FC297155509_20161020.pdf
XS1113822982

FINAL TERMS FOR CERTIFICATES
FINAL TERMS DATED 14 November 2016
BNP Paribas Arbitrage Issuance B.V.
(incorporated in The Netherlands)
(as Issuer)
BNP Paribas
(incorporated in France)
(as Guarantor)
Up to 50,000 USD "Call" Certificates relating to Solactive European Deep Value Select 50 Index due 12 November
2021
under the Note, Warrant and Certificate Programme
of BNP Paribas Arbitrage Issuance B.V., BNP Paribas and BNP Paribas Fortis Funding
ISIN Code: XS1113822982
BNP Paribas Arbitrage S.N.C.
(as Manager)
The Securities are offered to the public in Luxembourg from 21 October 2016 to 4 November 2016.
Any person making or intending to make an offer of the Securities may only do so :
(i)

in those Non-exempt Offer Jurisdictions mentioned in Paragraph 47 of Part A below, provided such person is a
Manager or an Authorised Offeror (as such term is defined in the Base Prospectus) and that the offer is made
during the Offer Period specified in that paragraph and that any conditions relevant to the use of the Base
Prospectus are complied with; or

(ii)

otherwise in circumstances in which no obligation arises for the Issuer or any Manager to publish a prospectus
pursuant to Article 3 of the Prospectus Directive or to supplement a prospectus pursuant to Article 16 of the
Prospectus Directive, in each case, in relation to such offer.

None of the Issuer nor, the Guarantor or any Manager has authorised, nor do they authorise, the making of any offer of
Securities in any other circumstances.
Investors should note that if a supplement to or an updated version of the Base Prospectus referred to below is published at
any time during the Offer Period (as defined below), such supplement or updated base prospectus, as the case may be, will
be published and made available in accordance with the arrangements applied to the original publication of these Final
Terms. Any investors who have indicated acceptances of the Offer (as defined below) prior to the date of publication of such
supplement or updated version of the Base Prospectus, as the case may be, (the "Publication Date") have the right within
two working days of the Publication Date to withdraw their acceptances.
PART A - CONTRACTUAL TERMS
Terms used herein shall be deemed to be defined as such for the purposes of the Conditions set forth in the Base
Prospectus dated 9 June 2016, each Supplement to the Base Prospectus published and approved on or before the date of
these Final Terms (copies of which are available as described below)and any other Supplement to the Base Prospectus
which may have been published and approved before the issue of any additional amount of Securities (the "Supplements")
(provided that to the extent any such Supplement (i) is published and approved after the date of these Final Terms and (ii)
provide for any change to the Conditions of the Securities such changes shall have no effect with respect to the Conditions
of the Securities to which these Final Terms relate) which together constitute a base prospectus for the purposes of
Directive 2003/71/EC (the "Prospectus Directive") (the "Base Prospectus"). This document constitutes the Final Terms of
the Securities described herein for the purposes of Article 5.4 of the Prospectus Directive and must be read in conjunction
with the Base Prospectus. Full information on BNP Paribas Arbitrage Issuance B.V. (the "Issuer") and the offer of the
Securities is only available on the basis of the combination of these Final Terms and the Base Prospectus. A summary of
the Securities (which comprises the Summary in the Base Prospectus as amended to reflect the provisions of these Final
Terms) is annexed to these Final Terms. The Base Prospectus and any Supplements to the Base Prospectus are available
for viewing on http://eqdpo.bnpparibas.com/XS1113822982 and copies may be obtained free of charge at the specified
offices of the Security Agents. The Base Prospectus and the Supplements to the Base Prospectus will also be available on
the AMF website www.amf-france.org.
References herein to numbered Conditions are to the terms and conditions of the relevant series of Securities and words
and expressions defined in such terms and conditions shall bear the same meaning in these Final Terms in so far as they
relate to such series of Securities, save as where otherwise expressly provided.
These Final Terms relate to the series of Securities as set out in "Specific Provisions for each Series" below. References
herein to "Securities" shall be deemed to be references to the relevant Securities that are the subject of these Final Terms
and references to "Security" shall be construed accordingly.
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SPECIFIC PROVISIONS FOR EACH SERIES
Series Number

CE0235MDE

No. of
Securities
issued

No. of
Securities

Up to 50,000

Up to 50,000

ISIN

Common
Code

Issue Price per
Security

Redemption Date

XS1113822982 111382298

100% of the
Notional Amount

12 November 2021

GENERAL PROVISIONS
The following terms apply to each series of Securities:
1. Issuer:

BNP Paribas Arbitrage Issuance B.V.

2. Guarantor:

BNP Paribas

3. Trade Date:

7 October 2016.

4. Issue Date:

14 November 2016.

5. Consolidation:

Not applicable.

6. Type of Securities:

(a) Certificates.
(b) The Securities are Index Securities.
The provisions of Annex 2 (Additional Terms and Conditions for Index
Securities) shall apply.
Unwind Costs: Applicable

7. Form of Securities:

Clearing System Global Security.

8. Business Day Centre(s):

The applicable Business Day Centre for the purposes of the definition of
"Business Day" in Condition 1 is New York.

9. Settlement:

Settlement will be by way of cash payment (Cash Settled Securities).

10. Rounding Convention for cash
Settlement Amount:

Not applicable.

11. Variation of Settlement:
Issuer's option to vary settlement:

The Issuer does not have the option to vary settlement in respect of the
Securities.

12. Final Payout:
SPS Payout:

SPS Final Payout
SPS Vanilla Products
Vanilla Call Securities:
Constant Percentage 1 + Gearing * Max (Final Redemption Value- Strike
Percentage; Floor Percentage)
WITH:
Constant Percentage1: 100%
Gearing: 130%
Strike Percentage: 100 %
Floor Percentage: 0 %
Final Redemption Value: Underlying Reference Value.
Strike Price Closing Value: Applicable.
Underlying Reference Value means, in respect of an Underlying
Reference and a SPS Valuation Date, (i) the Underlying Reference
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Closing Price Value for such Underlying Reference in respect of such
SPS Valuation Date (ii) divided by the relevant Underlying Reference
Strike Price.
For the avoidance of doubt, when determining (i) above the SPS
Valuation Date shall never refer to the Strike Date.
Underlying Reference Closing Price Value means, in respect of a SPS
Valuation Date, the Closing Level in respect of such day.
Underlying Reference Strike Price means, in respect of an Underlying
Reference, the Underlying Reference Closing Price Value for such
Underlying Reference on the Strike Date.
Underlying Reference is as set out in § 25 (a).
SPS Valuation Date means the SPS Redemption Valuation Date or the
Strike Date, as applicable.
SPS Redemption Valuation Date means the Redemption Valuation
Date.
13. Relevant Asset(s):

Not applicable.

14. Entitlement:

Not applicable.

15. Exchange Rate:

Not applicable.

16. Settlement Currency:

The settlement currency for the payment of the Cash Settlement Amount
is United States Dollar ("USD").

17. Syndication:

The Securities will be distributed on a non-syndicated basis.

18. Minimum Trading Size:

Ten (10) Securities.
Over and above the Minimum Trading Size, Securities may be traded in
multiples of one (1) Security.

19. Principal Security Agent:

BNP Paribas Arbitrage S.N.C.

20. Registrar:

Not applicable.

21. Calculation Agent:

BNP Paribas Arbitrage S.N.C.
160-162 boulevard MacDonald, 75019 Paris, France.

22. Governing law:

English law.

23. Masse provisions (Condition 9.4):

Not applicable.

PRODUCT SPECIFIC PROVISIONS
24. Hybrid Securities:

Not applicable.

25. Index Securities:

Applicable.

