manufacturing

Chart 7: The extent that a variable is important for markets can be tracked

over time

Source: Macrobond, BNP Paribas Source: Macrobond, BNP Paribas

51.0

51.5

52.0

52.5

53.0

53.5-6

-4

-2

0

2

4

6

Oct-15 Jan-16 Apr-16 Jul-16

3rd Macro Factor (lhs) Eurozone PMI

0%

20%

40%

60%

80%

100%

Jan-16 Apr-16 Jul-16

% variation of 1st Market factor explained by G4 FX vol


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3) Signalling if an asset is cheap or expensive relative to Market and

Macro Factors.

We use the three Market Factors and three Macroeconomic Factors to calculate our

estimate of the fair values of an asset. Our framework therefore provides two fair

values for each asset – one based on the main driving factors over the past three

months (this can be considered a short-term fair value), and one based on the main

driving factors over the past 12 months (which can be considered a slightly longer

gauge of fair value). We find that, when an asset deviates away from its fair values,

the move is likely to be temporary and can be profitably traded – when an asset is

overvalued (or undervalued) by 1-2 standard deviations, it is likely to decline (or rise)

going forward. Systematically backtesting a strategy based on the short-term fair

value (which we call MarFA™ Trading) provides a Sharpe ratio of 2.6 and a strategy

based on the longer-term fair value (which we call MarFA™ Macro) provides a

Sharpe ratio of 0.9. Below we summarise the distinction between these two

strategies and on page 8 we provide further details of the backtesting.

MarFA™ Trading – the three main factors driving assets are calculated over a

three month sample of data. When an asset moves away from its fair value, it

tends to move back to it within 1-2 weeks. The Sharpe ratio of a portfolio of

assets is 2.6 since 2010. The Sharpe ratios for each asset class are 1.6 for

equities, 2.1 for fixed income, 0.65 for credit, 0.5 for FX and 0.2 for commodities.

MarFA™ Macro – the three main factors driving assets are calculated over a 12

month sample of data. When an asset moves away from its fair value, it tends to

move back to it over the following 1-2 months. The Sharpe ratio of a portfolio of

assets is 0.9 since 2010. The Sharpe ratios for each asset class are 0.8 for

equities, 0.7 for fixed income, -0.8 for credit, 0.0 for FX and 0.1 for commodities.

Current results of BNP Paribas Market Factor Analysis

Highlights

Our MarFA™ framework indicates that low implied volatilities across equities

and FX, coupled with negative US real yields, explain most of the variation of

the major asset classes in recent months. These market fundamentals have

been very supportive for risky assets up until this week. Meanwhile, the key

Macro Factors are identified as the falling long-term inflation expectations and

the pace of economic data flow, which has been firm but not stellar.

Over a 1-2 week horizon, curves in Japan, France and Canada appear to

have steepened too far, while high yield credit spreads in the eurozone and

UK, as well as EM credit spreads and Australian equities, all appear too low.

Over a 1-2 month horizon, the price of 10y French and Canadian bonds

appears too low. Mexican, Australian and Norwegian equities appear oversold.

Meanwhile, 2s10s curves in France, Germany and Japan appear too steep,

and Chinese equities appear overvalued (Charts 9-12 on p.7).

Current Market Factors

The market correlations shown in Table 1 (p.2) imply a high degree of correlation

between markets currently, especially between equity and credit. All the assets for

which the 1st Market Factor explains 80-100% of their valuation are from these two

asset classes, apart from USDKRW and the Italian 10y yield. There is still a

reasonable, but weaker, correlation with a handful of fixed income assets (German

real rates, the UK 10y yield) and FX (EURPLN, AUDUSD and USDZAR).

Assets tend to deviate around their fair values

calculated from the Market and Macro

Factors.

With MarFA™ Trading, signals tend to last 1-2

weeks

The current themes identified by our

framework

Equity and credit markets appear highly

correlated at the moment

With MarFA™ Macro, signals tend to last 1-2

months


6


Currently, the 1st Market Factor’s highest correlations are with equity, FX volatilities

and US 2y real yields (Chart 8), so MarFA™ therefore identifies these factors as

having been supportive of the risk-on trading environment in recent months.

At the moment, the 2nd Market Factor appears to be an important driver of many

fixed income assets, as well as gold. Our regression analysis suggests that longer-

term real yields (10y) have been an important driver of these moves in fixed income.

Finally, the 3rd Market Factor explains the variation of the smallest number of assets

and represents correlations between exchange rates. This factor appears to be

mostly driven by USD performance and the EURUSD xccy basis at the moment.

Current Macro Factors

The 1st Macro Factor currently identified by our model is the decline in long-term

inflation expectations (captured using the 5y5y inflation forwards). The 2nd and 3rd

Macro Factors appear to reflect economic growth, being correlated with US and G10

data surprises and European survey data, PMIs and the US non-farm payroll report.

The deviations of the assets from the Market and Macro Factors provides the

forward looking, predictive, component of our framework. The current most mispriced

assets are shown in Chart 9 below. Over a 1-2 week horizon, curves in Japan,

France and Canada appear to have steepened too far. The fair values for the curves

have risen in recent days, but the assets themselves have moved by a much larger

amount. The Australian equity index appears too cheap, trading 3.3 z-scores, or

3.6%, below their fair value (Chart 10 below). Meanwhile, UK and eurozone high

yield credit spreads, and EM spreads appear too low, leaving room for credit to

weaken further versus sovereign bonds.

