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Safety & risks

A41BTT is in the lowest risk class. Even so, it’s worth looking under the bonnet: how does a swap ETF work, what’s really in the fund – and what happens if things go wrong?

Last updated: 06/11/2026

How it works

Synthetic replication at a glance #

A41BTT doesn’t invest the money directly in the money market. Instead, it buys a so-called substitute basket and swaps its performance for the return of the €STR index – currently plus a premium paid by the banks.

Fund A41BTT holds the substitute basket

passes on the performance of the substitute basket

receives the return of the €STR index (currently plus a premium)

Swap counterparty Bank guarantees the index return

Valued daily The swap is valued every day. The accumulated difference between the substitute basket and the index is settled regularly, and the swap is reset in the process.

Substitute basket according to the key information document

at least 75% shares in companies from the EEARemainder: e.g. bonds, bank balances, deposits

Simplified illustration. The key information document and prospectus are authoritative.

Protection

What protects your money? #

Segregated assets: A41BTT is a sub-fund of the Luxembourg SICAV BNP Paribas Easy. The fund’s assets are held by a depositary (BNP Paribas, Luxembourg Branch) separately from the assets of the fund company. If the fund company goes bust, the money in the fund still belongs to the investors. Even if your broker becomes insolvent, the ETF units in your account remain your property.

UCITS rules: As a UCITS fund, A41BTT is subject to strict EU requirements. Among other things, exposure to any single swap counterparty may not exceed 10% of the fund’s assets. In practice, the swap is therefore reset regularly, long before this limit is reached.

No deposit protection: Unlike a savings account, an ETF is not covered by FSCS deposit protection. With securities this isn’t necessary anyway, because they don’t form part of the bank’s assets.

Risk class 1 of 7 #

In the key information document, the fund company places A41BTT in the lowest risk class. The reason: the fund tracks a very short-term interest rate index with extremely low volatility.

However, the rating does not take all risks into account – the document explicitly mentions counterparty and derivative risk in addition, and for investors outside the euro area also currency risk.

Being honest

What are the risks? #

Counterparty risk #

If the swap counterparty defaults, the fund no longer receives the full €STR return. The risk is limited by the 10% UCITS limit and daily valuation.

Substitute basket #

Normally it doesn’t matter what’s in the substitute basket. But if the swap counterparty defaults, the fund mainly holds equities – and their value may fluctuate until the position is unwound.

Interest rate changes #

If €STR falls, so does the return. In a period of negative interest rates such as 2019 to 2022, the price can even fall slightly.

You’ll find full details in the key information document and prospectus on the BNP Paribas Asset Management website (search for ISIN LU3025345516). These documents are the only binding basis for a purchase. The current composition of the substitute basket is also published there.