RISKS AND CONSIDERATIONS
The BNP Paribas Multi Asset Diversified X Index levels are based on the values of notional assets and liabilities
The BNP Paribas Multi Asset Diversified X Index only calculates the exposure to a dynamic, hypothetical basket that tracks the excess returns of the underlying components and is purely notional. There is no actual basket 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 Multi Asset Diversified X Index or any products or strategies based partly or wholly on BNP Paribas Multi Asset Diversified X Index. You should reach a decision after careful consideration with your advisors.
Strategies relying on the levels of the BNP Paribas Multi Asset Diversified X Index may not be successful
There is a risk that the rules-based methodology of the BNP Paribas Multi Asset Diversified X Index does not meet its stated objectives, including meeting its short-term annualized target volatility of 5%, resulting in underperformance of the components that comprise the index.
There are risks associated with an index methodology that attempts to replicate a momentum-based investment strategy
The calculation of the BNP Paribas Multi Asset Diversified X Index employs a mathematical model intended to replicate what is known as a momentum-based investment strategy, which seeks to capitalize on positive market price trends based on the supposition that positive market price trends may continue. This momentum-based strategy underlying the methodology of the BNP Paribas Multi Asset Diversified X Index is different from a strategy that seeks long-term exposure to a hypothetical basket consisting of constant components with fixed weights. Because the value of the BNP Paribas Multi Asset Diversified X Index is intended to replicate the performance of the momentum-based investment strategy, these risks could also affect indirectly the performance of any product or strategy based partly or wholly on the levels of the BNP Paribas Multi Asset Diversified X Index. BNP Paribas reserves the right to amend or adjust the BNP Paribas Multi Asset Diversified X Index methodology from time to time and accepts no liability for any such amendment or adjustment. BNP Paribas is not under any obligation to continue the calculation, publication or dissemination of the BNP Paribas Multi Asset Diversified X Index and accepts no liability for any suspension or interruption in the calculation thereof. Neither BNP Paribas nor any of its affiliates accepts any liability in connection with the publication or use of the level of the BNP Paribas Multi Asset Diversified X Index at any given time. This is neither an offer to sell securities or other instruments nor a solicitation of an offer to buy securities or other instruments, nor shall it be deemed to provide investment, tax, accounting or other advice.
Correlation of performances among the underlying components may reduce the levels of the BNP Paribas Multi Asset Diversified X 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 Multi Asset Diversified X Index could have a material adverse effect on the levels of the BNP Paribas Multi Asset Diversified X Index, which could in turn negatively affect the performance any product or strategy based partly or wholly on the levels of the BNP Paribas Multi Asset Diversified X Index.
Legal and regulatory regimes may affect the BNP Paribas Multi Asset Diversified X Index, its components or its sub-components
The BNP Paribas Multi Asset Diversified X 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 Multi Asset Diversified X 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 Multi Asset Diversified X 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 Multi Asset Diversified X Index has limited historical information
The BNP Paribas Multi Asset Diversified X Index is a new strategy, launched on 29th April 2025. 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 Multi Asset Diversified X 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 Multi Asset Diversified X Index has recently been established or issued. 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 Multi Asset Diversified X Index may bear little relation to its hypothetical historical results.
The BNP Paribas Multi Asset Diversified X Index has limited public information
The BNP Paribas Multi Asset Diversified X Index is a custom index developed by BNP Paribas, the Index Sponsor. There is limited information relating to the BNP Paribas Multi Asset Diversified X Index that is publicly available. In addition, publicly available information on the BNP Paribas Multi Asset Diversified X Index, its methodology and its components is limited.
The closing levels of the BNP Paribas Multi Asset Diversified X Index will include the deduction of an Annual Fee
The closing level of the BNP Paribas Multi Asset Diversified X Index includes a deduction from the aggregate levels of its constituents of an Annual Fee equal to 1% per annum. As a result of this deduction, the level of the BNP Paribas Multi Asset Diversified X Index will trail the level of a hypothetical identical basket from which no such amount is deducted.
The BNP Paribas Multi Asset Diversified X 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 purchases of such a futures contract (known as the “collateral return”). The Index components generate “excess returns”, meaning the sum of the price return and roll return with respect to the Index components. As a result, an investment in an instrument linked to the BNP Paribas Multi Asset Diversified X Index will not generate the same returns that would be obtained from investing directly in future contracts underlying the Index components because the collateral return is not used in calculating an “excess return” index.
The BNP Paribas Multi Asset Diversified X Index’s daily volatility control mechanism may result in a lower index level and the actual volatility of the BNP Paribas Multi Asset Diversified X Index may not equal its target volatility
The BNP Paribas Multi Asset Diversified X Index’s daily volatility control allows the BNP Paribas Multi Asset Diversified X Index to dynamically adjust the value of the hypothetical exposure to the basket 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 Multi Asset Diversified X 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 Multi Asset Diversified X Index methodology will achieve its target volatility goals or that products or strategies based partly or wholly on the levels of the BNP Paribas Multi Asset Diversified X Index will outperform any alternative investment.
The closing level of the BNP Paribas Multi Asset Diversified X Index is net of BNP Paribas’ replication and rebalancing costs
The Closing Level of the BNP Paribas Multi Asset Diversified X 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 Multi Asset Diversified X Index could trail the value of a hypothetical identical basket from which no such amount is deducted.
BNP Paribas Financial Markets, an affiliate of the BNP Paribas Multi Asset Diversified X Index Sponsor, BNP Paribas, is the Index Calculation Agent who is responsible for calculating the levels of the BNP Paribas Multi Asset Diversified X Index
The policies and calculations for which the Index Calculation Agent is responsible could have an impact, positive or negative, on the level of the BNP Paribas Multi Asset Diversified X 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 Multi Asset Diversified X Index.
Portions of the BNP Paribas Multi Asset Diversified X Index may be effectively uninvested and earn no return
The BNP Paribas Multi Asset Diversified X Index, on each day on which it is calculated, adjusts its exposure to its components in an attempt to maintain a short-term annualized volatility of 5%. If the aggregate weight of the components is less than 100%, the BNP Paribas Multi Asset Diversified X Index will allocate exposure to a hypothetical cash position. As a result, the BNP Paribas Multi Asset Diversified X 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 Multi Asset Diversified X 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 Multi Asset Diversified X Index’s target for short-term annualized volatility feature may reduce its appreciation potential
Under normal circumstances, equity futures may exhibit significantly higher volatility than the target short-term annualized volatility of 5%. Accordingly, the “volatility control” mechanism of the BNP Paribas Multi Asset Diversified X Index may have the effect of skewing allocations among components in the BNP Paribas Multi Asset Diversified X Index toward components that provide exposure to cash (which has zero volatility). Any allocation to cash will earn no return at all.
Moreover, if the BNP Paribas Multi Asset Diversified X 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 Multi Asset Diversified X Index to underperform a basket 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 basket 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 basket heavily weighted with components that provide exposure to equities would appreciate in value.
