Momentum Growth Optimiser

Transcription

1 Momentum Growth Optimiser Your goal is our benchmark Trade Sheet December 2017 Momentum is proud to present the key terms and features of the Momentum Growth Optimiser, December 2017 tranche. The following two risk options are available. Momentum Growth Optimiser 130% Secured Return Momentum Growth Optimiser Plus 115% Secured Return 430% Gearing 600% Gearing This document should be reviewed and signed in conjunction with the Momentum Growth Optimiser brochure and Investment Instruction form. Momentum Investments

2 Introduction The Momentum Growth Optimiser is aligned with the Momentum Outcome-based Investment philosophy and has been intentionally constructed to achieve the outcomes that you require. Positioned to cater for Capital Protection and Real Growth investment needs, the Momentum Growth Optimiser is available in two options. Each option has been designed to achieve the inflation-plus return objective of 2% per annum and 5% per annum after five years, whilst continuously ensuring the benefit of the predefined secured return. When can you invest? New business Switches, withdrawals and transfers from FIO to FEO Minimum investment amount Between 6 November and 11h00 on 6 December 2017 We cannot accept any investment after this time Between 6 November and 11h00 on 4 December 2017 We cannot accept any investment after this time If switches are made into the portfolio, the net amount must equal R For retirement products, the minimum investment amount is R10 000, subject to Wealth product minimums. Important information about this trade The following table (Source - BNP Paribas Group, November 2017) provides further insight into the applicable terms of this particular tranche: Momentum Growth Optimiser Secured Return 130% 115% Gearing 430% 600% JSE common code ZA129 ZA128 Momentum Growth Optimiser Plus ISIN ZAE ZAE Issuer Guarantor Index Calculation Agent BNP Paribas Issuance B.V BNP Paribas BNP Paribas Arbitrage SNC Credit Rating S&P's A / Moody's Aa3 / Fitch A+ Issue Type Inward Listed Note Currency ZAR Issue Price per note ZAR Mode of Settlement Cash Issuer Trade Date 12 December 2017 Issuer Strike Date 13 December 2017 Maturity Date 13 December 2022 Settlement Date 27 December 2022 Investment term Custom Index Listing 5 years BNP Paribas Multi-Asset Diversified Vol 8 EUR Future Index (Bloomberg: BNPIMD8F Index) JSE Limited Page 2 of 9

3 How is the maturity amount calculated? BNP Paribas calculates the maturity value using the investment return of the underlying index. The formula that will be used to determine the maturity amount is: Maturity Amount = Investment Amount [Secured Return + MAXIMUM (0%; Gearing Excess Index Performance)] Maturity Amount: Investment Amount: The amount received from BNP Paribas, before the deduction of tax (where applicable). Investment amount is the amount you invest in the Momentum Growth Optimiser. The above formula is before the impact of tax has been taken into account. The net maturity amount after the impact of tax may be lower than that determined by the above formula, depending on the investment wrapper used. Building the Momentum Growth Optimiser The Momentum Growth Optimiser has been designed to provide you with a secured return over five years that would be acceptable if markets underperformed. These guarantees are secured by allocating a portion of your investment to risk-free assets. The remainder of your investment is allocated to growth assets to achieve the inflation plus targeted returns. The choice of structure and investment exposure for the Momentum Growth Optimiser is based on achieving the highest probability of delivering on the target return outcome, after ensuring that the guarantee is in place. The structure also provides opportunities to expand the choice of investment exposures to include global markets and diversified asset classes. Furthermore, innovative index construction technology has evolved to the point where systematic investment processes consistently deliver desired investment returns and control risk. Systematic global risk controlled indices Following extensive research and investigation, the Momentum Growth Optimiser has been designed to capitalise on the performance potential of a globally diversified, systematic, excess return indices. These indices have the following advantages: 1. Diversification; access to multiple best-of-breed global asset classes. 2. Predictability; systematic investment methodologies produce consistent and predictable performance. 3. Suitability; risk control mechanisms built into the index are aligned to Momentum Growth Optimiser client outcomes. 4. Transparency; the indices are listed and priced on a daily basis and the rules of the construction process are verified and published. 5. Pricing efficiency; risk controlled volatility within the index creates predictable and efficient pricing in the structure, and management fees are minimised. Page 3 of 9

