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RISKS AND CONSIDERATIONS

SELECTED RISKS & CONSIDERATIONS ASSOCIATED WITH THE INDEX

The BNP Paribas US Governance Multi Asset Index levels are based on the values of notional assets and liabilities.

The BNP Paribas US Governance Multi Asset Index only calculates the exposure to a dynamic, hypothetical portfolio that tracks the excess returns of the underlying components and is purely notional. There is no actual portfolio of assets to which any person makes any investment or has any ownership interest.

No recommendation.

BNP Paribas makes no recommendation as to the suitability for investment of the BNP Paribas US Governance Multi Asset Index or any products or strategies based partly or wholly on BNP Paribas US Governance Multi Asset Index. You should reach a decision after careful consideration with your advisors.

Strategies relying on the levels of the BNP Paribas US Governance Multi Asset Index may not be successful.

There is a risk that the rules-based methodology of the BNP Paribas US Governance Multi Asset Index does not meet its stated objectives, including meeting its annualized target volatility of 5%, resulting in underperformance of the components that comprise the index.

Correlation of performances among the underlying components may reduce the levels of the BNP Paribas US Governance Multi Asset Index.

Performances among the underlying components may become highly correlated from time to time. High correlation during periods of negative returns among underlying components representing any one sector or asset type that have a substantial weighting in the BNP Paribas US Governance Multi Asset Index could have a material adverse effect on the levels of the BNP Paribas US Governance Multi Asset Index, which could in turn negatively affect the performance any product or strategy based partly or wholly on the levels of the BNP Paribas US Governance Multi Asset Index.

Legal and regulatory regimes may affect the BNP Paribas US Governance Multi Asset Index , its components or its sub-components.

The BNP Paribas US Governance Multi Asset Index and its components (and sub-components thereof) are subject to legal and regulatory regimes in various regions and, in some cases, in other countries that may change in ways that could negatively affect the BNP Paribas US Governance Multi Asset Index or its components (or sub-components thereof). Changes to the applicable legal or regulatory regimes may have a negative impact on the BNP Paribas US Governance Multi Asset Index level. The components (or sub-components thereof) of the index that are traded on one or more public exchanges are subject to the rules of the relevant exchange.

The BNP Paribas US Governance Multi Asset Index has limited historical information.

The BNP Paribas US Governance Multi Asset Index is a new strategy, launched on 25th May 2022. The performance shown before that date is hypothetical past performance, based on hypothetical back-tested information. This brochure also contains certain performance data based on back-testing, i.e., calculations of the hypothetical levels of the BNP Paribas US Governance Multi Asset Index as if it had actually existed during a defined period of time, and may in certain circumstances contain simulated levels information where the BNP Paribas US Governance Multi Asset Index has recently been established or issued. For time periods prior to the launch of any ETF included in the index, back-testing uses alternative performance information derived from a proxy with similar asset exposure, rather than performance information for the relevant ETF. Further, you must note that such analysis is based on a number of working assumptions that may not be capable of duplication in actual trading terms. Unlike actual performance records, hypothetical or simulated performances, returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints, fees and transaction costs and must be considered as illustrative only. Actual historical or back-tested past performance does not constitute an indication of future results. The actual performance of the BNP Paribas US Governance Multi Asset Index may bear little relation to its hypothetical historical results.

The BNP Paribas US Governance Multi Asset Index has limited public information.

The BNP Paribas US Governance Multi Asset Index is a custom index developed by BNP Paribas, the Index Sponsor. There is limited information relating to the BNP Paribas US Governance Multi Asset Index that is publicly available. In addition, publicly available information on the BNP Paribas US Governance Multi Asset Index, its methodology and its components is limited.

The BNP Paribas US Governance Multi Asset Index’s daily volatility control mechanism may result in a lower index level and the actual volatility of the BNP Paribas US Governance Multi Asset Index may not equal its target volatility.

The BNP Paribas US Governance Multi Asset Index’s daily volatility control allows the BNP Paribas US Governance Multi Asset Index to dynamically adjust the value of the hypothetical exposure to the portfolio the index is based on and any cash component, depending on the volatility environment. However, the risk control overlay might limit overall levels of the BNP Paribas US Governance Multi Asset Index in rising equity markets and may provide imperfect, limited protection in falling equity markets, particularly against sudden, large equity losses. No assurance can be given that the BNP Paribas US Governance Multi Asset Index methodology will achieve its target volatility goals or that products or strategies based partly or wholly on the levels of the BNP Paribas US Governance Multi Asset Index will outperform any alternative investment.

The closing levels of the BNP Paribas US Governance Multi Asset Index will include the deduction of an Annual Fee.

BNP Paribas US Governance Multi Asset Index is an excess Index. Therefore, performance is net of rebalancing and replication fees.
In addition to that, the closing level of the BNP Paribas US Governance Multi Asset Index includes a deduction from the aggregate values of its components of an annual fee equal to 0.50% per annum. As a result of this deduction, the value of the BNP Paribas US Governance Multi Asset Index will trail the value of a hypothetical identical portfolio from which no such amount is deducted.

The closing level of the BNP Paribas US Governance Multi Asset Index is net of BNP Paribas’ replication and rebalancing costs.

The Closing Level of the BNP Paribas US Governance Multi Asset Index is net of BNP Paribas’ replication and rebalancing costs associated with the index. As a result of these costs, the value of the BNP Paribas US Governance Multi Asset Index could trail the value of a hypothetical identical portfolio from which no such amount is deducted.

The BNP Paribas US Governance Multi Asset Index is an excess return index.

