Market Access Strategies & Indices EUR FX Spot Indices ... · Values of the BNP Paribas FX Spot...

Market Access Strategies & Indices

EUR FX Spot Indices Rulebook

Table of Contents 1

BNP Paribas EUR FX Spot Indices Rulebook

Strictly Private and Confidential

Table of Contents

Introduction .............................................................................................................................................................................. 2 Description of the Indices – Basic Principles .......................................................................................... 2

Index Calculation ..................................................................................................................................................................... 3 Index Dates ............................................................................................................................................ 3 Index Value for each Index ..................................................................................................................... 3 Position Return ....................................................................................................................................... 3

Index History ............................................................................................................................................................................ 6 Base Date .............................................................................................................................................. 6 Historical Values..................................................................................................................................... 6 Tickers and Pages .................................................................................................................................. 6 WMR Calendar ....................................................................................................................................... 6

Index Provisions ....................................................................................................................................................................... 7 Index Disruption ..................................................................................................................................... 7

BNP Paribas EUR FX Spot Indices: Introduction 2


Introduction


Description of the Indices – Basic Principles

The BNP Paribas FX Spot Indices (each an “Index” and together the “Indices”) are a family of indices each of whichreplicates the performance of holding a long spot position in a non-EUR G10 currency (specified in the title of the Index)against a short spot position in EUR (each such position being a “Simulated Position”).

The family of Indices comprises nine Indexes in total: the USD FX Spot Index, the GBP FX Spot Index, the CAD FX SpotIndex, the JPY FX Spot Index, the AUD FX Spot Index, the NZD FX Spot Index, the CHF FX Spot Index, the NOK FX SpotIndex and the SEK FX Spot Index.

The daily performance of each Index is determined on each Business Day by reference to the Simulated Positions and is dependent on two components:

the movement of the spot FX rate, the impact of which will be positive if the EUR depreciates against the relevantcurrency and negative if the EUR appreciates against such currency; and

the cost of financing the Simulated Position, represented in Spot Next points. This cost is deemed to reflect the interest rate differential of the borrowing currency (EUR) and the relevant currency which the index is long.

It is to be noted that the Sponsor may, but is not required to, enter into the foreign exchange transactions used in thedetermination of the Indices.

The Sponsor of the Indices is BNP Paribas, London branch.

The Indices are calculated each Business Day (as defined below) by the Sponsor.

The Sponsor will notify authorised Index users of any updates or amendments to this Rulebook by posting a notice of thechange on Bloomberg pages SDPP1 to SDPP9 (for example, to access the relevant page type <SDPP1> <GO> on the Bloomberg terminal). Index users are required to access the relevant Bloomberg pages periodically to remain informed ofany such updates or amendments to the Rulebook: the Sponsor will not contact Index users or investors in products related to this Index individually when the Rulebook is updated or amended. Index users should contact BNP Paribas by way of anemail directed to [email protected] if they are unable to access the relevant Bloomberg pages.

This is a brief description of the rules relating to the calculation of the Indices, which are set out in full in the Index Calculation Section of the Rulebook.

This Rulebook is version 1.0.1.

It is to be noted that the Sponsor may, but is not required to, enter into the foreign exchange transactions used in the determination of the Indices.

BNP Paribas EUR FX Spot Indices: Index Calculation 3


Index Calculation


The foregoing description is subject to the Index calculation provisions set out below which will prevail in the circumstances of any inconsistency.

Index Dates

Calculation Dates (t) Every Business Day

Business Days Each weekday on which fixings for WM/Reuters Exchange Rates for all underlyingcurrency pairs are scheduled to be provided, in line with the WM/Reuters policy on National Holidays. WMR Business Days are set out on the following internet page (or any successor thereto):

http://www.wmcompany.com/wmr/Publications/ServiceHolidayCalendar/index.htm

Index Value for each Index

Index Value Indext = Indext-1 x (1 + Position Returni,t)

For t = 0, Index0 = 100.

t refers to the current Calculation Date and t-1 to the preceding Calculation Date.

i refers to the relevant Currency for the Index being one of: USD, GBP, CHF, JPY, AUD, NZD, NOK, SEK or CAD.

Index Value is truncated at the 5th decimal place (for example if the calculation results in a value of 105.123456 then the retained value for the Index is 105.12345).

Position Return

Position Returni,t 1 Spot

Point S/N Spot

ti,EURCcy

1-ti,EURCcy 1-ti,EURCcy

(See Note 1 below)

Spot EURCcy i,t Spot rate of Currencyi valued against EUR as published on Calculation Datet on the relevant fixing page and at a specified time, as specified under the “Spot Currency Table” attached below.

