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1、Pleaserefertoimptantinfmationlink:Marfa?ENERGYtriggersalongBrentposition.ThemodelisalsoclosingthelongWTIcrudeoilpositionfaprofitof1.6%link:MarFA?ENERGYtriggersalongWTIpositionRecapPCAmethodologyisourframewkfmonitingmarke

2、tdynamicsonaweeklybasisdeterminingwhethercommoditiesaremispricedintheshtterm.Comparedtothepublicationof25September2017theexplanatypowerofsecondprincipalcomponents(PC)pedsubstantially.Thefirstmarketfactexplainsalmost100%o

3、ftheweeklyvariationsofenergyprices(Tables12firstsecondcolumns).Tables12:Energypricesthethreemainfactsoverthelast35weeks1stMarket2ndMarket3rdMarketComponentComponentComponentNYMEXWTICrude94.5%5.4%0.1%Aconsiderablepartofth

4、emovementsICEBrentCrude98.6%1.2%0.0%intheseassetsareexplainedbytheNYMEXGasoline99.1%0.7%0.2%1stmarketfact.The2ndmarketfacthasICEGasoil99.3%0.4%0.3%lostrelevancefenergy.Resultsasof25September2017NYMEXWTICrude59.9%39.4%0.5

5、%ICEBrentCrude86.2%12.8%0.2%NYMEXGasoline92.9%5.8%1.3%ICEGasoil97.4%1.8%0.5%Source:BloombergLLPBNPParibasasof20March2018weeklydataIdentifyingmarketdriversfthelast35weeksThePCAprocessweusetoestimatethemarketfactsprovidest

6、heweeklydataseriestowhichenergycovariesbutitdoesnotindicatewhatisdrivingthesefacts.ThewaywesolvethisproblemistocalculatetheR2betweentheprincipalcomponentsasetof30weeklymarketvariablestheresultsareshowninTables34.COMMODIT

7、YQUANTSTRATEGYPleaserefertoimptantinfmationattheendofthereptThisdocumenthasbeenproducedby:BancoBNPParibasBrasilS.A.GabrielGerszteinCommodityQuantStrategyHeadofFXitdoesnotpurpttobeanexhaustiveanalysismaybesubjecttoconflic

8、tsofinterestresultingfromtheirinteractionwithsalestradingwhichcouldaffecttheobjectivityofthisrept.ThisdocumentisnonindependentresearchfthepurposeoftheUKFinancialConductAuthityrules.FthepurposesoftherecastMarketsinFinanci

9、alInstrumentsDirective(201465EU)(MiFIDII)nonindependentresearchconstitutesamarketingcommunication.ThisdocumentisnotinvestmentresearchfthepurposesofMiFIDII.Ithasnotbeenpreparedinaccdancewithlegalrequirementsdesignedtoprov

10、idetheindependenceofinvestmentresearchisnotsubjecttoanyprohibitionondealingaheadofthedisseminationofinvestmentresearch.Thecontentinthisdocumentcommunicationmayalsocontain“Research”asdefinedundertheMiFIDIIunbundlingrules.

11、IfthedocumentcommunicationcontainsResearchitisintendedfthosefirmswhoareeitherinscopeoftheMiFIDIIunbundlingruleshavesigneduptooneoftheBNPParibasGlobalMarketsResearchpackagesfirmsthatareoutofscopeoftheMiFIDIIunbundlingrule

12、stherefenotrequiredtopayfResearchunderMiFIDII.Pleasenotethatitisyourfirm’sresponsibilitytoensurethatyoudonotviewusetheResearchcontentinthisdocumentifyourfirmhasnotsigneduptooneoftheBNPParibasGlobalMarketsResearchpackages

13、exceptwhereyourfirmisoutofscopeoftheMiFIDIIunbundlingrules.STEER?isatrademarkofBNPParibas(collectively“BNPP”).ThisdocumentconstitutesamarketingcommunicationhasbeenpreparedbyBNPPfisdirectedat(a)ProfessionalClientsEligible

14、CounterpartiesasdefinedbytherecastMarketsinFinancialInstrumentsDirective(201465EU)(MiFIDII)(b)whererelevantpersonswhohaveprofessionalexperienceinmattersrelatingtoinvestmentsfallingwithinArticle19(5)oftheFinancialServices

