BNP Paribas Catalyst Systematic Alpha Index IV

The BNP Paribas Catalyst Systematic Alpha Index IV (the “BNP Paribas CASA Index IV”) 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 IV is composed of seven 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 IV 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.