BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX Marketing Communication For professional clients only This document has been prepared for discussion purposes only and does not constitute an offer or a solicitation to engage in any trading strategy or the purchase or sale of any financial instrument. CORPORATE & INSTITUTIONAL BANKING GLOBAL MARKETS FEBRUARY 2017
1 SOLUTION OVERVIEW 2
WHY THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX? The BNP Paribas Multi-Asset Diversified Future Index is based on the successful investment methodology of the BNP Paribas Multi-Asset Diversified Index, created in 2012. A COMPREHENSIVE APPROACH To better address new market conditions, like very low rates or restless equity markets, the Index benefits from a high flexibility in its asset allocation: unconstrained exposures and short positions are allowed A systematic approach based on two investment principles: 1. 2. What, when? At the underlying level: Trend Following is used to determine positions and market timing How? At the portfolio level: asset allocation integrates individual asset views while privileging a robust risk diversification Special care to Risk Management is provided through daily execution, daily forex hedging and several risk controls. The target volatility is locked at 8%, 4% or 2% depending on the Index version. A highly liquid strategy 100% invested in futures 3
2 INVESTMENT PHILOSOPHY 4
1. SELECTION PROCESS: CAPTURING THE TREND THE KEY POINTS OF TREND FOLLOWING Trend following is an investment strategy, widely documented academically 1, based on the technical analysis of market prices, rather than fundamental strengths of companies 1 Carhart, M. (1997); Time Series Momentum Moskowitz, Ooi, and Pedersen (2012) BNP Paribas has reviewed a great number of indicators and has established its own trend signal privileging robustness and efficiency across the different asset classes 390 370 350 330 310 290 270 250 UPWARD TREND EXAMPLE: THE CASE OF COMMODITIES DOWNWARD TREND 1. Catch the trend 140 1. Catch the trend 2. Unwind Position 2. Unwind Position 130 120 6-month Moving Average Net PnL Net PnL 110 Commodities 100 90 80 150 Source: BNP Paribas, computed between November 2007 and September 2008 for illustrative purposes only. * BCOM Index Let your profits run on; cut short your losses Source: BNP Paribas, computed between April 2015 and July 2016 for illustrative purposes only. two Golden Rules of David Ricardo, an 18 th century Economist 5
Return 2. ALLOCATION PROCESS: RISK DIVERSIFICATION THE EFFICIENT FRONTIER THEORY Re-visiting modern portfolio theory (H. Markowitz), asset allocation model in BNP Paribas Multi Asset Diversified Future Index privileges risk diversification. A framework to optimize the risk return profile of the portfolio that combines 3 elements to assess the best portfolio: 1. Market anticipations: positive or negative, depending on the views, called expected return, and in our case, based on trends 2. Risk: measured with anticipated volatility 3. The relative behavior of assets between them modelled by the correlation 9% 8% 7% 6% 5% 4% 3% 2% 1% 0% Individual Underlyings Multi Asset Diversified - Increased return while decreasing risk EU 10Y Govies US 10Y Govies Japan 10Y Govies Commodities Gold Equity US Equity Japan Equity EU Equity EM Equity China 0% 5% 10% 15% 20% 25% 30% 35% 40% Risk (volatility) Source: BNP Paribas, computed between December 1994 and April 2016 for illustrative purposes only. Harry Markowitz, 1990 Nobel Memorial Prize in Economic Sciences 6
3 THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX I - BEYOND ALLOCATION II - INVESTMENT PROCESS III - RISK MANAGEMENT 7
THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX THE 3 INVESTMENT STEPS I. BEYOND ALLOCATION Universe of Assets: expanded investment capabilities by the use of futures The possibility to use unconstrained allocation and take short positions increases the agility, especially during crisis periods A very dynamic allocation II. INVESTMENT PROCESS A purely systematic process based on a proprietary methodology that has been extensively stress-tested Quantitative allocation based solely on price action A BNPP innovative approach in the estimation of the expected returns III. RISK MANAGEMENT Daily management of allocation levels in order to ensure high reactivity and robustness and avoid timing risk The Portfolio is actively monitored with different levels of risk control: individual & global, and has a similar risk profile as a traditional retirement portfolio (at 8%, 4% or 2% (depending on the Index version) BNP Paribas Multi-Asset Diversified Future Index Source: BNP Paribas, February 2017. 8
3 THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX I - BEYOND ALLOCATION II - INVESTMENT PROCESS III - RISK MANAGEMENT 9
I- BEYOND TRADITIONAL PORTFOLIOS: BROAD UNIVERSE OF ASSETS BROADLY DIVERSIFIED INVESTMENT UNIVERSE: 10 UNDERLYINGS Eligibility criteria: Transparent and representative of a market Operational effectiveness: privilege futures for leveraging and shorting Large and daily liquidity Cost efficiency Equity Europe EURO STOXX 50 Gov. Bonds Germany Euro Bund Equity US S&P 500 Gov. Bonds US US 10Y T-Bills Equity Japan Nikkei 225 Gov. Bonds Japan Jap. Gov. Bonds 10Y Equity China HSCEI Equity Emerging Markets MSCI EM Commodities Bloomberg Commodity ex-agriculture & Livestock Index Gold S&P GSCI Gold Source: BNP Paribas, February 2017. 10
