Series 10 tracks the performance of the BNP Paribas Strategy C52 10% Index (“Index”). The objective of this Index is to provide a long only, diversified exposure to the commodity asset class, excluding Agriculture and Livestock, with a targeted volatility of 10%.

Index Features

The key features of Index are outlined below:

Diversification

The Index provides diversification across 3 commodity sectors and Natural Gas:

1. Industrial Metals Sector;
2. Precious Metals Sector;
3. Energy Sector; and
4. Natural Gas

Including exposure across 12 individual commodities and cash

The Index provides the above exposures via futures contracts linked to the relevant underlying commodities, rather than any form of direct exposure to the relevant underlying commodity. Please see below for more information on the commodity futures. The individual commodity weights within the Index are based on:

• • Liquidity and global production data in in line with industry benchmarks;
  • 20% maximum cap applied on a daily basis to the level of any individual commodity exposure within the Index (before application of the 10% target volatility mechanism);
  • 35% maximum cap applied to the Energy Sector on a daily basis (before application of the 10% target volatility mechanism).

Please refer to Section 9 of the PDS for an outline of the key risks