BNP PARIBAS INDEX€¦ · This document (the “BNP Paribas Index Methodology Supplement”)...

BNP PARIBAS INDEX INDEX METHODOLOGY SUPPLEMENT BNP Paribas Equity World Global Goals NTR Index

Final version dated 6 December 2017

© BNP Paribas. All rights reserved.

This document (the “BNP Paribas Index Methodology Supplement”) supplements, forms a part of and is subject to the BNP Paribas Index Handbook dated 20 November 2015 (the “Handbook”), as may be amended, adjusted, supplemented or replaced from time to time, and as updated from time to time. The Handbook and the BNP Paribas Index Methodology Supplement together comprise the “BNP Paribas Index Rules” for the BNP Paribas Index described herein. In the event of any inconsistency between the Handbook and this BNP Paribas Index Methodology Supplement, this BNP Paribas Index Methodology Supplement will govern for the purposes of the BNP Paribas Index described herein. Terms used herein, but not defined, bear the meaning set forth in the Handbook or in any applicable Technical Annex. The BNP Paribas Index Rules will be made available upon request and, if applicable, subject to confidentiality or other agreements between BNP Paribas and the relevant party. Any information provided with respect to a BNP Paribas Index or the BNP Paribas Index Rules is provided on a confidential basis and solely for information purposes. By accepting a copy of the BNP Paribas Index Rules, you agree that you will not disclose, reproduce, redistribute or transmit, in whole or part, the BNP Paribas Index Rules without the written consent of the Index Sponsor. BNP Paribas reserves the right to amend, supplement, replace or supersede the BNP Paribas Index Rules from time to time and shall have no liability for any such amendment or adjustment. The BNP Paribas Index Rules are subject to change at any time. Any subsequent BNP Paribas Index Rules published by the Index Sponsor will supersede any previous versions. Nothing contained in the BNP Paribas Index Rules should be construed as an offer or solicitation of any transaction.

Description of the BNP Paribas Equity World Global Goals NTR Index The objective of the BNP Paribas Equity World Global Goals NTR Index (the “BNP Paribas Index”) and the strategy and methodology related thereto (the “BNP Paribas Index Methodology”) is to capture the performance of companies selected from a pool of shares (the “Selection Pool”) selected by Vigeo Eiris on a monthly basis for their environmental, social and governance (“ESG”) performance in accordance with the provisions of Section 4.1 in Annex 1 (Criteria for identifying the Selection Pool). Some of the shares comprising the Selection Pool will be “SDG Champions” which are shares that meet Vigeo Eiris’ Sustainable Development Goal (“SGD”) champion criteria (described in Section 4.2 (Criteria for identifying the SGD Champions) of Annex 1). The shares in the Selection Pool are then selected for their financial robustness performance using the BNP Paribas GURU® Methodology as further described herein and in Annex 3 of this BNP Paribas Index Methodology Supplement. The final selection of shares comprising the final portfolio (the “Portfolio”) is obtained through an optimization methodology (described in Section 4.4 (Portfolio Optimization) of Annex 1) designed to maximise the weightings of shares that are SDG Champions relative to other non-SDG Champion shares. The optimization methodology also serves to (i) limit excessive concentrations of shares in specific sectors or regions, (ii) target a minimum number of shares in the composition of the Portfolio, and (iii) minimises the tracking error with respect to the STOXX Global 1800 NTR USD Index (the “Benchmark”). The BNP Paribas Index is denominated in USD (the “BNP Paribas Index Currency”). For all BNP Paribas Index Components that are not denominated in the BNP Paribas Index Currency, the BNP Paribas Index Methodology implements a currency conversion mechanism prior to the calculation of the BNP Paribas Index Level. The currency conversion mechanism involves the use of specified foreign exchange rates (each, a “Currency Conversion Rate”).

Calculation of the BNP Paribas Index Level: On each BNP Paribas Index Level Calculation Date, the Index Calculation Agent calculates the BNP Paribas Index Level in accordance with the provisions of the BNP Paribas Index Rules and as described below. The BNP Paribas Index Level is determined by multiplying the BNP Paribas Index Level of the immediately preceding Final Rebalancing Date by the aggregate performance of each BNP Paribas Component. The BNP Paribas Index Level is calculated in accordance with the provisions of Section 1 (BNP Paribas Index Level Calculation) of Annex 1 of this BNP Paribas Index Methodology Supplement and as described below. The performance of a BNP Paribas Index Component is determined on each BNP Paribas Index Level Calculation Date by calculating its “Composite Total Return”, which represents the value of a synthetic initial investment of USD 1.00 in such BNP Paribas Index Component. The Composite Total Return is calculated by measuring the performance of the BNP Paribas Index Component between BNP Paribas Index Level Calculation Dates (the “Total Return Spot”) and converting (if applicable) the Total Return Spot into the BNP Paribas Index Currency using the relevant exchange rate (the “Currency Conversion Rate”) as described in Section 2 (Composite Total Return Spot of a BNP Paribas Index Component) of Annex 1 of this “BNP Paribas Index Methodology Supplement”). The Total Return Spot of a BNP Paribas Index Component is calculated on each BNP Paribas Index Level Calculation Date and represents a synthetic investment in such BNP Paribas Index Component in its original currency based on the closing price as published by the relevant exchange, with all dividends (net of applicable withholding taxes) reinvested in the BNP Paribas Index Component as described in Section 3 (Total Return Spot of a BNP Paribas Index Component) of Annex 1 of this BNP Paribas Index Methodology Supplement. Selection of the BNP Paribas Index Components The BNP Paribas Index Methodology applies the following steps to select shares from the Selection Pool that will comprise the Portfolio and is a BNP Paribas Index Component (as described below and detailed in Section 4.3 (Criteria for Identifying the BNP Paribas Index Components) of Annex 1). On a specified date during each calendar month (each such date, a “BNP Paribas Index Component Weighting Determination Date”, as defined below), Vigeo Eiris will provide the Index Calculation Agent with data relating to shares that comprise the Selection Pool that it deems meet the Vigeo Eiris ESG selection criteria (as described in Section 4 (Selection of the BNP Paribas Index Components)). BNP Paribas Asset Management France may, but are not obligated to, provide ESG scores in respect of shares comprising the Selection Pool provided by Vigeo Eiris. Shares that have an ESG score of less than, but not equal to, 9, as provided by BNP Paribas Asset Management France will be discarded from the Selection Pool.

The remaining shares in the Selection Pool are filtered by the Index Weight Calculation Agent in accordance with the following requirements:

(i) The share is listed or admitted to trading on an exchange in an Eligible Country (as

defined below);

(ii) Where a share issuer has shares listed on more than one exchange within an Eligible Country, the shares with the highest daily liquidity will be selected for inclusion;

(iii) The average daily trading volume over the preceding 130 Scheduled Trading Days of

the share must be greater than or equal to USD 10,000,000 on the relevant BNP Paribas Index Component Weighting Determination Date; and

(iv) The average daily trading volume over the preceding 20 Scheduled Trading Days of

the share must be greater than or equal to USD 10,000,000 on the relevant BNP Paribas Index Component Weighting Determination Date.

Once the above four criteria have been applied to the Selection Pool, the next filtering process employs the GURU® Methodology in accordance with Annex 3 – “The GURU® Methodology” of this BNP Paribas Index Methodology Supplement (and as determined in accordance with Section 4.3 (Application of the Guru Methodology) of Annex 1). The GURU® Methodology uses seven criteria to analyse the fundamentals of each share issuer in the Selection Pool and to calculate the so-called “GURU® Score”. Accordingly, each of the seven criteria belongs to one of three categories: (i) Profitability, (ii) Prospects, and (iii) Valuation, (as further described in Section 4.3 of Annex 1). The GURU® Score is determined from a score with respect to each criterion which is determined by allocating each share in the Selection Pool to a decile according to its relative performance. The Selection Pool is further reduced by removing shares that have been subject to certain corporate actions, as described in Section 4.3 (Criteria for identifying the BNP Paribas Index Components) of Annex 1. Remaining shares in the Selection Pool are ranked from highest to lowest GURU® score for each Thomson Reuters sector industry in each geographical zone, shares that are listed in the lowest 50% of the ranking are removed from the Selection Pool.

Finally, each share that remains in the Selection Pool is assigned an Optimal Weight (determined in accordance with Section 4.4 (Portfolio Optimization) of Annex 1) using a rule based mathematic portfolio optimisation algorithm based on an Optimiser package (as defined below). The objective of

the Optimal Weight is to maximise the aggregate weight of shares of SDG Champion companies. Only shares that satisfy certain optimization constraints, such as Maximum Weight, Sum, Risk, Sectorial Diversification and Geographical Diversification constraints (as further described in Section 4.4. (Portfolio Optimization) of Annex 1), are eligible for the Portfolio. If the constraints are too restrictive and a Portfolio is not created, the Risk Constraint may be widened incrementally by 10%. Once the Optimal Weights have been assigned to the shares and the Portfolio is created, shares that have an Optimal Weight of less than 0.2% are removed from the Portfolio. Optimal Weights of remaining shares are then normalised so that (i) the sum of the Optimal Weights is equal to 100% and (ii) no Optimal Weight is greater than 1%. Rebalancing of the BNP Paribas Index On each BNP Paribas Index Component Weighting Determination Date, the Index Weight Calculation Agent (as defined below) will determine the composition and weighting of each BNP Paribas Index Component. On each Rebalancing Date during the Rebalancing Period, the BNP Paribas Index Methodology rebalances 20% by weight of the BNP Paribas Index (in accordance with Section 6 (Rebalancing of BNP Paribas Index) of Annex 1) by either (i) adding new BNP Paribas Index Components to the BNP Paribas Index; (ii) removing shares which are no longer BNP Paribas Index Components from the BNP Paribas Index; or (iii) increasing or decreasing the number of units of existing BNP Paribas Index Components which are remaining in the BNP Paribas Index, so that on the final Rebalancing Date in the relevant Rebalancing Period (the “Final Rebalancing Date”) each BNP Paribas Index Component is weighted equally in accordance with Section 4.4 (Portfolio Optimization). The BNP Paribas Index composition and the BNP Paribas Index Component Weightings remain unchanged in the period from and including the Final Rebalancing Date to but excluding the first Rebalancing Date falling in the Rebalancing Period.

