INDEX PERFORMANCE

 INDEX OVERVIEW & STATISTICS - Hypothetical & Historical as of   ​​​​​​​

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 generic 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 of the strategies for investment.

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.
• The presentation of hypothetical past performance reflects the deduction of fees and charges applicable to the strategies.
• 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
• The methodologies underlying the strategy may not be successful — no assurance can be given that the strategy methodologies will achieve their goals.
  
  

Selected Risk Considerations related to Index:

• The methodologies do not involve the actual execution of any transaction.
• 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 are subject to change.
• The Index has limited historical information and publicly available information on the Index is limited. Additional information available upon request.
• The Index that incorporates a volatility control mechanism may limit returns.
• The Index rebalancing may result in concentration risk and/or cause the Index to be partially or completely un-invested and earn no return.
• The Index that uses leverage will have increased exposure to the Index components.
• The Index Sponsor of the Index may make certain decisions (such as whether to discontinue the respective Index) that may negatively affect the level of the Index.
  
  

Other Key Risks:

• The BNP Paribas Multi Asset Diversified X Index involves daily rebalancing that is applied to the Index components by asset type and geographical region. Changes in the value of the Index components may offset each other.
• The BNP Paribas Multi Asset Diversified X Index is subject to risks associated with non-U.S. markets.
• The futures contracts underlying the Index components are subject to currency exchange risk. The BNP Paribas Multi Asset Diversified X Index contains a currency hedge 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 equity futures indices, bond/treasury futures indices, and commodity indices that underlie the BNP Paribas Multi Asset Diversified X Index.
• 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.