Prospectus dated 17 August relating to the issue by. BNP PARIBAS ARBITRAGE ISSUANCE B.V. (the Issuer )

Transcription

1 Prospectus dated 17 August 2007 relating to the issue by BNP PARIBAS ARBITRAGE ISSUANCE B.V. (the Issuer ) of Up to 2,500 Index and Fund Linked Certificates due November 2012 Certificate Series Number: CE002ZB (the Certificates ) unconditionally and irrevocably guaranteed by BNP PARIBAS (the Guarantor ) pursuant to the Warrant and Certificate Programme ISIN Code: XS This Prospectus constitutes a prospectus for the purposes of: (i) Article 5 of Directive 2003/71/EC (the Prospectus Directive ); and (ii) the relevant implementing measures in Luxembourg, and, in each case, for the purposes of giving information in respect of the Issuer and the Guarantor. Application has been made: (i) to list the Certificates on the official list of the Luxembourg Stock Exchange with effect from the Issue Date (as defined in the section below entitled Summary ); and (ii) and to admit the Certificates for trading on the Regulated Market (the Bourse de Luxembourg ) of the Luxembourg Stock Exchange with effect from the Issue Date. The Certificates have been accepted for clearance through Euroclear and Clearstream, Luxembourg. The Certificates shall be offered to the public in the Republic of Malta. The minimum amount of the offer shall be 1,500,000 in Notional Amount. The maximum amount of the offer shall be 2,500,000.

2 TABLE OF CONTENTS RESPONSIBILITY STATEMENT. 3 INVESTOR RESPONSIBILITIES.. 4 SUMMARY. 6 RISK FACTORS 10 DOCUMENTS INCORPORATED BY REFERENCE 11 GENERAL INFORMATION 13 TERMS AND CONDITIONS OF THE PUBLIC OFFER 15 TERMS AND CONDITIONS OF THE CERTIFICATES 16 2

3 RESPONSIBILITY STATEMENT The Issuer accepts responsibility for the information contained or incorporated in this Prospectus. To the best of the knowledge of the Issuer (which has taken all reasonable care to ensure that such is the case), the information contained or incorporated herein is in accordance with the facts and does not omit anything likely to affect the import of such information. Information contained in this Prospectus which is sourced from a third party has been accurately reproduced and, as far as the Issuer is aware and is able to ascertain from information published by the relevant third party, no facts have been omitted which would render the reproduced information inaccurate or misleading. The Issuer has also identified the source(s) of such information. Signed on behalf of the Issuer: By:.. Duly Authorised 3

4 INVESTOR RESPONSIBILITIES The Certificates will be offered to the public in the Republic of Malta. No action has been or will be taken in any other jurisdiction that would, or is intended to, permit a public offering of the Certificates. The Certificates are sold to any investor on the understanding that it will comply with all relevant securities laws and public offer requirements in the jurisdictions in which it places or resells the Certificates including, but not limited to, the Prospectus Directive and the relevant implementing measures in any member state of the European Union. No offer, sale or delivery of the Certificates, or distribution or publication of any offering material relating to the Certificates, may be made in or from any jurisdiction except in circumstances which will result in compliance with any applicable laws and regulations and will not impose any obligations on the Issuer. It shall be the responsibility of Certificateholders to ensure that any subsequent sale of the Certificates is in accordance with all relevant laws and regulations and that any person to whom they may sell the Certificates is aware of the foregoing. This Prospectus does not constitute, and may not be used for the purposes of, an offer or solicitation by anyone in any jurisdiction in which such offer or solicitation is not authorised or to any person to whom it is unlawful to make such offer or solicitation, and no action is being taken to permit an offering of the Certificates or the distribution of this Prospectus in any jurisdiction where such action is required. THE ISSUER HAS MADE NO INVESTIGATION INTO THE TREATMENT OF THE CERTIFICATES BY THE TAX AUTHORITIES OF ANY COUNTRY OTHER THAN THE REPUBLIC OF MALTA AS SET OUT BELOW. INVESTORS ARE STRONGLY ADVISED TO TAKE THEIR OWN TAX ADVICE. Certificateholders are deemed to have sufficient knowledge, experience and professional advice to make (and have made and continue to make) their own legal, financial, tax, accounting and other business evaluations of the merits and risks and suitability of investment in the Certificates and are not relying on the views of the Issuer in that regard. Information for Investors Taxation The following is a general discussion of certain Maltese tax consequences related to the acquisition and ownership of Certificates. It does not purport to be a comprehensive description of all tax considerations which may be relevant to a decision to purchase Certificates, and, in particular, does not consider any specific facts or circumstances that may apply to a particular purchaser. It is based on laws currently in force in the Republic of Malta and as applied on the date of this Prospectus, which are subject to change, possibly with retroactive effect. Prospective purchasers of Certificates are advised to consult their own tax advisers as to the tax consequences of the purchase, ownership and disposition of Certificates, including the effect of any state or local taxes, under the tax laws of the Republic of Malta and each country of which they are residents. On the basis that (i) the Certificates fall within the definition of securities pursuant to section 5 of the Income Tax Act (Chapter 123 of the Laws of Malta) (the Act ) and (ii) investors qualify as recipients under the Act, investors may either (a) opt to pay final withholding tax at the rate of 15% on gains arising on the redemption, cancellation or liquidation of the Certificates on Redemption Date pursuant to section 41 of the Income Tax Act, in which case an investor shall receive the investment income net of 15% withholding tax or (b) otherwise opt to receive the investment income without deduction of tax, in which case investment income shall be received gross, but will need to be declared in the investor s tax return for the relevant year. Such income shall be taxed at the personal rates applicable to such person at the time. Where a recipient opts to receive the gains over the investment originally made net of tax, such tax shall not be available as a credit against the recipient s tax liability or for a refund, as the case may be, for the relevant year of assessment. Recipients in terms of section 41 of the Act, in relation to the Certificates, include both individuals and bodies of persons resident in Malta during the year in which investment income is payable to them, but excludes persons in 4

