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Risks and Considerations

SELECTED RISKS & CONSIDERATIONS ASSOCIATED WITH THE INDEX

The Nasdaq Night Owl Index levels are based on the values of notional assets and liabilities

The Nasdaq Night Owl 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 Nasdaq Night Owl Index or any products or strategies based partly or wholly on Nasdaq Night Owl Index. You should reach a decision after careful consideration with your advisors.

Strategies relying on the levels of the Nasdaq Night Owl Index may not be successful

There is a risk that the rules-based methodology of the Nasdaq Night Owl Index does not meet its stated objectives, including meeting its annualized target volatility of 15%, resulting in underperformance of the components that comprise the index.

Correlation of performances among the underlying components may reduce the levels of the Nasdaq Night Owl 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 Nasdaq Night Owl Index could have a material adverse effect on the levels of the Nasdaq Night Owl Index, which could in turn negatively affect the performance any product or strategy based partly or wholly on the levels of the Nasdaq Night Owl Index.

Legal and regulatory regimes may affect the Nasdaq Night Owl Index, its components or its sub-components

The Nasdaq Night Owl 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 Nasdaq Night Owl Index or its components (or sub-components thereof). Changes to the applicable legal or regulatory regimes  may have a negative impact on the Nasdaq Night Owl 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 Nasdaq Night Owl Index has limited historical information

The Nasdaq Night Owl Index is a new strategy, launched on 20th September 2024. 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 Nasdaq Night Owl Index as if it had actually existed during a defined period of time, and may in certain circumstances contain simulated levels information where the Nasdaq Night Owl 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 Nasdaq Night Owl Index may bear little relation to  its hypothetical historical results.

The Nasdaq Night Owl Index has limited public information

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

The Nasdaq Night Owl Index’s daily volatility control mechanism may result in a lower index level and the actual volatility of the Nasdaq Night Owl Index may not equal its target volatility

The Nasdaq Night Owl Index’s daily volatility control allows the Nasdaq Night Owl 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 Nasdaq Night Owl 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 Nasdaq Night Owl Index methodology will achieve its target volatility goals or that products or strategies based partly or wholly on the levels of the Nasdaq Night Owl Index will outperform any alternative investment.

The closing level of the Nasdaq Night Owl Index is net of BNP Paribas’ replication and rebalancing costs

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

BNP Paribas Financial Markets, an affiliate of the Nasdaq Night Owl Index Sponsor, BNP Paribas, is the index’s calculation agent who is responsible for calculating the levels of the Nasdaq Night Owl Index

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

Portions of the BNP Paribas Nasdaq Night Owl Index may be effectively uninvested and earn no return

The Nasdaq Night Owl Index, on each day on which it is calculated, adjusts its exposure to its components in an attempt  to maintain an annualized volatility of 15%. If the aggregate weight of the components is less than 100%, the Nasdaq Night Owl Index will allocate exposure to a hypothetical cash position. As a result, the Nasdaq Night Owl 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 Nasdaq Night Owl 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 Nasdaq Night Owl Index‘s target volatility feature may reduce its appreciation potential

Under normal circumstances, equity futures may exhibit significantly higher volatility than the target volatility of 15%. Accordingly, the “volatility control” mechanism of the Nasdaq Night Owl Index may have the effect of skewing allocations  among components in the Nasdaq Night Owl Index toward components that provide exposure to cash (which has  zero volatility). Any allocation to cash will earn no return at all.

Other Key Risks:
  • The Nasdaq Night Owl Index involves daily rebalancing that is applied to the components. Changes in the value of the components may offset each other.
  • The Nasdaq Night Owl Indexis 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 Nasdaq Night Owl 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.
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Important Information

 

The Nasdaq Night Owl Index(the “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” and “Nasdaq Night Owl Index”(collectively, the “BNPP Marks”) are trademarks or service marks of BNPP.

The Nasdaq Night Owl 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.

BNP Paribas may license the Nasdaq Night Owl 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 BNP Paribas or any of its affiliates, or any third party licensor of information to BNP Paribas. BNP Paribas reserves the right to amend or adjust the Nasdaq Night Owl 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 Nasdaq Night Owl 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 Nasdaq Night Owl Index at any given time.

BNP Paribas may enter into derivative transactions or issue financial instruments (the “Index Products”) linked to the Nasdaq Night Owl Index. The Nasdaq Night Owl 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 Nasdaq Night Owl Index (the “Underlying Index”) that is not affiliates with BNP Paribas (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 Nasdaq Night Owl Index Products. BNP Paribas 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 BNP Paribas 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 BNP Paribas as to the accuracy, completeness and timeliness of information concerning any Underlying Index. BNP Paribas may act in a number of different capacities in relation to the Nasdaq Night Owl Index and/or products linked to the Nasdaq Night Owl Index, which may include, but not be limited to, acting as hedging counterparty, index sponsor and/or index calculation agent.

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