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The BNP Paribas Multi Asset Global Diversified Index levels are based on the values of notional assets and liabilities.

The BNP Paribas Multi Asset Global Diversified Index only calculates the exposure to a dynamic, hypothetical portfolio that tracks the excess returns of the components of the BNP Paribas Multi Asset Global Diversified Index (“the Index Components”) and is purely notional. There is no actual portfolio of assets to which any person makes any investment or has any ownership interest.

No recommendation.

BNP Paribas makes no recommendation as to the suitability for investment of the BNP Paribas Multi Asset Global Diversified Index or any products or strategies based partly or wholly on the BNP Paribas Multi Asset Global Diversified Index. You should reach a decision after careful consideration with your advisors.

Strategies relying on the levels of the BNP Paribas Multi Asset Global Diversified Index may not be successful.

There is a risk that the rules-based methodology of the BNP Paribas Multi Asset Global Diversified Index does not meet its stated objectives, including meeting its target volatility of 5%, which may result in underperformance of the hypothetical portfolio.

There are risks associated with an index methodology that attempts to replicate a momentum-based investment strategy.

The calculation of the BNP Paribas Multi Asset Global Diversified Index employs a mathematical model intended to replicate what is known as a momentum-based investment strategy, which seeks to capitalise on positive market price trends based on the supposition that positive market price trends may continue. This momentum-based strategy underlying the methodology of the BNP Paribas Multi Asset Global Diversified Index is different from a strategy that seeks long-term exposure to a hypothetical portfolio consisting of constant components with fixed weights. Because the level of the BNP Paribas Multi Asset Global Diversified Index is intended to replicate the performance of the momentum-based investment strategy, these risks could also affect indirectly the performance of any product or strategy based partly or wholly on the levels of the BNP Paribas Multi Asset Global Diversified Index. BNP Paribas reserves the right to amend or adjust the BNP Paribas Multi Asset Global Diversified Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNP Paribas is not under any obligation to continue the calculation, publication or dissemination of the BNP Paribas Multi Asset Global Diversified Index and accepts no liability for any suspension or interruption in the calculation thereof. Neither BNP Paribas nor any of its affiliates accepts any liability in connection with the publication or use of the level of the BNP Paribas Multi Asset Global Diversified Index at any given time. This is neither an offer to sell securities or other instruments nor a solicitation of an offer to buy securities or other instruments, nor shall it be deemed to provide investment, tax, accounting or other advice.

Correlation of performances among the Index Components may reduce the levels of the BNP Paribas Multi Asset Global Diversified Index.

Performances among the Index Components may become highly correlated from time to time. High correlation during periods of negative returns among Index Components representing any one sector or asset type that have a substantial weighting in the BNP Paribas Multi Asset Global Diversified Index could have a material adverse effect on the levels of the BNP Paribas Multi Asset Global Diversified Index, which could in turn negatively affect the performance any product or strategy based partly or wholly on the levels of the BNP Paribas Multi Asset Global Diversified Index.

Legal and regulatory regimes may affect the BNP Paribas Multi Asset Global Diversified Index, its Index Components or its Sub-Components.

The BNP Paribas Multi Asset Global Diversified Index and the Index Components (and sub-components thereof) are subject to legal and regulatory regimes in various regions and, in some cases, in other countries that may change in ways that could negatively affect the BNP Paribas Multi Asset Global Diversified Index or the Index Components (or sub-components thereof). Changes to the applicable legal or regulatory regimes may have a negative impact on the BNP Paribas Multi Asset Global Diversified Index level. The Index Components (or sub-components thereof) that are traded on one or more public exchanges are subject to the rules of the relevant exchange.

The BNP Paribas Multi Asset Global Diversified Index has Limited Historical Information.

The BNP Paribas Multi Asset Global Diversified Index is a new index, launched on September 26th 2022. The performance shown before that date is hypothetical past performance, based on hypothetical back-tested information. This website also contains certain performance data based on back-testing, i.e., calculations of the hypothetical levels of the BNP Paribas Multi Asset Global Diversified Index as if it had actually existed during a defined period of time, and may in certain circumstances contain simulated levels information where the BNP Paribas Multi Asset Global Diversified Index or asset described has recently been established or issued. Further, you must note that such analysis is based on a number of working assumptions that may not be capable of duplication in actual trading terms. Unlike actual performance records, hypothetical or simulated performances, returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints, fees and transaction costs and must be considered illustrative only. Actual historical or back-tested past performance does not constitute an indication of future results. The actual performance of the BNP Paribas Multi Asset Global Diversified Index may bear little relation to the hypothetical historical results.

The BNP Paribas Multi Asset Global Diversified Index has limited public information.

The BNP Paribas Multi Asset Global Diversified Index is a custom index developed by BNP Paribas, the Index Sponsor. There is limited information relating to the BNP Paribas Multi Asset Global Diversified Index that is publicly available. In addition, publicly available information on the BNP Paribas Multi Asset Global Diversified Index, its methodology and its Equity Futures Indices, Bond Futures Indices and Commodity Indices is limited.