5 the business of banking or insurance, companies controlled directly or indirectly by the former and companies registered under article 24 of Malta Financial Services Authority Act (Chapter 330 of the Laws of Malta). Persons that do no qualify as recipients pursuant to the Act, should seek independent advice as special rules may apply in their respect. In the event that the Certificates are treated as securities in terms of section 5 of the Act, transfers of the Certificates prior to Redemption Date on the secondary market shall attract capital gains tax at the personal rates applicable to the investor at the time. Non residents in Malta should not be taxable provided they satisfy relevant terms and conditions applicable at law. 5

6 SUMMARY This summary must be read as an introduction to this Prospectus. Any decision to invest in any Certificates should be based on a consideration of this Prospectus as a whole, including the documents incorporated by reference, by any investor. The Issuer may have civil liability in respect of this summary, if it is misleading, inaccurate or inconsistent when read together with the other parts of this Prospectus. Where a claim relating to information contained in this Prospectus is brought before a court in a European Economic Area State (an EEA State ), the plaintiff may, under the national legislation of the EEA State where the claim is brought, be required to bear the costs of translating this Prospectus before the legal proceedings are initiated. For the avoidance of doubt, this Summary supersedes (for the purposes of the Certificates) the section entitled Summary in the Base Prospectus, save for the paragraph entitled Risk Factors (Issuers). Words and expressions defined in this Prospectus (or any document incorporated by reference herein) shall have the same meanings in this summary. Summary of risk factors Risk factors relating to the Certificates The Cash Settlement Amount (as defined in the sub-section below entitled Summary of the Certificates ) of each Certificate shall be linked to the performance of the Portfolio (as defined in the section below entitled Modifications to the Terms and Conditions ) subject to a minimum Cash Settlement Amount of 110 per cent. of its Notional Amount (as defined in the sub-section below entitled Summary of the Certificates ). The notional exposure of the Certificates to the indices and the fund contained in the Portfolio is fixed at a predetermined Weighting (as defined in the section below entitled Modifications to the Terms and Conditions ). Increased volatility of the indices and/or the fund may adversely affect the value of, and return on, the Certificates. There are certain factors which are material for the purpose of assessing the risks related to the Certificates issued under the Programme, including the following: (i) (ii) (iii) (iv) (v) High degree of risk: The Certificates involve a high degree of risk, which may include, among others, credit, interest rate, foreign exchange, time value and political risks. Prospective purchasers of Certificates should recognise that their Certificates may be redeemed for less than the value of their initial investment. Certificates are unsecured obligations: The Certificates are unsubordinated and unsecured obligations of the Issuer and will rank pari passu with themselves. The obligations of the Guarantor under the Guarantee are unsubordinated and unsecured obligations of the Guarantor and will rank pari passu with all its other present and future unsubordinated and unsecured obligations, subject as may from time to time be mandatory under French law. Effect of credit rating reduction: A reduction in the rating, if any, accorded to outstanding debt securities of the Issuer or the Guarantor by any rating agency could result in a reduction in the trading value of the Certificates. Possible illiquidity of the Certificates in the secondary market: It is not possible to predict the price at which Certificates will trade in the secondary market. Potential conflicts of interest: As the Calculation Agent is an Affiliate of the Issuer and the Guarantor, potential conflicts of interest may exist between the Calculation Agent and holders of the Certificates in respect of certain determinations and judgements that the Calculation Agent must make. The Calculation Agent may make certain determinations in respect of the Certificates in its sole and absolute discretion acting in good faith and in a commercially reasonable manner. Risk factors relating to the Issuer 6

7 The Issuer is not an operating company. The Issuer s sole business is the raising and borrowing of money by issuing securities or other obligations. The Issuer has, and will have, no assets other than such fees (as agreed) payable to it, or other assets acquired by it, in each case in connection with the issue of securities or entry into other obligations relating to the Programme from time to time. The net proceeds from each issue of Securities issued by the Issuer will become part of the general funds of the Issuer. The Issuer may use such proceeds to maintain positions in options or futures contracts or other hedging instruments ( Hedging Agreements ). The ability of the Issuer to meet its obligations under Securities issued by it (including the Certificates) will depend on the receipt by it of payments under the relevant Hedging Agreements. Consequently, the Issuer is exposed to the ability of counterparties in respect of such Hedging Agreements to perform their obligations under such Hedging Agreements. Risk factors relating to the Guarantor There are certain factors that may affect the Guarantor s ability to fulfil its obligations under the Certificates. These are set out or incorporated by reference in the section below entitled Risk Factors and include the following risk factors related to the Guarantor, its operations and its industry: (i) (ii) Unforeseen events can interrupt the Guarantor s operations and cause substantial losses and additional costs. Four main categories of risks are inherent to the Guarantor s activities: Credit risk: Credit risk is the risk of financial loss relating to the failure of an obligor to honour its contractual obligations. Market and liquidity risk: Market risk is the risk related to earnings, which arises primarily from adverse movements of trading and non-trading market parameters. Liquidity risk, which is also referred to as funding risk, is the inability of the Guarantor to meet its obligations at an acceptable cost in a given currency and location. Operational risk: Operational risk corresponds to the risk of losses due to inadequate or failed internal processes, or due to external events, whether deliberate, accidental or natural occurrences. Insurance risk: Insurance risk is the risk to earnings due to mismatches between expected and actual claims. PROSPECTIVE INVESTORS SHOULD CONSULT THEIR OWN FINANCIAL, TAX AND LEGAL ADVISERS AS TO THE RISKS ENTAILED BY AN INVESTMENT IN THE CERTIFICATES AND THE SUITABILITY OF THE CERTIFICATES IN LIGHT OF THEIR PARTICULAR CIRCUMSTANCES. Summary of the Certificates General The Certificates are Euro ( ) denominated Clearing System Global Certificates to be issued by the Issuer on 5 November 2007 (the Issue Date ) and due to mature on the Redemption Date (as defined in the section below entitled Terms and Conditions of the Certificates ). The Notional Amount of each Certificate shall be 1,000 and the number of Certificates to be issued shall be between 1,500 and 2,500. The aggregate Notional Amount of the Certificates shall be between 1,500,000 and 2,500,000. The issue price and the purchase price of each Certificate shall be per cent. of its Notional Amount. The reference to Issue Price is not an expression of market value and does not imply that transactions in the market will not be executed at prices above or below the Issue Price to reflect prevailing market conditions at such time. The Certificates shall be unsubordinated and unsecured obligations of the Issuer and shall rank pari passu with other Securities. 7

8 The Certificates benefit from a protected redemption amount of 110 per cent. of the Notional Amount of each Certificate (the Protected Amount ) if held until maturity. The Certificates are protected at their scheduled Redemption Date in respect of the related Protected Amount only. The protection is provided by the Issuer by way of an unsecured payment undertaking. The Certificateholders are therefore exposed to unsecured credit risk on the Issuer for such amount. If the Certificates are redeemed early or are sold in the market, the holders of the relevant Certificates may not receive the related Protected Amount. The Certificates shall be guaranteed by the Guarantor pursuant to the English Guarantee (the Guarantee ). The obligations of the Guarantor under the Guarantee shall be unsubordinated and unsecured obligations of the Guarantor and shall rank pari passu with all its other present and future unsubordinated and unsecured obligations, subject as may from time to time be mandatory under French law. Application has been made: (i) to list the Certificates on the official list of the Luxembourg Stock Exchange with effect from the Issue Date; and (ii) and to admit the Certificates for trading on the Regulated Market (the Bourse de Luxembourg ) of the Luxembourg Stock Exchange with effect from the Issue Date. The Certificates shall be bearer securities and shall be traded through the Euroclear System and Clearstream Banking, société anonyme, Luxembourg. The Certificates shall be offered to the public in the Republic of Malta. Interest The Certificates shall not bear interest. Cash Settlement Amount The Cash Settlement Amount of each Certificate payable upon redemption shall be EUR 1,000 plus EUR 1,000 multiplied by the greater of 10% and the average performance of a portfolio of assets consisting of two indices weighted at 40% and a mutual fund weighted at 20%. The average performance of the portfolio is calculated by determining the average performance of the three weighted assets over five annual observation dates. In relation to the mutual fund, following the occurrence of any one or more Extraordinary Fund Events (each of which is described in Annex 8 of the Base Prospectus), the Calculation Agent shall use all reasonable efforts to find an alternative fund to replace such affected mutual fund and if necessary, adjust the portfolio to account for such replacement. If a replacement fund cannot be found, then the Calculation Agent shall replace the mutual fund with a money market fund of the same currency as the fund as soon as practicable. Taxation A holder of Certificates must pay all specified expenses relating to the Certificates. Neither the Issuer nor the Guarantor shall be liable for or otherwise obliged to pay any tax, duty, withholding or other payment which may arise as a result of the ownership, transfer, exercise or enforcement of any Certificate and all payments made by the relevant Issuer or the Guarantor shall be made subject to any such tax, duty, withholding or other payment which may be required to be made, paid, withheld or deducted. Summary of the Issuer and the Guarantor Description of the Issuer The Issuer is a limited company under Dutch law ( besloten vennootschap met beperkte aansprakelijkheid ). The Issuer was incorporated on 10 November Its objects are: (i) to borrow, lend out and collect monies, including but not limited to the issue or the acquisition of debentures, debt instruments, financial instruments such as, inter alia, warrants and certificates of any nature, with or without indexation based on, inter alia, shares, baskets of shares, stock exchange indexes, currencies, commodities or futures on commodities, and to enter into related agreements; 8

