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BNP Paribas Catalyst Systematic Alpha Index II

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Introducing the BNP Paribas CASA Index II

The BNP Paribas Catalyst Systematic Alpha Index II (the “BNP Paribas CASA Index II”) is a rules- based index designed to capitalize on structural inefficiencies and behavioral biases (risk premia) present within the equity, fixed-income, commodity, and currency markets. The BNP Paribas CASA Index II is composed of six rules-based Index Components created by BNP Paribas (each, a “BNP Paribas Index Component”), some of which are also composed of rules- based indices created by BNP Paribas.

The BNP Paribas CASA Index II seeks to generate positive risk-adjusted returns that exhibit low to moderate correlation to the equity, fixed-income, commodity, and currency markets and may be an effective complement to strategies that rely on more traditional security selection methods.

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Brochure

An overview explaining the index’s methodology and key definitions combined
with the latest performance information.
Updated annually.

Factsheet

A short summary of the index containing the latest performance information.
Updated annually.

About BNP Paribas

A concise overviewof the index’s owner, BNP Paribas.
Updated annually.

BNPP.CASA.INDEX@US.BNPPARIBAS.COM

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The BNP Paribas Catalyst Systematic Alpha Index II (the “BNP Paribas CASA Index II”) 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 Catalyst Systematic Alpha Index”, and “BNP Paribas CASA Index II” (collectively, the “BNPP Marks”) are trademarks or service marks of BNPP. The BNP Paribas CASA Index II is the exclusive property of BNP Paribas (the “Index Sponsor”). BNP Paribas Arbitrage SNC (the “Index Calculation Agent”) and the Index Sponsor do not guarantee the accuracy and/or completeness of the composition, calculation, publication and adjustment of the BNP Paribas CASA Index II, any data included therein, or any data from which it is based, and the Index Calculation Agent and the Index Sponsor shall have no liability for any errors, omissions, or interruptions therein. The Index Calculation Agent and the Index Sponsor make no warranty, express or implied, as to results to be obtained from the use of the BNP Paribas CASA Index II. The Index Calculation Agent and the Index Sponsor make no express or implied warranties, and expressly disclaim all warranties of merchantability or fitness for a particular purpose or use with respect to the BNP Paribas CASA Index II or any data included therein. Without limiting any of the foregoing, in no event shall the Index Calculation Agent and the Index Sponsor have any liability for any special, punitive, indirect, or consequential damages (including lost profits), even if notified of the possibility of such damages.

BNP PARIBAS HAS DEVELOPED, MAINTAINS AND IS THE SOLE PARTY RESPONSIBLE FOR THE METHODOLOGY THAT IS EMPLOYED IN CONNECTION WITH THE BNP Paribas CASA Index II. PROSPECTIVE INVESTORS ARE ADVISED TO MAKE AN INVESTMENT IN ANY PRODUCT ONLY AFTER CAREFULLY CONSIDERING THE RISKS ASSOCIATED WITH INVESTING IN SUCH PRODUCT, AS DETAILED IN A PROSPECTUS OR SIMILAR DOCUMENT THAT IS PREPARED BY OR ON BEHALF OF THE ISSUER OF THE PRODUCT OR THE INDEX SPONSOR.

BNPP may license the BNP Paribas CASA Index II 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 CASA Index II 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 CASA Index II 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 CASA Index II at any given time.

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

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