BNP Paribas Files For BNP Paribas Enhanced Volatility Fund

BNP Paribas has filed paperwork with the SEC for a “BNP Paribas Enhanced Volatility Fund.” The Fund will seek to track changes, whether positive or negative, in the level of the Index, over time. The Shares are designed for investors who want a convenient way to gain a long exposure to forward implied equity market volatility of the S&P 500® Index. They plan to trade this fund on the NYSE under the symbol: (NYSE:BNPV)

Investment Objective

The Fund will seek to track changes, whether positive or negative, in the level of the Index, over time. The Shares are designed for investors who want a convenient way to gain a long exposure to forward implied equity market volatility of the S&P 500® Index.

Considerations relating to an investment in the Shares include:

  • Roll Optimization. The Index is an excess return index comprised of VIX Futures that are replaced periodically. The process of periodically replacing a futures contract prior to its expiration is known as “rolling” a contract or position. The Fund utilizes an enhanced daily futures contract rolling strategy, to determine the new futures contract months. This is designed to maximize yield from rolling long futures contracts in backwardated markets and minimize roll loss from rolling long futures positions in contangoed markets
  • Ease and Flexibility of Investment. The Shares will trade on NYSE Arca and provide investors with indirect exposure to VIX Futures. The Shares may be bought and sold throughout the business day at real-time market prices on NYSE Arca like other exchange-listed securities. Investors will be able to purchase and sell Shares through traditional brokerage accounts.
  • Diversification. The Shares may help to diversify a portfolio because historically the Index has tended to exhibit negative correlation with equities markets.
  • Volatility Access. The Shares provide a more direct exposure to forward implied equity market volatility than mutual funds that invest in volatility-linked notes or non-exchange traded volatility instruments, which also have implicit imbedded costs and credit risk, potentially adversely impacting the net asset value of the respective mutual fund.
  • Margin. Shares will be eligible for margin accounts.

Investing in the Shares does not insulate Shareholders from certain risks, including price volatility.

The Fund will trade VIX Futures, with a view to tracking the Index over time.

In addition to VIX Futures, the Fund’s portfolio may include cash, Alternative Financial Instruments (as defined below), money market funds, U.S. Treasury securities and other high credit quality short-term fixed income securities, which we refer to as the Fund Portfolio.

If the Managing Owner determines in its commercially reasonable judgment that it has become impracticable or inefficient for any reason for the Fund to gain full or partial exposure to any VIX Future that is a part of the Reference Index, the Fund may:

  • invest in a futures contract other than the specific VIX Futures that is a part of the Reference Index, or
  • invest in an Alternative Financial Instrument (as defined below) referencing the particular VIX Futures, or
  • in the alternative, invest in other Alternative Financial Instruments (if any) not based on the particular VIX Futures.

if, in the commercially reasonable judgment of the Managing Owner, such above instruments tend to exhibit trading prices or returns that generally correlate with the VIX Futures that is a part of the applicable Reference Index. If the Fund invests in alternative forward agreements, cleared swaps or swaps that will serve as proxies to one or more of the VIX Futures, we will refer to these instruments as the Alternative Financial Instruments. Investing in Alternative Financial Instruments (if any) exposes the Fund to counterparty risk, or the risk that an Alternative Financial Instrument counterparty will default on its obligations under the Alternative Financial Instrument. The Declaration of Trust does not limit the amount of funds that the Fund may invest in Alternative Financial Instruments.

For the complete filing click: HERE

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