CMV Alpha Commodity 5 Index

Legal Notice: 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 and/or its subsidiaries or af liates (collectively "we" or "BNP Paribas"). As condential document it is submitted to selected recipients only and it may not be available (in whole or in part), reproduced or delivered or transmitted to any other person (other than to your professional advisers) without BNP Paribas’ written consent. Neither the information nor any opinion contained in this material constitutes a recommendation, solicitation or offer by BNP Paribas or its af liates to buy or sell any security, futures contract, options contract, derivative instrument, nancial instrument, nor shall it be deemed to provide investment, tax, legal, accounting or other advice and has no duciary duty towards recipients. 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 there is no guarantee of the accuracy, completeness or suitability for any particular purpose of such information or that such information has been independently verified by BNP Paribas or by any person. None of BNP Paribas, its members, directors, of cers, agents or employees accepts any responsibility or liability whatsoever or makes any representation or warranty, express or implied, as to the accuracy or completeness of the information, or any opinions based thereon, contained in this document. This material should neither be regarded as comprehensive nor suf cient for making decisions, nor should it be used in place of professional advice. You should consult your own advisors about any products or services described herein in order to evaluate the merits, suitability, and nancial, legal, regulatory, accounting and tax issues raised by any investment and should not rely on BNP Paribas or its af liates for this. Additional information may be provided on request, at our discretion. This material is only intended to generate discussions regarding particular instruments and investments and is subject to change, or may be discontinued, without notice.

Any scenarios, assumptions, historical or simulated performances, indicative prices or examples of potential transactions or returns are included for illustrative purposes only. Investors may get back less than they invested. BNP Paribas gives no assurance that any favorable 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. This document is current as at the date of its production and BNP Paribas is under no obligation to update or keep current the information herein. 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 and gives no warranty as to the results to be obtained from any investment, strategy or transaction, or as to whether any strategy, security or transaction described herein may be suitable for recipients' nancial needs, circumstances or requirements. Recipients must make their own assessment of strategies, securities and/or potential transactions detailed herein, using such professional advisors as they deem appropriate. 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 con icts of interest and you should be aware that BNP Paribas and/or any of its af liates may be long or short, for their 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 their own account or for the account of their clients. Additionally, BNP Paribas may have acted as an investment banker or may have provided signi cant advice or investment services to companies or in relation to investments mentioned in this document. The information in this document is not intended for distribution to, or use by, any person or entity in any jurisdiction where (a) the distribution or use of such information would be contrary to law or regulations, or (b) BNP Paribas or a BNP Paribas af liate would become subject to new or additional legal or regulatory requirements. Persons in possession of this document should inform themselves about possible legal restrictions and observe them accordingly. In no circumstances shall BNP Paribas or its af liates be obliged to disclose any information that it has received on a condential basis or to disclose the existence thereof. If you have a contractual relationship with a BNP Paribas af liate that extends to products and services referenced in this material, the communications made hereby are, and shall be deemed made, as the context may require, by such entity.

One or more of the Indices described in this document are custom indices created by BNP Paribas (each, an “Index”). Each Index is the exclusive property of BNP Paribas (the “Index Sponsor”). BNP Paribas or one of its af liates may play multiple roles with respect to the Index, including but not limited to Index Calculation Agent (the “Index Calculation Agent”). The Index Sponsor and the Index Calculation Agent do not guarantee the accuracy and/or completeness of the composition, calculation, publication and adjustment of any Index, 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 any Index. The Index Calculation Agent and the Index Sponsor make no express or implied warranties, and expressly disclaim all warranties of merchantability or tness for a particular purpose or use with respect to any Index 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 pro ts), even if noti ed 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 INDEX. 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 AN OFFERING MEMORANDUM OR SIMILAR DOCUMENT THAT IS PREPARED BY OR ON BEHALF OF THE ISSUER OF THE PRODUCT OR THE INDEX SPONSOR.

No assurance is given by the Index Sponsor that environmental, social and governance (“ESG”) elements employed in the methodology of and rules governing the Index will satisfy, whether in whole or in part, future investor expectations or requirements as regards the investment criteria or guidelines with which such investor or its investments derived from the Index are required to comply, whether by any present or future applicable law or regulations or by its own by-laws, investment policy or other governing rules or investment portfolio mandates. Furthermore, it should be noted that there is currently no standardized, clear nor global denition (legal, regulatory or otherwise) of, nor market consensus as to what constitutes, an ESG index nor as to what precise attributes are required for a particular index to be considered “ESG”. No assurance is, or can be, given by the Index Sponsor to investors that an ESG index used in investments will meet any or all investor expectations regarding related objectives. Accordingly, investors should make their own assessment as to the suitability of the Index for their investment or other purposes or requirements. Further information in respect of the Index and/or any applicable regulatory disclosures are available from the Index Sponsor upon request.