BNP Paribas Index Components The BNP Paribas Index is comprised of a synthetic portfolio of assets. There is no actual portfolio of assets to which any person is entitled or has any ownership interest. The BNP Paribas Index

Methodology does not entail the actual execution of any transactions with respect to the BNP Paribas Index Components. The BNP Paribas Index Methodology synthetically replicates all of the referenced components and transactions. The BNP Paribas Index Components that comprise the BNP Paribas Index (each, a “Share”) are shares of common stock of issuers incorporated in an Eligible Country, and which are publicly traded and listed on an exchange therein. BNP Paribas Index Costs No costs or fees are deducted from the BNP Paribas Index.

BNP Paribas Index Definitions

BNP Paribas Index: The BNP Paribas Equity World Global Goals NTR Index

BNP Paribas Index Status:

Public Index

BNP Paribas Index Family:

Thematic Indices

Index Sponsor: BNP Paribas

Index Calculation Agent:

BNP Paribas Arbitrage SNC

Index Weight Calculation Agent:

BNP Paribas Arbitrage SNC

BNP Paribas Index Launch Date

05 Dec 2017

BNP Paribas Index Start Date

06 Oct 2017

BNP Paribas Index Currency:

USD

BNP Paribas Index Composition

BNP Paribas Index Components:

On the BNP Paribas Index Start Date, the BNP Paribas Index was comprised of the components described in Table 1 - BNP Paribas Index Components of Annex 2

BNP Paribas Index Reference Rates:

As set forth in Table 2 - BNP Paribas Index Reference Rates

BNP Paribas Index Component Selection Indicators:

As described in Table 3 of Annex 2 - BNP Paribas Index Component Selection Indicators

BNP Paribas Index Features

Return Type: Total Return

Rebalancing: Applicable

BNP Paribas Index Component Weighting Determination Dates:

The first Scheduled Trading Day of each month

Rebalancing Dates: Each Scheduled Trading Day during the Rebalancing Period

BNP Paribas Index Costs:

Not Applicable

Currency Conversion Mechanism:

Applicable, see Annex 1.

Volatility Control Mechanism:

Not Applicable

Calculation and Publication of the BNP Paribas Index Level:

Initial BNP Paribas Index Level:

Index(0) = 100, as of the BNP Paribas Index Start Date.

Frequency of calculation of BNP Paribas Index Level:

Each weekday

BNP Paribas Index Publication Date:

The Business Day following each BNP Paribas Index Level Calculation Date t

BNP Paribas Index Publication Page:

Bloomberg page: BNPIWGGN Index and Reuters page: .BNPIWGGN

Website where current composition of the BNP Paribas Index is published:

https://indx.bnpparibas.com/BNPIWGGN Index/

Corrections to the BNP Paribas Index Level: Section 4.2 (Corrections to the BNP Paribas Index Level) of the Handbook will be deleted in its entirety and replaced with the following: “4.2 Corrections to the BNP Paribas Index Level If the Index Sponsor or the Index Calculation Agent becomes aware of any error in the BNP Paribas Index Level, it shall determine whether to correct such error(s) and republish the BNP Paribas Index Level using objective criteria to establish the materiality thereof. Any corrections to the BNP Paribas Index Level shall be announced in accordance with the provisions of Section 1.5 (Announcements).” Price Disrupted Days Please see Section 4.3 “Price Disrupted Days” of the Handbook. BNP Paribas Index Adjustment Events: See Annex 4 BNP Paribas Index Adjustment Events and Consequences BNP Paribas Index Potential Adjustment Events: Please see Section 6 “BNP Paribas Index Potential Adjustment Events and Consequences” of the Handbook.

Technical Annexes applicable to the Custom Index:

Not applicable.

Amended Definitions: The definition of “BNP Paribas Index Level Calculation Date” in the Handbook shall be deleted

and replaced with “BNP Paribas Index Level Calculation Date” means each weekday.

The definition of “Exchange” in the Handbook shall be deleted and replaced with

“Exchange” means, in respect of a BNP Paribas Index Component, the primary exchange or

quotation system located in an Eligible Country on which the BNP Paribas Index Component is traded or quoted, any successor to such exchange or quotation system or any substitute

exchange or quotation system to which trading in such BNP Paribas Index Component has temporarily relocated, as determined by the Index Calculation Agent. The definition of “Settlement Price” in the Handbook shall be deleted and replaced with:

“Settlement Price” means, (i) in respect of a BNP Paribas Index Component, the official closing

price of such BNP Paribas Index Component on the relevant Exchange on the relevant BNP Paribas Index Level Calculation Date; provided that if such date is not a Scheduled Trading Day

with respect to the BNP Paribas Index Component, the official closing price on the Scheduled Trading Day immediately preceding the relevant BNP Paribas Index Level Calculation Date, or, (ii) in respect of the BNP Paribas Index Component Selection Indicator that is the Benchmark, the official closing level of the Index as published by or on behalf of the Index Sponsor.

“Currency Conversion Rate” means, where a BNP Paribas Index Component is denominated in a currency other than the BNP Paribas Index Currency, the conversion of the level or price, as the case may be, for such BNP Paribas Index Component into the BNP Paribas Index Currency shall be determined by the Index Calculation Agent on the basis of the official fixing of the foreign exchange reference rates as published on Reuters page WMRSPOT01 based on the USD crossing, for the BNP Paribas Index Component Currency.

New definitions and provisions applicable to the BNP Paribas Index:

“BNP Paribas Index Component Selection Indicator” means any data or information used on

a BNP Paribas Index Component Weighting Determination Date in order to determine the inclusion, removal or weighting of an asset as a BNP Paribas Index Component.

“BNP Paribas Index Component Selection Indicator License Event” means any license or

permission to use any BNP Paribas Index Component Selection Indicator(s) as part of the BNP Paribas Index granted to the Index Sponsor is withdrawn, terminated or is otherwise unavailable.

“BNP Paribas Index Component Selection Indicator Price Source” means, in respect of a

BNP Paribas Index Component Selection Indicator, the price source specified in the BNP Paribas Index Methodology Supplement, and shall include any successor thereto.

“BNP Paribas Index Component Selection Indicator Pricing Page” means, in respect of an

BNP Paribas Index Component Selection Indicator, the Bloomberg and/or Reuters pages (if any) specified in the BNP Paribas Index Methodology Supplement, on which the BNP Paribas Index

Component Selection Indicator is published, and shall include any successor thereto. "Disappearance of BNP Paribas Index Component Selection Indicator" means the disappearance or permanent discontinuance or unavailability of the BNP Paribas Index Component Selection Indicator, notwithstanding the availability of the related BNP Paribas Index Component Selection Indicator Price Source or the status of trading in the Index Component to which the BNP Paribas Index Component Selection Indicator relates. "Disappearance of Settlement Price" means (i) the permanent discontinuation of trading in the BNP Paribas Index Component on the Exchange (if any) or in the relevant market; (ii) the disappearance of, or of trading in, the BNP Paribas Index Component; or (iii) the disappearance or permanent discontinuance or unavailability of the Settlement Price, notwithstanding the availability of the related Price Source or the status of trading in the BNP Paribas Index Component. “License Event” means either a BNP Paribas Index Component License Event or BNP Paribas Index Component Selection Indicator License Event, as the case may be.

“Successor” means, in respect of a BNP Paribas Index Component or BNP Paribas Index

Component Selection Indicator, a Successor Index or Successor Share, as the case may be. “Successor Index” means, in respect of a Commodity Index or Index, if the Commodity Index or Index is (i) not calculated and announced by the Component Index Sponsor but is calculated and announced by a successor sponsor acceptable to the Index Sponsor, or (ii) replaced by the Component Index Sponsor with a successor index using, in the determination of the Index Sponsor, the same or a substantially similar formula for and method of calculation as used in the calculation of the Commodity Index or Index, then in each case that index will be deemed to be the Commodity Index or Index. “Successor Share” means, in respect of an ETP Interest, Fund Share or Share, an ordinary

share, unit or interest, the issuer of which is, in the case of (i) a Merger Event is the entity or person that is the continuing entity in respect of the Merger Event or (ii) in the case of a Tender Offer, is the entity making the Tender Offer, provided that the Successor Share (A) is not already

a BNP Paribas Index Component (B) is, or as of the BNP Paribas Index Adjustment Event Effective Date is promptly scheduled to be publicly quoted, traded or listed on an exchange or quotation system located in the same country as the Exchange (or, where the Exchange is within

the European Union, in any member state of the European Union) and (C) is not subject to exclusion due to being a Category 1 Share or Category 2 Share (as defined in Section 2.1 (BNP Paribas Index Composition)).

Bespoke provisions applicable to the BNP Paribas Index:

The following additional definitions shall apply to this BNP Paribas Index: “Rebalancing Period” means the period of 5 Scheduled Trading Days from and including the

fourth Scheduled Trading Day of each month in each year. “Eligible Country” means each of Australia, Austria, Belgium, Canada, Czech Republic,

Denmark, Finland, France, Germany, Great Britain, Hong Kong, Ireland, Italy, Japan, Luxembourg, Netherlands, New Zealand, Norway, Singapore, Spain, Sweden, Switzerland and

the United States of America. “Optimiser” means the Mosek Optimizer™ software package which calculates the weights of the

shares in the Portfolio by solving mathematical optimisation problems with constraints. “Region” means each of (i) Asia Pacific (being comprised of Australia, Hong Kong, Japan, New

Zealand and Singapore), (ii) Europe (being comprised of Austria, Belgium, Czech Republic,

Denmark, Finland, France, Germany, Great Britain, Ireland, Italy, Luxembourg, Netherlands, Norway, Spain, Sweden and Switzerland) and (iii) North America (being comprised of Canada and the United States of America).

“Vigeo Eiris Sector” means each of Financial Services – General; Industrial Goods & Services;

Electric Components & Equipment; Pharmaceuticals & Biotechnology; Diversified Banks;

Business Support Services; Transport & Logistics; Technology-Hardware; Mining & Metals; Chemicals; Insurance; Waste & Water Utilities; Health Care Equipment & Services; Building Materials; Automobiles; Home Construction; Specialised Retail; Financial Services - Real Estate;

Beverage; Telecommunications; Supermarkets; Energy; Luxury Goods & Cosmetics; Hotel, Leisure Goods & Services; Electric & Gas Utilities; Publishing; Food; Oil Equipment & Services; Travel & Tourism; Broadcasting & Advertising; Forest Products & Paper; Software & IT Services;

Mechanical Components & Equipment; Aerospace; Heavy Construction; Retail & Specialised Banks and Tobacco.