9 (ii) (iii) (iv) (v) (vi) (vii) (viii) (ix) (x) to finance enterprises and companies; to establish and to in any way participate in, manage and supervise enterprises and companies; to offer advice and to render services to enterprises and companies with which the company forms a group of companies, and to third parties; to grant security, to bind the company and to encumber assets of the company for the benefit of enterprises and companies with which the company forms a group of companies, and of third parties; to acquire, manage, exploit and dispose of registered property and asset value in general; to trade in currencies, securities and asset value in general; to exploit and trade in patents, trademark rights, licences, know-how and other industrial rights of ownership; to engage in industrial, financial and commercial activities of any nature, and all other things as may be deemed incidental or conducive to the attainment of the above objects, in the broadest sense of the word; and The Issuer does not have any markets in which it competes. Description of the Guarantor The BNP Paribas Group (being the Guarantor together with its consolidated subsidiaries, the Group ) is one of the top global players in financial services, conducting retail, corporate and investment banking, private banking, asset management, insurance and specialised and other financial activities throughout the world. The Group is a leading European provider of corporate and investment banking products and services and a leading provider of private banking and asset management products and services throughout the world. It provides retail banking and financial services to over 20 million individual customers worldwide, in particular in Europe and the western United States, and has offices in more than 85 countries. At 31 December 2006, the Group had consolidated assets of 1,440.3 billion (compared to 1,258.1 billion at 1 January 2006), consolidated loans and receivables due from customers of billion (compared to billion at 1 January 2006), consolidated items due to customers of billion (compared to billion at 1 January 2006) and shareholders equity (Group share including income for 2006) of 49.5 billion (compared to 40.7 billion at 1 January 2006). Pre-tax net income for the year ended 31 December 2006 was 10.6 billion (compared to 8.4 billion for the year ended 31 December 2005, calculated under 2005 IFRS). Net income, Group share, for the year ended 31 December 2006 was 7.3 billion (compared to 5.9 billion for the year ended 31 December 2005, calculated under 2005 IFRS). The Group currently has long-term senior debt ratings of Aa1 with stable outlook from Moody s, AA+ with stable outlook from Standard & Poor s and AA with stable outlook from Fitch Ratings. Moody s has also assigned the Bank a Bank Financial Strength rating of B+ and Fitch Ratings has assigned the Bank an individual rating of A/B. The Group has three divisions: Retail Banking, Asset Management and Services and Corporate and Investment Banking, the latter two of which also constitute core businesses. Operationally, the Retail Banking division is itself comprised of two core businesses: French Retail Banking and International Retail Banking and Financial Services. Except where otherwise specified, all financial information and operating statistics are presented as of 31 December

10 RISK FACTORS Risk factors relating to the Certificates In addition to the general risk factors specified in summary form on pages 18 to 27 inclusive of the Base Prospectus (as defined in the section below entitled Documents Incorporated by Reference ) in the section entitled Risk Factors, investors should, without limitation, consider the following: The Issuer believes that the Certificates should only be purchased by investors who are, or who are purchasing under the guidance of, financial institutions or other professional investors that are in a position to understand the special risks that an investment in these instruments involves. In addition, there are certain factors which are material for the purpose of assessing the risks related to the Certificates, including the following: (i) (ii) (iii) (iv) the trading market for the Certificates may be volatile and may be adversely impacted by many events; an active trading market for the Certificates may not develop; a Certificateholder s actual yield on the Certificates may be reduced from the stated yield by transaction costs; and a Certificateholder s effective yield on the Certificates may be diminished by the tax impact on that Certificateholder of its investment in the Certificates. The Certificates are of a specialist nature and should only be bought and traded by investors who are particularly knowledgeable in investment matters. Investment in the Certificates involves a high degree of risk. In addition to an understanding of the nature of the indices, Certificateholders are deemed to be fully aware of the contents of the Fund Documents relating to the fund. The details of the investment objectives, investment guidelines and conflicts of interest in respect of the fund are more fully described in the Fund Documents along with information relating to the determination of net asset value, suspension of net asset value, fees and expenses, taxation, management, risk factors, additional information (including, but not limited to, sales restrictions) and general information relating to the fund. Risk factors relating to the Issuer and the Guarantor Risk factors relating to the Issuer As set out in summary form on pages 10 to 11 inclusive of the Base Prospectus in the section entitled Risk Factors (Issuers) and in greater detail on page 18 of the Base Prospectus in the section entitled Risk Factors Relating to BNPP B.V.. Risk factors relating to the Guarantor As set out page 18 of the Base Prospectus in the section entitled Risks Related to Bank and its Operations. 10

