BNP Paribas Momentum Multi Asset 5 Index - …

1 Please refer to For more information regarding the Index BNP Paribas Momentum Multi Asset 5 Index July 2017 The BNPP Momentum 5 Index levels are net of rebalancing and replication fees and incorporate an annual fee of , charged on a daily basis. The B NP P ar i bas Momentum Mul t i Asset 5 Ind ex ( th e B NP P Mo me n tum 5 Index ) is a Rules-B ased Index that seek s to measure th e value of a hy pothetical ex posur e to a r an ge of Asset classes and geographic r eg i on s based on 3 cor e principles: Diversification, Dynamic Allocation and Risk Control.

2 The B N PP Mom entum 5 Ind ex s objective is to pro vide expo su re to a diverse r an ge of Asset classes ra ng ing from developed and em erg i ng equ it y/bo nd ma r k ets , to energ y , go ld a nd US r ea l es tat e. As ea ch Asset clas s ma y behave differently d ep end ing on m ar k et cycles , d iver s if ica t io n may potentially impro ve the ind ex risk-return pro f il e ver su s exposure to a single Asset cla ss, such as US equities. Seeking to adapt to c ha ng ing m ar k et co nd it io ns.

3 The BN PP Mom entum 5 Ind ex is r eb ala nced on a da il y ba sis a cco rding to a proprieta ry ru les-ba s ed methodology t hat a ims to select up to 8 out of a u ni ver se of 14 components1 w it h the best recent ris k a djust ed po s it i ve perfo rma nce to be weighted u sing a r is k pa r ity approach that generally r esu lts in h igher exposure to components with lower historical volatility and lower exposu re to t hose with higher historical volat il ity. The BN PP Mom ent um 5 Index a lso inc lu d es a risk co nt rol mechanism t hat a im s to maintain the realized volatility of the performance of the Index at a 5% target, with the goal of red uc ing volatility during unstable market periods.

4 The BN PP Mom ent um 5 Index is an E x c es s R et ur n Ind ex m ea ni ng that t he i nd ex level reflects the p erf or ma nc e of any Index com po nents t hat are ETF s in ex c es s of 3-mo nt h USD L IBOR and inclusive of the va lu e t hat wo uld be derived from the reinvestment of any dividends and d ist r ib ut io ns by the issuer of any such ETF s and, w it h r es p ect to components that are linked to f utur es contracts, the Index level will not take into a ccou nt any money ma rket interest. Introducing the BNP Paribas Momentum Multi Asset 5 Index 2 1 The components not selected w ill be w eighted at zero or reduced to the lo w est w eight possible in accordance with each component s limitation on its daily w eight change.

5 2 The components maximum w eights are as fo llo w s: each Equity E TF 25 %, Japan Eq uity Futures Index 25%, ea c h Co mmo dity Futures Index 25%, each Bo n d Futures Index 50%, High Y ield Co rpo rate Bo n d E TF 25 %, EM Bo n d E TF 15% an d US Real Estate ET F 25 %. Leverage is allow ed and the cost of b o rrow ing is zero. Minimum w eight is 0% for each component. On a daily basis the abso lute change in w eight differs for each component b ut cannot be greater than 5%. Defi ni tions Equity ETFs iShares MSCI EAFE ETF EFA iShares MSCI Emerging Markets ETF EEM SPDR S&P 500 ETF Trust SPY iShares Russell 2000 ETF IWM Bond Futures BNPP USD 10Y Futures Index BNPIFU10 BNPP EUR 10Y Futures Index BNPIFE10 BNPP JPY 10Y Futures Index BNPIFJ10 BNPP USD Long Term Treasury Bond Futures BNPIFU30 Bond ETFs iShares IBOXX High Yield Corporate Bond ETF HYG iShares JP Morgan USD Emerging M arket s Bon d ETF EMB Commodity Futures S&P GSCI Crude Oil ER Index SPGSCLP S&P GSCI Gold Index ER SPGSGCP US Real Estate ETF

6 IShares US Real Estate ETF IYR Index Highlights Equity Futures BNPP Japan Equity Futures Index BNPIFJP A Rules-Based Index is an Index where the weightings of the components are determined following a pre-defined algorithmic set of rules and proprietary formulas. Risk pa ri t y allocation ta rg et s an equa l distribution of ri s k, usua lly defined as volatility, a c ro s s all the selected components of the portfolio. ETF is a E x c ha n g e T ra d ed F u nd that tracks an Index , a commodity or a basket of assets and is traded similar to a common stock.

7 Volatility is the a mount of price va r i at io n in an Asset or secu rity. High volatility means the price moves up and do wn in wi d e ra ng es over a perio d of time. Lo w volatility means that the price do es no t change as dramatically, but rather changes at a more gradual pace. LIBOR ( Lo ndo n I nt erB a n k Offered Ra t e) is a benchmark interest rate that ba nks typically c h a rg e each other fo r s h o rt-term lo a n s. It can be used as basis to calculate interest rates on several types of loans. Universe of components used to determine the Index 2 The bank for a changing world Step-by-Step Composition of the BNPP Momentum 5 Index The universe of components used to determine the composition of the BNPP Momentum 5 Index includes ETFs and futures indices that have been selected with the objective of providing exposure to instruments that are both liquid and representative of the market.

8 Asset Class The BNPP Momentum 5 Index s universe of components aims to reflect the performance of a variety of Asset classes, all possibly behaving differently in diverse market cycles. This can potentially yield favorable risk-adjusted returns. Geography The universe of components taken into account to form the BNPP Mo ment um 5 Index seeks to be rep res en tati ve of dif ferent geogra phic zon es, which may lead to more stable returns in the long t erm . Level of risk The BNPP Momentum 5 Index components universe consists of assets with varying risk levels.

9 Riskier a sset classes tend to include developed and emerging equity markets, energy and precious metals commodities, whil e less risky Asset classes tend to include several types of bonds with different durations and other debt instruments. An Index consisting of a portfolio selected from a diverse universe of 14 components The bank for a changing world 3 A Futures co nt ra ct is an agreement to ma k e a nd receive a cash pa y m en t based on c ha ng es in the p ri c e of a particular co mmo di t y or fi na nc ia l instrument at a pre-d et e r mi n ed da t e in the fut u re.

10 So me of the components compiling t he BN PP Mo m en tu m 5 Ind ex are I nd ex F utu res, which track t he performance of certai n futures contracts. Liquidity describes the degree to which an a ss et or s ecu ri t y ca n be quickly boug ht or so ld in the ma r k et withou t affecting the Asset s price Defi ni tions Diversification For Illustrative Purposes On ly. US Real Estate ETF 1 Equity ETFs 4 Bond Futures Indices 4 Bond ETFs 2 2 Commodity Futures Indices E Equity Futures Index 1 The BNPP Momentum 5 Index is a Momentum -ba s ed Index t hat seeks to capitalize on positive market price t rends based on the supposition that positive market price trends ma y continue.