Skip to main content

RISKS AND CONSIDERATIONS

SELECTED RISKS & CONSIDERATIONS ASSOCIATED WITH THE INDEX

The BNP Paribas US Patriot Technologies RC5 AR Index levels are based on the values of notional assets and liabilities.

The BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR Index or any products or strategies based partly or wholly on BNP Paribas US Patriot Technologies RC5 AR Index. You should reach a decision after careful consideration with your advisors.

Strategies relying on the levels of the BNP Paribas US Patriot Technologies RC5 AR Index may not be successful.

There is a risk that the rules-based methodology of the BNP Paribas US Patriot Technologies RC5 AR Index does not meet its stated objectives, including meeting its annualised 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR Index could have a material adverse effect on the levels of the BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR Index.

Legal and regulatory regimes may affect the BNP Paribas US Patriot Technologies RC5 AR Index, its components or its sub-components.

The BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR Index has limited historical information.

The BNP Paribas US Patriot Technologies RC5 AR Index is a new strategy, launched on 20th January 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 US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 US Patriot Technologies RC5 AR Index may bear little relation to its hypothetical historical results.

The BNP Paribas US Patriot Technologies RC5 AR Index has limited public information.

The BNP Paribas US Patriot Technologies RC5 AR Index is a custom index developed by BNP Paribas, the Index Sponsor. There is limited information relating to the BNP Paribas US Patriot Technologies RC5 AR Index that is publicly available. In addition, publicly available information on the BNP Paribas US Patriot Technologies RC5 AR Index, its methodology and its components is limited.

The BNP Paribas US Patriot Technologies RC5 AR Index’s daily volatility control mechanism may result in a lower index level and the actual volatility of the BNP Paribas US Patriot Technologies RC5 AR Index may not equal its target volatility.

The BNP Paribas US Patriot Technologies RC5 AR Index’s daily volatility control allows the BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR Index will outperform any alternative investment.

The closing level of the BNP Paribas US Patriot Technologies RC5 AR Index is net of BNP Paribas’ replication and rebalancing costs.

The Closing Level of the BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 BNP Paribas US Patriot Technologies RC5 AR Index Sponsor, BNP Paribas, is the index’s calculation agent who is responsible for calculating the levels of the BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR Index.

Portions of the BNP Paribas US Patriot Technologies RC5 AR Index may be effectively uninvested and earn no return.

The BNP Paribas US Patriot Technologies RC5 AR Index, on each day on which it is calculated, adjusts its exposure to its components in an attempt to maintain an annualised volatility of 5%. If the aggregate weight of the components is less than 100%, the BNP Paribas US Patriot Technologies RC5 AR Index will allocate exposure to a hypothetical cash position. As a result, the BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 5%. Accordingly, the “volatility control” mechanism of the BNP Paribas US Patriot Technologies RC5 AR Index may have the effect of skewing allocations among components in the BNP Paribas US Patriot Technologies RC5 AR Index toward components that provide exposure 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.

Other Key Risks:

  • The BNP Paribas US Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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 Patriot Technologies RC5 AR 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.
Close Menu
 

Important Information

 
The methodology of and rules governing the index (the “Index Methodology” and the “Index”) are proprietary. None of the sponsor of the Index (the “Index Sponsor”), the index calculation agent (where such party is not also the Index Sponsor, the “Index Calculation Agent”) nor, where applicable, the index Investment Advisor (the “Index Investment Advisor”) guarantee that there will be no errors or omissions in computing or disseminating the Index.
The Index Methodology is based on certain assumptions, certain pricing models and calculation methods adopted by the Index Sponsor, the Index Calculation Agent and, where applicable, the Index Investment Advisor, and may have certain inherent limitations. Information prepared on the basis of different models, calculation methods or assumptions may yield different results. You have no authority to use or reproduce the Index Methodology in any way, and BNP Paribas (together with its affiliates, hereinafter “BNP Paribas”) shall be liable for any loss whatsoever, whether arising directly or indirectly from the use of the Index or Index Methodology or otherwise in connection therewith.
The Index Sponsor reserves the right to amend or adjust the Index Methodology from time to time in accordance with the rules governing the Index and accepts no liability for any such amendment or adjustment. Neither the Index Sponsor nor the Index Calculation Agent are under any obligation to continue the calculation, publication or dissemination of the Index and accept no liability for any suspension or interruption in the calculation thereof which is made in accordance with the rules governing the Index. None of the Index Sponsor, the Index Calculation Agent nor, where applicable, the Index Investment Advisor accept any liability in connection with the publication or use of the level of the Index at any given time.

The Index Methodology embeds certain costs in the strategy which cover amongst other things, friction, replication and repo costs in running the Index. The levels of such costs (if any) may vary over time in accordance with market conditions as determined by the Index Sponsor acting in a commercially reasonable manner.

BNP Paribas may act in a number of different capacities in relation to the Index and/or products linked to the Index, which may include, but not be limited to, acting as market-maker, hedging counterparty, issuer of components of the Index, Index Sponsor and/or Index Calculation Agent. Such activities could result in potential conflicts of interest that could influence the price or value of a product.

By accessing or otherwise using the content available on these pages (such content, including the Index, the analytics and the information on such pages, collectively, the “Content” or the “Site”), you agree to be bound by and abide by the terms of use governing use of this web site and the Terms of Use (collectively, the “Terms of Use”).

The Content is intended for professional clients and eligible counterparties (as defined by the European Union Markets in Financial Instruments Directive (“MiFID”)) only. By clicking “ACCEPT” below you confirm you are a professional client or eligible counterparty under MiFID, and that each access to and use of any Content by you indicates your continued acceptance of the Terms of Use, and your acknowledgement of all relevant disclaimers (as displayed on the Site). If you are not a professional client or an eligible counterparty under MiFID, or do not accept the Terms of Use, you should click the “DISAGREE” button and you will not have access to the Content.

The information provided herein was prepared for information purposes only by BNP Paribas. The Content is indicative and should not be construed as an offer to buy or sell or a solicitation of offers to buy or sell any financial instrument. The Content is not intended to predict actual results, which may differ substantially from those reflected.

© BNP Paribas. All rights reserved.

Agree Disagree