THEAM Quant - Nuclear Opportunities Privilege USD Capitalisation

The objective of the Sub-fund is to increase the value of its assets over the medium term by being exposed to a dynamic basket of equities listed on worldwide markets, whose activities are linked to the nuclear energy value chain and complying with financial filters. In order to achieve its investment objective, the Sub-fund implements a quantitative investment strategy (the “Strategy”) that takes long positions on a diversified basket composed of worldwide markets equities (the “Optimal Portfolio”). The model used by the Optimal Portfolio consists of the following steps: (a) identification of the initial investment universe (the “Initial Portfolio”) composed of worldwide equities; (b) identification of the initial investment portfolio (the “Initial Investment Portfolio”) composed of equities from the Initial Portfolio meeting minimum requirements relating to liquidity and to the nuclear energy theme (the “Theme”); (c) identification of the thematic investment portfolio (the “Thematic Investment Portfolio”) composed of equities from the Initial Investment Portfolio meeting especially financial criteria where equity issuers rated as “Underperform”, if applicable, from a financial outlook perspective by BNP Paribas Exane (the “Data Provider”) are discarded. (d) a set of additional filtering criteria based on (i) financial indicators (such as measurements of the companies’growth, momentum and/or value factors) and (ii) such as only companies part of the top 80% in terms of the thematic score (“Thematic Score”) are retained. The Thematic Score is assigned by the Data Provider to a given share issuer, representing its level of exposure to the Theme as defined below, based on research, analysis and data processing; (e) a Thematic Investing approach via an optimisation algorithm which seeks to maximise the Thematic Score. The optimisation is applied according to the principal constraints such as diversification, liquidity and Minimum Carbon Objectives consisting of the reduction of carbon footprint of the Strategy final portfolio by 20% compared to the Initial Investment Portfolio. The Theme is defined by companies involved in the entire nuclear energy value chain, from nuclear fuel (uranium miners, enrichment, etc), to generator (nuclear power plant owner) and engineering & services (nuclear power plant design and construction, components like turbines and valves and other services like maintenance and control). Environmental, social and governance (ESG) criteria contribute to, but are not a determining factor, in the strategy decision making. The Strategy is implemented via the use of the BNP Paribas Exane Nuclear Energy Opportunities Index (the “Strategy Index”) financial index. It is based on a quantitative model developed by BNP Paribas and is rebalanced every quarter using a specific algorithm. Investors should note that there are annual replication costs linked to the quarterly readjustment of each portfolio as well as liquidity costs (these costs may change depending on market conditions). These costs will reduce the performance of the Strategy Index and indirectly reduce that of the Sub-fund. The complete breakdown of the Strategy Index is available on the website: https://indx.bnpparibas.com. The index calculation method is available via: https://docfinder.bnpparibas-am.com/api/files/dce4be0a-f58f-4a1c-8939-e8f5bac0b9cd The Strategy of the Sub-fund is deemed active. The Sub-fund does not have any benchmark for performance comparison purpose. The Strategy is implemented according to a Synthetic Replication Policy through the conclusion of OTC Derivatives. The Synthetic Replication Policy implies that the Sub-Fund does not actually hold the underlying securities of the Strategy, but instead relies on OTC Derivatives to deliver its performance. The Sub-fund invests at all times at least 51% of its net assets in equities and/or securities treated as equivalent to equities issued by companies of any country. Subscription and redemption requests can be made to the administrative agent before 4.00 pm (CET) at the latest on the day preceding the relevant valuation day. Administrative agent: BNP Paribas, Luxembourg Branch, 60 avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Incomes are systematically reinvested.