Spot EURCcyi,t-1 Spot rate of Currencyi valued against EUR as published on Calculation Datet-1 on the relevant fixing page and at a specified time, as specified under the “Spot Currency Table” attached below.

S/N Point EURCcy i,t If S/N Inverti applies then

ti,EURCcy

USDiCcy

t USDiCcy ti,USDCcy

ti,USDCcy

EURUSD

tEURUSD tEURUSDti,EURCcy

Spot

1Multiplier S/N

Fixing S/NSpot

Spot

Multiplier S/N

Fixing S/NSpot Point S/N

Otherwise

ti,EURCcy

iUSDCcy

ti, USDCCY ti,USDCcy

EURUSD

tEURUSD tEURUSDti,EURCcy

Spot

Multiplier S/N

Fixing S/NSpot

Multiplier S/N

Fixing S/NSpot Point S/N

S/N Fixing USDCcy i,t If Currencyi S/N Inverti is “No”, SpotNext Forward points for Currencyi as published on Calculation Datet on the relevant fixing page and at a specified time, as specified in the“Spot Next Currency Table” attached below.

S/N Fixing CcyUSD i,t If Currencyi S/N Inverti is “Yes”, SpotNext Forward points for Currencyi as published on Calculation Datet on the relevant fixing page and at a specified time, as specified in the“Spot Next Currency Table” attached below.



Index Calculation


S/N Multiplier USDCcy i If Currencyi S/N Inverti is “No”, multiplier for Currencyi as specified in the Spot Next Conventions table below.

S/N Multiplier Ccy i USD If Currencyi S/N Inverti is “Yes”, multiplier for Currencyi as specified in the Spot Next Conventions table below.

Spot USDCcyi,t Spot rate of Currencyi valued against USD as published on Calculation Datet on the relevant fixing page and at a specified time, as specified under the “Spot CurrencyTable” attached below.

Spot EURUSD,t Spot rate of USD valued against EUR as published on Calculation Datet on the relevant fixing page and at a specified time, as specified under the “Spot Currency Table”attached below.

S/N Inverti If convention for Currencyi is “Yes” to SN Invert as specified in Spot Next Conventions below then S/N Invert applies.

Note 1: From Inception Date to and including the 04th January 1999, Position Return is calculated using instead the following formula : 1Point T/N - Spot

Spot

ti,ti,

1-ti, ,

with T/N Point the TomNext Forward points for Currencyi as published on Calculation Datet by WMCO at 4.00pm London time.

Spot Next Conventions

Currency SN Multiplier SN Invert

USD 10000 Yes

GBP 10000 Yes

NOK 10000 No

SEK 10000 No

CHF 10000 No

JPY 100 No

NZD 10000 Yes

CAD 10000 No

AUD 10000 Yes

Spot Currency Table

USD From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

GBP From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

NOK From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

SEK From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

CHF From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

JPY From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

NZD From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

CAD From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.

AUD From (and including) 04-Dec-2007: WMCO Bloomberg page at 4:00 p.m. London time.



Index Calculation


Spot Next Currency Table

USD From (and including 4-Jan-1999) EURSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

GBP From (and including 4-Jan-1999) GBPSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

NOK From (and including 4-Jan-1999) NOKSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

SEK From (and including 4-Jan-1999) SEKSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

CHF From (and including 4-Jan-1999) CHFSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

JPY From (and including 4-Jan-1999) JPYSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

NZD From (and including 4-Jan-1999) NZDSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

CAD From (and including 4-Jan-1999) CADSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

AUD From (and including 4-Jan-1999) AUDSN Curncy Bloomberg From (and including XXXX) BNPP Spot points at 4:00 p.m. London time

Index History 6


Index History


Base Date

The base date of the Indices is January 2nd, 1997. The base value of the Indices is 100.

Historical Values

Historical values for the Indices and most of their constituents are available through BNP Paribas Global Markets website. The historical values for other constituents of the Indices are available on request from BNP Paribas.

Tickers and Pages

Values of the BNP Paribas FX Spot Indices are available on Bloomberg, Reuters and BNP Paribas Global Markets website.