4 Investment research and manager selection At Momentum Investments we have extensive local and international investment capabilities and unrivalled expertise that enable us to source the optimal performance driver for the Momentum Growth Optimiser from the world s leading index providers. Research and due diligence has been performed on the development of the Momentum Growth Optimiser solutions and they are aligned to our outcome-based philosophy. Potential providers go through a strict selection process and only providers that are synergistic with our values and strong client centric objectives are considered to partner with us. About BNP Paribas The index provider, guarantor and provider of the growth performance for the Momentum Growth Optimiser is BNP Paribas. BNP Paribas positions itself as both a leading European bank and Global Financial Institution with close to 200 years in business. The BNP Paribas business encompasses strong retail services, deep corporate relationships and innovative institutional banking. Momentum Investments Research and Due Diligence Momentum Investments has conducted an extensive due diligence on BNP Paribas to ensure the robustness of its suitability and capabilities with regards to providing the capital guarantees, secured returns and potential upside returns of the Momentum Growth Optimiser. Key observations to note about BNP Paribas are: They have a diversified offering of innovative solutions that have access to all markets and asset classes through fully diversified systematic strategies; They are efficiently set up to provide internal index calculation expertise. They have powerful trading platforms and dedicated global execution specialists and also provide efficient after-sales support; and Momentum is satisfied to select BNP Paribas as a quality partner for the implementation of the Momentum Growth Optimiser solutions. In addition, Momentum Investments has vetted the capabilities and methodologies of BNP Paribas in constructing the index and BNP s operational capabilities in maintaining the index. The suitability of the index within the structure of the Momentum Growth Optimiser solutions has been deemed suitable for delivering on the client outcomes of the solutions. Key observations to note are: The BNP Paribas Multi-Asset Diversified Vol 8 EUR Future index provides capital growth by having exposure to a wide range of attractive asset classes. This strategy is appropriate, in the current low interest rate environment, to provide upside potential for investors whilst limiting volatility; and The BNP Paribas reference index is effectively implemented and has been live for a number of years. It has operated with a high degree of success on delivering its specific performance and targeted volatility outcome for the Momentum Growth Optimiser solutions in the past. Page 4 of 9

5 The BNP Multi-Asset Diversified Vol 8 Future Index The performance engine selected for the Momentum Growth Optimiser is the BNP Paribas Multi-Asset Diversified Vol 8 EUR Future Index. This is an excess return, multi-asset index that is broadly diversified across both geographic regions and asset classes. The term excess return is generally understood to mean the return in excess of the risk-free, or cash, return. This may be positive or negative. An index that is constructed as an excess return index is, therefore, tracking the excess returns of the underlying assets in that index. The index covers a wide range of risky assets such as developed and emerging market equity as well as commodity futures. It also includes historically defensive assets such as developed market government bonds and gold futures. How is the index managed? The index follows a dynamic quantitative asset allocation process. The asset allocation, determined according to a proprietary BNP Paribas algorithm, allows both long and short positions in the index and is reviewed daily to ensure high reactivity and robustness. Control over rebalancing events is managed through an advanced trend indicator. Optimisation of portfolio allocation is achieved through an efficient frontier. Daily index rebalancing ensures performance stability and reactivity in the face of market shocks. The asset allocation process allows the index to go long or short the underlying assets, subject to weight caps and floors for each asset class. The index has stringent risk control measures in place to protect against market corrections. Constraints are used to target a realised volatility of 8%. Page 5 of 9

6 Suitability of the index in the Momentum Growth Optimiser solutions The chart below illustrates the 5-year returns of the BNP Multi-Asset Diversified Vol 8 index in relation to the secured returns of the Momentum Growth Optimiser (MGO). All returns above the secured return level at maturity will be enhanced by the gearing in the solution. BNP Multi-Asset Diversified Vol 8 Rolling 5 Year Returns 1994 to 2017 Source Bloomberg, BNP Paribas as of September Performance simulations based on historical data from 31 December 1994 to 18 May 2016, historical performance thereafter. Past performance or simulated performance is not an indicator of future performance. Key performance features Momentum Growth Optimiser Momentum Growth Optimiser Plus Index outperforms the secured return 98% of the time Index outperforms the secured return 100% of the time Average index return above the secured return is 36% Average index return above the secured return is 51% Source Bloomberg, BNP Paribas as of September Performance simulations based on historical data from 31 December 1994 to 18 May 2016, historical performance thereafter. Past performance or simulated performance is not an indicator of future performance. The historical back tested 5-year returns generated by the BNP Multi-Asset Diversified Vol 8 Index are ideally suited to the return objectives of the Momentum Growth Optimiser structure. Page 6 of 9