I- BEYOND TRADITIONAL PORTFOLIOS: WHAT ABOUT FOREX? FOREX AS A COMPONENT Forex, in particular, is not biased by global growth and inflation in the very long run. Forex momentum would therefore require additional complexity in the proprietary model As investors are more focused on indices in local currency, trend following is usually stronger when looking at trends without forex effect The BNP Paribas Multi-Asset Diversified Future Index positions are protected daily against Forex Variation Excluding forex will allow the strategy to better capture the effect of Central Bank policies: E.g. equity market going up when the currency level is decreasing CURRENCY DEBASEMENT 130 Japanese Equity 125 Japanese Equity Composite USD 120 115 110 105 100 95 90 Source: Bloomberg, BNP Paribas, as of December 2014. For illustrative purposes only. FOCUSING ON GENUINE ASSET BEHAVIOURS Better transparency on the behaviour of the strategy as performances are not blurred with forex effect 11
I- BEYOND TRADITIONAL PORTFOLIOS: EFFECTIVE RISK DIVERSIFICATION EXPANDING TRADING POSSIBILITIES WITH UNCONSTRAINED ALLOCATION EXAMPLE A: BALANCED PORTFOLIO EXAMPLE B: RISK PARITY PORTFOLIO 50% 50% EQUITY/BOND NOMINAL EXPOSURE 80% 20% 10% 90% RISK EXPOSURE 50% 50% 10% P.A. VOLATILITY 4% P.A. Balanced Asset Allocation brings high risk concentration Risk parity allocation is well diversified but volatility is too low to generate enough performance, in a context of low risk premium. There is a need for more flexibility (leverage+short) USING LEVERAGE TO EFFICIENTLY BENEFIT FROM DIVERSIFICATION 12
I- BEYOND TRADITIONAL PORTFOLIOS: SHORT POSITIONS EXPANDING TRADING POSSIBILITIES WITH LIMITED SHORT SELLING BNP Paribas Multi-Asset Diversified Future Index allows for limited recourse to short selling, which can bring added value when considered as hedging positions Allowing short positions aims to help weather shocks under depressed markets Short EURO STOXX 50 vs. Long S&P 500 during Brexit referendum 120 115 110 105 100 95 90 85 80 Brexit +4.61% Spread MSCI World Index vs. BNP Paribas Multi-Asset Diversified Vol 8 EUR Future Index 110 105 100 95 90 85 80 Equities US (S&P 500 Index) Equities Europe (EURO STOXX 50 Index) BNP Paribas Multi-asset Diversified Vol 8 EUR Future Index MSCI World Index Short positons on emerging equities and commodities mitigated losses on other risky asset long positions. Source: Bloomberg, BNP Paribas, as of June 2016. For illustrative purposes only. Source: Bloomberg, BNP Paribas, from end of December 2015 to end of February 2016. For illustrative purposes only. 13
I- BEYOND TRADITIONAL PORTFOLIOS: DYNAMIC ALLOCATION UNCONSTRAINED ALLOCATION WITH MOMENTUM : THE CASE OF BOBL FUTURE S IN MULTI ASSET DIVERSIFIED Global Contribution = 31.04% 140% 120% 100% 80% 60% 40% 20% 0% -20% Bund Weight Cumulated Gains 10Y Swap Sep. 2010 Apr. 2011 European Debt Crisis -2.84% May 2013 Sep. 2013 US Tapering -3.70% Apr. 2015 May 2015 Greece Tensions -1.63% -40% Dec-06 Dec-07 Dec-08 Dec-09 Dec-10 Dec-11 Dec-12 Dec-13 Dec-14 Dec-15 6 5 4 3 2 1 0 Source: BNP Paribas, performance of baskets based on simulations from December 2006 to September 2016. Trend periods are captured with a long leveraged exposure to get a significant contribution into the portfolio Deallocation in case of rates spike Possibility to go short in case of prolonged bonds bear market FAST REALLOCATION BASED ON MOMENTUM ALLOWS TO CAPTURE PERFORMANC E WHILE ADAPTING TO MARKET CHANGES 14
I- BEYOND TRADITIONAL PORTFOLIOS: WEIGHT CAPS AND FLOORS At the time of daily rebalancing the following weight constraints, designed to take into account liquidity, risk and nature of the underlying, are implemented: Individual Asset Class Minimum/Maximum weights* Equity Europe -50% 50% Equity US -50% 50% Equity Japan -50% 50% Equity China -10% 10% Equity Emerging Markets -5% 5% Gov. Bonds Germany -100% 100% Gov. Bonds US -100% 100% Gov. Bonds Japan -25% 25% Commodities -25% 25% Gold -25% 25% BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 8 FUTURE INDEX BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 4 FUTURE INDEX BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 2 FUTURE INDEX Sum of weights* Source: BNP Paribas, February 2017. *Individual weights referred are for the 8% vol. Index. Caps and floors are adjusted pro-rata. 15
3 THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX I - BEYOND ALLOCATION II - INVESTMENT PROCESS III - RISK MANAGEMENT 16
II- INVESTMENT PROCESS: A SYSTEMATIC DAILY PROCESS 1 Market observation 2 Portfolio testing 3 Portfolio determination Price Action Initial Weights Price Weight increment +100% Weight +100% Time -100% Eq. EU Eq. US Bond EU Bond US Com mo. Eq. EM -100% Eq. EU New Weights Eq. US Bond EU Bond US Com mo. Eq. EM Previous Expected Return: 1.7% Weight +100% Expected Performance Weights are tested Volatility Correlation Performance Impact + Risk Control -100% Eq. EU Eq. US Bond EU Bond US Com mo. Eq. EM New Expected Return: 2.2% Hypothetical example for illustrative purposes only and not indicative of actual trading results. 17
Cumulative Return (log10) II- INVESTMENT PROCESS: A HIGH FLEXIBILITY BENEFITS OF A HIGHER FLEXIBILITY A simple allocation using past returns (momentum strategy) already leads to better returns than a static portfolio Unconstrained allocation and short positions bring forth additional performance (see chart below) COMPARISON OF DIFFERENT PORTFOLIO ALLOCATION: A sound usage of leveraged and short positions allows better return for less risk Long-Short Efficient Frontier Portfolio (unconstrained) Classic Efficient Frontier Portfolio (long-only) Risk Adjusted Portfolio (long only) Equal Weighted Portfolio (long only) 1.08 Sharpe Ratio 8.23% p.a. 1.00 Sharpe Ratio 6.81% p.a. 0.88 Sharpe Ratio 4.80% p.a. 0.50 Sharpe Ratio 4.77% p.a. x 1.08 x 1.14 x 1.76 1 Source: BNP Paribas, performance of baskets based on simulations from December 1994 to December 2016 on the universe of the Index. Past or simulated performance or achievement is not indicative of current or future performance. The Key for increased performance remains anticipating well market behaviour CAN MOMENTUM BE IMPROVED? 18
