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INTRODUCING THE




BNP PARIBAS US GOVERNANCE MULTI ASSET INDEX



The BNP Paribas US Governance Multi Asset Index (“the Index”) is a rules-based
Index, comprised of seven components – one equity index, three treasury futures
indices and three commodity indices (the “Selected Portfolio”), aiming to source
ethical outperformance while benefiting from a diversified exposure through
additional varied and international assets.



The Index uses data provided by ISS ESG1, the world’s leading provider of
corporate governance data, to score and select US liquid companies according to
four Governance criteria: Audit & Risk Oversight, Board Structure, Shareholder
Rights and Compensation.



For a list of selected risk and considerations with the BNP Paribas US
Governance Multi Asset Index, please click here





1All rights in the information provided by Institutional Shareholder Services
Inc. and its Affiliates (“ISS”) reside with ISS and/or its licensors. ISS is not
the producer of the BNP Paribas US Governance Multi Asset Index and ISS does not
have any responsibilities, obligations or duties in the administration,
management or marketing of said index. The BNP Paribas US Governance Multi Asset
Index is not owned, sponsored, endorsed, or promoted by ISS. ISS makes no
representation or warranty, express or implied, regarding the advisability of
investing in products that are based on the BNP Paribas US Governance Multi
Asset Index or otherwise relying on said index for any purpose. ISS shall have
no liability to any third parties for any errors or omissions, inaccuracy,
incompleteness, delay, or interruption in the BNP Paribas US Governance Multi
Asset Index, any data related thereto, or any values thereof.




THE BNP PARIBAS US GOVERNANCE MULTI ASSET INDEX INCLUDES

 * Growth Governance Stock Selection
 * Dynamic Allocation
 * Hypothetical Performance and Risk Overlays

Corporate Governance speaks to the relationship among the Board of Directors,
Executives and Shareholders, and the ISS Governance QualityScore captures four
Governance criteria that address these relationships and practices.





Every month, a score is given to a pool of liquid US stocks1 based on the four
ISS Governance criteria: Audit & Risk Oversight, Board Structure, Shareholder
Rights and Compensation, and then from there, growth-oriented stocks are
identified.





For more information about the ISS Governance Qualityscore,
please visit https://www.issgovernance.com



1U.S. stocks must have a minimum of $10 million 20-day average daily trading
value to be eligible.
2Governance Score: ISS ESG’s Governance QualityScore uses a numeric,
decile-based score that indicates a company’s governance risk relative to their
index or region. A score in the 1stdecile (QS=1) indicates relatively higher
quality governance practices and relatively lower governance risk, and,
conversely, a score in the 10th decile (QS=10) indicates relatively lower
quality governance practices and relatively higher governance risk. For a stock
to be included in the BNP Paribas Governance Multi Asset Index it must have: an
ISS ESG Audit & Right Oversight raw score greater than or equal to 0, an ISS ESG
Board Structure score below 7, an ISS ESG Shareholder Rights score below 7 and
an ISS ESG Compensation score below 7.
3Unexpected Free Cash Flow is measured by each stock’s free cash flow increase
year-on-year. For each sector, the 66% of stocks in the investment universe with
the lowest increase in unexpected free cash flow are discarded. The remaining
33% are then ranked according to their 6-month volatility, and the 50 stocks
with the lowest level are selected, creating the Equity component of the BNP
Paribas Governance Multi Asset Index.



DIVERSIFICATION



In order to attempt maintaining a diversified range of exposures, in addition to
the Equity component, the Index also includes international treasuries and
commodities (forming the “Hypothetical Portfolio”).





WEIGHTING OF COMPONENTS



On a daily basis, the Index dynamically rebalances the weights of its components
according to a proprietary rules-based methodology.

This methodology 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: Growth Governance US Equity 75%,
10Y US Treasury Futures 75%, 10Y Europe Treasury Futures 25%, 10Y Japan Treasury
Futures 25%, Gold 25%, Commodity ex-Agriculture and Livestock 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.

In addition to its multi asset components, the BNP Paribas US Governance Multi
Asset Index seeks to leverage a commodity carry overlay1 with a fixed weight of
20% to attempt to capture additional outperformance and incorporates a 5%
volatility control mechanism with the objective to achieve stable returns.



On a daily basis, the Index seeks to adjust its exposure among the stocks,
treasury futures, commodities and a hypothetical cash position to target an
annualized realized volatility of 5%.





For illustrative purposes only.
1Commodity Carry overlay is added in the form of a BNP Paribas Index that
captures outperformance of maturity positioning commodity futures versus the
front month of 10 mono-commodities (WTI, Brent, Heating Oil, Gasoline, Natural
Gas, Gasoil, Aluminum, Zinc, Nickel, Copper).


DOWNLOAD MATERIAL



BROCHURE



An 10 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



A factsheet to learn more about the Index’s sponsor, BNP Paribas.
Updated annually.

WANT TO KNOW MORE ABOUT THE
BNP PARIBAS US GOVERNANCE MULTI ASSET INDEX?



us.governance.multi.asset.index@us.bnpparibas.com



© BNP Paribas. All rights reserved.

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IMPORTANT INFORMATION

 

The BNP Paribas US Governance Multi Asset Index (the “BNPP Gov Multi Asset
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 US
Governance Multi Asset Index ”, and “BNPP Gov Multi Asset Index” (collectively,
the “BNPP Marks”) are trademarks or service marks of BNPP. In calculating the
performance of the BNP Paribas Governance MA 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 BNP Paribas US Governance
Multi Asset 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 BNP Paribas US Governance
Multi Asset 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 BNP Paribas US Governance
Multi Asset 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 BNP Paribas US Governance Multi
Asset 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 BNP
Paribas US Governance Multi Asset Index at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the
“Index Products”) linked to the BNP Paribas US Governance Multi Asset Index .
The BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset 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 BNP Paribas
US Governance Multi Asset Index and/or products linked to the BNP Paribas US
Governance Multi Asset Index , which may include, but not be limited to, acting
as hedging counterparty, index sponsor and/or index calculation agent.

© BNP Paribas. All rights reserved.

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