The 1st Market Factor currently represents low

vols and negative real yields

The 2nd Market Factor

currently represents longer-term real yields

The 3rd Market Factor is currently driven by the

broad USD performance and xccy funding

The current Macro Factors are long-term inflation expectations

and the strength of economic data

Over a 1-2 wk horizon,

Australia’s equities are cheap; several EM

equities overvalued

Chart 8: 1st Market Factor currently correlated with equities and credit

Source: Macrobond, Bloomberg, BNP Paribas

-3.5

-2.5

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0.5

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2.5

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-15

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0

5

10

Jun-16 Jul-16 Aug-16

1st Market Factor (lhs)

EM credit (normalised, reversed rhs)

SP500 (normalised rhs)


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Over a 1-2 month view, several 2s10s curves also appear to have steepened too far,

particularly in France, Japan and Germany (Chart 12). China’s equity market

appears overvalued by 2.1 z-scores (Chart 13), contrasting with Australia’s equity

market which appears undervalued by 1.8 z-scores. Mexican assets appear oversold,

with USDMXN trading 2.4 z-scores above its fair value and the Mexican equity index

trading 2.5 z-score below its fair value.

Over a 1-2 month horizon, many EM

equities appear overvalued

Chart 11: EM equities have corrected back towards their fair-value in recent days

Chart 12: Japan’s 2s10s spread currently appears too high from a multi-week perspective


780

800

820

840

860

880

900

920

Jun-16 Jul-16 Aug-16 Sep-16

BNPP MARFA Trading MSCI EM

0.00

0.05

0.10

0.15

0.20

0.25


BNPP MARFA Trading Japan 2s10s

Chart 9: Most mispriced assets according to MarFA™ Trading and MarFA™ Macro

Chart 10: Australian equities appear oversold from a multi-week perspective


AssetZ-score

deviationFair value Asset

Z-score

deviationFair value

JP 2s10s 3.6 0.1 France 2s10s 3.1 -

USDCAD 3.0 1.3 JP 2s10s 3.0 -

EURSEK 2.6 9.45 USDMXN 2.4 18.5

France 2s10s 2.4 0.86 Germany 2s10s 2.2 -

Canada 2s10s 2.4 0.58 MSCI China2 2.1 106.2

EM credit, spread -2.8 376.1 MSCI Norway2 -1.8 4789

UK HY, spread -3.2 488.61 MSCI Australia2 -1.8 3608

MSCI Australia -3.3 1076.70 Canada 10yr, price -1.8 137

GBPUSD -3.5 1.38 France 10yr, price -2.1 147

EZ HY, spread -4.4 423.1 MSCI Mexico2 -2.5 7816

Notes : 1 Price index,

2 Tota l return index,

3 represented as a normal ised relative bond index

MarFA Trading MarFA Macro

Most overvalued

Most Undervalued

970

990

1010

1030

1050

1070

1090

1110

1130


BNPP MARFA Trading MSCI Australia

Chart 13: Chinese equities appear overvalued from a 1-2 month perspective

Chart 14: France’s 10yr bond appears too cheap on a 1-2 month perspective


75

80

85

90

95

100

105

110

115

120

01-Jan-2016 01-Apr-2016 01-Jul-2016

MarFA Macro MSCI China, Total returns

137

139

141

143

145

147

149

01-Jan-2016 01-Apr-2016 01-Jul-2016

MarFA Macro France 10y, generic price


8


Trading BNP Paribas Market Factor Analysis: Backtesting

We have backtested the trading strategy to determine the model’s predictive power.

The performance of the strategy appears positive, with a summary of the

performance statistics shown in Table 2. The overall Sharpe ratios are 2.6 for

MarFA™ Trading and 0.9 for MarFA™ Macro. The strategy has historically

performed best for equities and fixed income.

We note the following steps in the backtesting:

1) Every trading decision in the backtesting sample was made using only data

available at the point of time of the decision, ie no forward looking data was

included, either in the estimation or trade implementation.

2) The trading rule is a simple approach of buying (selling) an asset when its z-

score deviation is larger (smaller) than +2 (-2). The position is held until the

asset moves back in line with its most recent fair value. Hence, the target of

the trade is constantly updated, as the fair value changes and there is no stop-

loss incorporated.

3) The statistics for MarFA™ Trading do not include transaction costs or the cost

of carry, and should be interpreted as a guide to performance. During the

backtested period, each asset has roughly an equal number of long and short

trading recommendations, which suggests that the impact of carry is likely to

be small. The signals calculated for the MarFA™ Macro strategy are based on

total return series and therefore include the cost of carry, but not the

transaction costs.

Table 2 below provides the performance statistics for each asset and each asset

class, including Sharpe ratio, hit ratio and average length of trade. The average

length of trade for MarFA™ Trading is 1-2 weeks, while for MarFA™ Macro the

average length is 1-2 months. A large majority, but not all, assets have a positive

Sharpe ratio, while the hit ratios are generally above 50%. There are situations

where an asset has a negative Sharpe ratio but a hit ratio greater than 50%, which

suggests that the size of the losing trades is bigger than the size of the profitable

trades.