II- INVESTMENT PROCESS: A NEW GENERATION OF MOMENTUM ENHANCED ESTIMATION OF RETURNS Trend following and Momentum are widely documented academically. e.g. Persistence in Mutual Fund Carhart, M. (1997); Time Series Momentum Moskowitz, Ooi, and Pedersen (2012) 0.70 0.60 0.50 0.40 0.30 0.20 0.10 0.00 SHARPE RATIO BY ASSET CLASS SX5E SPX Nikkei China Emerging Eu Bonds US Bonds JP Bonds Commodities Gold Source: BNP Paribas, Bloomberg, computed between December 1994 and June 2016 for illustrative purposes only. BNP Paribas enhanced estimator of the Expected Return is built to avoid 4 common pitfalls: 1. SMOOTHED INDICATORS: to avoid depending on one single observation window 2. PURE TREND SIGNAL: we only take into account past trends and not past return amplitudes which do not bring any additional information 3. ASYMMETRIC ADJUSTMENT: a downward trend is less stable and riskier than an upward trend due to its less clear patterns. We value upward trends three times more than downward ones 4. SHORT-TERM VOLATILITY MONINTORING: short-term volatility is often a leading indicator of potential turmoil and will lead to a decrease of exposure 19
II- INVESTMENT PROCESS: A LOWER RELIANCE ON OBSERVATION PERIODS 1 SMOOTHED INDICATORS TO COMPENSATE PITFALLS OF MOVING AVERAGES Traditional momentum can indicators send mixed signals depending on the timeframe they capture (e.g. charts below) LONG 1400 SPX 12 month MA 3 month MA 2100 SPX 12 month MA 3 month MA 1350 2000 1300 1900 1250 1800 1200 1700 1150 1600 1100 30-Jun-11 15-Jul-11 30-Jul-11 14-Aug-11 29-Aug-11 Source: BNP Paribas, Bloomberg, computed between June 2010 and August 2011. For illustrative purposes only. 1500 Jun-13 Aug-13 Oct-13 Dec-13 Feb-14 Apr-14 Jun-14 Aug-14 Source: BNP Paribas, Bloomberg, computed between June 2013 and August 2014. For illustrative purposes only. Long-term Moving Averages do not capture a sudden and sharp market fall: their reactivity is poor (e.g. 12 month lag) Shorter-term Moving Averages are more reactive, but tend to overreact when market trend starts changing (e.g. 3 month lag) E.g. on 29th July 2011 (just before the market crash, see chart above), the 3-month Moving Average was negative, whereas the 12-month Moving Average was positive: contradictory signal (resulting in very different PnL for the two strategies) NEED TO COMBINE SHORT AND LONG TERM INDICATORS 20
1-Month realised return II- INVESTMENT PROCESS: A PURE TREND SIGNAL 2 AMPLITUDE OF PAST RETURNS NOT AN INDICATOR OF FUTURE PERFORMANCE The past performance of an underlying is not a reliable indicator of the amplitude of its future returns TREND BRINGS INFORMATION, AMPLITUDE DOES NOT Previous 1Y Return 0% 10% 20% 30% 40% 50% 60% 70% 3% 2% 1% 0% -1% -2% -3% -4% -5% -6% Bubble effect Source: BNP Paribas, Bloomberg, Euro Stoxx 50 returns computed between December 1993 and March 2013 for illustrative purposes only. There is no linear relationship between the amplitude of the past 1-year return and of the 1-month future return of a strategy (e.g. chart above) Historically, past important movements have not lead to the highest future performances, on the contrary (mean-reversion phenomenon). You cannot predict the amplitude of a movement, only the trend IT IS MORE CHALLENGING TO PREDICT THE AMPLITUDE OF A MOVEMENT TH AN ITS LIKELY TREND 21
II- INVESTMENT PROCESS: AN ENHANCED TREND SIGNAL A continuous indicator, more adapted to a daily reallocation strategy Following the observations, it is noticed a need for: 1. 2. An averaged indicator, as momentum estimators send mixed signals depending on the captured timeframe A binary (trend) indicator, based on the past trend of the underlying (positive or negative) 190 180 170 160 150 Commodity Trend Score end of Sep. 2014 = 21% Current spot level 130 Commodity Trend Score end of June 2016 = 71% 120 110 100 90 80 Current spot level Source: BNP Paribas, Bloomberg, computed between September 2013 and September 2014 for illustrative purposes only. Source: BNP Paribas, Bloomberg, computed between June 2015 and June 2016 for illustrative purposes only. This trend indicator compares spot with the past spots over a one year period and enables To capture smoothly long term trends To be reactive in case of important recent market moves. 22
II- INVESTMENT PROCESS: AN ASYMMETRIC ADJUSTMENT 3 NOT ALL TRENDS ARE BORN EQUAL Investing in more heavily on an upward trend will, on average, bring a significantly higher Sharpe Ratio than a downward trend (e.g. chart below) 0.70 0.60 0.50 0.40 0.30 0.20 0.10 Sharpe CONDITIONAL SHARPE RATIO WITH AND WITHOUT ASYMMETRY ADJUSTMENT Sharpe with Asymmetry 0.00 SX5E SPX Nikkei China Emerging Eu Bonds US Bonds JP Bonds Commodities Gold Source: BNP Paribas, Bloomberg, computed between December 1994 and July 2016 for illustrative purposes only. A downward trend is more difficult to predict and more risky than an upper trend (less clear patterns) asymmetry between long and short positions, with 3 times more weight given to long positions UNDERWEIGHT SHORT VS. LONG POSITIONS 23
Volatility II- INVESTMENT PROCESS: AN IDENTIFICATION OF MARKET INSTABILITY 4 TREND STRENGTH TESTED VERSUS VOLATILITY RATIO When short-term volatility spikes, predictability is blurred Volatile period following 7% 6% 5% 4% 3% 2% 1% wait complete reversal before starting deleveraging 153 152 151 150 149 148 147 Spot 0% 146 Dec-15 Jan-16 Feb-16 Mar-16 Apr-16 May-16 Jun-16 Jul-16 Aug-16 JBG future 1 month volatility 1 year volatility 1 year / 1 month ratio Source: BNP Paribas, Bloomberg, computed between December 1994 and March 2013 for illustrative purposes only. A spike of short term volatility means in general that a new information has just arrived on the market In a systematic context, it is prudent to reduce market anticipation in case of sudden market changes VOLATILITY SPIKES USUALLY MEANS LACK OF PREDICTABILITY EXPOSURE SHOULD BE REDUCED 24
