INTRODUCING THE BNP PARIBAS
DEFINED VOLATILITY SUITE OF INDICES (DEVO)
The Defined Volatility Suite of Indices (“the Indices”) tracks the performance of a comparative index and deploys leverage with the objective of maintaining a pre-defined level of Implied Volatility, less a fixed amount of pre-defined synthetic dividend per year.
The pre-defined level of volatility is calculated based on the current weekly implied volatility of the comparative Index. As a result, callable yield notes issued by BNP Paribas linked to the Index are intended to display a consistent and higher level of yield, compared to classic worst-of index baskets.
For a list of selected risks and considerations with the Index, please click here.