11 DOCUMENTS INCORPORATED BY REFERENCE The provisions of the Base Prospectus dated 30 May 2007 (the Base Prospectus ), which constitutes a base prospectus for the purposes of: (i) the Prospectus Directive; and (ii) the relevant implementing measures in Luxembourg, shall be deemed to be incorporated into and form part of this Prospectus in their entirety, save that any statement contained in the Base Prospectus and the First Supplement dated 11 July 2007 and any further supplements (the Supplements ) shall be deemed to be modified or superseded for the purpose of this Prospectus to the extent that a statement contained herein modifies or supersedes such earlier statement (whether expressly, buy implication or otherwise). Any statement so modified or superseded shall not be deemed, except as so modified or superseded, to constitute a part of this Prospectus. Terms used herein but not otherwise defined shall have the meanings given to them in the Base Prospectus and the Supplements. This Prospectus must be read in conjunction with the documents which have been incorporated by reference herein and full information on the Issuer, the Guarantor, the Certificates and the offer of the Certificates is only available on the basis of the combination of the provisions set out within this document (and the documents incorporated by reference herein). This Prospectus and any document incorporated herein by reference is available for viewing at, and copies may be obtained from, BNP Paribas Securities Services, Luxembourg Branch, 33 rue de Gasperich, Howald Hesperange, L-2085 Luxembourg, Luxembourg in its capacity as Agent and may also be available from the website of the Luxembourg Stock Exchange ( Information contained in the documents incorporated by reference other than information listed in the tables below is for information purposes only. Documents Incorporated by Reference Base Prospectus First Supplement Source In relation to the Base Prospectus, the table below sets out the relevant page references for the information incorporated herein by reference: Base Prospectus Page Reference Summary Pages 9 to 17 Risk Factors Pages 18 to 27 Documents Incorporated by Reference Pages 28 to 31 General Description of the Programme Page 32 Terms and Conditions of the Certificates Pages 171 to 260 Use of Proceeds Page 261 Form of the English Law Guarantee Pages 262 to 265 Form of the French Law Guarantee Pages 266 to 268 Description of the Issuer Pages 269 to 271 Financial Statements of the Issuer Pages 272 to

12 BNP Paribas Group Pages 275 Book-Entry Clearance Systems Pages 276 to 279 Taxation Pages 280 to 316 Offering and Sale Pages 317 to 325 General Information Pages 326 to 329 In relation to the First Supplement, the table below sets out the relevant page references for the information incorporated herein by reference: First Supplement Page Reference Summary Pages 3 to 12 Amendments to the Terms and Conditions of the Warrants Amendments to the Terms and Conditions of the Certificates Pages 13 to 16 Pages 17 to 21 Form of Final Terms for Warrants Pages 22 to 45 Form of Final Terms for Certificates Pages 46 to 73 German Taxation Pages 74 to 77 Swedish Taxation Page 78 Information contained in the documents incorporated by reference other than information listed in the tables above is for information purposes only. 12

13 GENERAL INFORMATION Ratings The Certificates have not been rated. Listing and admission to trading Application has been made: (i) to list the Certificates on the official list of the Luxembourg Stock Exchange with effect from the Issue Date; and (ii) and to admit the Certificates for trading on the Regulated Market (the Bourse de Luxembourg ) of the Luxembourg Stock Exchange with effect from the Issue Date. The Certificates have not been listed or admitted to trading, and application has not been made to list or have the Certificates admitted to trading, on any other stock exchange. Notification The Commission de Surveillance du Secteur Financier (CSSF), which is the competent authority for the purposes of the Prospectus Directive and the relevant implementing measures in Luxembourg, has been requested to provide the Malta Financial Services Authority (MFSA), its equivalent competent authority in the Republic of Malta, with a certificate of approval attesting that the Prospectus has been drawn up in accordance with the Prospectus Directive and the relevant implementing measures in Luxembourg. Potential conflicts of interest The Issuer, the Guarantor, the Calculation Agent and their Affiliates may engage in trading activities (including hedging activities) in instruments or derivative products based on or related to the Fund Share for their proprietary accounts or for other accounts under their management. The Issuer, the Guarantor, the Calculation Agent and their Affiliates may also issue other derivative instruments based on or related to the Fund Share. The Issuer, the Guarantor, the Calculation Agent and their Affiliates may have existing or future business relationships with the Fund (including, but not limited to, lending, depository, risk management, corporate advisory and banking relationships) and may pursue actions and take steps that they deem necessary or appropriate to protect its or their interests arising from these business relationships without regard to the consequences for the Certificateholders. Interest of natural and legal persons involved in the offer No person involved in the issue of the Certificates has an interest material to the issue of the Certificates to the best of the knowledge of the Issuer. Information on the Indices and the Fund Calculation methodology, details of the past and future performance and the volatility and other background information in respect of the indices and the fund may be obtained from the each of the following websites: Nikkei 225 Stock Average Index MSCI Taiwan Index Baring Hong Kong China Fund EUR Neither the Issuer nor the Guarantor intends to provide post-issuance information in respect of any of the above indicies or the fund except if required to do so by any applicable laws and regulations. Use of net proceeds The net proceeds from the issue of the Certificates will become part of the general funds of the Issuer and may be used to maintain positions in options or futures contracts or other hedging instruments. 13