Cumulative Return (log10) II- INVESTMENT PROCESS: THE MULTI-ASSET DIVERSIFIED APPROACH The implementation of the 4 simple observations of the BNP enhanced estimator of Expected Return has historically resulted on a performance pick-up: 1. SMOOTHED INDICATORS 2. PURE TREND SIGNAL 3. ASYMMETRIC ADJUSTMENT 4. SHORT-TERM VOLATILITY MONITORING Multi Asset Diversified strategy has shown a SR up to 4 times the one of a simple equal weight allocation Multi-Asset Diversified Long-Short Efficient Frontier Portfolio (unconstrained) Classic Efficient Frontier Portfolio (long-only) Risk Adjusted Portfolio (long only) Equal Weighted Portfolio (long only) 1.50 Sharpe Ratio 11.61% p.a. x 1.39 1.08 Sharpe Ratio 8.23% p.a. x 1.08 1 1.00 Sharpe Ratio 6.81% p.a. 0.88 Sharpe Ratio 4.80% p.a. 0.50 Sharpe Ratio 4.77% p.a. x 1.14 x 1.76 Source: BNP Paribas, performance of baskets based on simulations from December 1994 to December 2016 on the universe of the Index. Past or simulated performance or achievement is not indicative of current or future performance. 25
3 THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX I - BEYOND ALLOCATION II - INVESTMENT PROCESS III - RISK MANAGEMENT 26
III- RISK MANAGEMENT: TIMING RISK DAILY EXECUTION IS A REAL PLUS Timing has a big impact on performance For a monthly execution, the Risk/Return Ratio significantly depends on the reshuffle date Daily allocation, on top of limiting timing risk, can lead to more stable performances Daily management, allows for quick reactivity in case of market shocks 1.20 1.10 1.00 0.90 0.80 0.70 0.60 IMPACT OF EXECUTION ON RISK/RETURN RATIO* First Week Second Week Third Week Fourth Week Daily Source: BNP Paribas computed between December 2003 and April 2016 for illustrative purposes only. *The risk/return ration is computed by dividing the annual return and the Maximum Drawdown(in absolute value). First Week Second Week Third Week Fourth Week Daily Monthly return 1% VaR -5.35% -5.33% -5.23% -5.22% -5.06% Max Drawdown -13.72% -11.68% -12.86% -12.37% -10.31% OUR APPROACH: DAILY EXECUTION 27
III- RISK MANAGEMENT: SMOOTHING EXECUTION THE IMPACT OF SMOOTHING WEIGHT CHANGE A 5-day averaging mitigates the impact of short-term variations (e.g. charts below). Case of a classic trend strategy where exposure is adjusted according to underlying spot evolution. 102 100 98 96 94 92 90 88 86 84 Spot Strategy Position (rhs) 1 2 3 4 5 THE BENEFITS OF AVERAGING (ONE WEEK PERIOD) High reactivity of the weight allocation process results in a high cost, whereas an averaging over a short term period reduces the overall cost each time the underlying spot follows a mean reverting pattern: On the left example above, after a 10% drop of the underlying spot, the strategy adjusts the exposure to 90%. When the spot rebounds to the initial values, the strategy only recovers 9%; On the right example, after the same initial drop, the strategy recovers 9.8% due to the 5 day smoothing. Smoothing execution is achieved indirectly by smoothing the trend signal. -1% cost -0.2% cost 84% 84 84% 1 2 3 4 5 Source: BNP Paribas, Bloomberg, computed between December 1993 and March 2013 for illustrative purposes only. In the long run, the strategy will loose a bit more in case of major reversal but will spear a lot of money on all the false signals. 102% 100% 98% 96% 94% 92% 90% 88% 86% A WEEKLY AVERAGING TO ENHANCE THE DAILY REBALANCING OF THE STRAT EGY 102 100 98 96 94 92 90 88 86 Spot Strategy Position (rhs) 102% 100% 98% 96% 94% 92% 90% 88% 86% 28
III- RISK MANAGEMENT: FX AND VOLATILITY MANAGEMENT MULTIPLE RISK MANAGEMENT LAYERS At the component level, by taking into account spikes of short-term volatility, and maximum and minimum exposure At the portfolio level: Efficient Frontier 8%, 4% or 2% volatility target (depending on the Index version) to control long-term risk Volatility control ex-post to control short-term risk Daily execution allows quick reactivity FX hedged mechanism: protection against currency risk 150% Exposure Risk of the portfolio (Realised Volatility) Lower than Target Volatility 100% Exposure Equal to Target Volatility Deleverage Higher than Target Volatility 1-YEAR REALISED VOLATILITY 14% 12% BNP Paribas Multi-Asset Diversified Vol 8 Future Index 10% 8% 6% 4% 2% 0% Dec-95 Dec-98 Dec-01 Dec-04 Dec-07 Dec-10 Dec-13 Dec-16 Volatility under control For illustrative purposes only. Source: Bloomberg, BNP Paribas, as of 28 February 2017. Past performance is not necessarily a guide to future performance. 29
4 PERFORMANCE OF THE INDICES 30
PERFORMANCE ANALYSIS SIMULATIONS (1/8) PERFORMANCE AND STATISTICS OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 8 FUTURE INDEX (SIMULATIONS UNTIL 18 MAY 2016) 1200 1000 800 600 400 200 BNP Paribas Multi-Asset Diversified Vol 8 Future Index Static Diversified Basket 1* Index live since 19 May 2016 BNP Paribas Multi- Asset Diversified Vol 8 Future Index Static Diversified Basket 1 * YTD Performance 1.40% 2.83% 1Y Performance 2.35% 7.60% 3Y Performance 24.10% 8.47% Global Performance p.a. 11.59% 4.15% Volatility p.a. 7.85% 7.78% Sharpe ratio 1.48 0.53 Max Drawdown -10.31% -28.88% 0 Source: Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from 31 December 1994 to 18 May 2016, historical performance thereafter. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 8 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. * Benchmark is composed of 50% Equities (MSCI World Index) + 50% Bonds US (TY1 Commodity from 3 January 1995 to 3 January 2007, BNPIFU10 Index since). 31