(a) Index/Basket of
Indices/Index Sponsor(s):

The "Underlying Reference" is the Solactive European Deep Value
Select 50 Index (Bloomberg Code: SOLEDVSP).
Solactive AG or any successor thereto is the Index Sponsor.
The Underlying Index is a Multi-Exchange Index
For the purposes of the Conditions, the Underlying Reference shall be
deemed an Index.

(b) Index Currency:

Euro ("EUR").

(c) Exchange(s):

As set out in Annex 2 for a Composite Index.

(d) Related Exchange(s):

All Exchanges.

(e) Exchange Business Day:

Single Index Basis.

(f) Scheduled Trading Day:

Single Index Basis.

(g) Weighting:

Not applicable.
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XS1113822982

(h) Settlement Price:

Not applicable

(i) Specified Maximum Days
of Disruption:

Five (5) Scheduled Trading Days.

(j) Valuation Time:

Conditions apply.

(k) Delayed Redemption on
Occurrence of an Index
Adjustments Event:

Not applicable.

(l) Index Correction Period:

As per Conditions.

(m) Additional provisions
applicable to Custom
Indices:

Not applicable.

(n) Additional provisions
applicable to Futures
Price Valuation:

Not applicable.

26. Share Securities:

Not applicable.

27. ETI Securities:

Not applicable.

28. Debt Securities:

Not applicable.

29. Commodity Securities:

Not applicable.

30. Inflation Index Securities:

Not applicable.

31. Currency Securities:

Not applicable.

32. Fund Securities:

Not applicable.

33. Futures Securities:

Not applicable.

34. Credit Securities:

Not applicable.

35. Underlying Interest Rate Securities:

Not applicable.

36. Preference Share Certificates:

Not applicable.

37. OET Certificates:

Not applicable.

38. Additional Disruption Events:

Applicable.

39. Optional Additional Disruption
Events:

(a) The following Optional Additional Disruption Events apply to the
Securities: Not applicable.
(b) Delayed Redemption on Occurrence of an Additional Disruption Event
and/or Optional Additional Disruption Event: Not applicable.

40. Knock-in Event:

Not applicable.

41. Knock-out Event:

Not applicable.

42. EXERCISE, VALUATION AND
REDEMPTION
(a) Notional Amount of each
Certificate:

USD 1,000

(b) Partly Paid Certificates:

The Certificates are not Partly Paid Certificates.

(c) Interest:

Not applicable.

(d) Screen Rate
Determination:

Not applicable

(e) ISDA Determination:

Not applicable

(f) FBF Determination:

Not applicable

(g) Instalment Certificates:

The Certificates are not Instalment Certificates.

(h) Issuer Call Option:

Not applicable.

(i) Holder Put Option:

Not applicable.

(j) Automatic Early
Redemption:

Not applicable.
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(k) Renouncement Notice
Cut-off Time:

Not applicable.

(l) Strike Date:

4 November 2016

(m) Strike Price:

Not applicable.

(n) Redemption Valuation
Date:

4 November 2021.

(o) Averaging:

Averaging does not apply to the Securities.

(p) Observation Dates:

Not applicable.

(q) Observation Period:

Not applicable.

(r) Settlement Business Day:

Not applicable.

(s) Cut-off Date:

Not applicable.

(t) Identification information
of Holders as provided by Not applicable.
Condition 29:
DISTRIBUTION AND US SALES ELIGIBILITY
43. U.S. Selling Restrictions:

Not applicable.

44. Additional U.S. Federal income tax
consequences:

Not applicable.

45. Registered broker/dealer:

Not applicable.

46. TEFRA C or TEFRA Not Applicable:

TEFRA Not Applicable.

47. Non exempt Offer:

Applicable

(i) Non-exempt Offer
Jurisdictions:

Luxembourg.

(ii) Offer Period:

21 October 2016 until and including 4 November 2016.

(iii) Financial intermediaries
granted specific consent
to use the Base
Prospectus in
accordance with the
Conditions in it:

BGL- BNP Paribas Wealth Management
(the « Authorised Offeror »)
No underwriting commitment is undertaken by the Authorised Offeror

(iv) General Consent:

Not applicable.

(v) Other Authorised Offeror
Terms:

Not applicable.

PROVISIONS RELATING TO COLLATERAL AND SECURITY
48. Collateral Security Conditions:

Not applicable.

49. Notional Value Repack Securities:

Not applicable.

Responsibility
The Issuer accepts responsibility for the information contained in these Final Terms. To the best of the knowledge of the
Issuer (who has taken all reasonable care to ensure that such is the case), the information contained herein is in
accordance with the facts and does not omit anything likely to affect the import of such information.
Signed on behalf of BNP Paribas Arbitrage Issuance B.V.
As Issuer:

By: Déyanira SAENZ LOZANO... Duly authorised
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XS1113822982

PART B - OTHER INFORMATION
1. Listing and Admission to trading - De listing
The Securities are unlisted.
2. Ratings
The Securities have not been rated.
3. Interests of Natural and Legal Persons Involved in the Issue
Save as discussed in the "Potential Conflicts of Interest" paragraph in the "Risk Factors" in the Base Prospectus, so far as
the Issuer is aware, no person involved in the offer of the Securities has an interest material to the offer.
4. Performance of Underlying/Formula/Other Variable and Other Information concerning the Underlying Reference
See Base Prospectus for an explanation of effect on value of Investment and associated risks in investing in Securities.
Information on the Index shall be available on the Index Sponsor website as set out in below
Past and further performances of the Index are available on the Index Sponsor website as set out below, and its volatility
may be obtained from the Calculation Agent by emailing PARIS_PB_SWISSLUX@bnpparibas.com.
The Issuer does not intend to provide post-issuance information.
Place where information on the Underlying
Index can be obtained:

Solactive European Deep Value Select 50 Index
Website : http://www.solactive.com/de/indizes/?index=DE000SLA0252

Index Disclaimer
Neither the Issuer nor the Guarantor shall have any liability for any act or failure to act by an Index Sponsor in connection
with the calculation, adjustment or maintenance of an Index. Except as disclosed prior to the Issue Date, neither the Issuer,
the Guarantor nor their affiliates has any affiliation with or control over an Index or Index Sponsor or any control over the
computation, composition or dissemination of an Index. Although the Calculation Agent will obtain information concerning an
Index from publicly available sources it believes reliable, it will not independently verify this information. Accordingly, no
representation, warranty or undertaking (express or implied) is made and no responsibility is accepted by the Issuer, the
Guarantor, their affiliates or the Calculation Agent as to the accuracy, completeness and timeliness of information
concerning an Index.

Solactive European Deep Value Select 50 Index
The issue of the Securities is not sponsored, endorsed, sold, or promoted by any index to which the return on the Securities
is linked (an "Index", including any successor index) or any index sponsor of an Index to which the return on the Securities is
linked (an "Index Sponsor") and no Index Sponsor makes any representation whatsoever, whether express or implied, either
as to the results to be obtained from the use of an Index and/or the levels at which an Index stands at any particular time on
any particular date or otherwise. No Index or Index Sponsor shall be liable (whether in negligence or otherwise) to any
person for any error in an Index and an Index Sponsor is under no obligation to advise any person of any error therein. No
Index Sponsor is making any representation whatsoever, whether express or implied, as to the advisability of purchasing or
assuming any risk in connection with the Securities. Neither the Issuer nor the Guarantor shall have any liability for any act
or failure to act by an Index Sponsor in connection with the calculation, adjustment or maintenance of an Index. Except as
disclosed prior to the Issue Date, neither the Issuer, the Guarantor nor their affiliates has any affiliation with or control over
an Index or Index Sponsor or any control over the computation, composition or dissemination of an Index. Although the
Calculation Agent will obtain information concerning an Index from publicly available sources it believes reliable, it will not
independently verify this information. Accordingly, no representation, warranty or undertaking (express or implied) is made
and no responsibility is accepted by the Issuer, the Guarantor, their affiliates or the Calculation Agent as to the accuracy,
completeness and timeliness of information concerning an Index.