Therefore, the backtested performance could perhaps be improved with a more

sophisticated trading strategy which incorporates risk. Generally, however, our

simple backtesting shows that there is significant predictive power in monitoring the

Market and Macro Factors driving assets.

Backtesting the strategy to 2010 suggests there is predicative power in our

approach

Our simple trading strategy has profitable

results

Chart 15: Cumulative performance of MarFA™ Trading and MarFA™ Macro strategies

Source: BNP Paribas

100

110

120

130

140

150

160

170

100

150

200

250

300

350

400

450

500

550

Jan-11 Jan-12 Jan-13 Jan-14 Jan-15 Jan-16

MarFA Trading cumulative return (lhs)

MarFA Macro cumulative return (rhs)


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Table 2: Backtested performance, June 2010 to August 2016

Source: Bloomberg, BNP Paribas

Sharpe ratio Hit ratio Sharpe ratio Hit ratio

Total 2.59 0.88

Fixed Income 2.05 0.73US 10yr yield -0.12 62% 7 0.95 58% 21Japan 10yr yield 1.73 69% 8 -0.75 62% 31UK 10yr yield 1.41 58% 8 -0.21 36% 28Germany 10yr yield 1.94 61% 9 0.05 55% 28France 10yr yield 0.57 58% 9 -0.15 57% 30Canada 10yr yield -0.52 50% 5 0.74 57% 18Australia 10yr yield 0.08 65% 9 1.10 62% 28Sweden 10yr yield 5.89 65% 9 1.42 62% 28Switzerland 10yr yield 2.02 83% 6 1.83 74% 22Italy 10yr yield 0.48 63% 8 -0.28 62% 29US 2yr yield 0.41 64% 10 1.54 50% 23Japan 2yr yield 2.66 65% 8 -0.43 63% 22UK 2yr yield 1.02 67% 8 -0.01 55% 26Germany 2yr yield 0.14 63% 9 -0.73 49% 32

France 2yr yield 0.27 58% 9 0.11 53% 35Canada 2yr yield 0.69 52% 10 -0.20 55% 34Australia 2yr yield 1.32 59% 9 0.82 48% 40Sweden 2yr yield -0.23 61% 9 -0.92 69% 24US 2yr swap 0.19 49% 10 1.16 57% 42US 2s10 1.25 66% 9 0.36 61% 24JP 2s10s 2.32 62% 8 0.97 42% 31UK 2s10s 0.98 73% 8 0.37 67% 24

Germany 2s10s 1.09 68% 9 0.24 66% 29France 2s10s 0.95 65% 9 0.26 45% 35Canada 2s10s 0.67 65% 10 0.70 48% 34Australia 2s10s 1.56 61% 9 0.91 55% 32Sweden 2s10 0.93 61% 10 1.15 56% 26US 10y TIIPs 2.28 63% 9 -0.07 62% 29UK 10y real rates 0.59 62% 8 0.19 72% 24Ger 10y real rates 0.69 64% 10 0.02 63% 31Equities 1.56 0.78SP500 0.46 60% 7 -0.07 49% 23Nikkei 2.80 60% 7 0.00 80% 27FTSE100 0.85 72% 8 1.24 67% 24DAX 1.19 62% 8 0.69 60% 24CAC 1.59 62% 8 -0.22 58% 27TSX (Canada) 0.66 61% 8 -0.12 62% 21MSCI Switzerland -0.45 62% 9 0.30 63% 25MSCI Norway -0.31 60% 8 1.47 68% 25SBX (Sweden) 0.93 62% 9 1.46 61% 27MSCI Australia 1.98 68% 8 1.08 49% 26MSCI New Zealand 1.76 68% 9 0.38 62% 32MSCI World 1.10 68% 8 0.06 44% 28MSCI Brazil -0.91 57% 9 -0.32 60% 27MSCI Turkey -0.89 60% 9 0.29 66% 31MSCI South Africa 2.62 59% 10 1.39 68% 26MSCI Korea 2.11 71% 8 1.22 69% 31MECI Mexico 1.36 69% 8 0.60 52% 30MSCI China 1.58 60% 9 0.03 42% 37MSCI India 1.64 70% 8 1.35 63% 34MSCI Emerging Markets 0.99 63% 8 -0.39 45% 31Credit 0.65 -0.80US Invt credit, spread -1.79 60% 4 1.61 62% 11