The Index Weight Calculation Agent

The Index Weight Calculation Agent is responsible for the selection of the BNP Paribas Index Components and determination of their associated weighting. When the Index Weight

Calculation Agent is required to act pursuant to the BNP Paribas Index Rules, it will do so in good faith and a commercially reasonable manner. The Index Weight Calculation Agent will use

commercially reasonable efforts to ensure the accuracy of the composition and adjustment of the BNP Paribas Index in accordance with the BNP Paribas Index Rules. The Index Weight Calculation Agent shall have no liability for errors or inaccuracies in weightings or calculations

related any of the BNP Paribas Index Components or the determination thereof and shall not be responsible for any inaccuracies or errors in the BNP Paribas Index Level resulting therefrom, in accordance with the provisions of Section 1.6 (“Limitation of Liability”) of the BNP Paribas Index

Handbook.

Date offsets:

For any BNP Paribas Index Level Calculation Date � , and for any integer value � , � + � (respectively � − �) refers to the BNP Paribas Index Level Calculation Date that is � BNP Paribas

Index Level Calculation Dates following (respectively preceding) BNP Paribas Index Level

Calculation Date �. For example, � − 1 refers to the BNP Paribas Index Level Calculation Date

immediately preceding BNP Paribas Index Level Calculation Date �, and � − 2 refers to the BNP Paribas Index Level Calculation Date immediately preceding BNP Paribas Index Level Calculation

Date � − 1.

� is the Rebalancing Date immediately preceding BNP Paribas Index Level Calculation Date �. More generally for any BNP Paribas Index Level Calculation Date �, �(�) is the Rebalancing Date

immediately preceding BNP Paribas Index Level Calculation Date �. If BNP Paribas Index Level

Calculation Date � is a Rebalancing Date, then �(�) is the previous Rebalancing Date, and if BNP

Paribas Index Level Calculation Date � is a Rebalancing Date, then � is the previous Rebalancing Date.

Annex 1

The BNP Paribas Index Methodology for

the BNP Paribas Equity World Global Goals NTR Index

1. BNP Paribas Index Level Calculation:

On the BNP Paribas Index Start Date ( 0=t ):

100)( 0 =tIndex

On each BNP Paribas Index Level Calculation Date t following the BNP Paribas Index Start Date,

the BNP Paribas Index Level ( )(tIndex ) is determined by the Index Calculation Agent in

accordance with the following formula:

)(

)()()()(

ki

i

Ui

k

i

ktC

tCtWtIndextIndex

k

××= ∑∈

, � ∈ �� ;� ��

Where:

kt means the Final Rebalancing Date immediately preceding BNP Paribas Index

Level Calculation Date t in respect of Rebalancing Period k;

kUi ∈ means a number corresponding to the BNP Paribas Index Component i in the

set of all BNP Paribas Index Components ( kU ) comprising the BNP Paribas

Index on BNP Paribas Index Level Calculation date t falling in the period from and including the Final Rebalancing Date in respect of Rebalancing Period k to but excluding the Rebalancing Date on which the following Rebalancing Period (k+1) commences;

( )k

i tW means the Weight of BNP Paribas Index Component i on the Final Rebalancing

Date kt in respect of Rebalancing Period k as defined in Section 6 “Rebalancing

of the BNP Paribas Index”; and,

)(tCi means the Composite Total Return Spot of BNP Paribas Index Component i on

BNP Paribas Index Level Calculation Date t, determined in accordance with Section 2 (Composite Total Return Spot of a BNP Paribas Index Component).

2. Composite Total Return Spot of BNP Paribas Index Component i


��(��) = 1


the Composite Total Return Spot of a BNP Paribas Index Component i ( iC ) is determined in

accordance with the following formula:

��(�) = ��(� − 1) × ��(�) × ��(�)��(� − 1) × ��(� − 1)

Where:

��(�): means the Composite Total Return Spot of BNP Paribas Index Component i on BNP

Paribas Index Level Calculation Date t;

��(�) means the Total Return Spot of BNP Paribas Index Component i on BNP Paribas Index

Level Calculation Date t, as determined in accordance with Section 3(Total Return Spot

of BNP Paribas Index Component i); and

��(�) means the Currency Conversion Rate from the relevant BNP Paribas Index Component

Currency to the BNP Paribas Index Currency for BNP Paribas Index Component i on

BNP Paribas Index Level Calculation Date t.

If any BNP Paribas Index Component i did not exist on the BNP Paribas Index Start Date, the

Composite Total Return Spot of such BNP Paribas Index Component i for the first date on which it is added to the BNP Paribas Index shall be set at 1.

3. Total Return spot of BNP Paribas Index Component i


)()( 00 tStT ii =


the Total Return Spot of a BNP Paribas Index Component i ( iT ) is determined in accordance with

the following formula:

��(�) = �� (� − 1) × ��(�) + ∑ 1��,!"�#�,$$∈%��(� − 1)

Where:

��(�) means the Total Return Spot of BNP Paribas Index Component i on BNP Paribas Index

Level Calculation Date t; Si(t) means the Settlement Price of BNP Paribas Index Component i on BNP Paribas Index

Level Calculation Date t;

j ∈ Ji means the jth dividend of the set of all dividends distributed with respect to BNP Paribas

Index Component i;

ti,j means the BNP Paribas Index Level Calculation Date on which BNP Paribas Index Component i commences trading ex-dividend on the Exchange with respect to dividend j;

αi means the reinvestment percentage for dividends of BNP Paribas Index Component i, which shall be the gross dividend for BNP Paribas Index Component i, net of the

withholding tax imposed by the country of domicile of the share issuer of such BNP Paribas Index Component i, withholding tax rates are quoted on the following INDX

website https://indx.bnpparibas.com/indexresources; di,j means the gross value of dividend j for BNP Paribas Index Component I; and,

1��,! means the indicator function and is equal to 1 if � = ��,$; otherwise is equal to 0

If any BNP Paribas Index Component i was not comprised in the BNP Paribas Index on the BNP Paribas Index Start Date, the Total Return Spot of such BNP Paribas Index Component i for the

first date on which it is added to the BNP Paribas Index shall be set to the Settlement Price of such BNP Paribas Index Component on such Scheduled Trading Day.

4. Selection of the BNP Paribas Index Components The Index Weight Calculation Agent will be responsible for determining the composition of the BNP Paribas Index being reweighted on a monthly basis in accordance with the following provisions: 4.1 Criteria for identifying the Selection Pool: On each BNP Paribas Index Component Weighting Determination Date”), Vigeo Eiris will provide the Index Weight Calculation Agent with the shares comprising the Selection Pool that meet the following five Vigeo Eiris criteria:

(i) The share issuer must, in the determination of Vigeo Eiris, have a Vigeo Eiris ESG

score greater than or equal to 30 and be ranked within the top 2/3 of its Vigeo Sector. (ii) The share issuer is not listed on the Vigeo Eiris Controversy Warning List, and the

Severity (controversies) score provided by Vigeo Eiris is not equal to “Critical”.

(iii) The share issuer must, in the determination of Vigeo Eiris, have no major involvement

in alcohol, armaments, gambling, nuclear, sex industry or tobacco;

(iv) Any implication in production or extraction of Tar sands and oil shale must be lower

than 10% of the company turnover, as assessed by Vigeo Eiris; and

(v) Any implication in production or extraction of Coal must be lower than 10% of the

company turnover, as assessed by Vigeo Eiris.

Where BNP Paribas Asset Management France provides ESG scores in respect of shares comprising the Selection Pool, such share must have an ESG score of less than, but not equal to, 9. Shares in companies with an ESG score of 9 or 10 will be discarded from the Selection Pool. A

list of the companies with an ESG score of 9 or 10 may be obtained upon request from

[email protected]

The Index Weight Calculation Agent will filter the shares provided by Vigeo Eiris in accordance following criteria to determine the shares that will remain in the Selection Pool:

(i) The share is listed or admitted to trading on an exchange in any Eligible Country;

(ii) Where a share issuer has shares listed on more than one exchange within the

Eligible Country, the shares with the highest daily liquidity will be selected for inclusion;

(iii) The average daily trading volume over the preceding 130 Scheduled Trading Days of the share must be greater than or equal to USD 10,000,000 on the relevant BNP Paribas Index Component Weighting Determination Date; and

(iv) The average daily trading volume over the preceding 20 Scheduled Trading Days of

the share must be greater than or equal to USD 10,000,000 on the relevant BNP Paribas Index Component Weighting Determination Date.

4.2 Criteria for identifying the SDG Champions

In respect of all the shares comprised in the Selection Pool, Vigeo Eiris will identify the companies that it deems to be champions by Region (as defined above (Bespoke Provisions applicable to the BNP Paribas Index)) and by Vigeo Eiris Sector (as defined above (Bespoke Provisions applicable to the BNP Paribas Index)), in accordance with following criteria:

(i) The Vigeo Eiris ESG Score of the company issuing the share is, as determined by Vigeo Eiris, greater than or equal to 50/100; and

(ii) The share issuer must, in the determination of Vigeo Eiris, have no major involvement in fossil fuel, or if it has major involvement in fossil fuel the share issuermust have a Vigeo Eiris Energy Transition Score greater or equal to 50/100; and

(iii) The company issuing the shares, in the determination of Vigeo Eiris, , meets one of

the following three requirements:

(A) It has the highest Vigeo Eiris Product Score by Vigeo Eiris Sector and Region; or (B) It has (1) the highest Vigeo Eiris Behaviour Score by Vigeo Eiris Sector and Region

and (2) a Vigeo Eiris Behaviour Score of at least 50/100; or, (C) It has (1) a Vigeo Eiris Behaviour Score greater than 50/100 by Vigeo Eiris Sector

and Region and (2) the highest Vigeo Eiris Progression Score by Vigeo Eiris Sector and Region, provided that the Vigeo Eiris Progression Score is at least 5/100.

Where: Vigeo Eiris Energy Transition Score is a minimum score of 0 and a maximum score of 100 that is determined by Vigeo Eiris according to the strategy that is employed by the relevant company for the purpose of identifying long-term structural changes in energy systems relating to sectors and risks (the “Energy Transition Strategy”) and is specific to Vigeo Eiris Sector(s). Vigeo Eiris Product Score is a score calculated by Vigeo Eiris in relation to the product or service that the relevant company provides and its SDG credentials; Vigeo Eiris Behaviour Score is a score calculated by Vigeo Eiris in relation to the relevant company and the way in which it conducts itself with respect to corporate governance, ethical processes, corporate sustainability and responsibility, among SDG behavioural principles; Vigeo Eiris Progression Score is a score calculated by Vigeo Eiris and is based upon the improvement in the relevant company’s Vigeo Eiris Behaviour Score against its Vigeo Eiris Behaviour Score two years previously. Each share that satisfies the above criteria is a “SDG Champion”. Each Vigeo Eiris ESG Score, Vigeo Eiris Energy Transition Score, Vigeo Eiris Product Score and Vigeo Eiris Behaviour Score is available upon request.