Index Bloomberg Reuters

USD EUR FX Spot Index <BPFXEUSD Index>

GBP EUR FX Spot Index <BPFXEGBP Index>

CHF EUR FX Spot Index <BPFXECHF Index>

JPY EUR FX Spot Index <BPFXEJPY Index>

AUD EUR FX Spot Index <BPFXEAUD Index>

NZD EUR FX Spot Index <BPFXENZD Index>

NOK EUR FX Spot Index <BPFXENOK Index>

SEK EUR FX Spot Index <BPFXESEK Index>

CAD EUR FX Spot Index <BPFXECAD Index>

Global Markets

http://globalmarkets.bfi.echonet/fiweb/myportal/home

WMR Calendar

WMR Business Days are set out on the following internet page (or successor thereto):

http://www.wmcompany.com/wmr/Publications/ServiceHolidayCalendar/index.htm

The following dates are holidays according to the WMR calendar at time of publication of this Rulebook.

01-Jan-03 28-May-07 22-Apr-11 01-Jan-15

18-Apr-03 25-Dec-07 26-Dec-11 03-Apr-15

25-Dec-03 26-Dec-07 02-Jan-12 25-May-15

01-Jan-04 31-Dec-07 06-Apr-12 25-Dec-15

09-Apr-04 01-Jan-08 28-May-12 01-Jan-16

31-May-04 21-Mar-08 25-Dec-12 25-Mar-16

25-Mar-05 25-Dec-08 26-Dec-12 26-Dec-16

26-Dec-05 01-Jan-09 01-Jan-13 02-Jan-17

02-Jan-06 10-Apr-09 29-Mar-13 14-Apr-17

14-Apr-06 25-Dec-09 25-Dec-13 25-Dec-17

25-Dec-06 01-Jan-10 01-Jan-14 01-Jan-18

01-Jan-07 02-Apr-10 18-Apr-14

06-Apr-07 24-Dec-10 25-Dec-14

Index Provisions 7


Index Provisions


Index Disruption

Index Disruption: Any event which results in an interruption or suspension of the calculation of the Index, including but notlimited to the interruption, unavailability or suspension of the supply of data (“Data Suspension”) relevant to the calculation of the Index (“Relevant Data”) and events that interrupt the conduct of business of the Sponsor, in each case as determinedby the Sponsor, shall be an Index Disruption Event.

Following any Index Disruption Event, the Sponsor will as soon as reasonably practicable following the cessation of the relevant event calculate and publish the disrupted Index.

Where the Index Disruption Event is a Data Suspension, the Sponsor may (and shall where the Data Suspension lasts formore than 40 business days in London (“London Business Days”)) use in substitution for the Relevant Data such alternativedata as it considers most appropriate (adjusted where deemed necessary by the Sponsor to minimise differences betweenthe methods and practices in the different data sets and to align the substitute data with that originally selected (“SubstituteData Alignment”)) or, where suitable alternative data (in the opinion of the Sponsor) is not available, the Sponsor may (andshall where the Data Suspension lasts for more than 40 London Business Days) take such steps as it considers appropriateto extrapolate values to substitute for the missing data, provided that if the Data Suspension lasts for less than or exactly 40 London Business Days and the Sponsor has not taken action in accordance with this paragraph when the Data Suspensionceases, the Sponsor shall use the data values that apply with respect to the London Business Day next following the lastday of the Data Suspension.

Late Receipt of Data: In the event that Relevant Data is received late by the Sponsor where the Sponsor has alreadypublished an Index level using substitute data, the Sponsor shall ignore such late received data and the Index level as sopublished shall not be updated by reference to such Relevant Data.

Corrections to Data: In the event that corrections are subsequently made to Relevant Data by the publisher thereof, anyIndex level which has already been published by reference to the uncorrected Relevant Data may be left unchanged orrepublished by reference to the corrected Relevant Data at the Sponsor’s discretion.

Cessation of Data Supply: In the event that the publisher of Relevant Data ceases to supply that data to the Sponsor forwhatever reason, or the terms of the supply of such data do not permit the use of such data for the purposes of thepreparation and publication of the Index, the Sponsor shall select an alternative supply of data in permanent substitutiontherefore, which alternative data may include the Sponsor’s own trading rates, and which at the Sponsor’s discretion may be subjected to Substitute Data Alignment.

In the event that on any day which is a Business Day there is any event outside of the control of the Sponsor whichprevents the operation of any relevant calculation, rebalancing, weighting or any other operation in relation to the Index thenthe relevant operation will be performed on the Business Day next following.

Adjustments to the Index

The Sponsor shall be entitled to make such adjustments to its data sources and index calculation methodology as it sees fit from time to time and in its absolute discretion provided that the Index remains consistent with achieving the stated purposeof the Index as described in “Introduction-Description of the Index” above and shall not be held liable for any consequences of such adjustments.