EZ Invt credit, spread 1.85 50% 5 -0.56 57% 18UK Invt credit, spread 1.79 55% 5 0.40 58% 15UK HY, spread -0.75 56% 6 -1.50 63% 14JP Invt credit, spread 1.91 63% 5 -0.03 54% 16EZ HY, spread 0.67 52% 6 0.19 49% 17EM credit, spread -0.12 56% 10 -1.35 59% 40FX 0.50 0.02GBPUSD 0.23 60% 9 0.60 69% 31EURUSD -0.68 59% 10 0.12 55% 30USDJPY -0.11 64% 10 -0.21 61% 29USDCAD 0.85 53% 10 -0.66 59% 32AUDUSD 0.00 59% 9 0.02 52% 27NZDUSD -0.64 59% 9 0.16 54% 31EURCHF -0.27 61% 9 -0.25 60% 31EURNOK 1.03 64% 9 0.87 66% 27EURSEK 1.40 70% 9 0.40 56% 30USDTRY -0.18 64% 9 -0.17 46% 38USDZAR 0.99 62% 9 -0.49 54% 27USDKRW 0.36 60% 10 0.38 62% 33USDMXN 0.84 60% 8 -0.18 56% 26EURPLN 1.09 62% 9 0.21 62% 33

Commodities 0.19 0.08Oil, WTI 0.65 58% 10 -0.66 58% 31Gold 0.06 56% 10 -0.01 65% 30Copper 0.24 56% 10 0.35 51% 34Platinum -0.13 62% 10 1.06 63% 32

MarFA Trading MarFA Macro

Average of days

trades held

Average of days

trades held


10


Global Strategy Contacts

Robert McAdie Global Markets Head of Research and Strategy London 44 20 7595 8077 [email protected]

Michael Sneyd, CFA Macro Quantitative Strategist London 44 20 7595 1307 [email protected]

Pierre Mathieu Cross Asset Strategist London 44 20 7595 8730 [email protected]

Wike Groenenberg Global Head of EM Strategy London 44 20 7595 8746 [email protected]

Steven Saywell Global Head of FX Strategy London 44 20 7595 8487 [email protected]

Laurence Mutkin Global Head of G10 Rates Strategy London 44 20 7595 8639 [email protected]

Edmund Shing Global Head of Equity Derivative Strategy London 44 20 7595 8984 [email protected]

Harry Tchilinguirian Global Head of Commodity Markets Strategy London 44 20 7595 8779 [email protected]

Production and Distribution

Barbara Consuelo, Foreign Exchange, London. Tel: 44 20 7595 8486, Email: [email protected]

Amanda Grantham-Hill, London. Tel: 44 20 7595 4107, Email: [email protected]

Anna McLauchlin, London. Tel: 44 20 7595 3754, Email: [email protected]

Louise Bylicki, New York. Tel: 1 212 471 6479, [email protected]

RESEARCH DISCLAIMERS

This document has been written by our strategy teams. It does not purport to be an exhaustive analysis, and may be subject to conflicts of interest resulting from their interaction with sales and trading which could affect the objectivity of this report. This document is a marketing communication and is not independent investment research. It has not been prepared in accordance with legal requirements designed to provide the independence of investment research, and is not subject to any prohibition on dealing ahead of the dissemination of investment research.

STEER™ is a trade mark of BNP Paribas

The information and opinions contained in this report have been obtained from, or are based on, public sources believed to be reliable, but no representation or warranty, express or implied, is made that such information is accurate, complete or up to date and it should not be relied upon as such. This report does not constitute an offer or solicitation to buy or sell any securities or other investment. Information and opinions contained in the report are published for the assistance of recipients, but are not to be relied upon as authoritative or taken in substitution for the exercise of judgement by any recipient, are subject to change without notice and not intended to provide the sole basis of any evaluation of the instruments discussed herein. Any reference to past performance should not be taken as an indication of future performance. To the fullest extent permitted by law, no BNP Paribas group company accepts any liability whatsoever (including in negligence) for any direct or consequential loss arising from any use of or reliance on material contained in this report. All estimates and opinions included in this report are made as of the date of this report. Unless otherwise indicated in this report there is no intention to update this report. BNP Paribas SA and its affiliates (collectively “BNP Paribas”) may make a market in, or may, as principal or agent, buy or sell securities of any issuer or person mentioned in this report or derivatives thereon. Prices, yields and other similar information included in this report are included for information purposes. Numerous factors will affect market pricing and there is no certainty that transactions could be executed at these prices.

BNP Paribas may have a financial interest in any issuer or person mentioned in this report, including a long or short position in their securities and/or options, futures or other derivative instruments based thereon, or vice versa. BNP Paribas, including its officers and employees may serve or have served as an officer, director or in an advisory capacity for any person mentioned in this report. BNP Paribas may, from time to time, solicit, perform or have performed investment banking, underwriting or other services (including acting as adviser, manager, underwriter or lender) within the last 12 months for any person referred to in this report. BNP Paribas may be a party to an agreement with any person relating to the production of this report. BNP Paribas, may to the extent permitted by law, have acted upon or used the information contained herein, or the research or analysis on which it was based, before its publication. BNP Paribas may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this report. Any person mentioned in this report may have been provided with sections of this report prior to its publication in order to verify its factual accuracy.

This report was produced by a BNP Paribas group company. This report is for the use of intended recipients and may not be reproduced (in whole or in part) or delivered or transmitted to any other person without the prior written consent of BNP Paribas. By accepting this document you agree to be bound by the foregoing limitations.

Certain countries within the European Economic Area:

This report is solely prepared for professional clients. It is not intended for retail clients and should not be passed on to any such persons. This report has been approved for publication in the United Kingdom by BNP Paribas London Branch.

