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IMPORTANT INFORMATION

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 affiliates (collectively “we” or “BNP Paribas”). As a confidential document it is submitted to selected recipients only and it may not be made available (in whole or in part) to any other person without BNP Paribas’ written consent. This document is not a recommendation to engage in any action, does not constitute or form any part of any offer to sell or issue and is not a solicitation of any offer to purchase any financial instrument, nor shall it or any part of it nor the fact of its distribution form the basis of, or be relied on in connection with, any contract or investment decision. 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.

As an investment bank with a wide range of activities, BNP Paribas may face conflicts of interest and you should be aware that BNP Paribas and/or any of its affiliates 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 significant 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 affiliate 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.
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THIS DOCUMENT IS A GENERAL SOLICITATION OF DERIVATIVES BUSINESS FOR THE PURPOSES OF, AND TO THE EXTENT IT IS SUBJECT TO, §§1.71 AND 23.605 OF THE U.S. COMMODITY EXCHANGE ACT. The risk of loss associated with futures and options trading, and trading in any other products discussed in this document, can be substantial. Investors considering options trading may wish to review the Options Disclosure Document: Characteristics and Risks of Standardized Options at (http://www.optionsclearing.com/publications/risks/riskchap1.jsp). The information on this website is not part of or incorporated by reference in this document. Options involve risks and are not suitable for all investors. This brief statement does not disclose all the risks and other significant aspects in connection with transactions of the type described in this document.

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 defined period of time). To the extent any such performance data is included, the scenarios, simulations, development expectations and forecasts contained in this document are for illustrative purposes only. All estimates and opinions included in this document constitute the judgment of BNP Paribas and its affiliates 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 affiliates’ 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 reflect certain market factors such as liquidity constraints, fees and transactions costs. Actual back-tested past performance does not constitute an indication of future results or performance. 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 affiliate would become subject to new or additional legal or regulatory requirements.

​​​​​​​This document is intended only for those defined 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. 

BNP Paribas. All rights reserved.

BNP Paribas has entered into a limited exclusive license agreement with S&P whereby we, in exchange for a fee, are permitted to use the Index in connection with the Callable Yield Notes (the “Notes”). We are not affiliated with S&P; the only relationship between S&P and us is any licensing of the use of S&P’s indices and trademarks relating to them. “Standard & Poor’s®”, “S&P®”, “S&P 500 Futures Defined Volatility 35% 6% Decrement Index” and “S&P 500®” are trademarks of S&P. The Notes are not sponsored, endorsed, sold or promoted by S&P or any of their affiliates, and S&P makes no representation regarding the advisability of investing in the Notes. S&P makes no representation or warranty, express or implied, to the owners of the Notes or any member of the public regarding the advisability of investing in securities generally or in the Notes particularly, or the ability of the Underlying Asset to track general stock market performance. S&P’s only relationship to the Issuer is the licensing of certain trademarks and trade names of S&P and of the Underlying Asset which is determined, composed and calculated by S&P without regard to the Issuer or the Notes. S&P has no obligation to take the needs of the Issuer or the owners of the Notes into consideration in determining, composing or calculating the Underlying Asset. S&P is not responsible for and will not participate in the determination of the timing of, prices at, or quantities of the Notes to be issued or in the determination or calculation of the equation by which the Notes are to be converted into cash. S&P has no obligation or liability in connection with the administration, marketing or trading of the Notes.

The S&P 500 Futures Defined Volatility 35% Decrement 6% Index is a product of S&P Dow Jones Indices LLC or its affiliates (“SPDJI”) and has been licensed for use by BNP Paribas. S&P®, S&P 500®, US 500, The 500, iBoxx®, iTraxx® and CDX® are trademarks of S&P Global, Inc. or its affiliates (“S&P”); Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”) and these trademarks have been licensed for use by SPDJI and sublicensed for certain purposes by BNP Paribas. BNP Paribas’ Callable Yield Notes are not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, or their respective affiliates and none of such parties make any representation regarding the advisability of investing in such Callable Yield Notes nor do they have any liability for any errors, omissions, or interruptions of the S&P 500 Futures Defined Volatility 35% Decrement 6% Index.

S&P DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA INCLUDED THEREIN AND S&P SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. S&P MAKES NO WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, OWNERS OF THE NOTES, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE UNDERLYING ASSET OR ANY DATA INCLUDED THEREIN. S&P MAKES NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE UNDERLYING ASSET OR ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL S&P HAVE ANY LIABILITY FOR ANY SPECIAL, PUNITIVE, INDIRECT OR CONSEQUENTIAL DAMAGES (INCLUDING LOST PROFITS), EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

Nasdaq®, Nasdaq-100®, Nasdaq-100 Index® and NDX® are a registered trademarks of Nasdaq, Inc. (which with its affiliates is referred to as the “Corporations” and are licensed for use by BNP Paribas. The Product(s) have not been passed on by the Corporations as to their legality or suitability. The Product(s) are not issued, endorsed, sold, or promoted by the Corporations. The Corporations make no warranties and bear no liability with respect to the product(s).

NONE OF BNP PARIBAS, NASDAQ OR ANY THIRD PARTY LICENSOR GUARANTEES THE ACCURACY, ADEQUACY, TIMELINESS, COMPLETENESS OR AVAILABILITY OF THE NASDAQ-100 FUTURES 35% DEFINED VOLATILITY 6% DECREMENT INDEX OR ANY COMPONENT THEREOF OR DATA INCLUDED THEREIN, OR THAT NO ERROR, OMISSION, DELAY OR INTERRUPTION WILL EXIST THEREIN. NONE OF BNP PARIBAS, NASDAQ OR ANY THIRD PARTY LICENSOR MAKES ANY REPRESENTATION OR WARRANTY, AND EACH OF BNP PARIBAS, NASDAQ AND THE THIRD PARTY LICENSORS EXPRESSLY DISCLAIMS ALL REPRESENTATIONS AND WARRANTIES, EXPRESS OR IMPLIED, REGARDING THE THE NASDAQ-100 FUTURES 35% DEFINED VOLATILITY 6% DECREMENT INDEX, ANY BNP PARIBAS MARK OR NASDAQ INDEX, TRADEMARK OR SERVICE MARK OF NASDAQ INCLUDING, WITHOUT LIMITATION, THOSE REGARDING MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE.