BNP Paribas MAD5 AUD Hedged Index – About

INTRODUCING

THE BNP PARIBAS MULTI ASSET DIVERSIFIED 5 AUD HEDGED INDEX

The BNP Paribas Multi Asset Diversified 5 AUD Hedged Index (“BNPP MAD 5 AUD Index”) is a rules-based index sponsored by BNP Paribas comprised of eight components – three equity futures indices, three bond futures indices and two commodity indices across a number of geographic regions (the “Hypothetical Portfolio”).

The index dynamically rebalances the weights of its components, using a methodology based on momentum investing principles, which seeks to identify weights for the components that would have resulted in the hypothetical portfolio with the highest return subject to a certain level of volatility. In addition, the BNPP MAD 5 AUD Index includes a risk control mechanism which seeks maintain its short-term volatility at the 5% level, and to reduce volatility during unstable and unpredictable market periods.

For a list of selected risk and considerations with the BNPP MAD 5 AUD Index, please click here.

The BNPP MAD 5 AUD Index is the AUD-hedged version of the original BNP Paribas Multi Asset Diversified 5 Index, denominated in USD. For more information on the USD version click here.

THE BNP PARIBAS MULTI ASSET DIVERSIFIED 5 AUD HEDGED INDEX INCLUDES

The eight components are liquid market benchmarks that cover diverse geographic zones and a range of generally non-correlated assets including equities, commodities and government bond futures.

On a daily basis, the Index dynamically rebalances the weights of its components according to a proprietary rules-based methodology which seeks to identify weights for the components that would have resulted in the Hypothetical Portfolio with the highest past returns¹, subject to a certain level of volatility and weighting constraints².

¹Computed based on a trend indicator that compares current component level to past component level over a 1 year period
²The components maximum weights are as follows: Each Equity Futures Index 25%, each Bond Futures Index 50%, and each Commodity Index 25%. Leverage is allowed and the cost of borrowing is zero. The sum of all weights is capped at 200% and floored at 0%. Minimum weight is 0% for each component. On a daily basis the absolute change in weight for each component cannot be greater than 5%.

Daily, the Hypothetical Portfolio targets an annualized realized volatility of 5%. If the realized volatility exceeds the 5% target rate on any day, the Index will reduce the weight of the portfolio and rebalance it with a non-remunerable hypothetical cash position. Based on the realized volatility, the BNPP MAD 5 AUD Index may be partially or wholly uninvested, and will not earn interest or any other return with respect to that cash position.

Download Material

Brochure

An 8 page overview of the Index complete with performance information and definitions of key terms. Updated quarterly.

Factsheet

A more concise overview of the Index, complete with latest performance information. Updated quarterly.

About BNP Paribas Global Markets

Click here to learn more about the Index’s sponsor.

Important Information

This marketing communication is intended for wholesale clients (in Australia) only and is not intended for retail clients (as both terms are de¬fined by the Corporations Act 2001, sections 761G and 761GA). This website has been prepared for discussion purposes only and does not constitute an offer or a solicitation to engage in any trading strategy or the purchase or sale of any financial instrument.

The BNP Paribas Multi Asset Diversified 5 AUD Hedged Index (the “BNPP MAD 5 AUD Index”) is the exclusive property of BNP Paribas or one of its affiliates (BNP Paribas and its affiliates are hereinafter called “BNPP”) and is determined, composed and calculated by BNPP. “BNP”, “BNPP”, “BNP Paribas”, “BNP Paribas Multi Asset Diversified 5 AUD Hedged”, and “BNPP MAD 5 AUD Index” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.

In calculating the performance of the BNPP MAD 5 AUD Index, BNPP deducts an annual fee of 0.50% per annum, calculated on a daily basis which reduces the performance of the index in the same way as a cost. In addition, the BNPP MAD 5 AUD Index methodology embeds certain costs which cover among other things, rebalancing and replication costs. Such costs (if any) may vary over time with market conditions.

BNPP may license the BNPP MAD 5 AUD Index to one or more companies (each, a “Company”) for use in a product offered or issued by the Company. The products are not, in whole or in part, sponsored, structured, priced, endorsed, offered, sold, issued or promoted by BNPP or any of its affiliates, or any third party licensor of information to BNPP. BNPP reserves the right to amend or adjust the BNPP MAD 5 AUD Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNPP is not under any obligation to continue the calculation,
publication or dissemination of the BNPP MAD 5 AUD Index and accepts no liability for any suspension or interruption in the calculation thereof. Neither BNPP nor any of its affiliates accepts any liability in connection with the publication or use of the level of the BNPP MAD 5 AUD Index at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the BNPP MAD 5 AUD Index. The BNPP MAD 5 AUD Index Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the BNPP MAD 5 AUD Index (the “Underlying Index”) that is not affiliated with BNPP (each such sponsor, an “Underlying Index Sponsor”). The Underlying Index Sponsors make no representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Underlying Index and/or the levels at which the relevant Underlying Index stands at any particular time on any particular date or otherwise. No Underlying Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevant Underlying Index and the relevant Underlying Index Sponsor is under no obligation to advise any person of any error therein. None of the Underlying Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or investing in, or assuming any risk in connection with, the BNPP MAD 5 AUD Index Products. BNPP shall have no liability to any party for any act or failure to act by any Underlying Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Underlying Index and have no affiliation with or control over any Underlying Index or the relevant Underlying Index Sponsor or the computation, composition or dissemination of any Underlying Index. Although BNPP will obtain information concerning each Underlying Index from publicly available sources that it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by BNPP as to the accuracy, completeness and timeliness of information concerning any Underlying Index.

BNPP may act in a number of different capacities in relation to the BNPP MAD 5 AUD Index and/or products linked to the BNPP MAD 5 AUD Index, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.