14 Estimated total expenses The Issuer expects to incur 3,600 in listing and admission to trading expenses. Material change Save as disclosed in the Base Prospectus and the Supplements, there has been no material adverse change in the prospects or affairs of the Issuer since 31 December Save as disclosed in the Base Prospectus and the Supplements, there has been no material adverse change in the prospects or affairs of the Guarantor or the Group since 31 December Legal and arbitration proceedings Save as disclosed in the Base Prospectus and the Supplement, there have been no governmental, legal or arbitration proceedings (including any such proceedings which are pending or threatened of which either the Issuer or the Guarantor is aware) during the period covering at least the 12 months prior to the date of this Prospectus which may have, or have had in the recent past, significant effects on the Issuer, the Guarantor and/or the Group s financial position or profitability. Significant change Save as disclosed in Recent Developments contained in pages 65 to 74 of the Information Statement of the Guarantor incorporated by reference in the Base Prospectus, no significant change has occurred in the financial position or trading position of the Guarantor since 31 December 2006 (being the end of the last financial period for which interim financial information has been published). Save as disclosed in the Base Prospectus and the Supplement, no significant change has occurred in the financial position or trading position of the Issuer since 31 December 2006 (being the end of the last financial period for which audited financial information has been published). 14

15 TERMS AND CONDITIONS OF THE PUBLIC OFFER Conditions to which the offer is subject: The time period, including any possible amendments, during which the offer will be open and description of the applicable process: A description of the possibility to reduce subscriptions and the manner for refunding excess amount paid by applicants: Details of the minimum and/or maximum amount of applicable: The Issuer reserves the right to withdraw the offer of the Certificates at any time on or prior to the Offer End Date (as defined below). 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 Certificates. From and including 3 September 2007 to and including 24 October 2007 or such earlier date as the co-ordinators of the offer determine (the Offer End Date ). Not Applicable. Minimum subscription amount per investor: 5,000 in Notional Amount. Maximum subscription amount per investor: Not Applicable. Method and time limits for paying up the securities and for delivery of the securities: Manner and date in which results of the offer are to be made public: The procedure for the exercise of any right of preemption, the negotiability of subscription rights and the treatment of subscription rights not exercised: Categories of potential investors to which the securities are offered: Process for notification to applicants of the amount allotted and indication whether dealing may begin before notification is made: Names and addresses of the co-ordinators of the global offer and of single parts of the offer: Name and address of any paying agents and depository agents in each country (in addition to the Principal Paying Agent): The Certificates shall be cleared through the clearing systems and are due to be delivered on or about the Issue Date. Notice published on the website of the Bourse de Luxembourg ( on or around the Offer End Date. Not Applicable. Retail, institutional investors and private bank clients. Allotted amounts shall be equal to the amount of the application, and no further notification shall be made. No dealing in the Certificates may begin prior to the Issue Date. Jesmond Mizzi Financial Services Limited (JMFS) 67, Flat 3, South Street, Valletta VLT11, Malta. A fee may be paid by the Issuer to the co-ordinator in respect of the public offer of the Certificates. Not Applicable. 15

16 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: When the underwriting agreement has been or will be reached: The co-ordinator of the offer shall undertake to underwrite between [1,500,000] and [2,500,000] in Notional Amount. The Trade Date. 16

17 TERMS AND CONDITIONS OF THE CERTIFICATES The Terms and Conditions of the Certificates shall consist of the Terms and Conditions of the Certificates specified in the Base Prospectus as supplemented by the terms set out below. References in the Base Conditions to Final Terms shall be deemed to refer to the terms set out below. 1 Issuer: BNP Paribas Arbitrage Issuance B.V. 2 Guarantor: BNP Paribas. SPECIFIC PROVISIONS FOR EACH SERIES Series Number: CE002ZB No. of Certificates Issued: Up to 2,500 Number of Certificates: ISIN: 1,500 as at the Issue Date. Following the Issue Date, further Certificates may be issued on other issue dates and at different issue prices to the Issue Date and the Issue Price specified below subject to the maximum number of Certificates specified above. XS Common Code: Issue Price per Certificate: Redemption Date: Relevant Jurisdiction Share Amount/Debt Security Amount per cent. of the Notional Amount of each Certificate. The reference to Issue Price is not an expression of market value and does not imply that transactions in the market will not be executed at prices above or below the Issue Price to reflect prevailing market conditions at such time. 5 November 2012 subject to adjustment in accordance with the Modified Following Business Day Convention. Not Applicable. Not Applicable. GENERAL PROVISIONS 3 Trade Date: The trade date of the Certificates is 27 July Issue Date: The issue date of the Certificates is 5 November Consolidation: Not Applicable. 6 Type of Certificates: (i) The Certificates are Index Certificates and Fund Certificates. 17

18 (ii) The Certificates relate to two indices and a mutual fund (each an Asset i ) as detailed in the section below entitled Modifications to the Terms and Conditions. 7 Form of Certificates: Clearing System Global Certificate. 8 Business Day Centre: The applicable Business Day Centre for the purposes of Business Day as defined in General Condition 4 is TARGET. 9 Settlement: Settlement will be by way of cash payment ( Cash Settled Certificates ). 10 Variation of Settlement: (i) Issuer s option to vary settlement: The Issuer does not have the option to vary settlement in respect of the Certificates. (ii) Variation of Settlement of Physical Delivery Certificates: Not Applicable. 11 Relevant Asset: Not Applicable. 12 Entitlement: Not Applicable. 13 Instalment Certificates: The Certificates are not Instalment Certificates. 14 Partly-Paid Certificates The Certificates are not Partly-Paid Certificates. 15 Exchange Rate: Not Applicable. 16 Settlement Currency: The settlement currency for the payment of the Cash Settlement Amount is Euro. 17 Agent: BNP PARIBAS Securities Services, Luxembourg Branch 33 rue de Gasperich Howald-Hesperange L-2085 Luxembourg 18 Calculation Agent: BNP Paribas Arbitrage SNC 8 rue de Sofia, 75 Paris France 19 Governing law: English law. All determinations and calculations in relation to the Certificates shall be made by the Calculation Agent in its sole and absolute discretion acting in good faith and in a commercially reasonable manner and shall be binding on the Certificateholders in the absence of manifest error 18