5. Operational Information
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Relevant Clearing System(s):
If other than Euroclear Bank S.A./N.V.,
Clearstream Banking, société anonyme,
Euroclear France include the relevant
identification number(s) and in the case of
Swedish Securities, the Swedish Security
Agent:

Euroclear and Clearstream Luxembourg.

Valoren: 31997809

6. Terms and Conditions of the Public Offer

Offer Price:
Conditions to which the offer is subject:

Issue Price
The Issuer reserves the right to modify the total nominal amount of the
Certificates to which investors can subscribe, withdraw the offer of the
Securities and cancel the issuance of the Securities for any reason, in
accordance with the Distributor at any time on or prior to the Issue Date.
For the avoidance of doubt, if any application has been made by a
potential investor and the Issuer exercises such a right, each such
potential investor shall not be entitled to subscribe or otherwise acquire
the Securities. Such an event will be notified to investors via the following
link: http://eqdpo.bnpparibas.com/XS1113822982.
The Issuer will determine the final amount of Securities issued up to a
limit of 50,000 Securities. The final amount that are issued on the Issue
Date will be notified to investors via the following link:
http://eqdpo.bnpparibas.com/XS1113822982.
The Securities will be allotted subject to availability in the order of receipt
of investors' applications. The final amount of the Securities issued will
be determined by the Issuer in light of prevailing market conditions, and
depending on the number of Securities which have been agreed to be
purchased as of the Issue Date.

Description of the application process:

Application to subscribe for the Securities can be made in Luxembourg
through the Authorised Offeror. The distribution activity will be carried out
in accordance with the usual procedures of the Authorised Offeror
Prospective investors will not be required to enter into any contractual
arrangements directly with the Issuer in relation to the subscription for the
Securities.

Details of the minimum and/or maximum
amount of application:

Minimum purchase amount per investor: Ten (10) Certificate.
Maximum subscription amount per investor: The number of Securities
issued as set out in SPECIFIC PROVISIONS FOR EACH SERIES in Part
A.
The maximum amount of application of Securities will be subject only to
availability at the time of the application.
There are no pre-identified allotment criteria.
The Authorised Offeror will adopt allotment criteria that ensure equal
treatment of prospective investors. All of the Securities requested through
the Authorised Offeror during the Offer Period will be assigned up to the
maximum amount of the Offer.
In the event that during the Offer Period the requests exceed the total
amount of the offer destined to prospective investors the Issuer, in
accordance with the Authorised Offeror, will proceed to early terminate
the Offer Period and will immediately suspend the acceptance of further
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requests.
Description of possibility to reduce
subscriptions and manner for refunding
excess amount paid by applicants:

Not applicable.

Details of the method and time limits for
paying up and delivering Securities:

The Securities will be issued on the Issue Date against payment to the
Issuer by the Authorised Offeror of the gross subscription moneys.
The Securities are cleared through the clearing systems and are due to
be delivered through the Authorised Offeror on or around the Issue Date.

Manner in and date on which results of the
offer are to be made public:

Publication
on
the
following
website:
http://eqdpo.bnpparibas.com/XS1113822982 on or around the Issue
Date.

Procedure for exercise of any right of preemption, negotiability of subscription rights
and treatment of subscription rights not
exercised:
Process for notification to applicants of the
amount allotted and indication whether
dealing may begin before notification is
made:

Amount of any expenses and taxes
specifically charges to the subscriber or
purchaser:

Not applicable.

In the case of over subscription, allotted amounts will be notified to
applicants
on
the
following
website:
http://eqdpo.bnpparibas.com/XS1113822982 on or around the Issue
Date.
No dealing in the Certificates may begin before any such notification is
made.
In all other cases, allotted amounts will be equal to the amount of the
application, and no further notification shall be made.
In all cases, no dealing in the Certificates may take place prior to the
Issue Date.
The Issuer is not aware of any expenses and taxes specifically charged to
the subscriber.

Name and address of the entities which have
a firm commitment to act as intermediaries in
secondary trading, providing liquidity
None
through bid and offer rates and a description
of the main terms of their commitment:
7. Placing and Underwriting

Name(s) and address(es), to the extent
known to the issuer, of the placers in the
various countries where the offer takes
place:

The Authorised Offerors identified in Paragraph 48 of Part A and
identifiable from the Base Prospectus

Name and address of the co-ordinator(s) of
the global offer and of single parts of the
offer:

Not applicable.

Name and address of any paying agents and
depository agents in each country (in
addition to the Principal Paying Agent):

Not applicable.

Entities agreeing to underwrite the issue on
a firm commitment basis, and entities
agreeing to place the issue without a firm
commitment or under "best efforts"
arrangements:

Not applicable.

When the underwriting agreement has been
or will be reached:

No underwriting commitment is undertaken by the Authorised Offeror

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ISSUE SPECIFIC SUMMARY OF THE PROGRAMME IN RELATION TO THIS BASE PROSPECTUS

Summaries are made up of disclosure requirements known as "Elements". These Elements are numbered in Sections A – E
(A.1 – E.7). This Summary contains all the Elements required to be included in a summary for this type of Securities, Issuer
and Guarantor. Because some Elements are not required to be addressed, there may be gaps in the numbering sequence
of the Elements. Even though an Element may be required to be inserted in the summary because of the type of Securities,
Issuer and Guarantor(s), it is possible that no relevant information can be given regarding the Element. In this case a short
description of the Element should be included in the summary explaining why it is not applicable.
Section A - Introduction and warnings
Element

Title

A.1

Warning that the
summary should be
read as an
introduction and
provision as to
claims

A.2

Consent as to use
the Base
Prospectus, period
of validity and other
conditions attached

●

This summary should be read as an introduction to the Base Prospectus
and the applicable Final Terms. In this summary, unless otherwise
specified and except as used in the first paragraph of Element D.3, "Base
Prospectus" means the Base Prospectus of BNPP B.V. and BNPP dated 9
June 2016 as supplemented from time to time under the Note, Warrant
and Certificate Programme of BNPP B.V., BNPP and BNP Paribas Fortis
Funding. In the first paragraph of Element D.3, "Base Prospectus" means
the Base Prospectus of BNPP B.V. and BNPP dated 9 June 2016.

●

Any decision to invest in any Securities should be based on a
consideration of the Base Prospectus as a whole, including any
documents incorporated by reference and the applicable Final Terms.

●

Where a claim relating to information contained in the Base Prospectus
and the applicable Final Terms is brought before a court in a Member
State of the European Economic Area, the plaintiff may, under the national
legislation of the Member State where the claim is brought, be required to
bear the costs of translating the Base Prospectus and the applicable Final
Terms before the legal proceedings are initiated.

●

No civil liability will attach to the Issuer or the Guarantor in any such
Member State solely on the basis of this summary, including any
translation hereof, unless it is misleading, inaccurate or inconsistent when
read together with the other parts of the Base Prospectus and the
applicable Final Terms or, following the implementation of the relevant
provisions of Directive 2010/73/EU in the relevant Member State, it does
not provide, when read together with the other parts of the Base
Prospectus and the applicable Final Terms, key information (as defined in
Article 2.1(s) of the Prospectus Directive) in order to aid investors when
considering whether to invest in the Securities.