4.3 Application of the Guru Methodology The next filtering process applied to the remaining shares in the Selection Pool uses the GURU® Methodology (in accordance with Annex 3, “The GURU® Methodology” of this BNP Paribas Index

Methodology Supplement). The GURU® Methodology uses 7 criteria to analyse the fundamentals of each share issuer in the Selection Pool and to calculate the so-called “GURU® Score”.

Accordingly, each of the 7 criteria belongs to one of three categories: (i) Profitability, which is intended to evaluate the profitability of the share issuer (“Profitability”), (ii) prospects, which is

intended to assess whether a share issuer is capable of maintaining good results (“Prospects”),

and (iii) valuation, which is intended to assess whether a share issuer has a relatively low valuation (“Valuation”).

The following table specifies the 7 criteria and the category each one belongs to:

Selection Criteria Category

1 Return on economic asset ratio (“ROEA”) Profitability

2 Balance of upward and downward earnings revisions Prospects

3 Past 6-months return Prospects

4 Sharpe ratio Prospects

5 PEG (P/E-to-EPS growth ratio) Valuation

6 EV/EBIT-to-EBIT growth ratio Valuation

7 Price-to-Free Cash Flow Valuation

Each selection criterion is determined as set forth in Annex 3, “The GURU® Methodology” of this BNP Paribas Index Methodology Supplement. If, for any share in the Selection Pool, it is not possible to calculate at least one criterion within the Valuation criterion or the Profitability criterion or criteria 3 and 4 from Prospects, the share will be removed from the Selection Pool. The GURU® Score is determined from a score with respect to each criterion. The score with respect to each criterion is determined by allocating each share in the Selection Pool to a decile according to its relative performance, which will be determined as follows: (a) Selection Criterionk=1 ("Profitability") of each share in the Selection Pool is ranked on a decile

basis, in descending order; (b) Selection Criteriak=2-4 ("Prospects") are ranked on a decile basis, in descending order and the

three scores are then averaged on an equally-weighted basis; and (c) the valuation Selection Criteriak=5-7 ("Valuation") are ranked on a decile basis, in ascending

order and the three scores are then averaged on an equally-weighted basis; The shares which are in the top 10% of the Selection Pool according to a criterion will have a score 10, the next 10% will have a score 9, etc. Then, the average of the scores within the Profitability, Prospects and Valuation is determined. This average will be calculated with 1 criterion in Profitability (thus equal to the decile score according to the Profitability score), and will be an average of the 3 scores in Prospects and 3 scores in Valuation. The average for each category will be between 1 and 10. Finally, the average of the Profitability, Prospects and Valuation scores is determined. The result is the GURU® Score. The Selection Pool is further reduced by removing shares that have been subject to any of the following events (each, a “Corporate Action”), based on information provided by Bloomberg: a) An acquisition for which

a. the share is being acquired by another company; b. the announcement date is less than two calendar years prior to the BNP Paribas

Index Component Weighting Determination Date; c. and the combined percentage of the shares already hold by the acquirer and the

shares sought to acquire is greater than 99%; b) A bankruptcy for which the announcement date is less than two calendar years prior to the

BNP Paribas Index Component Weighting Determination Date; c) A delisting (excluding a Reorganisation event) for which the announcement date is less than

two calendar years prior to the BNP Paribas Index Component Weighting Determination Date; d) A spin-off for which

a. the announcement date is less than two calendar years prior to the BNP Paribas Index Component Weighting Determination Date;

b. and the BNP Paribas Index Component Weighting Determination Date is between the announcement date and the effective date plus 60 week days;

For each Thomson Reuter’s sector industry in each geographical zone, share in the Selection Pool is then ranked from highest to lowest GURU® score. The top 50% shares in each Thomson Reuter’s sector industry in each geographical zone are selected

4.4 Portfolio Optimization

Following the application of the GURU Methodology to the Selection Pool, the Index Weight Calculation Agent, using an Optimiser (as defined above (Bespoke Provisions applicable to the BNP Paribas Index)), calculates the weight of each share using a mathematical optimization algorithm that analyses all possible sets of weights that can be assigned to each share (each, an “Optimal Weight” or “Woptimal”) in order to identify a combination of optimal weights The Optimal Weight calculation seeks to maximise the aggregate weight of SDG Champion companies within the Portfolio while adhering to the following optimisation constraints:

(i) Maximum Weight Constraint: no share may have an Optimal Weight of more than 1%;

(ii) Sum Constraint: the sum of the Optimal Weights must be equal to 100%;

(iii) Risk Constraint: the expected tracking error of the BNP Paribas Index to the

Benchmark must not exceed 3% Multiplier⋅ , where the tracking error is calculated

in accordance with the following formula:

MultiplierCovMatrix ⋅⋅⋅ optimal

t

optimal WW

(iv) Sectorial Diversification Constraint: the weight of each Thomson Reuters Business Classification Industry Sector in the resulting Portfolio may not deviate by more than 30% of the weight of the Thomson Reuters Business Classification Industry Sector within the World Developed Portfolio; and

(v) Geographical Diversification Constraint: the weight of each geographical zone in the

resulting Portfolio may not deviate by more than 30% from the weight of the geographical zone within the World Developed Portfolio.

Where:

Woptimalt is the Optimal Weight on BNP Paribas Index Level Calculation Date t;

CovMatrix is determined in accordance with Section 5 (Computation of the Covariance Matrix);

Multiplier is equal to 100,000,000; and

World Developed Portfolio means all of the shares comprising the universe of shares as identified by Vigeo Eiris, with the weight of each share within the World Developed Portfolio being proportional to the free float market capitalisation in respect of the relevant share.

If, having performed the above Portfolio Optimisation, there are no Optimal Weights that solve the mathematical optimization problems, the Risk Constraint will be widened in increments of 10% (i.e. to identify a tracking error of 3.3% for the second iteration) until a solution to the mathematical optimization problem is found and Optimal Weights are identified and assigned to shares. Once the Optimal Weights have been assigned to the shares, any shares that have an Optimal

Weight of less than 0.2% (the “Minimum Weight Constraint”) are removed from the Selection Pool and the portfolio optimization is re-run on remaining shares in accordance with the above four optimization constraints. If there are no Optimal Weights that solve the mathematical optimisation problem the Minimum Weight Constraint will be reduced in increments of 0.02% (i.e. to a Minimum Weight Constraint of 0.18% for the second iteration), to a minimum of 0%,] so that the Portfolio will therefore be comprised of a minimum of 100 shares and a maximum of 500 shares.

5. Covariance Matrix Calculation The Covariance Matrix in respect of each matrix (i, j) (“CovMatrix(t, i, j)”) entry is calculated over a period of 252 Scheduled Trading Days and is determined in accordance with the following formula:

∑∑

∑

−=

−=

−=

×−×

×−

×=t

tl

tm

tm

ml

ml

251t

251

jj

t

251

ii

)(Return252

1)(Return

)(Return252

1)(Return

252

1 j)i,t,CovMatrix(

αα

αα

Where:

i means BNP Paribas Index Component i;

j is a variable and is BNP Paribas Index Component j;

l means Scheduled Trading Day l in the set of the last 252 Scheduled Trading Days preceding BNP Paribas Index Level Calculation Date t;

m is a variable and is Scheduled Trading Day m in the set of the last 252 Scheduled Trading Days preceding BNP Paribas Index Level Calculation Date t;

Returnα means the excess return of the BNP Paribas Index relative to the return of the

Benchmark, and (t) Return iα is the Returnα of BNP Paribas Index Component i on BNP

Paribas Index Level Calculation Date t, calculated in accordance with the following formula:

1)-Level(tBenchmark

Level(t)Benchmark

1)-(tX1)-(tS

(t)X(t)S(t)Return

ii

ii

i −×

×=

F

Fα

Si(t) is the Settlement Price of BNP Paribas Index Component i determined in accordance with Section 3 (Total Return Spot of BNP Paribas Index Component i);

FXi(t) is the Currency Conversion Rate determined in accordance with Section 2 (Composite Total Return Spot of BNP Paribas Index Component i); and,

Benchmark Level(t) means in respect of BNP Paribas Index Level Calculation Date t, the Settlement Price of the Benchmark.

6. Rebalancing of BNP Paribas Index

The BNP Paribas Index is rebalanced over 5 Scheduled Trading Days with respect to all

Exchanges, starting from the third Scheduled Trading Day following the BNP Paribas Index

Component Weighting Determination Dates. On each Rebalancing Date R during Rebalancing

Period&, the BNP Paribas Index Methodology rebalances 20% by weight of the BNP Paribas

Index by (i) adding new BNP Paribas Index Components to the BNP Paribas Index; (ii) removing

shares which are no longer BNP Paribas Index Components from the BNP Paribas Index; or (iii)

increasing or decreasing the number of units of existing BNP Paribas Index Components which

are remaining in the BNP Paribas Index.

The weight for each BNP Paribas Index Component is determined in accordance with the

following formula:

'�()��*+, (� - + �) = '�(� -) +

� ∗ /'�,�0()��*+, − '�(� -)1

2 , 0 < � ≤ 5

Where: Wi

optimal is the Optimal Weight in respect of BNP Paribas Index Component i;

� - � -is equal to � − 5,being the BNP Paribas Index Level Calculation Date t falling

immediately preceding Rebalancing Period k; � means the Rebalancing Date R in Rebalancing Period k; '�(� -) means the percentage weight of each share that is a BNP Paribas Index

Component on BNP Paribas Index Level Calculation Date t immediately preceding Rebalancing Period k, determined in accordance with the following formula:

'�(� -) =��,�07 ∗ '�

()��*+, (� 8�) ∗ 9:#;<(� 8�)��,�0=>

Index(� -)

Where:

��,�&′ means the Composite Total Return Spot of BNP Paribas Index Component i

(determined in accordance with Section 2 (Composite Total Return of BNP

Paribas Index Component i)) on BNP Paribas Index Level Calculation Date t

immediately preceding Rebalancing Period k;

'�()��*+,(� 8�) means the BNP Paribas Index Component Weighting i on the

Final Rebalancing Date in respect of Rebalancing Period k-1;

9:#;<(� 8�) means the BNP Paribas Index Level (as determined in Section 1

(BNP Paribas Index Level Calculation)) on the Final Rebalancing Date in respect

of Rebalancing Period k-1 preceding BNP Paribas Index Level Calculation Date t;

9:#;<(� -) means the BNP Paribas Index Level (as determined in Section 1 BNP

Paribas Index Level Calculation) on BNP Paribas Index Level Calculation Date t

immediately preceding Rebalancing Period k;

'�,�0()��*+,

means the Optimal Weight of each BNP Paribas Index Component i on BNP

Paribas Index Level Calculation Date t (as determined in accordance with Section 4.4 (Portfolio Optimization); and

2 means the number of Rebalancing Dates in the Rebalancing Period, being 5.

