C2 LEAP Series 1

C2 LEAP - Series 1 - Description

The Units in C2 LEAP Units - Series 1 ("Series 1 Units", “Series” or "Units") offer investors the ability to gain exposure to the performance of the BNP Paribas Multi Asset Diversified 10 AUD Hedged Index (the “Reference Asset”).

In addition, the Units offer:

Key Features

The BNP Paribas Multi Asset Diversified 10 AUD Hedged Index (“BNPP MAD 10 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 (the “Hypothetical Portfolio”). BNPP MAD 10 AUD Index seeks to measure the value of a hypothetical exposure to a range of asset classes and geographic regions based on momentum investing principles. On a daily basis, BNPP MAD 10 AUD Index determines weights of its components, using a rules-based methodology 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. On any given day, this methodology will allocate a greater percentage of the BNPP MAD 10 AUD Index towards components of the Hypothetical Portfolio that would have resulted in the Hypothetical Portfolio with the highest past returns[1] subject to a certain level of volatility and weighting constraints[2].

BNPP MAD 10 AUD Index also includes an additional risk control mechanism which seeks to maintain its short-term volatility at the volatility target of 10% on a daily basis. This mechanism adds a further layer of volatility control to the value of the Hypothetical Portfolio with the goal of reducing volatility during unstable and unpredictable market periods. The BNPP MAD 10 AUD Index is an “Excess Return Index”, as its components are rolling futures indices.

The BNPP MAD 10 AUD Index is the AUD hedged version of the original BNP Paribas Multi Asset Diversified Index, denominated in USD.  An AUD/USD currency conversion is applied on the index returns so that the denomination of the index is in Australian Dollars with the aim of minimising the impact of changes in exchange rates. This methodology may not fully eliminate the foreign exchange rate exposure. Please refer to the Key Risks in Section 2 above for more information.

More information and specific risks about the Reference Asset regarding the Reference Asset may be found at https://marketing-indx.bnpparibas.com/mad10-aud/

[1] Computed based on a trend indicator that compares current component levels to past component levels over a 1-year period.

[2] The components’ maximum weights are as follows: each Equity Futures Index 50%, each Bond Futures Index 100%, and each Commodity Index 50%. Leverage is allowed and the cost of borrowing is zero. The sum of all weights is capped at 400% 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 10%.

C2 LEAP Series 1 - Key Dates

C2 LEAP Series 1 - Key Risks

Key Risks include:

• Your return (including any Performance Coupon) is affected by the performance of the Reference Asset. There is no guarantee that the Reference Asset will perform well.
• There will be no Performance Coupon payable if the performance of the Reference Asset during the Term is negative.
• There is no guarantee that the Units will generate returns in excess of the Prepaid Interest and Adviser Fee (if any) during the Investment Term. You could lose some or all of your Prepaid Interest and Adviser Fee (if any) paid during the Investment Term. Additionally, the Units are designed to be held to Maturity, in the event of an Investor requested Issuer Buy-Back, Early Maturity Event, or if you exercise the Annual Walk Away Option before the Maturity Date, you will not receive a refund of your Prepaid Interest or Adviser Fee (if any), nor will you be entitled to any future Performance or Fixed Coupon. The Buyback Price may be nil, or substantially less the Prepaid Interest and fees paid.
• Gains (and losses) may be magnified by the use of a 100% LVR Investment Loan. However, please note that the Investment Loan is a limited recourse loan, so, in respect of the Investment Loan, you will never lose more than the Prepaid Interest and any Adviser Fee (if any).
• Investors are subject to counterparty credit risk with respect to the Issuer and the Hedge Counterparties.
• The Units may mature early following an Early Maturity Event, including an Adjustment Event, Market Disruption Event or if the Issuer accepts your request for an Issuer Buy-Back or you exercise the Annual Walk Away Option.
• The Reference Asset in Series 1 contains an AUD hedging strategy incorporated into the index by the index issuer at the level of the index (the AUD hedge is not a separate instrument to the index). The AUD hedging strategy used by the Reference Asset is not intended to eliminate all the foreign exchange exposure of the relevant Reference Asset, however it is expected to do a reasonably good job. There is a risk Investors will have exposure to foreign exchange rates to the extent the methodology used by the relevant Reference Asset fails to fully hedge the Reference Asset's exposure into AUD. The Issuer nor any of its related entities is responsible for the operation of the AUD hedge (if any) in respect of each Reference Asset.

Please refer to Section 2 "Risks" of the Master PDS for a more comprehensive overview of the Risks. Also refer to the Reference Asset website for more information on specific risks related to the Reference Asset: https://marketing-indx.bnpparibas.com/mad10-aud/ 

C2 LEAP Series 1 Literature

• Flyer - C2 LEAP - Series 1
• PDS - C2 LEAP - Series 1
• TMD - C2 LEAP - Series 1
• Supplementary PDS (12 July 2023) + Master PDS (25 Mar 2020)
• Change to Key Dates - 25 Aug 2023

C2 LEAP Series 1 - Disclaimer