15、MarketsAct2000(FinancialPromotion)der2005atotherpersonstowhomitmaylawfullybecommunicated(together“RelevantPersons”)undertheregulationsofanyrelevantjurisdiction.Anyinvestmentinvestmentactivitytowhichthisdocumentrelatesisa

16、vailableonlytowillbeengagedinonlywithRelevantPersons.AnypersonwhoisnotaRelevantPersonshouldnotactrelyonthisdocumentitscontent.Securitiesdescribedhereinmaynotbeeligiblefsaleinalljurisdictionstocertaincategiesofinvests.The

17、infmationopinionscontainedinthisdocumenthavebeenobtainedfromarebasedonpublicsourcesbelievedtobereliablebutthereisnoguaranteeoftheaccuracycompletenessfitnessfanyparticularpurposeofsuchinfmationsuchinfmationmaynothavebeeni

18、ndependentlyverifiedbyBNPPbyanyperson.NoneofBNPPanyofitssubsidiaryundertakingsaffiliatesitsmembersdirectsofficersagentsemployeesacceptsanyresponsibilityliabilitywhatsoevermakesanyrepresentationwarrantyexpressimpliedastot

19、heaccuracycompletenessoftheinfmationanyopinionsbasedthereoncontainedinthisdocumentitshouldnotberelieduponassuch.Thisdocumentdoesnotconstitutefmanypartofanyoffertosellissueisnotasolicitationofanyoffertopurchaseanyfinancia

20、linstrumentnshallitanypartofitnthefactofitsdistributionfmthebasisofbereliedoninconnectionwithanycontractinvestmentdecision.TotheextentthatanytransactionissubsequentlyenteredintobetweentherecipientBNPPsuchtransactionwillb

21、eenteredintouponsuchtermsasmaybeagreedbythepartiesintherelevantdocumentation.Infmationopinionscontainedinthisdocumentarepublishedftheinfmationofrecipientsbutarenottoberelieduponasauthitativetakeninsubstitutionftheexercis

22、eofjudgementbyanyrecipientaresubjecttochangewithoutnoticenotintendedtoprovidethesolebasisofanyevaluationoftheinstrumentsdiscussedherein.InprovidingthisdocumentBNPPdoesnotofferinvestmentfinanciallegaltaxanyothertypeofadvi

23、cetonhasanyfiduciarydutiestowardsrecipients.Anyreferencetopastperfmanceisnotindicativeoffutureperfmancewhichmaybebetterwsethanpriresults.AnyhypotheticalpastperfmancesimulationsaretheresultofestimatesmadebyBNPPasofagivenm

24、omentonthebasisofparametersmarketconditionshisticaldataedbyBNPPshouldnotbeusedasguidanceinanywayoffutureperfmance.TothefullestextentpermittedbylawnoBNPPgroupcompanyacceptsanyliabilitywhatsoever(includinginnegligence)fany

25、directconsequentiallossarisingfromanyuseofrelianceonmaterialcontainedinthisdocumentevenwhereadvisedofthepossibilityofsuchlosses.Allestimatesopinionsincludedinthisdocumentaremadeasofthedateofthisdocument.Unlessotherwisein

26、dicatedinthisdocumentthereisnointentiontoupdatethisdocument.BNPPmaymakeamarketinmayasprincipalagentbuysellsecuritiesofanyissuerpersonmentionedinthisdocumentderivativesthereon.Pricesyieldsothersimilarinfmationincludedinth

27、isdocumentareincludedfinfmationpurposeshowevernumerousfactswillaffectmarketpricingatanyparticulartimesuchinfmationmaybesubjecttorapidchangethereisnocertaintythattransactionscouldbeexecutedatanyspecifiedprice.COMMODITYQUA

28、NTSTRATEGYCONTACTSRobertMcAdieGlobalMarketsHeadofStrategyLondon442075958885robert.mcadie@uk.GabrielGerszteinCommodityQuantStrategy&HeadofFXIRLatamStrategySaoPaulo551138413421gabriel.gersztein@br.SamuelCastroCommodityQuan

29、tStrategy&FXIRLatamStrategySaoPaulo551138413492samuel.castro@br.GustavoMendoncaCommodityQuantStrategy&FXIRLatamStrategySaoPaulo551138413445gustavo.mendonca@br.MichaelSneydGlobalHeadofFXStrategy&CrossAssetStrategistLondon

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