PERFORMANCE ANALYSIS SIMULATIONS (2/8) MONTHLY PERFORMANCES OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 8 FUTURE INDEX 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 January 5.27% 1.05% 4.22% 4.38% 1.82% -0.43% 0.59% 0.49% 4.03% -0.17% 0.11% 2.76% -0.59% 2.49% -2.59% -0.99% -1.08% 3.33% -0.05% -0.87% 0.52% 1.64% -2.30% February 1.90% -4.29% 0.47% 2.20% -5.00% 2.21% 1.34% 0.77% 2.44% 2.60% 0.19% -1.29% 0.03% 4.74% 0.47% 1.83% 1.61% 1.29% 2.78% 1.31% 1.74% 2.36% 3.79% March 4.56% 2.49% -3.10% 3.10% 0.58% -0.93% 0.15% -2.13% -2.97% 0.82% 0.15% 1.73% -1.29% -0.62% -0.54% 2.30% -2.99% 2.55% 3.28% -0.48% 1.99% 0.20% April 1.92% 3.71% 1.26% 0.44% 2.30% -1.85% -2.33% 1.66% 1.60% -4.23% -1.30% 3.17% 1.26% -2.34% -1.51% 1.28% 2.88% 0.01% 7.29% 1.19% -0.44% -1.46% May 5.58% 0.35% 0.07% 2.06% -2.97% -0.72% -1.71% 2.46% 9.50% -1.79% 3.45% -2.32% 1.65% -1.41% -0.65% -1.29% 0.49% 1.39% -0.24% 4.16% 0.14% -0.39% June -0.22% 0.60% 3.10% 3.34% 5.88% 0.87% -1.09% -1.23% -1.29% 0.47% 2.03% -1.93% -0.27% 3.50% -0.89% 1.20% -2.79% -0.74% -2.65% 0.61% -2.63% 5.65% July 0.42% -7.47% 7.78% 1.31% 0.69% -1.77% 2.20% 0.38% -2.31% 0.03% 0.81% 0.47% -1.36% -3.73% 2.68% -0.84% 4.71% 2.38% 2.07% -0.70% 3.58% 1.87% August 0.20% 0.28% -1.21% 4.41% 0.93% 2.85% 1.03% 3.26% 2.17% -0.30% 2.83% 0.70% 1.31% -1.73% 0.41% 6.92% 3.49% 1.02% -2.84% 3.54% -4.26% -1.90% September 1.88% 5.99% 0.90% 4.81% -2.17% -1.36% 4.38% 3.68% 0.45% 3.27% 2.42% 0.91% 2.38% -0.60% 2.16% 0.08% 0.13% -0.69% 3.38% 0.27% 0.01% 0.08% October 0.35% 1.21% 0.88% -1.26% -1.17% 0.30% 3.00% -1.37% 1.80% 2.25% -4.04% 0.91% 3.11% 0.98% -0.52% 0.99% 0.74% -0.61% 3.91% 0.72% 0.52% -3.13% November 5.55% 8.78% 0.07% 0.86% 1.86% 5.49% -4.16% -1.50% 0.53% 2.27% 3.32% 2.15% 0.03% 3.69% 4.68% -2.51% 0.15% 1.53% 2.17% 3.27% 2.63% -1.45% December 4.25% -0.92% 2.32% 0.49% 5.41% 3.38% -1.92% 6.49% 6.35% 0.21% 3.30% 1.06% 0.07% 3.48% -2.63% -0.62% 1.21% 2.27% -2.36% 2.05% -2.59% 1.76% Yearly 36.33% 11.34% 17.63% 29.28% 7.86% 8.02% 1.14% 13.38% 23.94% 5.33% 13.79% 8.47% 6.40% 8.33% 0.83% 8.34% 8.57% 14.51% 17.50% 15.98% 0.91% 5.02% 1.40% Since October 2012: live date of the methodology. Consistently positive annual returns regardless of market conditions 68% positive months Source : Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from 31 December 1994 to 18 May 2016. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 8 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. 32
PERFORMANCE ANALYSIS SIMULATIONS (3/8) PERFORMANCE AND STATISTICS OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 4 FUTURE INDEX (SIMULATIONS UNTIL 19 JUNE 2016) 400 350 300 250 200 150 100 50 0 BNP Paribas Multi-Asset Diversified Vol 4 Future Index Static Diversified Basket 2* Index live since 20 June 2016 BNP Paribas Multi- Asset Diversified Vol 4 Future Index Static Diversified Basket 2 * YTD Performance 0.70% 1.97% 1Y Performance 1.22% 3.28% 3Y Performance 11.54% 7.51% Global Performance p.a. 5.69% 3.56% Volatility p.a. 3.92% 5.81% Sharpe ratio 1.45 0.61 Max Drawdown -5.27% -16.08% Source: Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from 31 December 1994 to 19 June 2016, historical performance thereafter. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 4 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. * Benchmark is composed of 30% Equities (MSCI World Index) + 70% Bonds US (TY1 Commodity from 3 January 1995 to 3 January 2007, BNPIFU10 Index since). 33
PERFORMANCE ANALYSIS SIMULATIONS (4/8) MONTHLY PERFORMANCES OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 4 FUTURE INDEX 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 January 2.61% 0.53% 2.10% 2.19% 0.91% -0.20% 0.29% 0.24% 2.00% -0.07% 0.05% 1.38% -0.29% 1.25% -1.30% -0.49% -0.54% 1.65% -0.03% -0.44% 0.26% 0.82% -1.16% February 0.95% -2.17% 0.23% 1.10% -2.52% 1.11% 0.66% 0.39% 1.22% 1.30% 0.10% -0.64% 0.02% 2.35% 0.25% 0.91% 0.80% 0.64% 1.39% 0.65% 0.86% 1.18% 1.88% March 2.27% 1.25% -1.56% 1.55% 0.29% -0.46% 0.08% -1.07% -1.47% 0.40% 0.07% 0.86% -0.63% -0.29% -0.28% 1.14% -1.49% 1.27% 1.63% -0.24% 0.99% 0.10% April 0.96% 1.84% 0.63% 0.23% 1.14% -0.93% -1.17% 0.83% 0.80% -2.14% -0.65% 1.58% 0.63% -1.18% -0.76% 0.64% 1.43% 0.00% 3.60% 0.60% -0.21% -0.73% May 2.75% 0.18% 0.04% 1.03% -1.49% -0.36% -0.86% 1.22% 4.68% -0.89% 1.71% -1.15% 0.82% -0.70% -0.33% -0.65% 0.24% 0.70% -0.11% 2.06% 0.07% -0.20% June -0.10% 0.30% 1.54% 1.66% 2.91% 0.43% -0.55% -0.61% -0.63% 0.23% 1.01% -0.96% -0.12% 1.74% -0.44% 0.59% -1.41% -0.38% -1.32% 0.30% -1.32% 2.80% July 0.21% -3.76% 3.83% 0.65% 0.36% -0.90% 1.09% 0.19% -1.16% 0.01% 0.40% 0.23% -0.67% -1.87% 1.33% -0.42% 2.34% 1.19% 1.03% -0.35% 1.78% 0.94% August 0.10% 0.14% -0.61% 2.19% 0.47% 1.41% 0.52% 1.62% 1.08% -0.16% 1.41% 0.35% 0.66% -0.87% 0.20% 3.42% 1.73% 0.50% -1.43% 1.76% -2.13% -0.96% September 0.95% 2.96% 0.45% 2.38% -1.07% -0.68% 2.18% 1.82% 0.22% 1.63% 1.20% 0.46% 1.18% -0.29% 1.07% 0.04% 0.07% -0.35% 1.68% 0.14% 0.00% 0.05% October 0.17% 0.60% 0.45% -0.61% -0.59% 0.15% 1.49% -0.68% 0.89% 1.12% -2.04% 0.45% 1.54% 0.49% -0.26% 0.49% 0.37% -0.30% 1.95% 0.36% 0.26% -1.57% November 2.75% 4.32% 0.03% 0.43% 0.93% 2.71% -2.08% -0.76% 0.27% 1.13% 1.65% 1.07% 0.01% 1.83% 2.31% -1.24% 0.08% 0.76% 1.08% 1.62% 1.31% -0.72% December 2.11% -0.44% 1.15% 0.24% 2.68% 1.68% -0.97% 3.21% 3.14% 0.10% 1.64% 0.53% 0.04% 1.74% -1.32% -0.31% 0.60% 1.13% -1.17% 1.03% -1.30% 0.87% Yearly 16.82% 5.66% 8.49% 13.79% 3.94% 3.96% 0.61% 6.51% 11.42% 2.64% 6.70% 4.19% 3.20% 4.15% 0.43% 4.10% 4.23% 7.01% 8.48% 7.72% 0.51% 2.53% 0.70% Since October 2012: live date of the methodology. Consistently positive annual returns regardless of market conditions 68% positive months Source : Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from 31 December 1994 to 19 June 2016. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 4 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. 34