Consent: Subject to the conditions set out below, the Issuer consents to the use of the
Base Prospectus in connection with a Non-exempt Offer of Securities by the
Managers and BNP Paribas and Identified as an Authorised Offeror in respect of the
relevant Non-exempt Offer.
Offer period: The Issuer's consent referred to above is given for Non-exempt Offers of
Securities from 21 October 2016 to 4 November 2016 (the "Offer Period").
Conditions to consent: The conditions to the Issuer's consent are that such consent (a)
is only valid during the Offer Period; and (b) only extends to the use of the Base
Prospectus to make Non-exempt Offers of the relevant Tranche of Securities in
Luxembourg.
AN INVESTOR INTENDING TO PURCHASE OR PURCHASING ANY SECURITIES
IN A NON-EXEMPT OFFER FROM AN AUTHORISED OFFEROR WILL DO SO, AND
OFFERS AND SALES OF SUCH SECURITIES TO AN INVESTOR BY SUCH
AUTHORISED OFFEROR WILL BE MADE, IN ACCORDANCE WITH THE TERMS
AND CONDITIONS OF THE OFFER IN PLACE BETWEEN SUCH AUTHORISED
OFFEROR AND SUCH INVESTOR INCLUDING ARRANGEMENTS IN RELATION
TO PRICE, ALLOCATIONS, EXPENSES AND SETTLEMENT. THE RELEVANT
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XS1113822982

Element

Title
INFORMATION WILL BE PROVIDED BY THE AUTHORISED OFFEROR AT THE
TIME OF SUCH OFFER.

Section B - Issuer and Guarantor
Element

Title

B.1

Legal and
commercial name of
the Issuer

B.2

Domicile/ legal form/ The Issuer was incorporated in the Netherlands as a private company with limited
legislation/ country
liability under Dutch law having its registered office at Herengracht 595, 1017 CE
Amsterdam, the Netherlands.
of incorporation

B.4b

Trend information

BNPP B.V. is dependent upon BNPP. BNPP B.V. is a wholly owned subsidiary of
BNPP specifically involved in the issuance of securities such as notes, warrants or
certificates or other obligations which are developed, setup and sold to investors by
other companies in the BNPP Group (including BNPP). The securities are hedged by
acquiring hedging instruments and/or collateral from BNP Paribas and BNP Paribas
entities as described in Element D.2 below. As a consequence, the Trend Information
described with respect to BNPP shall also apply to BNPP B.V.

B.5

Description of the
Group

BNPP B.V. is a wholly owned subsidiary of BNP Paribas. BNP Paribas is the ultimate
holding company of a group of companies and manages financial operations for those
subsidiary companies (together the "BNPP Group").

B.9

Profit forecast or
estimate

Not applicable, as there are no profit forecasts or estimates made in respect of the
Issuer in the Base Prospectus to which this Summary relates.

B.10

Audit report
qualifications

Not applicable, there are no qualifications in any audit report on the historical financial
information included in the Base Prospectus.

B.12

Selected historical key financial information:

BNP Paribas Arbitrage Issuance B.V. ("BNPP B.V." or the "Issuer").

Comparative Annual Financial Data - In EUR
31/12/2015 (audited)

31/12/2014 (audited)

Revenues

315,558

432,263

Net Income, Group Share

19,786

29,043

43,042,575,328

64,804,833,465

464,992

445,206

Total balance sheet
Shareholders' equity (Group Share)

Comparative Interim Financial Data for the six-month period ended 30 June 2016 – In EUR
30/06/2016
(unaudited)

30/06/2015
(unaudited)

Revenues

183,330

158,063

Net Income, Group Share

12,506

10,233

30/06/2016
(unaudited)

31/12/2015
(audited)

49,514,864,240

43,042,575,328

477,498

464,992

Total balance sheet
Shareholders’ equity (Group share)

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Element

Title
Statements of no significant or material adverse change
There has been no significant change in the financial or trading position of the BNPP Group since 30 June
2016 (being the end of the last financial period for which interim financial statements have been published).
There has been no material adverse change in the prospects of BNPP or the BNPP Group since 31
December 2015 (being the end of the last financial period for which audited financial statements have been
published).
There has been no significant change in the financial or trading position of BNPP B.V. since 31 December
2015 and there has been no material adverse change in the prospects of BNPP B.V. since 31 December
2015.

B.13

Events impacting
the Issuer's
solvency

Not applicable, as at 12 October 2016 and to the best of the Issuer's knowledge, there
have not been any recent events which are to a material extent relevant to the
evaluation of the Issuer's solvency since 30 June 2016.

B.14

Dependence upon
other group entities

BNPP B.V. is dependent upon BNPP. BNPP B.V. is a wholly owned subsidiary of
BNPP specifically involved in the issuance of securities such as notes, warrants or
certificates or other obligations which are developed, setup and sold to investors by
other companies in the BNPP Group (including BNPP). The securities are hedged by
acquiring hedging instruments and/or collateral from BNP Paribas and BNP Paribas
entities as described in Element D.2 below.
See also Element B.5 above.

B.15

Principal activities

The principal activity of the Issuer is to issue and/or acquire financial instruments of
any nature and to enter into related agreements for the account of various entities
within the BNPP Group.

B.16

Controlling
shareholders

BNP Paribas holds 100 per cent. of the share capital of the Issuer.

B.17

Solicited credit
ratings

BNPP B.V.'s long term credit rating are A with a stable outlook (Standard & Poor's
Credit Market Services France SAS) and BNPP B.V.'s short term credit rating are A-1
(Standard & Poor's Credit Market Services France SAS).
The Securities have not been rated.
A security rating is not a recommendation to buy, sell or hold securities and may be
subject to suspension, reduction or withdrawal at any time by the assigning rating
agency.

B.18

Description of the
Guarantee

The Securities will be unconditionally and irrevocably guaranteed by BNP Paribas
("BNPP" or the "Guarantor") pursuant to an English law deed of guarantee executed
by BNPP on or around 10 June 2016 (the "Guarantee").
In the event of a bail-in of BNPP but not BNPP B.V., the obligations and/or amounts
owed by BNPP under the guarantee shall be reduced to reflect any such modification
or reduction applied to liabilities of BNPP resulting from the application of a bail-in of
BNPP by any relevant regulator (including in a situation where the Guarantee itself is
not the subject of such bail-in).
The obligations under the guarantee are direct unconditional, unsecured and
unsubordinated obligations of BNPP and rank and will rank pari passu among
themselves and at least pari passu with all other direct, unconditional, unsecured and
unsubordinated indebtedness of BNPP (save for statutorily preferred exceptions).

B.19

Information about
the Guarantor

B.19/ B.1

Legal and
commercial name of
the Guarantor

B.19/ B.2

Domicile/ legal form/ The Guarantor was incorporated in France as a société anonyme under French law
legislation/ country
and licensed as a bank having its head office at 16, boulevard des Italiens - 75009

BNP Paribas.

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XS1113822982

Element

B.19/ B.4b

Title
of incorporation

Paris, France.

Trend information

Macroeconomic environment
Macroeconomic and market conditions affect the Bank's results. The nature of the
Bank's business makes it particularly sensitive to macroeconomic and market
conditions in Europe, which have been at times challenging and volatile in recent
years.
In 2015, the global economic activity remained sluggish. Activity slowed down in
emerging countries, while modest recovery continued in developed countries. The
global outlook is still impacted by three major transitions: the slowing economic growth
in China, the fall in prices of energy and other commodities, and an initial tightening of
US monetary policy in a context of resilient internal recovery, while the central banks
of several major developed countries are continuing to ease their monetary policies.
1
For 2016, the IMF is forecasting the progressive recovery of global economic activity
but with low growth prospects on the medium term in developed and emerging
countries.
In that context, two risks can be identified:
Financial instability due to the vulnerability of emerging countries
While the exposure of the BNP Paribas Group in emerging countries is limited, the
vulnerability of these economies may generate disruptions in the global financial
system that could affect the BNP Paribas Group and potentially alter its results.
In numerous emerging economies, an increase in foreign currency commitments was
observed in 2015, while the levels of indebtedness (both in foreign and local
currencies) are already high. Moreover, the prospects of a progressive hike in key
rates in the United States (first rate increase decided by the Federal Reserve in
December 2015), as well as tightened financial volatility linked to the concerns
regarding growth in emerging countries, have contributed to the stiffening of external
financial conditions, capital outflows, further currency depreciations in numerous
emerging countries and an increase in risks for banks.This could lead to the
downgrading of sovereign ratings.
Given the possible standardisation of risk premiums, there is a risk of global market
disruptions (rise in risk premiums, erosion of confidence, decline in growth,
postponement or slowdown in the harmonisation of monetary policies, drop in market
liquidity, problem with the valuation of assets, shrinking of the credit offering, and
chaotic de-leveraging) that would affect all banking institutions.
Systemic risks related to economic conditions and market liquidity
The continuation of a situation with exceptionally low interest rates could promote
excessive risk-taking by certain financial players: increase in the maturity of loans and
assets held, less stringent loan granting policies, increase in leverage financing.
Some players (insurance companies, pension funds, asset managers, etc.) entail an
increasingly systemic dimension and in the event of market turbulence (linked for
instance to a sudden rise in interest rates and/or a sharp price correction) they may
decide to unwind large positions in an environment of relatively weak market liquidity.
Such liquidity pressure could be exacerbated by the recent increase in the volume of
assets under management placed with structures investing in illiquid assets.
Laws and regulations applicable to financial institutions
Recent and future changes in the laws and regulations applicable to financial
institutions may have a significant impact on BNPP. Measures that were recently
adopted or which are (or whose application measures are) still in draft format, that