BNP Paribas London Branch: 10 Harewood Avenue, London NW1 6AA; tel: +44 20 7595 2000; fax: +44 20 7595 2555- www.bnpparibas.com. Incorporated in France with Limited Liability. Registered Office: 16 boulevard des Italiens, 75009 Paris, France. 662 042 449 RCS Paris. BNP Paribas London Branch is lead supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR). BNP Paribas London Branch is authorised by the ECB, the ACPR and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. BNP Paribas London Branch is registered in England and Wales under no. FC13447.

This report has been approved for publication in France by BNP Paribas SA, BNP Paribas, incorporated in France with Limited Liability (Registered Office: 16 boulevard des Italiens, 75009 Paris, France, 662 042 449 RCS Paris, www.bnpparibas.com) is authorized and supervised by European Central Bank (ECB) and by Autorité de Contrôle Prudentiel et de Résolution (ACPR) in respect of supervisions for which the competence remains at national level, in terms of Council Regulation n° 1024/2013 of 15 October 2013 conferring specific tasks on the ECB concerning policies relating to the prudential supervision of credit institutions.

mailto:[email protected]





http://www.bnpparibas.com/



11


This report is being distributed in Germany either by BNP Paribas London Branch or by BNP Paribas Niederlassung Frankfurt am Main, a branch of BNP Paribas S.A. whose head office is in Paris, France. BNP Paribas S.A. – Niederlassung Frankfurt am Main, Europa Allee 12, 60327 Frankfurt is authorised and supervised by the Autorité de Contrôle Prudentiel et de Résolution and it is authorised and subject to limited regulation by the Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin).

United States: This report is being distributed to US persons by BNP Paribas Securities Corp., or by a subsidiary or affiliate of BNP Paribas that is not registered as a US broker-dealer to US major institutional investors only. BNP Paribas Securities Corp., a subsidiary of BNP Paribas, is a broker-dealer registered with the U.S. Securities and Exchange Commission and a member of the Financial Industry Regulatory Authority and other principal exchanges. For the purposes of, and to the extent subject to, §§ 1.71 of the U.S. Commodity Exchange Act, this report is a general solicitation of derivatives business. BNP Paribas Securities Corp. accepts responsibility for the content of a report prepared by another non-U.S. affiliate only when distributed to U.S. persons by BNP Paribas Securities Corp.

Japan: This report is being distributed to Japanese based firms by BNP Paribas Securities (Japan) Limited or by a subsidiary or affiliate of BNP Paribas not registered as a financial instruments firm in Japan, to certain financial institutions defined by article 17-3, item 1 of the Financial Instruments and Exchange Law Enforcement Order. BNP Paribas Securities (Japan) Limited is a financial instruments firm registered according to the Financial Instruments and Exchange Law of Japan and a member of the Japan Securities Dealers Association and the Financial Futures Association of Japan. BNP Paribas Securities (Japan) Limited accepts responsibility for the content of a report prepared by another non-Japan affiliate only when distributed to Japanese based firms by BNP Paribas Securities (Japan) Limited. Some of the foreign securities stated on this report are not disclosed according to the Financial Instruments and Exchange Law of Japan.

Hong Kong: This report is being distributed in Hong Kong by BNP Paribas Hong Kong Branch, a branch of BNP Paribas whose head office is in Paris, France. BNP Paribas Hong Kong Branch is registered as a Licensed Bank under the Banking Ordinance and regulated by the Hong Kong Monetary Authority. BNP Paribas Hong Kong Branch is also a Registered Institution regulated by the Securities and Futures Commission for the conduct of Regulated Activity Types 1, 4 and 6 under the Securities and Futures Ordinance.

Israel: BNP Paribas does not hold a licence under the Investment Advice and Marketing Law of Israel, to offer investment advice of any type, including, but not limited to, investment advice relating to any financial products”.

Singapore: BNP Paribas Singapore Branch is regulated in Singapore by the Monetary Authority of Singapore under the Banking Act, the Securities and Futures Act and the Financial Advisers Act. This document may not be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (i) to an institutional investor pursuant to Section 274 of the Securities and Futures Act, Chapter 289 of Singapore ("SFA"), (ii) to an accredited investor or other relevant person, or any person under Section 275(1A) of the SFA, pursuant to and in accordance with the conditions specified in Section 275 of the SFA or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provisions of the SFA.

Australia: This material, and any information in related marketing presentations (the Material), is being distributed in Australia by BNP Paribas ABN 23 000 000 117, a branch of BNP Paribas 662 042 449 R.C.S., a licensed bank whose head office is in Paris, France. BNP Paribas is licensed in Australia as a Foreign Approved Deposit-taking Institution by the Australian Prudential Regulation Authority (APRA) and delivers financial services to Wholesale clients under its Australian Financial Services Licence (AFSL) No. 238043 which is regulated by the Australian Securities & Investments Commission (ASIC).The Material is directed to Wholesale clients only and is not intended for Retail clients (as both terms are defined by the Corporations Act 2001, sections 761G and 761GA). The Material is subject to change without notice and BNP Paribas is under no obligation to update the information or correct any inaccuracy that may appear at a later date.