7 Definition of terms used in the Momentum Growth Optimiser Solutions The following expressions shall, unless otherwise stated or inconsistent with the context in which they appear, bear the following meanings and cognate expressions shall bear corresponding meanings: Credit Rating refers to an assessment by a credit rating agency on the creditworthiness of an entity in general terms or in relation to a particular debt or financial obligation; Custom Index refers to the index that is constructed by the Issuer in accordance with a published mandate; Excess Index Performance refers to the gains in percentage terms at the Maturity Date that the Custom Index achieved in excess of the Secured Return over the investment term since the trade date. The Excess Index Performance is calculated as follows: (!"#$%!"#$%!!"#$%"&!"#$%&!"#$%!"!#!$% )!"#$%!"!#!$% ; Gearing refers to the factor that is multiplied to the Excess Index Performance. The indicative gearing factor will be published at the launch of each tranche and confirmed following the successful implementation of the trade. The gearing level confirmed following a successful trade will not be lower than that published in this document; Guarantor refers to the entity that is providing the guarantees on the structured note and is legally responsible for the obligations specified in the terms of the structured note; Growth Engine refers to the Custom Index that underlies the investment performance of the structured note; Index Calculation Agent refers to the party that is commissioned by the Issuer to calculate and publish the daily levels of the Custom Index and to determine the daily unit prices of the structured note for the Momentum Growth Optimiser; Index final refers to the official level of the Custom Index as published by the Index Calculation Agent on the Maturity Date; Index initial refers to the official level of the Custom Index as published by the Index Calculation Agent on the issuer strike date; Issuer refers to the investment bank that issues the structured note that is purchased to provide the guarantee and performance of the Momentum Growth Optimiser solutions; Maturity Date refers to the date on which the Issuer shall calculate the cash settlement amount to be redeemed; Secured Return refers to the minimum (before income tax) return, as a percentage of the investment value, provided to policyholders on maturity assuming there were no withdrawals. Page 7 of 9