1

See: IMF – October 2015 Financial Stability Report, Advanced Countries and January 2016 update
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XS1113822982

Element

Title
have or are likely to have an impact on BNPP notably include:
– the structural reforms comprising the French banking law of 26 July 2013
requiring that banks create subsidiaries for or segregate "speculative"
proprietary operations from their traditional retail banking activities, the
"Volcker rule" in the US which restricts proprietary transactions, sponsorship
and investment in private equity funds and hedge funds by US and foreign
banks, and expected potential changes in Europe;
– regulations governing capital: CRD IV/CRR, the international standard for
total loss-absorbing capacity (TLAC) and BNPP's designation as a financial
institution that is of systemic importance by the Financial Stability Board;
– the European Single Supervisory Mechanism and the ordinance of 6
November 2014;
– the Directive of 16 April 2014 related to deposit guarantee schemes and its
delegation and implementing decress, the Directive of 15 May 2014
establishing a Bank Recovery and Resolution framework, the Single
Resolution Mechanism establishing the Single Resolution Council and the
Single Resolution Fund;
– the Final Rule by the US Federal Reserve imposing tighter prudential rules
on the US transactions of large foreign banks, notably the obligation to create
a separate intermediary holding company in the US (capitalised and subject
to regulation) to house their US subsidiaries;
– the new rules for the regulation of over-the-counter derivative activities
pursuant to Title VII of the Dodd-Frank Wall Street Reform and Consumer
Protection Act, notably margin requirements for uncleared derivative products
and the derivatives of securities traded by swap dealers, major swap
participants, security-based swap dealers and major security-based swap
participants, and the rules of the US Securities and Exchange Commission
which require the registration of banks and major swap participants active on
derivatives markets and transparency and reporting on derivative
transactions;
– the new MiFID and MiFIR, and European regulations governing the clearing
of certain over-the-counter derivative products by centralised counterparties
and the disclosure of securities financing transactions to centralised bodies.
Cyber risk
In recent years, financial institutions have been impacted by anumber of cyber
incidents, notably involving large-scale alterations of data which compromise the
quality of financial information. This risk remains today and BNPP, like other banks,
has taken measures to implement systems to deal with cyber attacks that could
destroy or damage data and critical systems and hamper the smooth running of its
operations. Moreover, the regulatory and supervisory authorities are taking initiatives
to promote the exchange of information on cyber security and cyber criminality in
order to improve the security of technological infrastructures and establish effective
recovery plans after a cyber incident.

B.19/B.5

Description of the
Group

BNPP is a European leading provider of banking and financial services and has four
domestic retail banking markets in Europe, namely in Belgium, France, Italy and
Luxembourg. It is present in 74 countries and has more than 189,000 employees,
including close to 147,000 in Europe. BNPP is the parent company of the BNP
Paribas Group (together the "BNPP Group").

B.19/B.9

Profit forecast or
estimate

Not applicable, as there are no profit forecasts or estimates made in respect of the
Guarantor in the Base Prospectus to which this Summary relates.

B.19/ B.10

Audit report
qualifications

Not applicable, there are no qualifications in any audit report on the historical financial
information included in the Base Prospectus.

B.19/ B.12

Selected historical key financial information:
Comparative Annual Financial Data - In millions of EUR
31/12/2015
(audited)

31/12/2014

*

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XS1113822982

Element

Title
Revenues

42,938

39,168

Cost of risk

(3,797)

(3,705)

Net income, Group share

6,694

157

31/12/2015

31/12/2014

10.90%

10.30%

31/12/2015
(audited)

31/12/2014

1,994,193

2,077,758

Consolidated loans and receivables due
from customers

682,497

657,403

Consolidated items due to customers

700,309

641,549

Shareholders' equity (Group share)

96,269

89,458

Common equity Tier 1 ratio (Basel 3 fully
loaded, CRD4)

Total consolidated balance sheet

*

*

* Restated according to the IFRIC 21 interpretation.
Comparative Interim Financial Data for the six-month period ended 30 June 2016 - In millions of EUR
1H16 (unaudited)

1H15 (unaudited)

Revenues

22,166

22,144

Cost of risk

(1,548)

(1,947)

Net income, Group share

4,374

4,203

30/06/2016

31/12/2015

11.10%

10.90%

30/06/2016 (unaudited)

31/12/2015 (audited)

2,171,989

1,994,193

Consolidated loans and receivables due
from customers

693,304

682,497

Consolidated items due to customers

725,596

700,309

Shareholders' equity (Group share)

97,509

96,269

Common equity Tier 1 Ratio (Basel 3 fully
loaded, CRD4)

Total consolidated balance sheet

Statements of no significant or material adverse change
There has been no significant change in the financial or trading position of the BNPP Group since 30 June
2016 (being the end of the last financial period for which interim financial statements have been published).
There has been no material adverse change in the prospects of BNPP or the BNPP Group since 31
December 2015 (being the end of the last financial period for which audited financial statements have been
published).
B.19/ B.13

Events impacting
the Guarantor's
solvency

As at 4 August 2016 and to the best of the Guarantor's knowledge, there have not
been any recent events which are to a material extent relevant to the evaluation of the
Guarantor's solvency since 30 June 2016.

B.19/ B.14

Dependence upon
other Group entities

Subject to the following paragraph, BNPP is not dependent upon other members of
the BNPP Group.
In April 2004, BNPP began outsourcing IT Infrastructure Management Services to the
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Element

Title
BNP Paribas Partners for Innovation (BP²I) joint venture set up with IBM France at the
end of 2003. BP²I provides IT Infrastructure Management Services for BNPP and
several BNPP subsidiaries in France (including BNP Paribas Personal Finance, BP2S,
and BNP Paribas Cardif), Switzerland, and Italy. In mid-December 2011 BNPP
renewed its agreement with IBM France for a period lasting until end-2017. At the end
of 2012, the parties entered into an agreement to gradually extend this arrangement to
BNP Paribas Fortis as from 2013.
BP²I is under the operational control of IBM France. BNP Paribas has a strong
influence over this entity, which is 50/50 owned with IBM France. The BNP Paribas
staff made available to BP²I make up half of that entity's permanent staff, its buildings
and processing centres are the property of the Group, and the governance in place
provides BNP Paribas with the contractual right to monitor the entity and bring it back
into the Group if necessary.
ISFS, a fully-owned IBM subsidiary, handles IT Infrastructure Management for BNP
Paribas Luxembourg.
BancWest's data processing operations are outsourced to Fidelity Information
Services. Cofinoga France's data processing is outsourced to SDDC, a fully-owned
IBM subsidiary.
See Element B.5 above.