Brazil: This document was prepared by Banco BNP Paribas Brasil S.A. or by its subsidiaries, affiliates and controlled companies, together referred to as "BNP Paribas", for information purposes only and do not represent an offer or request for investment or divestment of assets. Banco BNP Paribas Brasil S.A. is a financial institution duly incorporated in Brazil and duly authorized by the Central Bank of Brazil and by the Brazilian Securities Commission to manage investment funds. Notwithstanding the caution to obtain and manage the information herein presented, BNP Paribas shall not be responsible for the accidental publication of incorrect information, nor for investment decisions taken based on the information contained herein, which can be modified without prior notice. Banco BNP Paribas Brasil S.A. shall not be responsible to update or revise any information contained herein. Banco BNP Paribas Brasil S.A. shall not be responsible for any loss caused by the use of any information contained herein.

South Korea: BNP Paribas Securities Korea is registered as a Licensed Financial Investment Business Entity under the FINANCIAL INVESTMENT SERVICES AND CAPITAL MARKETS ACT and regulated by the Financial Supervisory Service and Financial Services Commission. This document does not constitute an offer to sell to or the solicitation of an offer to buy from any person any financial products where it is unlawful to make the offer or solicitation in South Korea.

Some or all the information reported in this document may already have been published on https://globalmarkets.bnpparibas.com

© BNP Paribas (2016). All rights reserved.

EQUITY DISCLAIMERS This non-objective research publication has been written by Global Markets strategy teams. It does not purport to be an exhaustive analysis, and while these teams may interact with sales and trading, this contact should not create a conflict of interest nor otherwise influence this publication. This publication is a marketing communication and is not independent investment research. As this publication has not been prepared in accordance with legal requirements designed to provide the independence of investment research, it is not subject to any prohibition on dealing ahead of the dissemination of investment research. The information contained in this publication have been obtained from, or are based on, public sources believed to be reliable, but no representation or warranty, express or implied, is made that such information is accurate, complete or up to date and it should not be relied upon as such. This publication does not constitute an offer or solicitation to buy or sell any securities or other investment. The publication has been produced for its intended recipients, and it should not be relied upon when exercising judgement. The information may be subject to change without notice and is not intended to provide the sole basis of any evaluation of the market and related instruments discussed herein. Any reference to past performance should not be taken as an indication of future performance. To the fullest extent permitted by law, no BNP Paribas group company accepts any liability whatsoever (including in negligence) for any direct or consequential loss arising from any use of, or reliance on, material contained in this publication. All information included herein is made as of the date of this publication. Unless otherwise indicated in this publication there is no intention to update this publication. BNP Paribas SA and its affiliates (collectively “BNP Paribas”) may make a market in, or may, as principal or agent, buy or sell securities, or derivatives thereon, of any issuer or person included in this publication. Prices, yields and other similar information included in this publication are included for information purposes. Numerous factors will affect market pricing and there is no certainty that transactions could be executed at these prices.

BNP Paribas may have a financial interest in any issuer or person mentioned in this publication, including a long or short position in their securities and/or options, futures or other derivative instruments based thereon, or vice versa. BNP Paribas, including its officers and employees may serve or have served as an officer, director or in an advisory capacity for any person mentioned in this publication. BNP Paribas may, from time to time,

https://globalmarkets.bnpparibas.com/


12


solicit, perform or have performed investment banking, underwriting or other services (including acting as adviser, manager, underwriter or lender) within the last 12 months for any person referred to in this publication. BNP Paribas may be a party to an agreement with any person relating to the production of this publication. BNP Paribas, may to the extent permitted by law, have acted upon or used the information contained herein, or the research or analysis on which it was based, before its publication. BNP Paribas may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this publication. Any person mentioned in this publication may have been provided with sections of this document prior to its publication in order to verify its factual accuracy.

This publication was produced by a BNP Paribas group company. This publication is for the use of intended recipients and may not be reproduced (in whole or in part) or delivered or transmitted to any other person without the prior written consent of a BNP Paribas group company. By accepting this publication you agree to be bound by the foregoing limitations.

Certain countries within the European Economic Area: This publication is solely prepared for professional clients. It is not intended for retail clients and should not be passed on to any such persons.

United Kingdom: This has been approved for publication in the United Kingdom by BNP Paribas London Branch, a branch of BNP Paribas SA, (Registered office: 10 Harewood Avenue, London NW1 6AA; tel: +44 20 7595 2000; fax: +44 20 7595 2555- www.bnpparibas.com). BNP Paribas SA is incorporated in France with limited liability (Registered Office: 16 boulevard des Italiens, 75009 Paris, France, 662 042 449 RCS Paris. BNP Paribas London Branch is lead supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR). BNP Paribas London Branch is authorised by the ECB, the ACPR and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. BNP Paribas London Branch is registered in England and Wales under no. FC13447.

France: This has been approved for publication in France by BNP Paribas SA, BNP Paribas, incorporated in France with limited liability (Registered Office: 16 boulevard des Italiens, 75009 Paris, France, 662 042 449 RCS Paris, www.bnpparibas.com) is authorized and supervised by European Central Bank (ECB) and by Autorité de Contrôle Prudentiel et de Résolution (ACPR) in respect of supervisions for which the competence remains at national level, in terms of Council Regulation n° 1024/2013 of 15 October 2013 conferring specific tasks on the ECB concerning policies relating to the prudential supervision of credit institutions.