Mark-to-Market Calculation: Not Applicable

Annex 2: BNP Paribas Index Components

Table 1 – BNP Paribas Index Components As of the BNP Paribas Index Start Date, the BNP Paribas Index was comprised of the following BNP Paribas Index Components:

# BNP Paribas Index Component MDS Code

BNP Paribas Index

Component Type

BNP Paribas Index

Component Pricing Page

BNP Paribas Index

Component Weighting

BNP Paribas Index

Component Currency

Country of domicile

1 Terna Rete Elettrica Nazionale SpA IT_TRN Share TRN IM 1.00% EUR ITALY

2 Legrand SA FR_LR Share LR FP 1.00% EUR FRANCE

3 Arkema SA FR_AKE Share AKE FP 1.00% EUR FRANCE

4 Aeroports de Paris FR_ADP Share ADP FP 1.00% EUR FRANCE

5 Vinci SA FR_DG Share DG FP 1.00% EUR FRANCE

6 G4S PLC GB_GFS Share GFS LN 1.00% GBPpence GREATBRITAIN

7 Telstra Corp Ltd AU_TLS Share TLS AT 1.00% AUD AUSTRALIA

8 RELX PLC GB_REL Share REL LN 1.00% GBPpence GREATBRITAIN

9 Siemens AG DE_SIE Share SIE GY 1.00% EUR GERMANY

10 Westpac Banking Corp AU_WBC Share WBC AT 1.00% AUD AUSTRALIA

11 SKF AB SE_SKFB Share SKFB SS 1.00% SEK SWEDEN

12 Peugeot SA FR_UG Share UG FP 1.00% EUR FRANCE

13 Norsk Hydro ASA NO_NHY Share NHY NO 1.00% NOK NORWAY

14 Vivendi SA FR_VIV Share VIV FP 1.00% EUR FRANCE

15 Air FranceKLM FR_AF Share AF FP 1.00% EUR FRANCE

16 Umicore SA BE_UMI Share UMI BB 1.00% EUR BELGIUM

17 Koninklijke Philips NV NL_PHIA Share PHIA NA 1.00% EUR NETHERLANDS

18 AXA SA FR_CS Share CS FP 1.00% EUR FRANCE

19 Capita PLC GB_CPI Share CPI LN 1.00% GBPpence GREATBRITAIN

20 Praxair Inc US_PX Share PX UN 1.00% USD USA

21 International Paper Co US_IP Share IP UN 1.00% USD USA

22 Mondi PLC GB_MNDI Share MNDI LN 1.00% GBPpence GREATBRITAIN

23 Suez FR_SEV Share SEV FP 1.00% EUR FRANCE

24 CocaCola HBC AG GB_CCH Share CCH LN 1.00% GBPpence GREATBRITAIN

25 ABN AMRO Group NV NL_ABN Share ABN NA 1.00% EUR NETHERLANDS

26 Amundi SA FR_AMUN Share AMUN FP 1.00% EUR FRANCE

27 Sun Life Financial Inc CA_SLF Share SLF CT 0.90% CAD CANADA

28 Automatic Data Processing Inc US_ADP Share ADP UW 0.77% USD USA

29 Marsh McLennan Cos Inc US_MMC Share MMC UN 0.76% USD USA

30 MettlerToledo International Inc US_MTD Share MTD UN 0.75% USD USA

31 United Continental Holdings Inc US_UAL Share UAL UN 0.70% USD USA

32 Alaska Air Group Inc US_ALK Share ALK UN 0.70% USD USA

33 NIKE Inc US_NKE Share NKE UN 0.70% USD USA

34 BristolMyers Squibb Co US_BMY Share BMY UN 0.69% USD USA

35 Andeavor US_ANDV Share ANDV UN 0.69% USD USA

36 Biogen Inc US_BIIB Share BIIB UW 0.67% USD USA

37 Becton Dickinson and Co US_BDX Share BDX UN 0.66% USD USA

38 Alphabet Inc US_GOOGL Share GOOGL

UW 0.66%

USD USA

39 Ford Motor Co US_F Share F UN 0.66% USD USA

40 American Water Works Co Inc US_AWK Share AWK UN 0.66% USD USA

41 Procter Gamble CoThe US_PG Share PG UN 0.65% USD USA

42 Edwards Lifesciences Corp US_EW Share EW UN 0.64% USD USA

43 Cognizant Technology Solutions Corp US_CTSH Share CTSH UW 0.64% USD USA

44 Adobe Systems Inc US_ADBE Share ADBE UW 0.64% USD USA

45 Visa Inc US_V Share V UN 0.64% USD USA

46 Southwest Airlines Co US_LUV Share LUV UN 0.63% USD USA

47 Orica Ltd AU_ORI Share ORI AT 0.62% AUD AUSTRALIA

48 International Flavors Fragrances Inc US_IFF Share IFF UN 0.62% USD USA

49 Flex Ltd US_FLEX Share FLEX UW 0.61% USD USA

50 Applied Materials Inc US_AMAT Share AMAT UW 0.61% USD USA

51 Unum Group US_UNM Share UNM UN 0.61% USD USA

52 FMC Corp US_FMC Share FMC UN 0.61% USD USA

53 CGI Group Inc CA_GIB999A Share GIB/A CT 0.60% CAD CANADA

54 Analog Devices Inc US_ADI Share ADI UW 0.60% USD USA

55 Norfolk Southern Corp US_NSC Share NSC UN 0.60% USD USA

56 Denbury Resources Inc US_DNR Share DNR UN 0.59% USD USA

57 Kao Corp JP_4452 Share 4452 JT 0.57% JPY JAPAN

58 Teradata Corp US_TDC Share TDC UN 0.57% USD USA

59 TorontoDominion BankThe CA_TD Share TD CT 0.55% CAD CANADA

60 Clorox CoThe US_CLX Share CLX UN 0.55% USD USA

61 CA Inc US_CA Share CA UW 0.53% USD USA

62 Coach Inc US_COH Share COH UN 0.53% USD USA

63 CVS Health Corp US_CVS Share CVS UN 0.52% USD USA

64 McKesson Corp US_MCK Share MCK UN 0.52% USD USA

65 DXC Technology Co US_DXC Share DXC UN 0.52% USD USA

66 Amgen Inc US_AMGN Share AMGN UW 0.52% USD USA

67 Agilent Technologies Inc US_A Share A UN 0.52% USD USA

68 CocaCola European Partners PLC US_CCE Share CCE UN 0.51% USD USA

69 BlackRock Inc US_BLK Share BLK UN 0.51% USD USA

70 NVIDIA Corp US_NVDA Share NVDA UW 0.51% USD USA

71 TELUS Corp CA_T Share T CT 0.51% CAD CANADA

72 Intel Corp US_INTC Share INTC UW 0.50% USD USA

73 Allstate CorpThe US_ALL Share ALL UN 0.50% USD USA

74 Carnival Corp US_CCL Share CCL UN 0.50% USD USA

75 Marathon Petroleum Corp US_MPC Share MPC UN 0.50% USD USA

76 Time Warner Inc US_TWX Share TWX UN 0.49% USD USA

77 3M Co US_MMM Share MMM UN 0.49% USD USA

78 Accenture PLC US_ACN Share ACN UN 0.49% USD USA

79 Texas Instruments Inc US_TXN Share TXN UW 0.49% USD USA

80 Symantec Corp US_SYMC Share SYMC UW 0.49% USD USA

81 Macys Inc US_M Share M UN 0.49% USD USA

82 Western Digital Corp US_WDC Share WDC UW 0.49% USD USA

83 Citrix Systems Inc US_CTXS Share CTXS UW 0.49% USD USA

84 Hilton Worldwide Holdings Inc US_HLT Share HLT UN 0.49% USD USA

85 Principal Financial Group Inc US_PFG Share PFG UN 0.48% USD USA

86 Verizon Communications Inc US_VZ Share VZ UN 0.48% USD USA

87 Intact Financial Corp CA_IFC Share IFC CT 0.48% CAD CANADA

88 Jabil Inc US_JBL Share JBL UN 0.48% USD USA

89 KLATencor Corp US_KLAC Share KLAC UW 0.48% USD USA

90 Mastercard Inc US_MA Share MA UN 0.48% USD USA

91 Hang Seng Bank Ltd HK_HK0011 Share 11 HK 0.47% HKD HONGKONG

92 Union Pacific Corp US_UNP Share UNP UN 0.47% USD USA

93 American Express Co US_AXP Share AXP UN 0.47% USD USA

94 Canadian Pacific Railway Ltd CA_CP Share CP CT 0.47% CAD CANADA

95 Ross Stores Inc US_ROST Share ROST UW 0.47% USD USA

96 BCE Inc CA_BCE Share BCE CT 0.47% CAD CANADA

97 Hartford Financial Services Group

IncThe US_HIG Share

HIG UN 0.47%

USD USA

98 Royal Caribbean Cruises Ltd US_RCL Share RCL UN 0.46% USD USA

99 Autoliv Inc US_ALV Share ALV UN 0.46% USD USA

100 Kellogg Co US_K Share K UN 0.46% USD USA

101 Intuit Inc US_INTU Share INTU UW 0.46% USD USA

102 Aeon Co Ltd JP_8267 Share 8267 JT 0.45% JPY JAPAN

103 eBay Inc US_EBAY Share EBAY UW 0.45% USD USA

104 Canadian Imperial Bank of Commerce CA_CM Share CM CT 0.45% CAD CANADA

105 IngersollRand PLC US_IR Share IR UN 0.45% USD USA

106 Kansas City Southern US_KSU Share KSU UN 0.44% USD USA

107 United Parcel Service Inc US_UPS Share UPS UN 0.44% USD USA

108 PPG Industries Inc US_PPG Share PPG UN 0.44% USD USA

109 ON Semiconductor Corp US_ON Share ON UW 0.44% USD USA

110 Ecolab Inc US_ECL Share ECL UN 0.44% USD USA

111 SP Global Inc US_SPGI Share SPGI UN 0.44% USD USA

112 Cintas Corp US_CTAS Share CTAS UW 0.44% USD USA

113 Target Corp US_TGT Share TGT UN 0.44% USD USA

114 CSL Ltd AU_CSL Share CSL AT 0.43% AUD AUSTRALIA

115 Nabtesco Corp JP_6268 Share 6268 JT 0.43% JPY JAPAN

116 Cummins Inc US_CMI Share CMI UN 0.43% USD USA

117 Marriott International IncMD US_MAR Share MAR UW 0.43% USD USA

118 TE Connectivity Ltd US_TEL Share TEL UN 0.43% USD USA

119 Home Depot IncThe US_HD Share HD UN 0.42% USD USA

120 Lowes Cos Inc US_LOW Share LOW UN 0.42% USD USA

121 Methanex Corp CA_MX Share MX CT 0.42% CAD CANADA

122 Air Products Chemicals Inc US_APD Share APD UN 0.41% USD USA

123 Ibiden Co Ltd JP_4062 Share 4062 JT 0.40% JPY JAPAN

124 Hasbro Inc US_HAS Share HAS UW 0.40% USD USA

125 PVH Corp US_PVH Share PVH UN 0.40% USD USA

126 Tokio Marine Holdings Inc JP_8766 Share 8766 JT 0.39% JPY JAPAN

127 MetLife Inc US_MET Share MET UN 0.39% USD USA