Each duciary of a pension, pro t-sharing or other employee benefit plan subject to the Employee Retirement Income Security Act of 1974, as amended (“ERISA”) (a “Plan”), should consider the duciary standards of ERISA in the context of the Plan’s particular circumstances before authorizing any investment. Accordingly, among other factors, the duciary should consider whether an investment would satisfy the prudence and diversification requirements of ERISA and would be consistent with the documents and instruments governing the Plan. The U.S. Department of Labor has issued ve prohibited transaction class exemptions (“PTCEs”) that may provide exemptive relief for direct or indirect prohibited transactions resulting from the purchase or holding of nancial products. Those class exemptions are PTCE 96-23 (for certain transactions determined by in-house asset managers), PTCE 95-60 (for certain transactions involving insurance company general accounts), PTCE 91-38 (for certain transactions involving bank collective investment funds), PTCE 90-1 (for certain transactions involving insurance company separate accounts) and PTCE 84-14 (for certain transactions determined by independent quali ed professional asset managers). Due to the complexity of these rules and the penalties that may be imposed upon persons involved in non-exempt prohibited transactions, it is particularly important that duciaries or other persons considering purchases on behalf of or with “plan assets” of any Plan consult with their counsel regarding the availability of exemptive relief.

This document contains certain performance data based on back-testing, i.e. simulations of performance of a strategy, Index or assets as if it had actually existed during a dened period of time. All terms, pricing, estimates and opinions included in this document constitute the judgment of BNP Paribas and its af liates as of the date of the document and may be subject to change without notice. This type of information has inherent limitations which recipients must consider carefully. While the information has been prepared in good faith in accordance with BNP Paribas' or its af liates’ own internal models and other relevant sources, an analysis based on different models or assumptions may yield different results. Unlike actual performance records, simulated performance, returns or scenarios may not necessarily re ect certain market s such as liquidity constraints, fees and transactions costs. Actual historical or back-tested past performance does not constitute an indication of future results or performance.

Neither BNP Paribas, persons connected with it, af liates of BNP Paribas, nor any of their respective directors, partners, of cers, employees or representatives accepts any liability whatsoever (including in negligence) for any direct or consequential loss arising from any use of these materials or their content even where advised of the possibility of such losses; any of the foregoing may, from time to time act as manager, co-manager or underwriter of a public offering or otherwise, in the capacity of principal or agent, deal in, hold or act as market makers or advisors, brokers or commercial and/or investment bankers in relation to the securities and derivatives that are discussed herein.

BNP Paribas may be a party to an agreement with any person relating to the production of this document. BNP Paribas may to the extent permitted by law, have acted upon or used the information contained herein or in the document, or the analysis on which it was based, before the document was published. BNP Paribas may receive or intend to seek compensation for investment banking services in the next three months from or in relation to any person mentioned in this document. Any person mentioned in this document may have been provided with relevant sections of this document prior to its publication in order to verify its factual accuracy.

In the event that we were to enter into a transaction with you, we will do so as principal (and not as agent or in any other capacity, including, without limitation, as your duciary, advisor or otherwise). Only in the event of a potential transaction will an offering document be prepared, in which case, you should refer to the prospectus or offering document relating to the above potential transaction which includes important information, including risk factors that relate to an investment in the product(s) described herein or in the document.

This document is intended only for those dened under U.S. securities laws as "institutional Investors" and/or "major institutional investors". Securities transactions with BNP Paribas that result from the provision of this document will be effected by or through BNP Paribas Securities Corp., a U.S. registered broker-dealer and member of FINRA, the New York Stock Exchange and other principal exchanges. Securities products offered by BNP Paribas Securities Corp. are not FDIC insured, are not bank deposits nor bank guaranteed, and are subject to investment risk, including possible loss of the principal invested.

BNP Paribas is incorporated in France with Limited Liability. Registered Of ce 16 boulevard des Italiens, 75009 Paris.

For country- specific disclaimers (United States, Canada, United Kingdom, France, Germany, Belgium, Ireland, Italy, Netherlands, Portugal, Spain, Switzerland, Brazil, Turkey, Israel, Bahrain, South Africa, Australia, China, Hong Kong, India, Indonesia, Japan, Malaysia, Singapore, South Korea, Taiwan, Thailand, Vietnam) please type the following URL to access our legal notices:
https://globalmarkets.bnpparibas.com/gm/home/20191111_Markets_360_Country_Specific_Notices.pdf

Some or all of the information contained in this document may already have been published on MARKETS 360TM Portal