B.19/ B.15

Principal activities

BNP Paribas holds key positions in its two main businesses:

●

Retail Banking and Services, which includes:
●

●

●

B.19/ B.16

Controlling
shareholders

Domestic Markets, comprising:
●

French Retail Banking (FRB),

●

BNL banca commerciale (BNL bc), Italian retail banking,

●

Belgian Retail Banking (BRB),

●

Other Domestic Markets activities, including Luxembourg Retail
Banking (LRB);

International Financial Services, comprising:
●

Europe-Mediterranean,

●

BancWest,

●

Personal Finance,

●

Insurance,

●

Wealth and Asset Management;

Corporate and Institutional Banking (CIB), which includes:
●

Corporate Banking,

●

Global Markets,

●

Securities Services.

None of the existing shareholders controls, either directly or indirectly, BNPP. As at 31
December 2015 the main shareholders are Société Fédérale de Participations et
d'Investissement ("SFPI") a public-interest société anonyme (public limited company)
acting on behalf of the Belgian government holding 10.2% of the share capital
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Element

Title
BlackRock Inc. holding 5.1% of the share capital and Grand Duchy of Luxembourg
holding 1.0% of the share capital. To BNPP's knowledge, no shareholder other than
SFPI owns more than 5% of its capital or voting rights.

B.19/ B.17

Solicited credit
ratings

BNPP's long term credit ratings are A with a stable outlook (Standard & Poor's Credit
Market Services France SAS), A1 with a stable outlook (Moody's Investors Service
Ltd.) and A+ with a stable outlook (Fitch France S.A.S.) and AA (low) with a stable
outlook (DBRS Limited) and BNPP's short-term credit ratings are A-1 (Standard &
Poor's Credit Market Services France SAS), P-1 (Moody's Investors Service Ltd.), F1
(Fitch France S.A.S.) and R-1 (middle) (DBRS Limited).
A security rating is not a recommendation to buy, sell or hold securities and may be
subject to suspension, reduction or withdrawal at any time by the assigning rating
agency.

Section C - Securities
Element

Title

C.1

Type and class of
Securities/ISIN

The Securities are certificates ("Certificates") and are issued in Series.
The Series Number of the Securities is CE0235MDE.
The ISIN is XS1113822982.
The Common Code is 111382298.
The Valoren Code is: 31997809.
The Securities are cash settled Securities.

C.2

Currency

The currency of this Series of Securities is United States Dollar ("USD").

C.5

Restrictions on free
transferability

The Securities will be freely transferable, subject to the offering and selling restrictions
in the United States, the European Economic Area, Belgium, the Czech Republic,
Denmark, Finland, France, Germany, Hungary, Ireland, Italy, Luxembourg, Norway,
Poland, Romania, Spain, Sweden, the United Kingdom, Japan and Australia and
under the Prospectus Directive and the laws of any jurisdiction in which the relevant
Securities are offered or sold.

C.8

Rights attaching to
the Securities

Securities issued under the Base Prospectus will have terms and conditions relating
to, among other matters:
Status
The Securities are issued on a unsecured basis. Securities issued on an unsecured
basis constitute direct, unconditional, unsecured and unsubordinated obligations of the
Issuer and rank and will rank pari passu among themselves and at least pari passu
with all other direct, unconditional, unsecured and unsubordinated indebtedness of the
Issuer (save for statutorily preferred exceptions).
Taxation
The Holder must pay all taxes, duties and/or expenses arising from the redemption of
the Securities and/or the delivery or transfer of the Entitlement. The Issuer shall
deduct from amounts payable or assets deliverable to Holders certain taxes and
expenses not previously deducted from amounts paid or assets delivered to Holders,
as the Calculation Agent determines are attributable to the Securities.
Payments will be subject in all cases to (i) any fiscal or other laws and regulations
applicable thereto in the place of payment, (ii) any withholding or deduction required
pursuant to an agreement described in Section 1471(b) of the U.S. Internal Revenue
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XS1113822982

Element

Title
Code of 1986 (the "Code") or otherwise imposed pursuant to Sections 1471 through
1474 of the Code, any regulations or agreements thereunder, any official
interpretations thereof, or any law implementing an intergovernmental approach
thereto, and (iii) any withholding or deduction required pursuant to Section 871(m) of
the Code.
Negative pledge
The terms of the Securities will not contain a negative pledge provision.
Events of Default
The terms of the Securities will not contain events of default.
Meetings
The terms of the Securities will contain provisions for calling meetings of holders of
such Securities to consider matters affecting their interests generally. These
provisions permit defined majorities to bind all holders, including holders who did not
attend and vote at the relevant meeting and holders who voted in a manner contrary to
the majority.
Governing law
The Securities, the English Law Agency Agreement (as amended or supplemented
from time to time), the Guarantee in respect of the Securities and any non-contractual
obligations arising out of or in connection with the Securities, the English Law Agency
Agreement (as amended or supplemented from time to time) and the Guarantee in
respect of the Securities will be governed by and shall be construed in accordance
with English law.

C.9

Interest/Redemption

interest
The Securities do not bear or pay interest.
redemption
Unless previously redeemed or cancelled, each Security will be redeemed on 12
November 2021 as set out in Element C.18.
Representative of Holders
No representative of the Holders has been appointed by the Issuer.
Please also refer to item C.8 above for rights attaching to the Securities.

C.10

Derivative
component in the
interest payment

Not applicable.

C.11

Admission to
Trading

Application is expected to be made by the Issuer (or on its behalf) for the Securities to
be admitted to trading on None.

C.15

How the value of the The amount payable on redemption is calculated by reference to the Underlying
Reference(s). See item C.9 above and C.18 below.
investment in the
derivative securities
is affected by the
value of the
underlying assets

C.16

Maturity of the
derivative Securities

The Redemption Date of the Securities is 12 November 2021.

C.17

Settlement
Procedure

This Series of Securities is cash settled.
The Issuer does not have the option to vary settlement.
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Element

Title

C.18

Return on derivative
securities

See Element C.8 above for the rights attaching to the Securities.
Information on interest amount in relation to the Securities is set out in Element C.9
above.
Final Redemption
Unless previously redeemed or purchased and cancelled, each Security entitles its
holder to receive from the Issuer on the Redemption Date a Cash Settlement Amount
equal to the Final Payouts.
Final Payouts : Structured Products Securities (SPS) Final Payouts
Vanilla Securities : fixed term products which have a return linked to the performance
of the Underlying Reference(s). The return calculation can be based on various
mechanisms (including knock-in or knock-out features). There may be total capital
protection.
NA X Vanilla Call
NA means USD 1,000
Vanilla Call Securities is applicable.
Constant Percentage 1 + Gearing * Max (Final Redemption Value- Strike Percentage;
Floor Percentage)
WITH:
Constant Percentage1: 100%
Gearing: 130%
Strike Percentage: 100 %
Floor Percentage: 0 %
Final Redemption Value: Underlying Reference Value.
Strike Price Closing Value: Applicable.
Underlying Reference Value means, in respect of an Underlying Reference and a
SPS Valuation Date, (i) the Underlying Reference Closing Price Value for such
Underlying Reference in respect of such SPS Valuation Date (ii) divided by the
relevant Underlying Reference Strike Price.For the avoidance of doubt, when
determining (i) above the SPS Valuation Date shall never refer to the Strike Date.
Underlying Reference Closing Price Value means, in respect of a SPS Valuation
Date, the Closing Level in respect of such day.
Underlying Reference Strike Price means, in respect of an Underlying Reference,
the Underlying Reference Closing Price Value for such Underlying Reference on the
Strike Date.
Underlying Reference is as set out in item C 20.
SPS Valuation Date means the SPS Redemption Valuation Date or the Strike Date,
as applicable.
SPS Redemption Valuation Date means the Redemption Valuation Date.
Strike Date: 4 November 2016.

