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BNP Paribas Catalyst Systematic Alpha Index III

Index Performance as of .

The charts and tables below show an analysis of the back-tested levels of the BNP Paribas CASA Index III as of .. The BNP Paribas CASA Index III was launched on 24th October 2024. The prior performance shown is simulated.

Bloomberg ticker BNPXCAS3 Index
Calculation Agent BNP Paribas Financial Markets
Index Sponsor BNP Paribas
Index Type Excess Return*
Currency USD
Weighting Daily rebalancing
Index launch date 24th October 2024
Index start date 31st October 2003

PERFORMANCE SUMMARY

YTD 1M 3M 6M 1Y 3Y 5Y 10Y Since Start
Returns
Returns
Volatility
Sharpe Ratio
Source: Bloomberg, BNP Paribas from 31st October 2003 to . All numbers and figures are annualized (except for year-to-date).
Source: Bloomberg, BNP Paribas from 31st October 2003 to .
Hypothetical Past Performance

ANNUAL INDEX RETURNS – As of .

JAN FEB MAR APRIL MAY JUNE JULY AUG SEP OCT NOV DEC YEARLY
2003 2.86% -2.01% 0.79%
2004 3.50% 2.53% 2.96% -4.89% 1.31% 4.04% -2.58% 4.72% 1.69% 5.03% 7.76% 6.93% 37.49%
2005 -0.75% 3.93% 1.10% 1.23% 4.04% 5.07% 3.26% -2.87% 0.16% 1.38% 6.85% 3.71% 30.24%
2006 8.64% 3.91% 1.73% 3.87% -6.48% 3.14% -3.48% 4.78% 5.73% 6.92% 2.63% 4.77% 41.44%
2007 0.15% -1.61% 1.12% 5.61% 4.76% 3.51% -0.86% 2.06% 7.44% 5.66% 0.07% 0.90% 32.33%
2008 -2.56% 1.06% 0.34% 2.33% 3.73% -4.48% 3.53% -0.68% -4.85% 1.93% 2.80% 2.95% 5.74%
2009 0.88% 0.17% 4.59% 4.36% -1.15% 1.00% 4.42% 2.45% 2.28% -0.33% 3.93% 2.39% 27.80%
2010 -2.75% 2.58% 7.00% 6.27% -4.48% -2.43% 3.88% 2.74% 5.61% 4.21% -1.46% 5.79% 29.44%
2011 1.26% 5.13% 1.92% 4.19% -3.48% -2.16% -0.73% -1.77% -0.65% 4.71% 1.47% 3.07% 13.25%
2012 6.64% 4.21% 3.08% 1.44% -2.59% 2.66% 1.34% 2.80% -0.35% -3.08% 1.56% 1.66% 20.69%
2013 4.41% 0.58% 6.10% 5.01% -0.88% -0.91% 5.02% -2.90% 3.69% 3.82% 5.47% 1.49% 35.06%
2014 -7.48% 5.98% -1.08% -0.20% 5.24% 2.25% 1.92% 8.65% -1.34% 7.29% 5.63% 7.59% 38.78%
2015 7.91% 3.32% -0.52% -1.12% 1.09% -3.01% 5.72% -4.51% 0.76% 7.65% 5.28% -1.92% 21.59%
2016 2.36% 3.90% 2.39% -2.80% 0.30% 6.29% 4.87% -2.15% 0.46% 0.07% 1.71% 1.62% 20.31%
2017 1.90% 4.74% -1.45% 1.12% 0.58% -1.12% 3.48% -0.72% 1.00% 3.65% 1.99% 2.55% 18.99%
2018 9.93% -3.38% -2.63% 1.22% 2.99% 0.47% 2.32% 2.33% -1.88% -4.32% -0.60% 2.20% 8.17%
2019 4.98% 1.49% 3.74% 3.96% -4.50% 5.18% 2.72% 0.34% -1.28% -0.09% 4.90% 0.73% 23.99%
2020 5.71% -2.61% 14.91% 7.88% -0.11% 1.12% 4.51% 0.95% 1.63% -2.34% 6.05% 4.25% 49.24%
2021 0.73% 2.55% 0.92% 3.16% 0.70% -0.11% -1.04% 0.99% -2.52% 4.93% 0.19% 2.49% 13.56%
2022 -5.14% 1.24% 11.05% -3.66% -0.75% 0,13% -0.18% 2.09% 0.96% 4,23% 3.59% 0.48% 13.98%
2023 3.69% 2.24% -1.14% 1.13% 4.76% 4.54% 0.76% -1.59% -1.59% -2.71% 4.54% 0.87% 16.21%
2024 1.99% 4.62% 3.97% -2.37% 4.61% 2.01% 0.04% -2.62% 1.41% -2.36% 2.56% -2.39 11.61%
2025

Source: Bloomberg, BNP Paribas from 31st October 2003 to .. All numbers and figures are annualized (except for current year).

*BNP Paribas CASA Index III is an “Excess Return Index” meaning its returns are derived from changes in the level of its components (known as “price return”) and profit or loss gained from rolling from one futures contract to another (known as “roll return”). Unlike Total Return Indices, it does not derive returns based on interest earned on cash or other collateral deposited in connection with the purchase of futures contracts (known as “collateral return”).