128 Kroger CoThe US_KR Share KR UN 0.39% USD USA

129 Daiwa House Industry Co Ltd JP_1925 Share 1925 JT 0.38% JPY JAPAN

130 Nikon Corp JP_7731 Share 7731 JT 0.38% JPY JAPAN

131 Hanesbrands Inc US_HBI Share HBI UN 0.38% USD USA

132 Nippon Telegraph Telephone Corp JP_9432 Share 9432 JT 0.37% JPY JAPAN

133 Ube Industries Ltd JP_4208 Share 4208 JT 0.37% JPY JAPAN

134 Toyota Industries Corp JP_6201 Share 6201 JT 0.37% JPY JAPAN

135 Kajima Corp JP_1812 Share 1812 JT 0.36% JPY JAPAN

136 Fujitsu Ltd JP_6702 Share 6702 JT 0.36% JPY JAPAN

137 Gap IncThe US_GPS Share GPS UN 0.36% USD USA

138 Spark New Zealand Ltd NZ_SPK Share SPK NZ 0.34% NZD NEWZEALAND

139 Shiseido Co Ltd JP_4911 Share 4911 JT 0.34% JPY JAPAN

140 Ajinomoto Co Inc JP_2802 Share 2802 JT 0.34% JPY JAPAN

141 Hitachi Ltd JP_6501 Share 6501 JT 0.34% JPY JAPAN

142 Mazda Motor Corp JP_7261 Share 7261 JT 0.34% JPY JAPAN

143 Computershare Ltd AU_CPU Share CPU AT 0.33% AUD AUSTRALIA

144 Boral Ltd AU_BLD Share BLD AT 0.33% AUD AUSTRALIA

145 CapitaLand Commercial Trust SG_CACT Share CCT SP 0.33% SGD SINGAPORE

146 LIXIL Group Corp JP_5938 Share 5938 JT 0.33% JPY JAPAN

147 Obayashi Corp JP_1802 Share 1802 JT 0.33% JPY JAPAN

148 Sydney Airport AU_SYD Share SYD AT 0.32% AUD AUSTRALIA

149 Amcor LtdAustralia AU_AMC Share AMC AT 0.32% AUD AUSTRALIA

150 Canon Inc JP_7751 Share 7751 JT 0.32% JPY JAPAN

151 Resona Holdings Inc JP_8308 Share 8308 JT 0.32% JPY JAPAN

152 Bank of Queensland Ltd AU_BOQ Share BOQ AT 0.32% AUD AUSTRALIA

153 Lundin Mining Corp CA_LUN Share LUN CT 0.32% CAD CANADA

154 Micron Technology Inc US_MU Share MU UW 0.32% USD USA

155 Consolidated Edison Inc US_ED Share ED UN 0.32% USD USA

156 AIA Group Ltd HK_HK1299 Share 1299 HK 0.32% HKD HONGKONG

157 Iluka Resources Ltd AU_ILU Share ILU AT 0.31% AUD AUSTRALIA

158 United Overseas Bank Ltd SG_UOB Share UOB SP 0.31% SGD SINGAPORE

159 Legg Mason Inc US_LM Share LM UN 0.31% USD USA

160 Sysco Corp US_SYY Share SYY UN 0.31% USD USA

161 CenterPoint Energy Inc US_CNP Share CNP UN 0.31% USD USA

162 salesforce.com Inc US_CRM Share CRM UN 0.31% USD USA

163 Waste Management Inc US_WM Share WM UN 0.31% USD USA

164 Insurance Australia Group Ltd AU_IAG Share IAG AT 0.30% AUD AUSTRALIA

165 Suncorp Group Ltd AU_SUN Share SUN AT 0.30% AUD AUSTRALIA

166 Ramsay Health Care Ltd AU_RHC Share RHC AT 0.30% AUD AUSTRALIA

167 LendLease Group AU_LLC Share LLC AT 0.30% AUD AUSTRALIA

168 Brambles Ltd AU_BXB Share BXB AT 0.30% AUD AUSTRALIA

169 Mitsui Co Ltd JP_8031 Share 8031 JT 0.30% JPY JAPAN

170 Denso Corp JP_6902 Share 6902 JT 0.30% JPY JAPAN

171 Casio Computer Co Ltd JP_6952 Share 6952 JT 0.30% JPY JAPAN

172 Teijin Ltd JP_3401 Share 3401 JT 0.30% JPY JAPAN

173 CBS Corp US_CBS Share CBS UN 0.30% USD USA

174 Whirlpool Corp US_WHR Share WHR UN 0.30% USD USA

175 ManpowerGroup Inc US_MAN Share MAN UN 0.30% USD USA

176 Omnicom Group Inc US_OMC Share OMC UN 0.30% USD USA

177 Mohawk Industries Inc US_MHK Share MHK UN 0.30% USD USA

178 Delta Air Lines Inc US_DAL Share DAL UN 0.30% USD USA

179 Invesco Ltd US_IVZ Share IVZ UN 0.30% USD USA

180 AMP Ltd AU_AMP Share AMP AT 0.29% AUD AUSTRALIA

181 Mitsubishi Electric Corp JP_6503 Share 6503 JT 0.29% JPY JAPAN

182 OwensIllinois Inc US_OI Share OI UN 0.29% USD USA

183 Deere Co US_DE Share DE UN 0.29% USD USA

184 SherwinWilliams CoThe US_SHW Share SHW UN 0.29% USD USA

185 Canadian National Railway Co CA_CNR Share CNR CT 0.29% CAD CANADA

186 Aurizon Holdings Ltd AU_AZJ Share AZJ AT 0.29% AUD AUSTRALIA

187 Macquarie Group Ltd AU_MQG Share MQG AT 0.28% AUD AUSTRALIA

188 TDK Corp JP_6762 Share 6762 JT 0.28% JPY JAPAN

189 Sumitomo Metal Mining Co Ltd JP_5713 Share 5713 JT 0.28% JPY JAPAN

190 Advantest Corp JP_6857 Share 6857 JT 0.28% JPY JAPAN

191 Prudential Financial Inc US_PRU Share PRU UN 0.28% USD USA

192 Discover Financial Services US_DFS Share DFS UN 0.28% USD USA

Table 3 – BNP Paribas Index Component Selection Indicators

BNP Paribas Index Component Selection Indicator

BNP Paribas Index Component Selection Indicator Pricing Page

BNP Paribas

Index Component Selection

Indicator Price Source

1 Vigeo Eiris as Index Data Provider

https://extranet.vigeo.com/extranet/extmain.php Vigeo Eiris

2 The STOXX Global 1800 Net Return Index USD

Bloomberg: SXW1V STOXX Limited

3. Optimiser https://www.mosek.com/

Mosek Optimizer™

software package

Annex 3

The BNP Paribas GURU® Methodology

The Selection Criteria for the BNP Paribas GURU® Scoring Methodology, which are used to determine the GURU® Score for a share in the Selection Pool, are calculated by the Index Weight

Calculation Agent in accordance with the following provisions. These are based on data extracted from the latest monthly report produced by the Thomson Reuters Institutional Brokers’ Estimate System (“IBES”), the latest reported data from Thomson Reuters Worldscope (“Worldscope”) and data from Thomson Reuters Datastream (“Datastream”)

For the purpose hereof: "TRBC" means the Thomson Reuters Business Classification

"Financials" means companies which are classified as falling within the ‘55’ economic sectors,

according to TRBC level 1 classification.

"Non-Financials" means companies which are not classified as falling within the ‘55’ economic sectors, according to TRBC level 1 classification.

"Economic Sectors" means the Thomson Reuters Business Classification Level 1 Sector

A- Profitability Criterion

(i) Selection Criterion 1 : Return On Economic Asset ratio (“ROEA”)

The Profitability is determined in accordance with the following provisions:

Step 1 - Non-Financial shares

The ROEA measures the profitability of an economic asset. It is the ratio between the Earnings Before Interest & Taxes ("EBIT") and the “Economic asset", being the sum of the book value, working

capital and 20% of the research & development expenses for the relevant company, determined in accordance with the following formula:

WC_IBESWC_IBES FX*t)D(k,&R*20%FX*t)WC(k,t)Nosh(k,*t)BPS1(k,

t)EBIT1(k,t)k,riterion1(SelectionC

++=

where:

"EBIT1(k,t)" means the last available monthly IBES data for the FY1 EBIT mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

BPS1(k,t) means the last available monthly IBES data for the FY1 Book Value per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; "WC(k,t)" means the last reported annual Working Capital for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

"R&D(k,t)" means the last reported annual Research and Development Expense for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

Nosh(k,t) means the last available monthly IBES data for the number of shares (as used todetermine FY0 Earning per share) for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

FX

WC_IBES means the last available Datasteam FX rate from the reporting currency in

Worldscope to the reporting currency in IBES for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

For each Economic Sector (other than that which are included in Financials), an average RoEA is

computed as the equally-weighted average of the profitability of all shares in each Economic Sector. The Economic Sectors are then ranked in descending profitability and allocated a score from 1-10 corresponding to their ranking (the "ROEA Economic Sector Score").

In addition, the shares within a particular Economic Sector are ranked in descending profitability and allocated a score from 1-10 corresponding to their ranking (the "ROEA Share Score").

All Non-Financials are given an interim grade, being the sum of half of the RoEA Share Score and half of the RoEA Economic Sector Score, determined in accordance with the following formula:.