C.19

Final reference price
The final reference price of the underlying will be determined in accordance with the
of the Underlying
valuation mechanics set out in Element C.18 above.

C.20

Underlying

The Underlying Reference specified in Element C.18 above is as follows. Information

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XS1113822982

Element

Title
on the Underlying Reference(s) can be obtained on the following website(s):

k

1

Index Name

Solactive
European Deep
Value Select 50
Index

Underlying
k
Reference

Index
Sponsor

Solactive AG

Website
Bloomberg
Index
Code
Currency

SOLEDVSP

EUR

http://www.solactive.com/de/indizes/?index=DE000SLA0252

Section D - Risks

Element

Title

D.2

Key risks regarding
the Issuer and the
Guarantor

Prospective purchasers of the Securities should be experienced with respect to
options and options transactions and should understand the risks of transactions
involving the Securities. An investment in the Securities presents certain risks that
should be taken into account before any investment decision is made. Certain risks
may affect the Issuer's ability to fulfil its obligations under the Securities or the
Guarantor's ability to perform its obligations under the Guarantee, some of which are
beyond its control. In particular, the Issuer and the Guarantor, together with the BNPP
Group, are exposed to the risks associated with its activities, as described below:
Guarantor
Eleven main categories of risk are inherent in BNPP's activities

(1)

Credit Risk - Credit risk is the potential that a bank borrower or counterparty
will fail to meet its obligations in accordance with agreed terms. The
probability of default and the expected recovery on the loan or receivable in
the event of default are key components of the credit quality assessment;

(2)

Counterparty Credit Risk - Counterparty credit risk is the credit risk
embedded in payment or transactions between counterparties. Those
transactions include bilateral contracts such as over-the-counter (OTC)
derivatives contracts which potentially expose the Bank to the risk of
counterparty default, as well as contracts settled through clearing houses.
The amount of this risk may vary over time in line with changing market
parameters which then impacts the replacement value of the relevant
transactions or portfolio;

(3)

Securitisation - Securitisation means a transaction or scheme, whereby the
credit risk associated with an exposure or pool of exposures is tranched,
having the following characteristics:
-

payments made in the transaction or scheme are dependent upon
the performance of the exposure or pool of exposures;

-

the subordination of tranches determines the distribution of losses
during the life of the risk transfer.

Any commitment (including derivatives and liquidity lines) granted to a
securitisation operation must be treated as a securitisation exposure. Most
of these commitments are held in the prudential banking book;
(4)

Market Risk - Market risk is the risk of incurring a loss of value due to
adverse trends in market prices or parameters, whether directly observable
or not.

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Element

Title
Observable market parameters include, but are not limited to, exchange
rates, prices of securities and commodities (whether listed or obtained by
reference to a similar asset), prices of derivatives, and other parameters
that can be directly inferred from them, such as interest rates, credit
spreads, volatilities and implied correlations or other similar parameters.
Non-observable factors are those based on working assumptions such as
parameters contained in models or based on statistical or economic
analyses, non-ascertainable in the market.
In fixed income trading books, credit instruments are valued on the basis of
bond yields and credit spreads, which represent market parameters in the
same way as interest rates or foreign exchange rates. The credit risk arising
on the issuer of the debt instrument is therefore a component of market risk
known as issuer risk.
Liquidity is an important component of market risk. In times of limited or no
liquidity, instruments or goods may not be tradable or may not be tradable
at their estimated value. This may arise, for example, due to low transaction
volumes, legal restrictions or a strong imbalance between demand and
supply for certain assets.
The market risk related to banking activities encompasses the risk of loss
on equity holdings on the one hand, and the interest rate and foreign
exchange risks stemming from banking intermediation activities on the
other hand;
(5)

Operational Risk - Operational risk is the risk of incurring a loss due to
inadequate or failed internal processes, or due to external events, whether
deliberate, accidental or natural occurrences. Management of operational
risk is based on an analysis of the "cause - event - effect" chain.
Internal processes giving rise to operational risk may involve employees
and/or IT systems. External events include, but are not limited to floods,
fire, earthquakes and terrorist attacks. Credit or market events such as
default or fluctuations in value do not fall within the scope of operational
risk.
Operational risk encompasses fraud, human resources risks, legal risks,
non-compliance risks, tax risks, information system risks, conduct risks
(risks related to the provision of inappropriate financial services), risk
related to failures in operating processes, including loan procedures or
model risks, as well as any potential financial implications resulting from the
management of reputation risks;

(6)

Compliance and Reputation Risk - Compliance risk as defined in French
regulations as the risk of legal, administrative or disciplinary sanctions, of
significant financial loss or reputational damage that a bank may suffer as a
result of failure to comply with national or European laws and regulations,
codes of conduct and standards of good practice applicable to banking and
financial activities, or instructions given by an executive body, particularly in
application of guidelines issued by a supervisory body.
By definition, this risk is a sub-category of operational risk. However, as
certain implications of compliance risk involve more than a purely financial
loss and may actually damage the institution's reputation, the Bank treats
compliance risk separately.
Reputation risk is the risk of damaging the trust placed in a corporation by
its customers, counterparties, suppliers, employees, shareholders,
supervisors and any other stakeholder whose trust is an essential condition

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Title
for the corporation to carry out its day-to-day operations.
Reputation risk is primarily contingent on all the other risks borne by the
Bank;
(7)

Concentration Risk - Concentration risk and its corollary, diversification
effects, are embedded within each risk, especially for credit, market and
operational risks using the correlation parameters taken into account by the
corresponding risk models.
It is assessed at consolidated Group level and at financial conglomerate
level;

(8)

Banking Book Interest Rate Risk - Banking book interest rate risk is the risk
of incurring losses as a result of mismatches in interest rates, maturities
and nature between assets and liabilities. For banking activities, this risk
arises in non-trading portfolios and primarily relates to global interest rate
risk;

(9)

Strategic and Business Risks - Strategic risk is the risk that the Bank's
share price may fall because of its strategic decisions.
Business risk is the risk of incurring an operating loss due to a change in
the economic environment leading to a decline in revenue coupled with
insufficient cost-elasticity.
These two types of risk are monitored by the Board of Directors;

(10)

Liquidity Risk - In accordance with regulations, the liquidity risk is defined as
the risk that a bank will be unable to honour its commitments or unwind or
settle a position due to the situation on the market or idiosyncratic factors,
within a given time frame and at a reasonable [price or] cost;

(11)

Insurance Underwriting Risk - Insurance underwriting risk corresponds to
the risk of a financial loss caused by an adverse trend in insurance claims.
Depending on the type of insurance business (life, personal risk or
annuities), this risk may be statistical, macroeconomic or behavioural, or
may be related to public health issues or natural disasters. It is not the main
risk factor arising in the life insurance business, where financial risks are
predominant.

(a)

Difficult market and economic conditions have had and may continue to
have a material adverse effect on the operating environment for financial
institutions and hence on BNPP's financial condition, results of operations
and cost of risk.

(b)

Due to the geographic scope of its activities, BNPP may be vulnerable to
country or regional-specific political, macroeconomic and financial
environments or circumstances.

(c)

BNPP's access to and cost of funding could be adversely affected by a
resurgence of financial crises, worsening economic conditions, rating
downgrades, increases in credit spreads or other factors.

(d)

Significant interest rate changes could adversely affect BNPP's revenues or
profitability.

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Element

Title
(e)

The prolonged low interest rate environment carries inherent systemic risks.

(f)

The soundness and conduct of other financial institutions and market
participants could adversely affect BNPP.

(g)

BNPP may incur significant losses on its trading and investment activities
due to market fluctuations and volatility.

(h)

BNPP may generate lower revenues from brokerage and other commission
and fee-based businesses during market downturns.

(i)

Protracted market declines can reduce liquidity in the markets, making it
harder to sell assets and possibly leading to material losses.