PERFORMANCE ANALYSIS SIMULATIONS (5/8) PERFORMANCE AND STATISTICS OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 2 FUTURE INDEX (SIMULATIONS UNTIL 19 JUNE 2016) 190 170 150 130 110 90 BNP Paribas Multi-Asset Diversified Vol 2 Future Index Cash Capitalised Index live since 20 June 2016 BNP Paribas Multi-Asset Diversified Vol 2 Future Index YTD Performance 0.34% 1Y Performance 0.65% 3Y Performance 5.96% Global Performance p.a. 2.77% Volatility p.a. 1.96% Sharpe ratio 1.41 Max Drawdown -2.68% 70 Source: Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from 31 December 1994 to 19 June 2016, historical performance thereafter. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 2 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. 35
PERFORMANCE ANALYSIS SIMULATIONS (6/8) MONTHLY PERFORMANCES OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED VOL 2 FUTURE INDEX 1995 1996 1997 1998 1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 January 1.30% 0.28% 1.04% 1.09% 0.45% -0.10% 0.14% 0.12% 0.99% -0.03% 0.03% 0.69% -0.15% 0.62% -0.65% -0.25% -0.28% 0.82% -0.05% -0.22% 0.42% 0.41% -0.59% February 0.47% -1.07% 0.11% 0.54% -1.27% 0.55% 0.33% 0.19% 0.60% 0.64% 0.04% -0.32% 0.01% 1.17% 0.13% 0.45% 0.40% 0.32% 0.70% 0.34% 0.42% 0.60% 0.93% March 1.13% 0.62% -0.78% 0.77% 0.14% -0.23% 0.03% -0.54% -0.73% 0.20% 0.03% 0.43% -0.35% -0.15% -0.15% 0.56% -0.75% 0.63% 0.82% -0.11% 0.48% 0.07% April 0.47% 0.92% 0.31% 0.11% 0.57% -0.47% -0.59% 0.41% 0.39% -1.08% -0.30% 0.79% 0.31% -0.59% -0.38% 0.31% 0.71% 0.00% 1.64% 0.29% -0.08% -0.38% May 1.36% 0.09% 0.01% 0.51% -0.75% -0.19% -0.43% 0.60% 2.32% -0.45% 0.90% -0.57% 0.41% -0.36% -0.17% -0.33% 0.12% 0.35% -0.22% 1.14% -0.05% -0.09% June -0.05% 0.15% 0.76% 0.82% 1.44% 0.21% -0.28% -0.31% -0.31% 0.11% 0.56% -0.48% -0.06% 0.86% -0.22% 0.29% -0.71% -0.19% -0.66% 0.22% -0.70% 1.44% July 0.10% -1.89% 1.90% 0.32% 0.18% -0.45% 0.54% 0.09% -0.58% 0.00% 0.13% 0.11% -0.34% -0.94% 0.66% -0.22% 1.16% 0.63% 0.51% -0.20% 0.88% 0.49% August 0.04% 0.07% -0.31% 1.09% 0.23% 0.70% 0.26% 0.80% 0.54% -0.08% 0.71% 0.17% 0.33% -0.44% 0.10% 1.69% 0.86% 0.22% -0.72% 0.97% -1.07% -0.49% September 0.47% 1.47% 0.22% 1.23% -0.54% -0.34% 1.08% 0.91% 0.11% 0.78% 0.52% 0.23% 0.59% -0.15% 0.53% 0.01% 0.03% -0.19% 0.83% -0.01% 0.00% 0.05% October 0.08% 0.30% 0.20% -0.44% -0.30% 0.07% 0.74% -0.34% 0.44% 0.55% -1.03% 0.22% 0.76% 0.24% -0.13% 0.24% 0.18% -0.17% 0.97% 0.29% 0.08% -0.79% November 1.36% 2.14% 0.01% 0.21% 0.46% 1.35% -1.05% -0.38% 0.13% 0.56% 0.82% 0.53% 0.00% 0.91% 1.15% -0.62% 0.04% 0.48% 0.54% 0.80% 0.58% -0.40% December 1.05% -0.22% 0.57% 0.12% 1.33% 0.83% -0.49% 1.58% 1.55% 0.05% 0.82% 0.19% 0.02% 0.86% -0.67% -0.16% 0.30% 0.47% -0.59% 0.47% -0.65% 0.43% Yearly 8.06% 2.82% 4.11% 6.56% 1.93% 1.93% 0.27% 3.16% 5.54% 1.25% 3.26% 1.98% 1.53% 2.03% 0.18% 1.99% 2.06% 3.42% 3.81% 4.05% 0.30% 1.32% 0.34% Since October 2012: live date of the methodology. Consistently positive annual returns regardless of market conditions 67% positive months Source : Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from 31 December 1994 to 19 June 2016. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 2 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. 36
PERFORMANCE ANALYSIS SIMULATIONS (7/8) ALLOCATION IN THE DIFFERENT ASSET CLASSES IN THE LAST 12 MONTHS BNP Paribas Multi-Asset Diversified Vol 8 Future Index 300% 250% 200% 150% 100% 50% 0% -50% Equity Europe Equity US Equity Japan Equity China Equity Emerging German Gov. Bonds US Gov. Bonds Japan Gov. Bonds Gold Commodities Equity Europe Equity US Equity Japan Equity China Equity Emerging German Gov. Bonds US Gov. Bonds Japan Gov. Bonds Gold Commodities Net Exposure End of Feb. 2017 15.59% 30.20% 16.26% 9.78% -1.12% 100.24% -19.88% -25.05% 25.20% -0.21% 151.01% Source: Bloomberg, BNP Paribas, as of 28 February 2017. Simulations of end-of-month allocation over the March 2016 to February 2017 period. 37
PERFORMANCE ANALYSIS SIMULATIONS (7/8) ALLOCATION IN THE DIFFERENT ASSET CLASSES IN THE LAST 12 MONTHS BNP Paribas Multi-Asset Diversified Vol 4 Future Index 150% 130% 110% 90% 70% 50% 30% 10% -10% -30% -50% Equity Europe Equity US Equity Japan Equity China Equity Emerging German Gov. Bonds US Gov. Bonds Japan Gov. Bonds Gold Commodities Equity Europe Equity US Equity Japan Equity China Equity Emerging German Gov. Bonds US Gov. Bonds Japan Gov. Bonds Gold Commodities Net Exposure End of Feb. 2017 7.80% 15.11% 8.14% 4.89% -0.56% 50.14% -9.94% -12.53% 12.60% -0.10% 75.54% Source: Bloomberg, BNP Paribas, as of 28 February 2017. Simulations of end-of-month allocation over the March 2016 to February 2017 period. 38
PERFORMANCE ANALYSIS SIMULATIONS (7/8) ALLOCATION IN THE DIFFERENT ASSET CLASSES IN THE LAST 12 MONTHS BNP Paribas Multi-Asset Diversified Vol 2 Future Index 100% 80% 60% 40% 20% 0% -20% Equity Europe Equity US Equity Japan Equity China Equity Emerging German Gov. Bonds US Gov. Bonds Japan Gov. Bonds Gold Commodities Equity Europe Equity US Equity Japan Equity China Equity Emerging German Gov. Bonds US Gov. Bonds Japan Gov. Bonds Gold Commodities Net Exposure End of Feb. 2017 3.90% 7.55% 4.07% 2.45% -0.28% 25.07% -4.97% -6.27% 6.30% -0.05% 37.78% Source: Bloomberg, BNP Paribas, as of 28 February 2017. Simulations of end-of-month allocation over the March 2016 to February 2017 period. 39