19 20 Special conditions or other modifications to the Terms and Conditions: The definition of Scheduled Trading Day (All Indices Basis) in the Index Certificate Conditions shall be amended as follows: Scheduled Trading Day (All Indices Basis) means any day on which (i) in respect of any Indices other than Composite Indices, each Exchange and Related Exchange, if any, are scheduled to be open for trading during their respective regular trading session(s) in respect of such Indices, (ii) in respect of any Composite Indices, (a) the Index Sponsor is scheduled to publish the level of such Composite Indices and (b) each Related Exchange, if any, is scheduled to be open for trading during its regular trading session in respect of such Composite Indices; and (iii) in respect of a Fund, is a Fund Business Day. PRODUCT SPECIFIC PROVISIONS 21 Index Certificates: The provisions of Annex 1 - Additional Terms and Conditions for Index Certificates (the Index Certificate Conditions ) shall apply. (i) Index/Index Sponsor: The Index Sponsor for the Nikkei 225 Stock Average Index is Nikkei Inc. and Nikkei Digital Media, Inc. or any successor thereto (each an Index and together the Indices ). The Index Sponsor for the MSCI Taiwan Index is Morgan Stanley Capital International, Inc. or any successor thereto. (ii) Index Currency: The Index Currency for the Nikkei 225 Stock Average Index and the MSCI Taiwan Index are Japanese Yen ( JPY ) and Taiwan Dollar ( TWD ) respectively. (iii) Exchanges: The Exchanges for the Nikkei 225 Stock Average Index and the MSCI Taiwan Index are the Tokyo Stock Exchange and the Singapore Stock Exchange respectively. (iv) Related Exchanges: As defined in Index Certificate Condition 1. (v) Exchange Business Day: (vi) Scheduled Trading Day: All Indices Basis. All Indices Basis. (vii) Weighting: As set out in paragraph 2 of the section below entitled Modifications to the Terms and Conditions. (viii) Settlement Price: As defined in sub-paragraph (ii) of the definition of Settlement Price in the Index Certificate Conditions. For the avoidance of doubt, each Index shall be treated as a single Index for the purposes of calculating their respective Settlement Prices. (ix) Disrupted Day: As set out in Index Certificate Condition 1 19

20 (x) Relevant Time: As detailed in the section below entitled Modifications to the Terms and Conditions. (xi) Knock-in Event: Not Applicable. (xii) Knock-out Event: Not Applicable. (xiii) Redemption on Occurrence of an Index Adjustment Event: (xiv) Automatic Early Redemption Event: As set out in Index Certificate Condition 3. Not Applicable. 22 Share Certificates: Not Applicable. 23 GDR Certificates: Not Applicable. 24 Debt Certificates: Not Applicable. 25 Commodity Certificates: Not Applicable. 26 Inflation Index Certificates: Not Applicable. 27 Currency Certificates: Not Applicable 28 Fund Certificates: The provisions of Annex 8 - Additional Terms and Conditions for Fund Certificates (the Fund Certificate Conditions ) shall apply. (i) Fund: Baring Hong Kong China Fund (Bloomberg Code: BRGHKGE ID, ISIN: IE ) (ii) Fund Share: A relevant unit of the Fund (iii) Fund Documents: The prospectus dated 20 December Copies of the Fund Documents shall be available from the Agent at its offices for the time being at 33, rue de Gasperich, Howald Hesperange, L 2085 Luxembourg, Grand Duchy of Luxembourg during usual business hours on a local banking day. No responsibility (express or implied) in respect of the Fund Documents is accepted by the Issuer. (iv) Additional Extraordinary Fund Events: Not Applicable. (v) NAV Barrier: USD 5,000,000 or its equivalent in other currencies. 20