8 Momentum Disclaimer The information provided in this document is targeted at potential investors and is provided for general information purposes only and is not an invitation or solicitation to invest. The information is not intended to be advice as contemplated in the Financial Advisory and Intermediary Services Act 37 of 2002 (FAIS). The information contained in this document including opinions expressed are derived from proprietary and non-proprietary sources deemed by Momentum to be reliable, are not necessarily all inclusive but are accurate as at the date of its publication. Momentum reserves the right to add, modify, change certain sections of this document or remove it in its entirety at any time for any reason. You agree to refer to the Momentum website for an updated version of this document. You are aware that some of the investments named in this document are not necessarily owned and managed by Momentum and may be removed and/or be unavailable in the future. You acknowledge that it is your own responsibility and/or your financial advisor s responsibility to conduct suitability analysis and due diligence on the investments contained in this document as part of his investment mandate with you as part of the investment advice process. General investment risks The investor accepts there are specific investment risks for every type of investment fund, such as shares, collective investment schemes and/or investment funds. Before subscribing to the investment funds or products contained in this document, it is your responsibility to read the Investment Instruction document or offering materials. You accept that evaluating and assessment of the investment funds on your own without the assistance of a financial advisor may be risky and may not be suitable for your risk profile. There are certain risk factors applicable to the Issuer and the index not contained in this document but are disclosed in the base prospectus/listing documentation that can be made available on request. The following risks are specifically mentioned, but not limited hereto, and it remains the investors responsibility to educate themselves and remain informed on investment risks that applies: Currency risk This investment is not intended for currency protection. Comparisons made in this document are merely for illustration purposes only and are not a substitute for detailed material regarding the performance of markets and/or the indices. BNP Paribas Index Disclaimer The methodology of and rules governing the index (the Index Methodology and the Index ) are proprietary and may not be disclosed or disseminated without the permission of the sponsor of the Index (the Index Sponsor ). None of the Index Sponsor, the index calculation agent (where such party is not also the Index Sponsor, the Index Calculation Agent ) nor, where applicable, the index Investment Advisor (the Index Investment Advisor ) guarantee that there will be no errors or omissions in computing or disseminating the Index. The Index Methodology is based on certain assumptions, certain pricing models and calculation methods adopted by the Index Sponsor, the Index Calculation Agent and, where applicable, the Index Investment Advisor, and may have certain inherent limitations. Information prepared on the basis of different models, calculation methods or assumptions may yield different results. You have no authority to use or reproduce the Index Methodology in any way, and neither BNP Paribas nor any of its affiliates shall be liable for any loss whatsoever, whether arising directly or indirectly from the use of the Index or Index Methodology or otherwise in connection therewith. The Index Sponsor reserves the right to amend or adjust the Index Methodology from time to time in accordance with the rules governing the Index and accepts no liability for any such amendment or adjustment. Neither the Index Sponsor nor the Index Calculation Agent are under any obligation to continue the calculation, publication or dissemination of the Index and accept no liability for any suspension or interruption in the calculation thereof which is made in accordance with the rules governing the Index. None of the Index Sponsor, the Index Calculation Agent nor, where applicable, the Index Investment Advisor accept any liability in connection with the publication or use of the level of the Index at any given time. The Index Methodology embeds certain costs in the strategy which cover amongst other things, friction, replication and repo costs in running the Index. The levels of such costs (if any) may vary over time in accordance with market conditions as determined by the Index Sponsor acting in a commercially reasonable manner. BNP Paribas and its affiliates may enter into derivative transactions or issue financial instruments (together, the Products ) linked to the Index. The Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the Index (each a Reference Index ) that is not affiliated with BNP Paribas (each such sponsor, a Reference Index Sponsor ). The Reference Index Sponsors make no representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Reference Index and/or the levels at which the relevant Reference Index stands at any particular time on any particular date or otherwise. No Reference Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevant Reference Index and the relevant Reference Index Sponsor is under no obligation to advise any person of any error therein. None of the Reference Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or assuming any risk in connection with the Products. BNP Paribas and its affiliates have no rights against or recourse to any Reference Index Sponsor should any Reference Index not be published or for any errors in the calculation thereof or on any other basis whatsoever in relation to any Reference Index, its production, or the level or constituents thereof. BNP Paribas and its affiliates shall have no liability to any party for any act or failure to act by any Reference Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Reference Index and have no affiliation with or control over any Reference Index or the relevant Reference Index Sponsor or the computation, composition or dissemination of any Reference Index. Although the Index Calculation Agent will obtain information concerning each Reference Index from publicly available sources that it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by BNP Paribas or any of its affiliates nor the Index Calculation Agent as to the accuracy, completeness and timeliness of information concerning any Reference Index. BNP Paribas and/or its affiliates may act in a number of different capacities in relation to the Index and/or products linked to the Index, which may include, but not be limited to, acting as market-maker, hedging counterparty, issuer of components of the Index, Index Sponsor and/or Index Calculation Agent. Such activities could result in potential conflicts of interest that could influence the price or value of a Product. Page 8 of 9

9 BNP Paribas Disclaimer Potential investors should note that in purchasing any product described in this document, you will be purchasing from Momentum as principal and not as agent for BNP Paribas or any of its affiliates. You therefore will not have any contract with, or recourse to, BNP Paribas or its affiliates. Potential investors should also note that this document is the sole responsibility of Momentum and that BNP Paribas and its affiliates take no responsibility for the reliability, accuracy or completeness of its contents, any representations made herein, the performance of the product or the marketing of the product including compliance with any applicable marketing or promotion laws, rules or regulations. BNP Paribas and its affiliates specifically disclaim any liability for any direct, indirect, consequential or other losses or damages including loss of profits incurred by you or by any third party that may arise from any reliance on this document.. BNP Paribas All rights reserved Page 9 of 9