BNP Paribas

May 23, 2012 12:00 ET

BNP Paribas CIB Licenses Its Diversified USD Covered Bond Index to ProShares

NEW YORK, NY--(Marketwire - May 23, 2012) - BNP Paribas Corporate and Investment Banking announced today that it has entered into an agreement to offer ProShares® an exclusive license to use the BNP Paribas Diversified USD Covered Bond Index (Bloomberg Ticker: BNIXCOVD).

The AAA-segment of the USD Covered Bond market has grown by approximately 85% year-on-year and 600% in the last two years. The index was created to satisfy growing demand for a benchmark to track this emerging asset class and compare its returns to other investments.

"Covered bonds are a rapidly expanding asset class and we are excited to be breaking new ground with the launch of this index," said Kip Testwuide, Co-Head of Fixed Income for the Americas at BNP Paribas.

The index is market cap weighted and includes all covered bonds which:

  • Are USD denominated
  • Are AAA-rated
  • Have at least 18 months to maturity
  • Have a fixed coupon and are not putable, callable or convertible, and do not have equity-like features
  • Have at least USD 1 billion outstanding
  • Have a minimum trading size of no more than USD 250 thousand
  • Are SEC-registered or eligible for resale under Rule 144A of the Securities Act of 1933
  • Satisfy minimum liquidity requirements

The index currently holds 43 issues with a total of $72 billion outstanding. As of May 21, 2012, the index had a current yield of 1.38% and modified duration of 3.50.

It is calculated each business day by BNP Paribas and reflects the current market value of each bond (taken from external pricing sources), plus the accumulated value of the cash position. The index is rebalanced on a quarterly basis.

BNP Paribas Corporate and Investment Banking
BNP Paribas Corporate and Investment Banking employs around 20,000 people in over 50 countries and services 14,000 corporate and institutional clients worldwide.

BNP Paribas CIB excels in:
Derivatives - where it is one of the leading global players in rates, credit, forex, commodity and equity derivatives
Capital markets - where it is one of the top European houses in both ECM and DCM (bond, securitization, convertibles and equity issuance)
Structured finance - where it is amongst the leaders in acquisition, export, project, energy and commodity finance globally

About BNP Paribas
BNP Paribas ( is one of the best rated banks in the world*. The Group has a presence in more than 80 countries and more than 200,000 employees, including more than 160,000 in Europe. It ranks highly in its three core activities: Retail Banking, Investment Solutions and Corporate & Investment Banking. In Europe, the Group has four domestic markets (Belgium, France, Italy and Luxembourg) and BNP Paribas Personal Finance is the leader in consumer lending. BNP Paribas is rolling out its integrated retail banking model across the Europe-Mediterranean zone and boasts a large network in the western part of the United States. In its Corporate & Investment Banking and Investment Solutions activities, BNP Paribas also enjoys top positions in Europe, a strong presence in the Americas and solid and fast-growing businesses in Asia.