Germany: This publication is being distributed in Germany by BNP Paribas S.A. Niederlassung Deutschland, a branch of BNP Paribas S.A. whose head office is in Paris, France. 662 042 449 RCS Paris, www.bnpparibas.com). BNP Paribas Niederlassung Deutschland is authorized and lead supervised by the European Central Bank (ECB) and by Autorité de Contrôle Prudentiel et de Résolution (ACPR) and is subject to limited supervision and regulation by Bundesanstalt für Finanzdienstleistungsaufsicht (BaFin) in respect of supervisions for which the competence remains at national level, in terms of Council Regulation n° 2013/1024 of 15 October 2013 conferring specific tasks on the ECB concerning policies relating to the prudential supervision of credit institutions as well as Council Directive n° 2013/36/EU of 26 June, 2013 and Section 53b German Banking Act (Kreditwesengesetz - KWG) providing for the principles of shared supervision between the national competent authorities in case of branches and applicable national rules and regulations. BNP Paribas Niederlassung Deutschland is registered with locations at Europa Allee 12, 60327 Frankfurt (commercial register HRB Frankfurt am Main 40950) and Bahnhofstrasse 55, 90429 Nuremberg (commercial register Nuremberg HRB Nürnberg 31129).

Belgium: BNP Paribas Fortis SA/NV is authorized and supervised by European Central Bank (ECB) and by the National Bank of Belgium, boulevard de Berlaimont 14, 1000 Brussels, and is also under the supervision on investor and consumer protection of the Financial Services and Markets Authority (FSMA), rue du congrès 12-14, 1000 Brussels and is authorized as insurance agent under FSMA number 25789 A

Ireland: This publication is being distributed in Ireland by BNP Paribas S.A., Dublin Branch. BNP Paribas is incorporated in France as a Société Anonyme and regulated in France by the European Central Bank and by the Autorité de Contrôle Prudentiel et de Résolution.

Netherlands: This publication is being distributed in the Netherlands by BNP Paribas Fortis SA/NV, Netherlands Branch, a branch of BNP Paribas SA/NV whose head office is in Brussels, Belgium. BNP Paribas Fortis SA/NV, Netherlands Branch, Herengracht 595, 1017 CE Amsterdam, is authorised and supervised by the European Central Bank (ECB) and the National Bank of Belgium and is also supervised by the Belgian Financial Services and Markets Authority (FSMA) and it is subject to limited regulation by the Netherlands Authority for the Financial Markets (AFM) and the Dutch Central Bank (De Nederlandsche Bank).

Portugal: BNP Paribas – Sucursal em Portugal Avenida 5 de Outubro, 206, 1050-065 Lisboa, Portugal. www.bnpparibas.com. Incorporated in France with Limited Liability. Registered Office: 16 boulevard des Italiens, 75009 Paris, France. 662 042 449 RCS Paris. BNP Paribas – Sucursal em Portugal is lead supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR). BNP Paribas - Sucursal em Portugal is authorized by the ECB, the ACPR and Resolution and it is authorized and subject to limited regulation by Banco de Portugal and Comissão do Mercado de Valores Mobiliários. BNP Paribas - Sucursal em Portugal is registered in C.R.C. of Lisbon under no. NIPC 980000416. VAT Number PT 980 000 416.”

Spain: This publication is being distributed in Spain by BNP Paribas S.A., S.E., a branch of BNP Paribas S.A. whose head office is in Paris, France (Registered Office: 16 boulevard des Italiens, 75009 Paris, France). BNP Paribas S.A., S.E., C/Ribera de Loira 28, Madrid 28042 is authorised and supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR) and subject to limited regulation by the Bank of Spain.

United States: This publication is being distributed to US persons by BNP Paribas Securities Corp., or by a subsidiary or affiliate of BNP Paribas that is not registered as a US broker-dealer to US major institutional investors only. BNP Paribas Securities Corp., a subsidiary of BNP Paribas, is a broker-dealer registered with the U.S. Securities and Exchange Commission and a member of the Financial Industry Regulatory Authority and other principal exchanges. For the purposes of, and to the extent subject to, §§ 1.71 of the U.S. Commodity Exchange Act, this publication is a general solicitation of derivatives business. BNP Paribas Securities Corp. accepts responsibility for the content of a publication prepared by another non-U.S. affiliate only when distributed to U.S. persons by BNP Paribas Securities Corp.

Brazil: This publication was prepared by Banco BNP Paribas Brasil S.A. or by its subsidiaries, affiliates and controlled companies, together referred to as "BNP Paribas", for information purposes only and do not represent an offer or request for investment or divestment of assets. Banco BNP Paribas Brasil S.A. is a financial institution duly incorporated in Brazil and duly authorized by the Central Bank of Brazil and by the Brazilian Securities Commission to manage investment funds. Notwithstanding the caution to obtain and manage the information herein presented, BNP Paribas shall not be responsible for the accidental publication of incorrect information, nor for investment decisions taken based on the information contained herein, which can be modified without prior notice. Banco BNP Paribas Brasil S.A. shall not be responsible to update or revise any information contained herein. Banco BNP Paribas Brasil S.A. shall not be responsible for any loss caused by the use of any information contained herein.