PERFORMANCE ANALYSIS SIMULATIONS (8/8) HIGHER AND MORE STABLE SIMULATED PERFORMANCE THAN TRADITIONAL ASSETS Strong diversification allows the BNP Paribas Multi-Asset Diversified Vol 8 Future Index to: Achieve a higher risk to return ratio than traditional assets Minimise losses compared to traditional assets A much higher higher risk/return ratio: 1.48 In EUR MA Diversified Equity Europe Equity US Equity EM German Gov. Bonds US Gov. Bonds Commodities Gold Returns 11.59% 5.09% 6.59% 1.43% 4.97% 4.12% 0.80% 2.75% Volatility 7.85% 23.17% 18.72% 26.41% 5.43% 6.10% 18.94% 17.06% Sharpe Ratio 1.48 0.22 0.35 0.05 0.92 0.67 0.04 0.16 A low correlation with other assets: 0.42 max In EUR Equity Europe Equity US Equity EM German Gov. Bonds US Gov. Bonds Commodities Gold Correlation 0.09 0.12 0.12 0.42 0.42 0.19 0.23 A lower maximum loss historically In EUR MA Diversified Equity Europe Equity US Equity EM German Gov. Bonds US Gov. Bonds Commodities Gold Max drawdown -10.31% -68.39% -62.36% -67.39% -11.01% -13.98% -77.40% -50.43% Source : Bloomberg, BNP Paribas, as of 28 February 2017. Performance simulations based on historical data from December 1994 to May 2016. Past performance or simulated performance is not an indicator of future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this document. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance, in any way, of the future results of the BNP Paribas Multi-Asset Diversified Vol 8 Future Index. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas. 40
7 APPENDIX 41
DETAILS OF THE BNP PARIBAS MULTI-ASSET DIVERSIFIED FUTURE INDEX INDEX DETAILS Name Currency Type of index Bloomberg code Reuters code BNP Paribas Multi-Asset Diversified vol 8 Future Index EUR Excess Return BNPIMD8F Index.BNPIMD8F BNP Paribas Multi-Asset Diversified vol 4 Future Index EUR Excess Return BNPIMD4F Index.BNPIMD4F BNP Paribas Multi-Asset Diversified vol 2 Future Index EUR Excess Return BNPIMD2F Index.BNPIMD2F INDEX COMPONENTS Asset classes Underlying index Bloomberg Code Rolled Futures on the: Equity Europe BNP Paribas Eurozone Equity Futures Index BNPIFEU Index EURO STOXX 50 Equity US BNP Paribas US Equity Futures Index BNPIFUS Index S&P 500 Equity Japan BNP Paribas Japan Equity Futures Index BNPIFJP Index Nikkei 225 Equity China BNP Paribas China Equity Futures Index BNPIFCN Index HSCEI Equity Emerging Markets BNP Paribas Emerging Equities Futures Index BNPIFEM Index MSCI Emerging Markets Gov. Bonds Germany BNP Paribas EUR 10Y Futures Index BNPIFE10 Index Euro Bund Gov. Bonds US BNPP Paribas USD 10Y Futures Index BNPIFU10 Index US 10Y T-Bill Gov. Bonds Japan BNP Paribas JPY 10Y Futures Index BNPIFJ10 Index Japanese 10Y Bond Commodities Bloomberg Commodity ex- Agriculture & Livestock Index BBUXALC Index - Gold S&P GSCI Gold Index ER SPGSGCP Index - Source: BNP Paribas, February 2017. 42
BNP PARIBAS CIB VALUE PROPOSITION QUANTITATIVE INVESTMENT STRATEGIES TEAM The Quantitative Investment Strategies team is in charge of developing, launching, and ensuring daily production and follow-up of all systematic investment strategies of GM These strategies are then made available to clients through a variety of formats, including certificates, OTC and when relevant THEAM* funds 1 A diversified offer 2 Investment experts 3 An efficient set-up Access all markets and asset classes through 2000+ fully diversified systematic strategies Over 15 Blns AUMs currently managed Quantitative Research : team of 15 Investment professionals (PhDs, developing systematic strategies Derivatives Experts : BNPP is one of the leader in derivatives for the last 25 years Index calculation expertise (SOC1 approved, IOSCO compliant) Powerful trading platform with global execution specialists High customization capabilities Efficient after-sales support -driven management. 43
QUANTITATIVE INVESTMENTS STRATEGIES TEAM Processes have been set-up in order to provide the best quality at all levels of the production chain As part of our SOC 1 certification, independent auditors control and assess quality of our processes on a regular basis 1. Robustness : avoiding Overfitting 2. Execution & Timing Risk 3. Live Track Record & Performance Commitment Each Strategy go through a validation process involving functions and independent approval to ensure quality of the strategy before going live All strategies inputs are going through robustness tests by a independent research team Robustness Reports are available on demand Limited resort to marketing timing signals: most of the strategies will privilege systematic execution with adequate infrastructure Daily Execution and high quality execution platform allows to remove the material impact of timing and randomness factor Some Strategies are used into ETFs or Indexed Funds with long track records Market recognition and awards are available (5* morning 4. Transaction Costs Explicit and Transparent costs with execution commitment at this level 5. High Standards Reporting Performance Attribution Detailed Risk Reportings with external partnerships available on request 44
BNP PARIBAS VALUE PROPOSITION WHAT MAKES BNP PARIBAS DIFFERENT Global Markets competitive edge Global Markets is BNP capital markets business, delivering solutions across asset classes, and industry-leading services for clients. With solid roots in Europe and a strong global presence, Global Markets is a leader in derivatives, bringing efficient trading and execution, market-leading research and strategy, tailor-made products and a sustainable long-term business model. Full access across asset classes Unified Global Markets teams allow clients to access a full suite of asset classes via a fully integrated platform G L O B A L M A R K E T S G10 Rates Equity Derivatives Forex & Local Markets Commodity Derivatives Credit Prime Solutions & Financing Primary Markets A Market Leader Global Markets consistently ranks highly in industry rankings and awards worldwide. With leading market share on global exchanges and global recognition in surveys and rankings, you can be confident receiving a top tier service from a top tier provider. 45