In general, returns from investing in futures contracts are derived from three sources: (1) changes in the price of such futures contracts (known as the “price return”), (2) profit or loss realized when rolling from a futures contract with one expiry date to another futures contract with a different, generally later, expiry date (known as the “roll return”) and (3) interest earned on the cash (or other) collateral deposited in connection with the purchase of such futures contract (known as the “collateral return”). The components of the BNP Paribas US Governance Multi Asset Index that seek to track futures contracts generate “excess returns”, meaning the sum of the price return and roll return with respect to the underlying components. As a result, with respect to the BNP Paribas US Governance Multi Asset Index’s underlying components that seek to track futures contracts, an investment in an instrument linked to the BNP Paribas US Governance Multi Asset Index will not generate the same returns that would be obtained from investing directly in future contracts that underlie such underlying components because the collateral return is not used in calculating the “excess return” index. With respect to each ETF included in the index, the index measures their performance plus dividends paid on such ETFs, less the interest rate. Increases in the level of the interest rate may offset in whole or in part increases in the levels of the index components that are ETFs.

BNP Paribas Arbitrage SNC, an affiliate of the BNP Paribas US Governance Multi Asset Index Sponsor, BNP Paribas, is the index’s calculation agent who is responsible for calculating the levels of the BNP Paribas US Governance Multi Asset Index.

The policies and calculations for which the calculation agent is responsible could have an impact, positive or negative, on the level of the BNP Paribas US Governance Multi Asset Index. BNP Paribas and its affiliates are under no obligation to consider your interest as an investor in a product linked to the BNP Paribas US Governance Multi Asset Index.

Portions of the BNP Paribas US Governance Multi Asset Index may be effectively uninvested and earn no return.

The BNP Paribas US Governance Multi Asset Index, on each day on which it is calculated, adjusts its exposure to its components in an attempt to maintain an annualized volatility of 5%. If the aggregate weight of the components is less than 100%, the BNP Paribas US Governance Multi Asset Index will allocate exposure to a hypothetical cash position. As a result, the BNP Paribas US Governance Multi Asset Index may underperform a similar index that provides 100% exposure to its components. The hypothetical cash position is an uninvested position that does not earn interest or any other return.

The price, level or value of the components used in the BNP Paribas US Governance Multi Asset Index may differ from other publicly available prices.

The levels of the components that are Treasury Futures Indices (the “BNPP Component Indices”) are intended to reflect the performance of the relevant futures contracts on a daily volume-weighted average price, subject to a set of trade filters selected by the Index Sponsor to exclude trades with certain codes provided by the relevant exchange that indicate non-standard trades. Such levels are calculated by the Index Calculation Agent or an affiliate thereof and are not publicly available and may not reflect all trades reported by the relevant futures exchange. The daily closing price or any other price of the underlying futures contract may vary from the volume-weighted average price reflected by the level of the applicable BNPP Component Index. Furthermore, a BNPP Component Index may be subject to a disruption due to the unavailability of a volume-weighted average price despite regular trading of the underlying futures contract and the availability of a closing price for such contract.

The BNP Paribas US Governance Multi Asset Index‘s target volatility feature may reduce its appreciation potential.

Under normal circumstances, equity or commodity futures may exhibit significantly higher volatility than the target volatility of 5%. Accordingly, the “volatilitycontrol” mechanism of the BNP Paribas US Governance Multi Asset Index may have the effect of skewing allocations among components in the BNP Paribas US Governance Multi Asset Index toward components that provide exposure to fixed-income assets (which typically have lower volatility than components that provide exposure to equity or commodity futures) or to cash (which has zero volatility). Index components that typically have lower volatility may have lower return potential than components that typically have higher volatility, and any allocation to cash will earn no return at all.
Moreover, if the BNP Paribas US Governance Multi Asset Index has a relatively high allocation to components that provide exposure to fixed-income assets, it will be particularly sensitive to factors that adversely affect the value of fixed-income instruments, such as increases in interest rates or declining perceptions of credit quality. A high allocation to components that provide exposure to fixed-income assets may also cause the BNP Paribas US Governance Multi Asset Index to underperform a portfolio more heavily weighted with higher volatility assets under certain circumstances. For example, in an equity bull market that is accompanied by rising interest rates, a portfolio heavily weighted with components that provide exposure to fixed-income assets might decline in value as a result of the rising interest rates, while a portfolio heavily weighted with components that provide exposure to equities would appreciate in value.

Other Key Risks:

The BNP Paribas US Governance Multi Asset Index involves daily rebalancing that is applied to the components. Changes in the value of the components may offset each other.
The BNP Paribas US Governance Multi Asset Index is subject to risks associated with non-U.S. markets.
Certain components are based on futures contracts are and may be subject to currency exchange risk. The BNP Paribas US Governance Multi Asset Index contains a currency conversion mechanism that seeks to reduce losses due to currency exchange risk. It can also reduce or eliminate gains from currency exchange risk.
BNP Paribas is the sponsor of the Treasury Futures Indices and of the Commodity Carry Index that underlie the BNP Paribas US Governance Multi Asset Index.

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Important Information

 

The BNP Paribas US Governance Multi Asset Index (the “BNPP Gov Multi Asset 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 US Governance Multi Asset Index ”, and “BNPP Gov Multi Asset Index” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP. In calculating the performance of the BNP Paribas Governance MA Index, BNPP deducts an annual fee of 0.50% per annum, calculated on a daily basis which reduces the performance of the index in the same way as a cost. In addition, the BNP Paribas US Governance Multi Asset Index methodology embeds certain costs which cover among other things, rebalancing and replication costs. Such costs (if any) may vary over time with market conditions. BNPP may license the BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset Index at any given time.

BNPP may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the BNP Paribas US Governance Multi Asset Index . The BNP Paribas US Governance Multi Asset Index Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset 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 BNP Paribas US Governance Multi Asset Index and/or products linked to the BNP Paribas US Governance Multi Asset Index , which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.

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