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CATALYST SYSTEMATIC ALPHA INDEX

About BNPP CASA Index

The BNP Paribas Catalyst Systematic Alpha Index (the “BNPP CASA Index”) is a rules-based Index designed to capitalize on structural inefficiencies and behavioral biases (risk premia) present within the equity, fixed-income, commodity, and currency markets. The BNPP CASA Index is composed of seven rules-based Index Components created by BNP Paribas (each, a “BNPP Index Component”).

The BNPP CASA Index seeks to generate positive risk-adjusted returns that exhibit low to moderate correlation to the equity, fixed-income, commodity, and currency markets and may be an effective complement to strategies that rely on more traditional security selection methods.

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The BNP Paribas Catalyst Systematic Alpha Index (the “BNPP CASA Index”) is the exclusive property of BNP Paribas or one of its affiliates (BNP Paribas and its affiliates are hereinafter called “BNPP”) and is determined, composed and calculated by BNPP. “BNP”, “BNPP”, “BNP Paribas”, “BNP Paribas Catalyst Systematic Alpha Index”, and “BNPP CASA Index” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.The BNPP CASA Index is the exclusive property of BNP Paribas (the “Index Sponsor”).

Please read these terms and conditions carefully. By accessing this web site and any pages hereof, you are indicating that you have read, acknowledge and agree to be bound by these Terms of Use. If you do not agree to these Terms of Use, do not access this web site. BNP Paribas reserves the right to change these Terms of Use which you are responsible for regularly reviewing and your continued use of this web site constitutes agreement to all such changes. As used herein, BNP Paribas means BNP Paribas and its affiliates.

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The BNP Paribas Catalyst Systematic Alpha Index (the “BNPP CASA Index”) is the exclusive property of BNP Paribas or one of its affiliates (BNP Paribas and its affiliates are hereinafter called “BNPP”) and is determined, composed and calculated by BNPP. “BNP”, “BNPP”, “BNP Paribas”, “BNP Paribas Catalyst Systematic Alpha Index”, and “BNPP CASA Index” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.The BNPP CASA Index is the exclusive property of BNP Paribas (the “Index Sponsor”). BNP Paribas Arbitrage SNC (the “Index Calculation Agent”) and the Index Sponsor do not guarantee the accuracy and/or completeness of the composition, calculation, publication and adjustment of the BNPP CASA Index, any data included therein, or any data from which it is based, and the Index Calculation Agent and the Index Sponsor shall have no liability for any errors, omissions, or interruptions therein. The Index Calculation Agent and the Index Sponsor make no warranty, express or implied, as to results to be obtained from the use of the BNPP CASA Index. The Index Calculation Agent and the Index Sponsor make no express or implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose or use with respect to the BNPP CASA Index or any data included therein. Without limiting any of the foregoing, in no event shall the Index Calculation Agent and the Index Sponsor have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.

BNP PARIBAS HAS DEVELOPED, MAINTAINS AND IS THE SOLE PARTY RESPONSIBLE FOR THE METHODOLOGY THAT IS EMPLOYED IN CONNECTION WITH THE BNPP CASA INDEX. PROSPECTIVE INVESTORS ARE ADVISED TO MAKE AN INVESTMENT IN ANY PRODUCT ONLY AFTER CAREFULLY CONSIDERING THE RISKS ASSOCIATED WITH INVESTING IN SUCH PRODUCT, AS DETAILED IN A PROSPECTUS OR SIMILAR DOCUMENT THAT IS PREPARED BY OR ON BEHALF OF THE ISSUER OF THE PRODUCT OR THE INDEX SPONSOR.

BNPP may license the BNPP CASA Index to one or more companies (each, a “Company”) for use in a product offered or issued by the Company. The products are not, in whole or in part, sponsored, structured, priced, endorsed, offered, sold, issued or promoted by BNPP or any of its affiliates, or any third party licensor of information to BNPP. BNPP reserves the right to amend or adjust the BNPP CASA Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNPP is not under any obligation to continue the calculation, publication or dissemination of the BNPP CASA Index and accepts no liability for any suspension or interruption in the calculation thereof. Neither BNPP nor any of its affiliates accepts any liability in connection with the publication or use of the level of the BNPP CASA Index at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the BNPP CASA Index. The BNPP CASA Index Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or sub-component thereof) which may comprise the BNPP CASA Index (the “Underlying Index”) that is not affiliated with BNPP (each such sponsor, an “Underlying Index Sponsor”). The Underlying Index Sponsors make no representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Underlying Index and/or the levels at which the relevant Underlying Index stands at any particular time on any particular date or otherwise. No Underlying Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevant Underlying Index and the relevant Underlying Index Sponsor is under no obligation to advise any person of any error therein. None of the Underlying Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or investing in, or assuming any risk in connection with, the BNPP CASA Index Products. BNPP shall have no liability to any party for any act or failure to act by any Underlying Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Underlying Index and have no affiliation with or control over any Underlying Index or the relevant Underlying Index Sponsor or the computation, composition or dissemination of any Underlying Index. Although BNPP will obtain information concerning each Underlying Index from publicly available sources that it believes reliable, it will not independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by BNPP as to the accuracy, completeness and timeliness of information concerning any Underlying Index.

BNPP may act in a number of different capacities in relation to the BNPP CASA Index and/or products linked to the BNPP CASA Index, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.

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