The BNP Paribas Multi Asset Global Diversified Index’s Daily Volatility Control mechanism may reduce the appreciation potential of the BNP Paribas Multi Asset Global Diversified Index and may not equal the target volatility.

The BNP Paribas Multi Asset Global Diversified Index’s “volatility control” mechanism allows the BNP Paribas Multi Asset Global Diversified Index to dynamically adjust the level of the hypothetical exposure to the selected portfolio, possibly decreasing its exposure depending on the volatility environment. However, the risk control overlay might limit overall levels of the BNP Paribas Multi Asset Global Diversified Index in rising equity markets and may provide imperfect, limited protection in falling equity markets, particularly against sudden, large equity losses. There can be no assurance that such mechanism will be the most effective way to accurately assess volatility or to predict patterns of volatility. There can also be no assurance that the BNP Paribas Multi Asset Global Diversified Index will achieve its target volatility of 5%.

The Closing Levels of the BNP Paribas Multi Asset Global Diversified Index will include the deduction of an Annual Fee.

The closing level of the BNP Paribas Multi Asset Global Diversified Index includes a deduction from the aggregate levels of its constituents of a Annual Fee equal to 0.50% per annum. As a result of this deduction, the level of the BNP Paribas Multi Asset Global Diversified Index will trail the level of a hypothetical identical portfolio from which no such amount is deducted.

The BNP Paribas Multi Asset Global Diversified Index is an “excess return” index and not a “total return” index.

In general, returns from investing in futures contracts are derived from three sources: (1) changes in the price of such futures contracts (known as the “price return”), (2) profit or loss realised when rolling from a futures contract with one expiry date to another futures contract with a different, generally later, expiry date (known as the “roll return”) and (3) interest earned on the cash (or other) collateral deposited in connection with the purchases of such a futures contract (known as the “collateral return”). The Index Components generate “excess returns”, meaning the sum of the price return and roll return with respect to the Index Components. As a result, an investment in an instrument linked to the BNP Paribas Multi Asset Global Diversified Index will not generate the same returns that would be obtained from investing directly in future contracts underlying the Index Components because the collateral return is not used in calculating an “excess return” index.

The Closing Level of the BNP Paribas Multi Asset Global Diversified Index is net of replication and rebalancing costs.

The Closing Level of the BNP Paribas Multi Asset Global Diversified Index is net of replication and rebalancing costs associated with the BNP Paribas Multi Asset Global Diversified Index. As a result of these costs, the level of the BNP Paribas Multi Asset Global Diversified Index will trail the value of a hypothetical identical portfolio from which no such amount is deducted.

BNP Paribas Financial Markets SNC (formerly known as BNP Paribas Arbitrage SNC), an affiliate of the BNP Paribas Multi Asset Global Diversified Index Sponsor, BNP Paribas, is the Calculation Agent and is responsible for calculating the BNP Paribas Multi Asset Global Diversified Index.

The policies and calculations for which the Calculation Agent is responsible could have an impact, positive or negative, on the level of the BNP Paribas Multi Asset Global Diversified Index. BNP Paribas and its affiliates are under no obligation to consider your interest as an investor in a product linked to the BNP Paribas Multi Asset Global Diversified Index.

Portions of the BNP Paribas Multi Asset Global Diversified Index may be effectively uninvested and earn no return.

The BNP Paribas Multi Asset Global Diversified Index, on each day on which it is calculated, adjusts its exposure to the Index Components in an attempt to maintain a historical volatility approximately equal to an annualised volatility of 5%. If the aggregate weight of the Index Components is less than 100%, the BNP Paribas Multi Asset Global Diversified Index will decrease exposure to the components. As a result, the BNP Paribas Multi Asset Global Diversified Index may underperform a similar index that provides 100% exposure to the Index Components.

The price, level or value of the Index Components used in the BNP Paribas Multi Asset Global Diversified Index may differ from other publicly available prices.

The levels of the Index Components that are Equity Futures Indices or Bond Futures Indices (the “BNP Paribas Component Indices”) are intended to reflect the performance of the relevant futures contracts on a daily volume-weighted average price, subject to a set of trade filters selected by the Index Sponsor to exclude trades with certain codes provided by the relevant exchange that indicate non-standard trades. Such levels are calculated by the Index Calculation Agent or an affiliate thereof and are not publicly available and may not reflect all trades reported by the relevant futures exchange. The daily closing price or any other price of the underlying futures contract may vary from the volume-weighted average price reflected by the level of the applicable BNP Paribas Component Index. Furthermore, a BNP Paribas Component Index may be subject to a disruption due to the unavailability of a volume-weighted average price despite regular trading of the underlying futures contract and the availability of a closing price for such contract.

The BNP Paribas Multi Asset Global Diversified Index’s target volatility feature may reduce its appreciation potential.

