Principal Protected Notes

CASH+ Breakfast Notes, Series 2

Product Summary

Inception Date February 18, 2008
Maturity Date June 30, 2015
Offering Price $10.00
Guarantee Amount $......
Market Price Per Note $......
Total Distributions $......
Investment Exposure as at June 30, 2009 0%

ONE Financial CASH+ Breakfast Notes™, Series 2 provide participation in the soft commodity marketplace, with the added security of 100% principal protection. The Notes, Series 2 are dynamically linked to the performance of two major soft commodity indices; the S&P GSCI Agricultural Excess Return Index®, and the S&P GSCI Livestock Excess Return Index®.

  • Uncapped upside of diversified basket of soft commodities
  • Quarterly return of capital distributions linked to Canadian overnight rate (4.06% annually as at December 31, 2007)¹
  • The complete security of 100% principal protection
  • Enhanced growth and distribution potential (up to 2X exposure)
  • Diversification from traditional asset classes, with significant growth drivers

Investment Details

Style Index-Linked / Variable Income / Principal-Guaranteed
Principal Guarantee 100% of initial principal³
Underlying Investment S&P GSCI™ Commodities Indices
- Agricultural and Livestock
Guarantor BNP Paribas S.A. (Rated AA by S&P)
Administrator ONE Financial
Distributions Quarterly return of capital
distributions linked to
Canadian overnight rate
Leverage return potential Yes, up to 200% "performance-based" investment exposure
Liquidity Weekly²
RSP eligibility 100%
Performance as at June 30, 2009
Returns as at June 30, 2009
1 Month -6.69%
3 Months -11.84%
6 Months -11.59%
Year-To-Date -11.59%
1 Year 25.44%
Total Return since Inception -32.93%
Total Distribution to-date $0.0540
Initial Price $10.0000
Current Price $6.6570
Underlying Investments as at June 30, 2009
Goldman Sachs Agriculture Excess Return Index 80%
Goldman Sachs Livestock Excess Return Index 20%

Commentary

The ONE Financial CASH+ Breakfast Notes, Series 2 (the "Notes") are linked to a portfolio of two major soft commodity indices, namely the Goldman Sachs Agricultural Excess Return Index and the Goldman Sachs Live Stock Excess Return Index (the "Portfolio"). The drivers for the growth of soft commodities are 1) indices are near 20 year lows indicating a cyclical buying opportunity, 2) developing countries are creating a supply demand imbalance 3) a loss of land to urban development 4) commodities are a natural hedge against inflation and unforeseen macroeconomic disruptions, and 5) continuing development of biomass fuels. The Goldman Sachs Agricultural Excess Return Index has decreased by 41.3% since the inception of the Notes while the Goldman Sachs Live Stock Excess Return Index is down 34.0% over the same period.

The price of the Notes will not track the performance of a static portfolio invested since inceptions of the Notes according to the Portfolio's targeted allocation, and is affected by many inter-related factors including:

  • the Portfolio's "dynamic Asset Allocation" feature,
  • the performance of each of the indices in the Portfolio,
  • changes in the levels of interest rates,
  • time remaining until the Notes' Maturity Date, and
  • market demand for the Notes.

The difference between the performance of the Notes and the performance of a static portfolio invested according to the Portfolio's targeted allocation can largely be attributed to the Portfolio's "Dynamic Asset Allocation" feature. This feature is designed to both protect the Portfolio's net asset value (or "NAV") on the downside, and pursuer potentially leverage returns on the upside.

Exposure to the indices is adjusted regularly and systematically according to a non-discretionary re-weighting procedure. Generally, as the value of the Portfolio increases, the Portfolio will potentially leverage its investments according to the targeted allocation up to a maximum of 200 of its NAV in order to pursuer enhanced returns, and as the value of the Portfolio decreases, it potentially (i) de-leverages its investments in order to protect its NAV, and (ii) if the exposure is less than 100%, reallocates it investments from the indexes to a greater weighting in a BNP notional bond. Although the Portfolio will not directly track the performance of an investment in the underlying indices according to a static allocation during the term of the Notes, if the Portfolio is expected to provide solid, consistent performance throughout the term, then investors should benefit from the strong potential for leveraged returns at Maturity.

Purchase

This Note is not available for purchase at this time.

The Guarantor

BNP Paribas

BNP Paribas was established in 1848, and according to rankings published in July 2005 by The Bank, is the sixth largest banking group in the world and the largest in Europe based on total assets of approximately CAD $1.7 trillion (approximately the size of the Canada's five largest banks combined). As one of the world's leading diversified financial institutions BNP Paribas is present in over 85 countries, and has approximately 100,000 employees worldwide.

The BNP Paribas Group is organized around three core businesses: Retail Banking, Corporate & Investment Banking and Private Banking & Asset Management. Through its 2,200 branches across France and worldwide, BNP has more than twenty million individual and small business customers and 50,000 corporate customers.

BNP Paribas' long term debt ratings are: AA with a stable outlook from Standard & Poor's, Aa2 with a stable outlook from Moody's, and AA with a stable outlook from Fitch.

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