RoEARoEARoEA scoreRoEASector2

1scoretyRoEASecuri

2

1GradeInterim ×+×=

Step 2 - All shares, including Financials

For all shares in the Selection Pool, including Financials, the last available monthly IBES data for the FY1 Return on Equity mean consensus estimate (the "ROE") is considered.

For each Economic Sector, an average ROE is computed as the equally-weighted average of the profitability of all shares in each Economic Sector. The Economic Sectors are then ranked in descending profitability and allocated a score from 1-10 corresponding to their ranking (the "ROE

Economic Sector Score"). In addition, the shares within a particular Economic Sector are ranked in descending profitability and allocated a score from 1-10 corresponding to their ranking (the "ROE Share Score"). A weighted average (one half of ROE Share Score + one half of ROE Economic

Sector Score) is computed for each share in the Selection Pool, which is used to determine Interim Grade for Financials in accordance with the following formula:

RoERoERoE scoreSector2

1scoreSecurity

2

1GradeInterim ×+×=

Step 3:

On the BNP Paribas Index Component Weighting Determination Date t, the Profitability is determined in accordance with the following formula:

∈

∉=

s)(Financialindustry1levelT'55'k''securityift)(k,GradeInterim

s)(Financialindustry1levelT'55'k''securityift)(k,GradeInterimt)k,riterion1(SelectionC

RoE

RoEA

RBC

RBC

If, for any share in the Selection Pool, it is not possible to obtain a Score in accordance with Selection Criterion 1, the share will be removed from the Selection Pool.

B- Prospects Criteria

(i) Selection Criterion 2 : Balance of upward and downward earnings revisions

The average over the preceding 3 months of the ratio of (1) the difference between the number of analysts who revised their earnings estimates for the issuer of a share in the Selection Pool upwards

over each of the 3 months and the number of analysts who downgraded their forecasts for the same issuer over the same period and (2) the number of contributions to the consensus at the beginning of the period, determined in accordance with the following formula:

∑=

= −−

−−−=

2i

0i 1)itNumEst(k,

i)tNumDn(k,i)tNumUp(k,t)k,riterion2(SelectionC

where:

"NumUp(t-i)" means the number of upgraded analyst forecasts in share issuer ‘k’ ‘s FY1 earnings estimates between month (t-i-1) and month (t-i);

"NumDn(t-i)" means the number of downgraded analyst forecasts in share issuer ‘k’ ‘s FY1 earnings estimates between month (t-i-1) and month (t-i); and

"NumEst(t-i-1)" means the number of contributing analysts for share issuer ‘k’ ‘s FY1 earnings estimates as of month (t-i-1).

(ii) Selection Criterion 3 : Past 6-months return

A measure of price momentum, being the difference between the equally weighted average of each of

(a) a share’s absolute price return over the preceding 6 months and (n) the absolute price return of all shares in the Economic Sector within which it is classified.

∑∈

−

−+

−

−=

Si

16)te(i,curityPricS

t)(i,ecurityPricS*

N

0.51

6)tice(k,SecurityPr

t)e(k,curityPricS*0.5 t)k,riterion3(SelectionC

e

ee

Where:

"SecurityPrice(k,t)" means the closing Datastream price of share ‘k’ on the BNP Paribas Index Level Calculation Date immediately preceding the BNP Paribas Index Component Weighting Determination Date t;

"t-6" means the BNP Paribas Index Level Calculation Date falling 6 months and 1 day prior to the BNP Paribas Index Component Weighting Determination Date t;

"S" means TRBC level 1 Economic Sector in which share ‘k’ is classified; and

"N" means the number of shares in Economic Sector ‘S’.

(iii) Selection Criterion 4 : Sharpe ratio

The final Selection Criterion used to determine Prospects is a share’s absolute price return over the preceding 6 months, divided by the historical 6-month volatility for such share, determined in accordance with the following formula:

t)Vol6M(k,

16)t(k,iceSecurityPr

t)(k,iceSecurityPr

t)k,riterion4(SelectionC

2

−

−=

where

"SecurityPrice(k,t)" means the closing Datastream price of share ‘k’ on the BNP Paribas Index Level

Calculation Date immediately preceding the BNP Paribas Index Component Weighting Determination Date t;

"t-6" means the BNP Paribas Index Level Calculation Date falling 6 months and 1 day prior to the BNP Paribas Index Component Weighting Determination Date;

"Vol6M(k,t)" means the annualized standard deviation of past 130 observations of the daily price return for share ‘k’ on each BNP Paribas Index Component Weighting Determination Date.

If, for any share in the Selection Pool, it is not possible to obtain a Score in accordance Selection Criteria 3 and 4, the share will be removed from the Selection Pool

C- Valuation Criteria:

(i) Selection Criterion 5 : PEG (P/E-to-EPS growth ratio)

The ratio between the prospective Price/Earnings ratio ("P/E") multiple and the prospective earnings growth for each share, determined in accordance with the following formula:

100*1-),(0EPS

t)2(k,EPS

t)1(k,EPS

t)ice(k,SecurityPr


=

tk

where

SecurityPrice(k,t) means the last available monthly IBES data for the Price of a share (as used to determine FY0 Earning per share) for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date;

EPS0(k,t) means the last available monthly IBES data for the FY0 Earnings per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; EPS1(k,t) means the last available monthly IBES data for the FY1 Earnings per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; EPS2(k,t) means the last available monthly IBES data for the FY2 Earnings per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; Further:

100*1-),(0EPS

t)2(k,EPS

tk

must be between 0 and 60; and t)1(k,EPS

t)ice(k,SecurityPr must be positive.

Any share which does not meet either requirement will be deemed to have failed Selection Criterion 5.

(ii) Selection Criterion 6 : EV/EBIT-to-EBIT growth ratio

The enterprise value ("EV")/EBIT (as previously defined) for fiscal year 1 over expected EBIT growth between FY1 and FY2, determined in accordance with the following formula:

100*1t)EBIT1(k,

t)EBIT2(k,

t)EBIT1(k,

t)EV1(k,

t)k,Criterion(

−

=

Where



"EV1(k,t)" means the last available monthly IBES data for the FY1 Enterprise Value mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

(iii) Selection Criterion 7 : Price-to-Free Cash Flow

“Price-to-Free Cash Flow” is the ratio between the price of share and the free cash flow generated by the issuer of the share, determined in accordance with the following provisions.

(a) Selection Criterion 7 for Non-Financials

For Non-Financials, Selection Criterion 7 shall be determined in accordance with the following formula:

t))(FCF/P(k,StDev

t))(FCF/P(k,Averaget)FCF/P(k,


Si

Si

∈

∈

−

=

Where:

t)t)/Nosh(k,(k,WS

FX*t)Divs(k, Pref-t)t)/Nosh(k,(k,IBES

FX*t)Capex(k,-t)(k,IBES

FX*t)CPS1(k,t)FCF(k, =

CPS1(k,t) means the last available monthly IBES data for the FY1 Cash Flow per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; Nosh(k,t) means the last available monthly IBES data for the number of shares (as used to

determine FY0 Earning per share) for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t;

Capex(k,t) means the last available monthly IBES data for the FY1 Capital Expenditures mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date; FX

IBES(k,t) means the last available Datastream FX rate from the reporting currency in IBES to

the reporting currency in Datastream for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date; FX

WS(k,t) means the last available Datastream FX rate from the reporting currency in

Worldscope to the reporting currency in Datastream for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; PrefDivs(k,t) means the last reported total cash preferred dividends paid on the company's preferred stock during the year for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t, according to Worldscope; "P(k,t)" means the closing Datastream price of share ‘k’ on the BNP Paribas Index Level Calculation Date immediately preceding the BNP Paribas Index Component Weighting Determination Date t;

"S" means the TRBC level 1 Economic Sector within which share ‘k’ is classified; "Average" means the equally-weighted average of FCF/P for each share ‘k’ within Economic Sector ‘S’; "StDev" means the standard deviation of FCF/P within Economic Sector ‘S’. (b) Selection Criterion 7 for Financials

For Financials, Selection Criterion 7 shall be determined in accordance with the following formulae:

(Banks)8300Sif,t))/P(k,(StDev

t))/P(k,(Averaget)/P(k,

t)k,riterion7(SelectionCt)(k,

IBESFX*t)BPS1(k,

t)(k,IBES

FX*t)BPS1(k,t)(k,IBES

FX*t)BPS1(k,

Si

Si =

−

=

∈

∈

)(Insurance8500Sif,t))/P(k,(StDev



SiSi

Si

t)(k,IBES

FX*t)EPS1(k,

t)(k,IBES

FX*t)EPS1(k,t)(k,IBES

FX*t)EPS1(k,

=

−

=

∈∈

∈

Estate)(Real8600Sif,t))/P(k,(StDev



SiSi

Si

t)(k,IBES

FX*t)DPS1(k,

t)(k,IBES

FX*t)DPS1(k,t)(k,IBES

FX*t)DPS1(k,

=

−

=

∈∈

∈

Where

BPS1(k,t) means the last available monthly IBES data for the FY1 Book Value per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; EPS1(k,t) means the last available monthly IBES data for the FY1 Earnings per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; EPS1(k,t) means the last available monthly IBES data for the FY1 Dividend per Share mean consensus estimate for the issuer of share ‘k’ on BNP Paribas Index Component Weighting Determination Date t; "P(k,t)" means the closing Datastream price of share ‘k’ on the BNP Paribas Index Level Calculation Date immediately preceding the BNP Paribas Index Component Weighting Determination Date t; "S" means the TRBC level 1 Economic Sector within which share ‘k’ is classified; "Average" means the equally-weighted average of FCF/P for each share ‘k’ within Economic Sector ‘S’; "StDev" means the standard deviation of FCF/P within Economic Sector ‘S’. If, for any share in the Selection Pool, it is not possible to obtain at least one Score in accordance with Selection Criterion 5, 6 or 7, the share will be removed from the Selection Pool

Annex 4 – BNP Paribas Index Adjustment Events and Consequences

Section 5 (BNP Paribas Index Adjustment Events and Consequences) of the Handbook will be disapplied in its entirety and replaced with the following provisions: 5.1 BNP Paribas Index Adjustment Events

Each of the following events shall constitute a BNP Paribas Index Adjustment Event:

(a) The occurrence of a License Event and the Index Sponsor has determined that it is not commercially reasonable to cure the License Event;

(b) The occurrence of a BNP Paribas Index Component Currency Event;

(c) in respect of any BNP Paribas Index Component, a Disappearance of Settlement Price and in respect of any BNP Paribas Index Component Selection Indicator, a Disappearance of BNP Paribas Index Component Selection Indicator;