DISCLAIMER This document is CONFIDENTIAL AND FOR DISCUSSION PURPOSES ONLY; it constitutes a marketing communication and has been prepared by a Sales and Marketing function within BNP Paribas for, and is directed at, (a) Professional Clients and Eligible Counterparties as defined by the European Union Markets in Financial Instruments Directive (2004/39/EC) and (b) where relevant, persons who have professional experience in matters relating to investments falling within Article 19(1) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005, and at other persons to whom it may lawfully be communicated (together. Any investment or investment activity to which this document relates is available only to and will be engaged in only with Relevant Persons. This document is not intended for Retail Clients as defined by MiFID and should not be passed on to any such persons. Any person who is not a Relevant Person should not act or rely on this document or its content. As a confidential document it is submitted to selected recipients only and may not be reproduced (in whole or in part) to any other person without written consent. This document does not constitute an offer or a solicitation to engage in any trading strategy, to purchase or sell any financial instruments or to enter into any transaction. Given its general nature, the information included in this document does not purport to contain all the elements that may be relevant for a recipient to make an informed decision in relation to any strategy, financial product or transaction discussed herein. To the extent that any transaction is subsequently entered into between the recipient and BNP Paribas, such transaction will be entered into upon such terms as may be agreed by the parties in the relevant documentation. The information contained in this document has been obtained from sources believed to be reliable, but BNP Paribas makes no representation, express or implied, that such information, or any opinions based thereon and contained in this document, are accurate or complete and they should not be relied on as such. Other financial institutions or persons may have different opinions or draw different conclusions from the facts or ideas relevant to this document. Any scenarios, assumptions, historical or simulated performances, indicative prices or examples of potential transactions or returns are included for illustrative purposes only. Past performance is not necessarily indicative of future results. BNP Paribas gives no assurance that any favourable scenarios described are likely to happen, that it is possible to trade on the terms described herein or that any potential returns illustrated can be achieved. BNP Paribas is further under no obligation to update or keep current the information contained in this document. In providing this document, BNP Paribas offers no investment, financial, legal, tax or any other type of advice to, nor has any fiduciary duties towards, recipients. Certain strategies and/or potential transactions discussed in this document may involve the use of derivatives which may be complex in nature and may give rise to substantial risks, including the risk of total or partial loss of any investment or losses without limitation and which should only be undertaken by those with the requisite knowledge and experience. BNP Paribas makes no representation nor gives any warranty as to the results to be obtained from any investment, strategy or transaction, nor as to whether any strategy, security or transaction discussed herein may be suitable for financial needs, circumstances or requirements. Recipients must make their own assessment of such strategies, securities and/or potential transactions detailed herein, using such professional advisors as they may require. BNP Paribas accepts no liability for any direct or consequential losses arising from any action taken in connection with or reliance on the information contained in this document even where advised of the possibility of such losses. As an investment bank with a wide range of activities BNP Paribas may face conflicts of interest, which are resolved under legal provisions and internal guidelines. You should be aware, however, that BNP Paribas may be long or short, for its own account or as agent, in investments, transactions or strategies referred to in this document or related products before the material is published to clients and that it may engage in transactions in a manner inconsistent with the views expressed in this document, either for its own account or for the account of its clients. Additionally, BNP Paribas within the previous twelve months may have acted as an investment banker or may have provided significant advice or investment services to companies or in relation to investments mentioned in this document. Laws and regulations of countries may restrict the distribution of this document. Persons in possession of this document should inform themselves about possible legal restrictions and observe them accordingly. BNP Paribas London Branch, 10 Harewood Avenue, London NW1 6AA; tel: +44 (0)20 7595 2000; fax: +44 (0)20 7595 2555 (www.bnpparibas.com). Incorporated in France with Limited Liability. Registered Office: 16 boulevard des Italiens,75009 Paris, France. 662 042 449 RCS Paris. BNP Paribas London Branch is lead supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR). BNP Paribas London Branch is authorised by the ECB, the ACPR and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. BNP Paribas London Branch is registered in England and Wales under no. FC13447. 46