Israel: BNP Paribas does not hold a licence under the Investment Advice and Marketing Law of Israel, to offer investment advice of any type,






13


including, but not limited to, investment advice relating to any financial products”

South Africa: BNP Paribas Cadiz Securities (Pty) Ltd (Registration number 1998/007073/07) (FSP 13062) and BNP Paribas Cadiz Stockbroking (Registration number 1996/009716/07) (FSP 29451) (“BNPP Cadiz”) are authorised Financial Services Providers in terms of the Financial Advisory and Intermediary Services Act, 37 of 2002. Any view or opinion expressed in this publication is based on factual information and must not be seen to constitute advice.

Japan: This publication is being distributed to Japanese based firms by BNP Paribas Securities (Japan) Limited or by a subsidiary or affiliate of BNP Paribas not registered as a financial instruments firm in Japan, to certain financial institutions defined by article 17-3, item 1 of the Financial Instruments and Exchange Law Enforcement Order. BNP Paribas Securities (Japan) Limited is a financial instruments firm registered according to the Financial Instruments and Exchange Law of Japan and a member of the Japan Securities Dealers Association and the Financial Futures Association of Japan. BNP Paribas Securities (Japan) Limited accepts responsibility for the content of a publication prepared by another non-Japan affiliate only when distributed to Japanese based firms by BNP Paribas Securities (Japan) Limited. Some of the foreign securities stated on this publication are not disclosed according to the Financial Instruments and Exchange Law of Japan.

Hong Kong: This document is prepared for professional investors and is being distributed in Hong Kong by BNP Paribas Hong Kong Branch, a branch of BNP Paribas whose head office is in Paris, France. BNP Paribas Hong Kong Branch is registered as a Licensed Bank under the Banking Ordinance and regulated by the Hong Kong Monetary Authority. BNP Paribas Hong Kong Branch is also a Registered Institution regulated by the Securities and Futures Commission for the conduct of Regulated Activity Types 1, 4 and 6 under the Securities and Futures Ordinance. This document may not be circulated, distributed, reproduced or disclosed (in whole or in part and in any manner whatsoever) to any other person without the prior written consent of BNP Paribas Hong Kong Branch. For the professional investors in Hong Kong, please contact BNP Paribas Hong Kong Branch for all matters and queries relating to this report.

Singapore: BNP Paribas Singapore Branch is regulated in Singapore by the Monetary Authority of Singapore under the Banking Act, the Securities and Futures Act and the Financial Advisers Act. This publication may not be circulated or distributed, whether directly or indirectly, to any person in Singapore other than (i) to an institutional investor pursuant to Section 274 of the Securities and Futures Act, Chapter 289 of Singapore ("SFA"), (ii) to an accredited investor or other relevant person, or any person under Section 275(1A) of the SFA, pursuant to and in accordance with the conditions specified in Section 275 of the SFA or (iii) otherwise pursuant to, and in accordance with the conditions of, any other applicable provisions of the SFA.

South Korea: BNP Paribas Securities Korea is registered as a Licensed Financial Investment Business Entity under the FINANCIAL INVESTMENT SERVICES AND CAPITAL MARKETS ACT and regulated by the Financial Supervisory Service and Financial Services Commission. This publication does not constitute an offer to sell to or the solicitation of an offer to buy from any person any financial products where it is unlawful to make the offer or solicitation in South Korea.

Taiwan: BNP Paribas Taipei Branch is registered as a licensed bank under the Banking Act and regulated by the Financial Supervisory Commission, R.O.C. This publication is directed only at Taiwanese counterparties who are licensed or who have the capacities to purchase or transact in such products. This publication does not constitute an offer to sell to or the solicitation of an offer to buy from any person any financial products where it is unlawful to make the offer or solicitation in Taiwan.

Australia: This material, and any information in related marketing presentations (the Material), is being distributed in Australia by BNP Paribas ABN 23 000 000 117, a branch of BNP Paribas 662 042 449 R.C.S., a licensed bank whose head office is in Paris, France. BNP Paribas is licensed in Australia as a Foreign Approved Deposit-taking Institution by the Australian Prudential Regulation Authority (APRA) and delivers financial services to Wholesale clients under its Australian Financial Services Licence (AFSL) No. 238043 which is regulated by the Australian Securities & Investments Commission (ASIC).The Material is directed to Wholesale clients only and is not intended for Retail clients (as both terms are defined by the Corporations Act 2001, sections 761G and 761GA). The Material is subject to change without notice and BNP Paribas is under no obligation to update the information or correct any inaccuracy that may appear at a later date.

Some or all of the information contained in this publication may already have been published on https://globalmarkets.bnpparibas.com

© BNP Paribas (2016). All rights reserved.

https://globalmarkets.bnpparibas.com/

Introducing MarFA™: BNP Paribas Market Factor Analysis

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Transcript of Introducing MarFA™: BNP Paribas Market Factor Analysis