(j)

Laws and regulations adopted in response to the global financial crisis may
materially impact BNPP and the financial and economic environment in
which it operates.

(k)

BNPP is subject to extensive and evolving regulatory regimes in the
juridictions in which it operates.

(l)

BNPP may incur substantial fines and other administrative and criminal
penalties for non-compliance with applicable laws and regulations.

(m)

There are risks related to the implementation of BNPP's strategic plan.

(n)

BNPP may experience difficulties integrating acquired companies and may
be unable to realise the benefits expected from its acquisitions.

(o)

Intense competition by banking and non-banking operators could adversely
affect BNPP's revenues and profitability.

(p)

A substantial increase in new provisions or a shortfall in the level of
previously recorded provisions could adversely affect BNPP's results of
operations and financial condition.

(q)

BNPP's risk management policies, procedures and methods, may leave it
exposed to unidentified or unanticipated risks, which could lead to material
losses.

(r)

BNPP's hedging strategies may not prevent losses.

(s)

Adjustments to the carrying value of BNPP's securities and derivatives
portfolios and BNPP's own debt could have an impact on its net income and
shareholders' equity.

(t)

The expected changes in accounting principles relating to financial
instruments may have an impact on BNPP's balance sheet and regulatory
capital ratios and result in additional costs.

(u)

BNPP's competitive position could be harmed if its reputation is damaged.

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Element

Title
(v)

An interruption in or a breach of BNPP's information systems may result in
material losses of client or customer information, damage to BNPP's
reputation and lead to financial losses.

(w)

Unforeseen external events may disrupt BNPP's operations and cause
substantial losses and additional costs.

Issuer
The main risks described above in relation to BNPP also represent the main risks for
BNPP B.V., either as an individual entity or a company in the BNPP Group.
Dependency Risk
BNPP B.V. is an operating company. The assets of BNPP B.V. consist of the
obligations of other BNPP Group entities. The ability of BNPP B.V. to meet its own
obligations will depend on the ability of other BNPP Group entities to fulfil their
obligations. In respect of securities it issues, the ability of BNPP B.V. to meet its
obligations under such securities depends on the receipt by it of payments under
certain hedging agreements that it enters with other BNPP Group entities.
Consequently, Holders of BNPP B.V. securities will, subject to the provisions of the
Guarantee issued by BNPP, be exposed to the ability of BNPP Group entities to
perform their obligations under such hedging agreements.
Market Risk
BNPP B.V. takes on exposure to market risks arising from positions in interest rates,
currency exchange rates, commodities and equity products, all of which are exposed
to general and specific market movements. However, these risks are hedged by
option and swap agreements and therefore these risks are mitigated in principle.
Credit Risk
BNPP B.V. has significant concentration of credit risks as all OTC contracts are
acquired from its parent company and other BNPP Group entities. Taking into
consideration the objective and activities of BNPP B.V. and the fact that its parent
company is under supervision of the European Central Bank and the Autorité de
Contrôle Prudentiel et de Résolution management considers these risks as
acceptable. The long term senior debt of BNP Paribas is rated (A) by Standard &
Poor's and (A1) by Moody's.
Liquidity Risk
BNPP B.V. has significant liquidity risk exposure. To mitigate this exposure, BNPP
B.V. entered into netting agreements with its parent company and other BNPP Group
entities.
D.3

Key risks regarding
the Securities

In addition to the risks (including the risk of default) that may affect the Issuer's ability
to fulfil its obligations under the Securities [or the Guarantor's ability to perform its
obligations under the Guarantee], there are certain factors which are material for the
purposes of assessing the risks associated with Securities issued under the Base
Prospectus, including:
Market Risks
-the Securities (other than Secured Securities) are unsecured obligations;
-the trading price of the Securities is affected by a number of factors including, but not
limited to, (in respect of Securities linked to an Underlying Reference) the price of the
relevant Underlying Reference(s), time to redemption and volatility and such factors
mean that the trading price of the Securities may be below the Cash Settlement
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Element

Title
Amount or value of the Entitlement;
-exposure to the Underlying Reference in many cases will be achieved by the relevant
Issuer entering into hedging arrangements and, in respect of Securities linked to an
Underlying Reference, potential investors are exposed to the performance of these
hedging arrangements and events that may affect the hedging arrangements and
consequently the occurrence of any of these events may affect the value of the
Securities;
Holder Risks
-the meetings of Holders provisions permit defined majorities to bind all Holders;
-in certain circumstances Holders may lose the entire value of their investment;
Issuer/Guarantor Risks
-a reduction in the rating, if any, accorded to outstanding debt securities of the Issuer
or Guarantor (if applicable) by a credit rating agency could result in a reduction in the
trading value of the Securities;
-certain conflicts of interest may arise (see Element E.4 below);
Legal Risks
-the occurrence of an additional disruption event or optional additional disruption event
may lead to an adjustment to the Securities, early redemption or may result in the
amount payable on scheduled redemption being different from the amount expected to
be paid at scheduled redemption and consequently the occurrence of an additional
disruption event and/or optional additional disruption event may have an adverse
effect on the value or liquidity of the Securities;
-expenses and taxation may be payable in respect of the Securities;
- the Securities may be redeemed in the case of illegality or impracticability and such
redemption may result in an investor not realising a return on an investment in the
Securities;
-any judicial decision or change to an administrative practice or change to English law
or French law, as applicable, after the date of the Base Prospectus could materially
adversely impact the value of any Securities affected by it;
Secondary Market Risks
-the only means through which a Holder can realise value from the Security prior to its
Redemption Date is to sell it at its then market price in an available secondary market
and that there may be no secondary market for the Securities (which could mean that
an investor has to exercise or wait until redemption of the Securities to realise a
greater value than its trading value);
Risks relating to Underlying Reference Asset(s)
-In addition, there are specific risks in relation to Securities which are linked to an
Underlying Reference (including Hybrid Securities) and an investment in such
Securities will entail significant risks not associated with an investment in a
conventional debt security. Risk factors in relation to Underlying Reference linked
Securities include:
-exposure to one or more index, adjustment events and market disruption or failure to
open of an exchange which may have an adverse effect on the value and liquidity of
the Securities and that the Issuer will not provide post-issuance information in relation
to the Underlying Reference.

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Element

Title
The following risks are associated with SPS Products:
Vanilla Products
Investors may be exposed to a partial or total loss of their investment. The return
depends on the performance of the Underlying Reference(s) and whether knock-in or
knock-out features apply.

D.6

Risk warning

See Element D.3 above.
In the event of the insolvency of the Issuer or if it is otherwise unable or unwilling to
repay the Securities when repayment falls due, an investor may lose all or part of his
investment in the Securities.
If the Guarantor is unable or unwilling to meet its obligations under the Guarantee
when due, an investor may lose all or part of his investment in the Securities.
In addition, investors may lose all or part of their investment in the Securities as a
result of the terms and conditions of the Securities.

Section E - Offer
Element

Title

E.2b

Reasons for the
offer and use of
proceeds

The net proceeds from the issue of the Securities will become part of the general
funds of the Issuer. Such proceeds may be used to maintain positions in options or
futures contracts or other hedging instruments.

E.3

Terms and
conditions of the
offer

This issue of Securities is being offered in a Non-exempt Offer in Luxembourg.

Interest of natural
and legal persons
involved in the
issue/offer

Any Manager and its affiliates may also have engaged, and may in the future engage,
in investment banking and/or commercial banking transactions with, and may perform
other services for, the Issuer and the Guarantor and their affiliates in the ordinary
course of business.

E.4

The issue price of the Securities is 100% of their nominal amount.

Other than as mentioned above, so far as the Issuer is aware, no person involved in
the issue of the Securities has an interest material to the offer, including conflicting
interests.
E.7

Expenses charged
to the investor by
the Issuer

No expenses are being charged to an investor by the Issuer.

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