Cessation of an Index The Sponsor shall not be obliged to maintain the Index and shall be entitled to cease publication if it becomes impossible,illegal, in breach of its internal policies, in breach of regulatory rules binding on it or impracticable for any similar reason forit to continue to do so, provided that it provides not less than 30 London Business Days’ notice to licensed users (exceptthat such cessation of publication may be upon a shorter notice period (including immediately upon notice) where continuedpublication would be illegal or in breach of regulatory rules), which notice may be provided via any source through which theIndex is published. The Sponsor shall not be held liable for any consequences of such a cessation of publication.

Sponsor, Limitation of Liability and General Information The Sponsor for the Index is BNP Paribas. The Sponsor retains the right to delay the publication of the Index in its sole andabsolute discretion if it believes that there are circumstances that would at the relevant time prevent the correct calculationof the Index.

The Index methodology is confidential. The Sponsor does not guarantee the accuracy or completeness of the Indexmethodology or the calculation methods, or that there will be no errors or omissions in computing or disseminating theIndex, and the Sponsor shall have no liability for any errors or omissions therein. The index methodology may be based oncertain assumptions, certain pricing models and calculation methods adopted by the Sponsor and may have certaininherent limitations. Information prepared on the basis of different models, calculation methods or assumptions may yielddifferent results. The Sponsor shall not be liable for any loss whatsoever arising directly or indirectly form the use of the

Index Provisions 8


Index Provisions


Index or index methodology or otherwise in connection therewith.

The Sponsor will make reasonable efforts to ensure the accuracy of the composition, calculation, publication andadjustment of the Index in accordance with the relevant Rules. The data on which the calculations are based may beinformation drawn from proprietary trading and data collection systems of the Sponsor as well as third party data. TheSponsor shall be under no obligation to verify the accuracy and completeness of information furnished by third partiesbelieved to be reliable. The Sponsor shall not be liable (whether as a result of negligence or otherwise) to any person for any loss whatsoever arising directly or indirectly from the use of the Index, the index methodology or otherwise inconnection therewith whether as a result of any error in the Index or data supplied in connection with the Index or otherwiseand shall be under no obligation to advise any person of any error therein.

Level of the Index

The Sponsor disclaims any liability in connection with the level of the Index as reported at any given time. The Sponsor shall not be held liable for any loss whatsoever, directly or indirectly related to the Index. Past performance of the Index is not indicative of future performance.

Products Derived from the Index

These Rules contain no provisions relating to any product the return in respect of which is in any way related to or derivedfrom the Index (an “Index Related Product”). Should any Index Related Product be issued or entered into, the provisionsrelating thereto will be set out in a separate document.

The Sponsor makes no express or implied representations or warranties of merchantability or fitness for any particular purpose with respect to the Index or any data supplied in connection therewith, or of continuous availability or lack ofinterruptions thereto, completeness, accuracy, timeliness or currency of content. Moreover, the Sponsor makes no express or implied representations or warranties as to the performance of the Index or the results to be obtained from the Index noras to its fitness or suitability for any particular purpose or investment objective. In addition, no person (other than theSponsor) may issue or enter into any Index Related Product without the express written permission of the Sponsor (whichmay be withheld or granted upon such terms as the Sponsor may deem fit).

Without limiting any of the foregoing in no event shall the Sponsor have any liability (whether as a result of negligence or otherwise) to any person for any direct, indirect, special, punitive, consequential or any other damages (including lostprofits) even if notified of the possibility of such damages.

Conflicts of Interest The Sponsor may be subject to a number of conflicts of interest related to its operation of the Index. Among other activities, the Sponsor expects to engage in trading activities related to the Index, including hedging its exposure in relation to Index Related Products. These trading activities could influence the level of the Index. In addition, the Sponsor may have interests related to the operation of the Index that are adverse to the interests of clients investing in Index Related Products.

Conflicts between the Rulebook and other documents In the event of any inconsistency between the provisions of this Rulebook and any other brochure, presentation ordocument describing the Index, this Rulebook will prevail.

Copyright and Confidentiality

This Rulebook, the Index and the methods used to calculate the Index are the property of BNP Paribas and may not bereproduced, abstracted or utilised, nor may any Index Related Product be issued or entered into by any third party, withoutthe express permission of BNP Paribas, which permission may be withheld or (if applicable) given in the form of a licenseagreement.

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BNP Paribas offers its clients market access strategies, which reflect commonly taken positions in the FixedIncome markets. They are offered via the BNP Paribas series of transparent, liquid and efficient strategies andindices linked to the interest rates, credit and foreign exchange markets as shown on Bloomberg page SDER <GO>.

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