HYPOTHETICAL & HISTORICAL EXPOSURE

BNP Paribas Cross Asset Trend Allocator ER BNP Paribas Equity US Rotation Index
BNP Paribas Enhanced Kinetis Money Market Excess Return USD Index BNP Paribas Commodity Time-Series Backwardation ex-AL Index
BNP Paribas GALAXY World Excess Return USD Index BNP Paribas GALAXY G10 Excess Return USD Index
BNP Paribas Commodity Daily Dynamic Alpha Curve ex-Agriculture and Livestock ER Index BNP Paribas Commodity F3 PR Alpha ex-A&L ER Index
BNP Paribas Dynamic Equity Reversal US LS USD Index BNP Paribas FX Mean Reversion G10 Selection USD Index
BNP Paribas STEER G10 Series II Excess Return USD Index
Source: Bloomberg, BNP Paribas from 31st October 2003 to .

Sources: Bloomberg, BNP Paribas from 31st October 2003 to .. Past performance is not an indicator of future performance. The BNP Paribas CASA Index II (BNPXCAS3 Index) was launched on 24th October 2024, the BNP Paribas Dynamic Equity Reversal US LS USD Index (BNPXREVU Index) was launched on 09th June 2023, the BNP Paribas FX Mean Reversion G10 Selection USD Index (BPFXMRGU Index) was launched on 31st March 2022, the BNP Paribas STEER G10 Series II Excess Return USD Index (BPFXSTG2 Index) was launched on 22nd November 2018, the BNP Paribas Equity US Rotation Index (BNPIRFUS Index) was launched on 17th March 2021, the BNP Paribas Cross Asset Trend Allocator Index (BNPXCTAE Index) was launched on 18th October 2024, the BNP Paribas Enhanced Kinetis Money Market Excess Return USD Index (BPMMMTW2 Index) was launched on 22nd September 2020, the BNP Paribas Commodity Time-Series Backwardation ex-AL Index (BNPISBXA Index) was launched on 21st May 2024, the BNP Paribas Commodity Daily Dynamic Alpha Curve ex-Agriculture and Livestock ER Index (BNPIDSXA Index) was launched on 11th July 2019. the BNP Paribas Commodity F3 PR Alpha ex-A&L ER Index (BNPXF3PX) was launched on 30th March 2023, the BNPP GALAXY G10 Excess Return USD Index (BPFXGGUR Index) was launched on 18th March 2016, the BNP Paribas GALAXY World Excess Return USD Index (BPFXGWUR Index) was launched on 21st March 2016. Performance prior to these dates is the result of hypothetical simulations. The presentation of hypothetical data reflects the deduction of fees and charges. All past performance data levels provided in this slide must be considered illustrative only.

RISK WARNINGS FOR HYPOTHETICAL PERFORMANCE DATA

This discussion is not and should not be construed to be investment advice or an offer to sell or purchase or solicitation of an offer to sell or purchase any security or other instrument.
This document describes strategies that may or may not be suitable or appropriate for particular investors and any investor is urged to consult with its investment, tax, accounting and other advisers prior to investing. Neither BNP Paribas nor any of its affiliates make any recommendation as to the suitability of any strategy or index for investment.

Selected Risk Consideration related to the Index:

  • The methodology underlying the Index may not be successful — No assurance can be given that the strategy or objectives of the Index will be achieved.
  • Numerous factors (including, but not limited to, changes in: interest rates, investor expectations, economic results, regulations, liquidity) may affect the components of the Index and the performance of the Index.
  • The Index involves synthetic execution and may not reflect actual market activity.
  • The Index may contain embedded fees, which will reduce performance. Fees are determined based on certain assumptions and may not reflect actual market activity. The amount of fees deducted may vary under different market conditions.
  • The methodology and rules related to the Index is subject to change.
  • The Index has limited historical information and publicly available information on the Index is limited. Additional information available upon request.
  • Volatility control mechanism may limit performance.
  • Rebalancing may result in concentration risk and/or be partially or completely uninvested and may not achieve performance.
  • The use of leverage will have increased exposure to the index components.

Selected Risk Considerations related to the Hypothetical Performance:

  • Future performance may be worse than past and hypothetical historical results. Certain levels are simulated and must be considered hypothetical and illustrative only.
  • Actual performance may bear little relation to the hypothetical historical results.
  • Hypothetical past performance is based on criteria applied retroactively with the benefit of hindsight and knowledge of factors that may have positively affected its performance, and cannot account for all financial risk that may affect the actual performance of the Index.
  • Hypothetical past performance might not reflect all possible market conditions. The Index may perform differently under other market conditions.
  • Little information is available publicly about the Index. Additional information regarding the methodology and rules related to the Index are available upon request.

BNPP.CASA.INDEX@US.BNPPARIBAS.COM

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The BNP Paribas Catalyst Systematic Alpha Index III (the “BNP Paribas CASA Index III”) 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 “BNP Paribas CASA Index III” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP. The BNP Paribas CASA Index III is the exclusive property of BNP Paribas (the “Index Sponsor”). BNP Paribas Financial Markets 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 BNP Paribas CASA Index III, 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 BNP Paribas CASA Index III. 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 BNP Paribas CASA Index III 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 BNP Paribas CASA Index III. 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 BNP Paribas CASA Index III 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 BNP Paribas CASA Index III 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 BNP Paribas CASA Index III 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 BNP Paribas CASA Index III at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the BNP Paribas CASA Index III. The BNP Paribas CASA Index III 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 BNP Paribas CASA Index III (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 BNP Paribas CASA Index III 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 BNP Paribas CASA Index III and/or products linked to the BNP Paribas CASA Index III, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.

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