(d) in respect of a Commodity or Commodity Index, a Limit Price Event or Price Source Disruption which continues for a period of more than one calendar month;

(e) in respect of a Currency Exchange Rate, either currency related to such Currency Exchange Rate ceases to exist and has not been replaced by a new currency for which the Currency Exchange Rate is then calculated;

(f) in respect of a Debt Instrument, (i) such Debt Instrument is redeemed (including any early redemption) or cancelled by the Debt Instrument Issuer or (ii) a Price Source Disruption which continues for a period of more than 10 Scheduled BNP Paribas Index Business Days;

(g) in respect of an ETP Interest, the occurrence of any of the following events:

(i) the ETP Interest ceases trading;

(ii) the ETP or any ETP Service Provider (i) is dissolved or has a resolution passed, or there is any proposal, for its dissolution, winding-up, official liquidation (other than pursuant to a consolidation, amalgamation or merger); (ii) makes a general assignment or arrangement with or for the benefit of its creditors; (iii) (1) institutes or has instituted against it, by a regulator, supervisor or any similar official with primary insolvency, rehabilitative or regulatory jurisdiction over it in the jurisdiction of its incorporation or organisation or the jurisdiction of its head or home office, a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors’ rights, or a petition is presented for its winding-up or liquidation by it or such regulator, supervisor or similar official, or (2) has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors’ rights, or a petition is presented for its winding-up or liquidation, and such proceeding or petition is instituted or presented by a person or entity not described in sub-clause (iii) (1) above and either (x) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (y) is not immediately dismissed, discharged, stayed or restrained; (iv) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official for it or for all or substantially all its assets; (v) has a secured party take possession of all or substantially all its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all its assets and such

secured party maintains possession, or any such process is not immediately dismissed, discharged, stayed or restrained; or (vi) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an effect analogous to any of the events specified in sub-clauses (i) to (v) above;

(iii) a Merger Event;

(iv) the ETP ceases to be an undertaking for collective investments under the legislation of its relevant jurisdiction;

(v) an ETP Modification;

(vi) any change in the periodicity of the calculation or the publication of the Value per ETP Interest; or

(vii) the currency denomination of the ETP Interest is amended so that the Value per ETP Interest is no longer calculated in the same currency as it was as at the BNP Paribas Index Launch Date.

(h) in respect of a Fund Share, the occurrence of any of the following events:

(i) the Fund Share ceases trading;

(ii) The Fund or any Fund Service Provider (i) is dissolved or has a resolution passed, or there is any proposal, for its dissolution, winding-up, official liquidation (other than pursuant to a consolidation, amalgamation or merger); (ii) makes a general assignment or arrangement with or for the benefit of its creditors; (iii) (1) institutes or has instituted against it, by a regulator, supervisor or any similar official with primary insolvency, rehabilitative or regulatory jurisdiction over it in the jurisdiction of its incorporation or organisation or the jurisdiction of its head or home office, a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors' rights, or a petition is presented for its winding-up or liquidation by it or such regulator, supervisor or similar official, or (2) has instituted against it a proceeding seeking a judgment of insolvency or bankruptcy or any other relief under any bankruptcy or insolvency law or other similar law affecting creditors' rights, or a petition is presented for its winding-up or liquidation, and such proceeding or petition is instituted or presented by a person or entity not described in sub-clause (iii) (1) above and either (x) results in a judgment of insolvency or bankruptcy or the entry of an order for relief or the making of an order for its winding-up or liquidation or (y) is not immediately dismissed, discharged, stayed or restrained; (iv) seeks or becomes subject to the appointment of an administrator, provisional liquidator, conservator, receiver, trustee, custodian or other similar official for it or for all or substantially all its assets; (v) has a secured party take possession of all or substantially all its assets or has a distress, execution, attachment, sequestration or other legal process levied, enforced or sued on or against all or substantially all its assets and such secured party maintains possession, or any such process is not immediately dismissed, discharged, stayed or restrained; or (vii) causes or is subject to any event with respect to it which, under the applicable laws of any jurisdiction, has an effect analogous to any of the events specified in sub-clauses (i) to (v) above; or

(iii) if applicable, the Fund ceases to be an undertaking for collective investments under the legislation of its relevant jurisdiction; or

(iv) a Fund Modification;

(v) any change in the periodicity of the calculation or the publication of the NAV per Fund Share;

(vi) the currency denomination of the Fund Shares is amended from that set out in the Fund’s constituting documents so that the NAV per Fund Share is no longer calculated in the same currency as it was as at the BNP Paribas Index Launch Date; or

(vii) a Merger Event.

(i) in respect of an Index, the occurrence of either (i) an Index Cancellation or (ii) an Index Modification;

(j) in respect of an OTC, the price or value of the OTC Reference is no longer published;

(k) in respect of a Share, the occurrence of (i) a Merger Event,(ii) a Tender Offer, (iii) Nationalisation, (iv) Insolvency, or (v) Insolvency Filing.

5.2 Consequences of a BNP Paribas Index Adjustment Event

If a BNP Paribas Index Adjustment Event has occurred, the Index Committee, on behalf of the Index Sponsor, will determine which of the following provisions shall apply with respect to any BNP Paribas Index for which the affected BNP Paribas Index Component is a component or for which the BNP Paribas Index Component Selection Indicator is used in the determination of the BNP Paribas Index as of the date of the occurrence of the BNP Paribas Index Adjustment Event.

The Index Committee will make an expert determination as to which consequence will best preserve the strategy and objectives of each such BNP Paribas Index. The Index Sponsor will notify the Index Calculation Agent or Weighting Determination Agent of its determination as soon as practicable and the Index Calculation Agent or Weighting Determination Agent will adjust the BNP Paribas Index within 5 Scheduled BNP Paribas Index Business Days of the BNP Paribas Index Adjustment Event Effective Date.

The Index Committee, on behalf of the Index Sponsor, will firstly apply Section 5.2.1 in respect of the affected BNP Paribas Index Component or BNP Paribas Index Component Selection Indicator, as the case may be.

5.2.1 Successor

If the affected BNP Paribas Index Component or BNP Paribas Index Component Selection Indicator is replaced by a Successor, such Successor shall be deemed to be the BNP Paribas Index Component or BNP Paribas Index Component Selection Indicator unless the Index Committee determines that the inclusion of such Successor in the BNP Paribas Index will not preserve the strategy and objectives of the BNP Paribas Index.

If no Successor exists, the Index Committee will determine which of Sections 5.2.2 to 5.2.4 shall apply and the effective date thereof:

5.2.2 Removal

On or after the BNP Paribas Index Adjustment Effective Date:

(i) the affected BNP Paribas Index Component shall be removed from the BNP Paribas Index and the Index Calculation Agent shall continue to calculate and publish the BNP Paribas Index Level without such BNP Paribas Index Component and shall either (i) reweight the remaining BNP Paribas

Index Components on a pro rata basis to account for the BNP Paribas Index Component being removed, or (ii) not reweight the BNP Paribas Index and value the affected BNP Paribas Index Component at zero; or

(ii) the affected BNP Paribas Index Component Selection Indicator shall be removed from the BNP Paribas Index and the Index Calculation Agent shall continue to make the determinations in respect of the BNP Paribas Index without the BNP Paribas Index Component Selection Indicator..

5.2.3 Substitution

On or after the BNP Paribas Index Adjustment Event Effective Date, the affected BNP Paribas Index Component or BNP Paribas Index Component Selection Indicator shall be replaced with another asset selected in accordance with the following criteria:

(a) in respect of a Commodity, a futures contract with similar terms to, with a delivery date corresponding with, and relating to the same Commodity as the affected Commodity;

(b) in respect of a Commodity Index or Index a substitute index with a substantially similar composition, formula for and method of calculation;

(c) in respect of a Currency Exchange Rate, a currency exchange rate with substantially similar characteristics, such as liquidity and volatility, as the affected Currency Exchange Rate;

(d) in respect of an ETP Interest or Share

(i) if either (x) the BNP Paribas Index Adjustment Event is a Merger Event or a Tender Offer and the Successor Share would otherwise satisfy the criteria set out in Section 5.2.1 (i) above, but such Successor Share is already a BNP Paribas Index Component, or (y) in the case of a BNP Paribas Index Adjustment Event other than a Merger Event or a Tender Offer, the Index Committee shall use commercially reasonable efforts to select a Share in substitution (the “Substitute Share”) for which:

(A) in respect of a Share, the issuer of the Substitute Share shall belong to the same economic sector as the affected Share Issuer, shall have a comparable market capitalisation, international standing and exposure as the affected Share Issuer.

The applicable provisions of Section 2.1 (BNP Paribas Index Composition) shall be applied to the Substitute Share, and if the Substitute Share is a Category 1 or Category 2 Share, such Substitute Share shall not be an BNP Paribas Index Component, and BNP Paribas Index Component Removal shall apply; or

(B) in respect of an ETP Interest, the Substitute Share shall be an exchange traded instrument which has similar characteristics to the affected ETP Interest, including but not limited to, a comparable listing (which, for the avoidance of doubt, shall not be restricted to a listing on the exchange or quotation system in the same geographic region), investment objectives, investment restrictions and investment processes;

(e) in respect of a Fund Share, (i) a share, unit or interest of a fund which has similar characteristics to the Fund, including but not limited to, comparable

investment objectives, investment restrictions and investment processes; or (ii) if no alternative fund can be determined pursuant to the preceding sub-paragraph (i) above, an index (or a fund tracking such index) with similar objectives and methodology; and

(f) in respect of a Bond Contract, Debt Instrument, Index Contract, Interest Rate Contract, Interest Rate, OTC or Share Contract an instrument with substantially similar characteristics as the affected Bond Contract, Debt Instrument, Index Contract, Interest Contract, Interest Rate, OTC Reference or Share Contract; or

5.2.4 BNP Paribas Index Termination

If the Index Committee determines that it is unable to make an adjustment to the BNP Paribas Index in accordance with the provisions of Sections 5.2.1, 5.2.2 or 5.2.3

above by or on the 5th Scheduled BNP Paribas Index Business Day following the later of the BNP Paribas Index Adjustment Effective Date, or the date on which the Index Sponsor receives notification of the BNP Paribas Index Adjustment Event the

Index Sponsor shall terminate the BNP Paribas Index. Any such termination shall be announced in accordance with the provisions of Section 1.6 (“Announcements”).

BNP PARIBAS INDEX€¦ · This document (the “BNP Paribas Index Methodology Supplement”)...

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