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报告摘要

BNP Paribas MarFA™: Cross-Asset Strategy Summary

Core Content

BNP Paribas MarFA™ is a cross-asset correlation framework designed to identify market factors and trading opportunities across various asset classes. It uses a quantitative approach to monitor the correlations, driving factors, and valuations of 75 assets in rates, equities, credit, FX, and commodities. The framework highlights assets that are mispriced and likely to correct within a 1-2 week timeframe.

Main Market Factors

MarFA™ identifies the following three key market factors that influence asset performance:

Implied Vols in FX and Rates Markets
- This factor is most important for risky assets such as equity and credit indices.
- FX and rates implied volatility has been on a declining trajectory over the past three months, while equity volatility has remained relatively stable.
Investor Risk Appetite
- Measured by the BNP Paribas Risk Premia Index (BBG ticker: BNPSGRP Index).
- This factor is primarily relevant for FX pairs such as NZDUSD, USDCAD, and EURNOK.
US 10-Year Term Premium
- Crucial for interest rate assets, especially developed market 10-year yields and 2s10s curves.

Key Trading Opportunities and Mispricings

MarFA™ identifies the following mispricings across different asset classes:

Equities

Overvalued: Korean, Mexican, and Emerging Market equities.
Undervalued: S&P 500 (following its recent decline), MSCI Brazil, and MSCI New Zealand (by approximately 3.7% and 3.9% respectively).

Rates

Too Low: US, Canada, and Australia 10-year yields.
Too High: German real rates (by 7bp).
Too Flat: German 2s10s curve (by 5bp).

FX

Overvalued: EURNOK and EURUSD (by around 1.5%).
Undervalued: USDZAR and USDJPY (by 3.1% and 1.7% respectively).

Credit

Too Wide: UK high yield credit spread (by approximately 25bp).

Summary of Deviations

Asset	Z-score Deviation	Fair Value	Actual Value	Deviation (%) or (bp)
Ger 10y real rates	2.5	-1.00	-0.93	7bp
UK HY, spread	2.2	388.79	413.82	25bp
MSCI Emerging Markets	2.2	952.46	967.92	1.6%
MSCI Korea	2.1	618.79	632.83	2.3%
UK 2yr yield	2.0	0.10	0.16	6bp
EURNOK	1.9	9.05	9.16	1.3%
MSCI Mexico	1.7	5214.48	5414.61	3.8%
USDZAR	-2.8	12.87	12.47	-3.1%
MSCI New Zealand	-2.8	130.9	125.77	-3.9%
Australia 10yr yield	-2.4	2.85	2.75	-10bp
US 10yr yield	-2.0	2.50	2.43	-7bp
Canada 10yr yield	-2.3	1.75	1.69	-6bp
USDJPY	-2.2	113.30	111.42	-1.7%
MSCI Brazil	-2.1	1887	1817	-3.7%

Important Notes

This document is a marketing communication and not investment research.
It is non-independent research and may be subject to conflicts of interest.
The information is based on public sources and may not have been independently verified.
The indicative prices and valuations are for informational purposes only and not actual transaction terms.
BNP Paribas and its affiliates may be involved in transactions related to the assets mentioned, potentially affecting objectivity.
No guarantees are made regarding the accuracy or completeness of the information.
This document is intended for professional clients and relevant investors only.
It does not constitute a prospectus, public offering, or an offer to sell or purchase securities.
Past performance is not indicative of future results.
All information is subject to change without notice.
The document is produced by a BNP Paribas group company and is for the use of intended recipients only.