Under normal circumstances, equity or commodity futures may exhibit significantly higher volatility than the target volatility of 5%.Accordingly, the “volatility control” mechanism of the BNP Paribas Multi Asset Global Diversified Index may have the effect of skewing allocations among eligible components in the BNP Paribas Multi Asset Global Diversified Index toward components that provide exposure to fixed-income assets (which typically have lower volatility than components that provide exposure to equity or commodity futures). Index Components that typically have lower volatility may have lower return potential than components that typically have higher volatility.

Moreover, if the BNP Paribas Multi Asset Global Diversified Index has a relatively high allocation to components that provide exposure to fixed-income assets, it will be particularly sensitive to factors that adversely affect the value of fixed-income instruments, such as increases in interest rates or declining perceptions of credit quality. A high allocation to components that provide exposure to fixed-income assets may also cause the BNP Paribas Multi Asset Global Diversified Index to underperform a portfolio more heavily weighted with higher volatility assets under certain circumstances. For example, in an equity bull market that is accompanied by rising interest rates, a portfolio heavily weighted with components that provide exposure to fixed-income assets might decline in value as a result of the rising interest rates, while a portfolio heavily weighted with components that provide exposure to equities would appreciate in value.

Other Key Risks:

  • The BNP Paribas Multi Asset Global Diversified Index involves daily rebalancing that is applied to the Index Components by asset type and geographical region. Changes in the value of the Index Components may offset each other.
  • The BNP Paribas Multi Asset Global Diversified Index is subject to risks associated with Global Markets.
  • The futures contracts underlying the Index Components are subject to currency exchange risk. The BNP Paribas Multi Asset Global Diversified Index contains a currency hedge mechanism that seeks to reduce losses due to currency exchange risk. It can also reduce or eliminate gains from currency exchange risk.
  • BNP Paribas is the sponsor of the Equity Futures Indices and Bond Futures Indices that underlie the BNP Paribas Multi Asset Global Diversified Index
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Terms of Use

 

The methodology of and rules governing the index (the “Index Methodology” and the “Index”) are proprietary. None of the sponsor of the Index (the “Index Sponsor”), the index calculation agent (where such party is not also the Index Sponsor, the “Index Calculation Agent”) nor, where applicable, the index Investment Advisor (the “Index Investment Advisor”) guarantee that there will be no errors or omissions in computing or disseminating the Index.
The Index Methodology is based on certain assumptions, certain pricing models and calculation methods adopted by the Index Sponsor, the Index Calculation Agent and, where applicable, the Index Investment Advisor, and may have certain inherent limitations. Information prepared on the basis of different models, calculation methods or assumptions may yield different results. You have no authority to use or reproduce the Index Methodology in any way, and BNP Paribas (together with its affiliates, hereinafter “BNP Paribas”) shall be liable for any loss whatsoever, whether arising directly or indirectly from the use of the Index or Index Methodology or otherwise in connection therewith.
The Index Sponsor reserves the right to amend or adjust the Index Methodology from time to time in accordance with the rules governing the Index and accepts no liability for any such amendment or adjustment. Neither the Index Sponsor nor the Index Calculation Agent are under any obligation to continue the calculation, publication or dissemination of the Index and accept no liability for any suspension or interruption in the calculation thereof which is made in accordance with the rules governing the Index. None of the Index Sponsor, the Index Calculation Agent nor, where applicable, the Index Investment Advisor accept any liability in connection with the publication or use of the level of the Index at any given time.
The Index Methodology embeds certain costs in the strategy which cover amongst other things, friction, replication and repo costs in running the Index. The levels of such costs (if any) may vary over time in accordance with market conditions as determined by the Index Sponsor acting in a commercially reasonable manner.
BNP Paribas may act in a number of different capacities in relation to the Index and/or products linked to the Index, which may include, but not be limited to, acting as market-maker, hedging counterparty, issuer of components of the Index, Index Sponsor and/or Index Calculation Agent. Such activities could result in potential conflicts of interest that could influence the price or value of a product.

By accessing or otherwise using the content available on these pages (such content, including the Index, the analytics and the information on such pages, collectively, the “Content” or the “Site”), you agree to be bound by and abide by the terms of use governing use of this web site and the Terms of Use (collectively, the “Terms of Use”).
The Content is intended for professional clients and eligible counterparties (as defined by the European Union Markets in Financial Instruments Directive (“MiFID”)) only. By clicking “ACCEPT” below you confirm you are a professional client or eligible counterparty under MiFID, and that each access to and use of any Content by you indicates your continued acceptance of the Terms of Use, and your acknowledgement of all relevant disclaimers (as displayed on the Site). If you are not a professional client or an eligible counterparty under MiFID, or do not accept the Terms of Use, you should click the “DISAGREE” button and you will not have access to the Content.
The information provided herein was prepared for information purposes only by BNP Paribas. The Content is indicative and should not be construed as an offer to buy or sell or a solicitation of offers to buy or sell any financial instrument. The Content is not intended to predict actual results, which may differ substantially from those reflected.

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