21 (vi) Number of NAV Publication Days: Five (5). (vii) Settlement Price: The Net Asset Value per Fund Share. (viii) Consequences of Extraordinary Fund Event: Following the occurrence of an Extraordinary Fund Event the Calculation Agent shall use all reasonable efforts for a period of no longer than 10 (ten) Business Days to find an alternative fund to replace the affected Fund (and should the necessity arise, the Calculation Agent will carry out the necessary adjustments to the portfolio and its valuation (if applicable) to account for such replacement). For the avoidance of doubt, where the Calculation Agent determines that an Extraordinary Fund Event has occurred and it cannot find an appropriate alternative fund within the specified time then the Calculation Agent will replace the respective fund in the portfolio with a money market fund of the same currency denominations as the respective fund or index as soon as practicable. Upon determining any such adjustment, the Calculation Agent shall give notice as soon as practicable to the Certificateholders, giving details of the adjustment as applicable. (ix) Relevant Time: Not Applicable. (x) Additional Provisions: Not Applicable. 29 Market Access Certificates: Not Applicable. 30 Credit Linked Certificates: Not Applicable. 31 Additional Disruption Events: The following Additional Disruption Events apply to the Certificates: PROVISIONS RELATING TO INTEREST Change in Law Hedging Disruption 32 Fixed Rate Provisions: Not Applicable. 33 Floating Rate Provisions: Not Applicable. 34 Formula Linked Interest: Not Applicable. ISSUER CALL OPTION IN RESPECT OF CERTIFICATES 35 Issuer Call Option: Not Applicable. HOLDER PUT OPTION IN RESPECT OF CERTIFICATES 36 Holder Put Option: Not Applicable. 21

22 PROVISIONS RELATING TO VALUATION AND REDEMPTION 37 Cash Settlement Amount: As detailed in the section below entitled Modifications to the Terms and Conditions 38 Valuation Date: Not Applicable. 39 Averaging: Averaging applies to the Certificates. The Averaging Dates or Averaging Date(t) means 29 October in each year from and including, 29 October 2008 (t=1) to and including, 29 October 2012 (t=5) 40 Observation Dates: Not Applicable. 41 Observation Period: Not Applicable. 42 Specified Maximum Days of Disruption: Five (5). 43 Settlement Business Day: Not Applicable. In the event that an Averaging Date is a Disrupted Day, Postponement (as defined in General Condition 4) shall apply. 44 Notional Amount of each Certificate: EUR 1,000, subject to a minimum trading size of EUR 5,000 in Notional Amount (i.e. 5 Certificates). DISTRIBUTION AND US SALES ELIGIBILITY 45 Selling Restrictions: (i) Eligibility for sale of Certificates in the United States to AIs: (ii) Eligibility for sale of Certificates in the United States to QIBs within the meaning of Rule 144a 46 Additional U.S. federal income tax consequences: The Certificates are not eligible for sale in the United States to AIs. The Certificates are not eligible for sale in the United States under Rule 144A to QIBs. Not Applicable. 47 Registered broker/dealer: Not Applicable. 48 Syndication: The Certificates will be distributed on a non-syndicated basis. 22

23 MODIFICATIONS TO THE TERMS AND CONDITIONS 1. Cash Settlement Amount Unless previously redeemed or purchased and cancelled by the Issuer, the Cash Settlement Amount per Certificate shall be calculated in accordance with the following formula: 5 1 EUR1, % + Max 10%; Participation Portfolio ( t) 5 i= 1 Where: Participation means 100 per cent. Portfolio(t) shall be determined on each Averaging Date(t) in accordance with the following formula: 3 i= 1 Weighting i Asset i ( t) 1 (0) Asset i 2. Portfolio The Portfolio is a weighted basket of Assets as set out in the table below: Asset i Index/Fund Bloomberg Screen Page Weighting i 1 Nikkei 225 Stock Average Index NKY <Index> 40% 2 MSCI Taiwan Index TWY Taiwan <Index> 40% 3 Baring Hong Kong China Fund EUR BRGHKGE ID <Equity> 20% 3. General Definitions Asset i means each asset set out in the table above, collectively known as Assets. Asset i (0) means the Strike Level in respect of each Asset i. Asset i (t) means the Settlement Price as displayed at the Relevant Time on the Screen Page on the relevant Averaging Date (t). Fund Business Day means a day on which it is (or, but for the imposition of any suspension period or similar limitation, would have been) possible to execute subscription and redemption orders for the Fund Share. Net Asset Value per Fund Share or NAV means the net asset value (howsoever such term is defined in the Fund Documents) of one Fund Share in the Fund. Relevant Time means, in relation to an Asset i which is an Index, as specified in sub-paragraph(c) in the definition of Valuation Time in General Condition 4, and in relation to an Asset i which is a Fund, any time on the relevant Averaging Date(t). 23

24 Screen Page means the relevant Bloomberg Screen Page set out in the table above. Strike Date means 29 October However, if such day is not a Scheduled Trading Day (All Indices Basis), then the immediately following Scheduled Trading Day (All Indices Basis). Strike Level means where Asset i is an Index, the official closing level of such Index and where Asset i is a Fund, the Net Asset Value of such Fund on the Strike Date. Weighting i means in relation to each Asset i, the relevant percentage set out in the table above. 4. Index Disclaimers Nikkei 225 Disclaimer: The Nikkei Stock Average ("Index") is an intellectual property of Nikkei Inc.* "Nikkei", "Nikkei Stock Average", and "Nikkei 225" are the service marks of Nikkei Inc. Nikkei Inc. reserves all the rights, including copyright, to the index. Nikkei Digital Media, Inc., a wholly owned subsidiary of Nikkei Inc. calculates and dessiminates the Index under exclusive agreement with Nikkei Inc. Nikkei Inc. and Nikkei Digital Media Inc. are collectively Index Sponsor. * Formerly known as Nihon Keizai Shimbum, Inc. Name changed on January 1, The Certificates are not in any way sponsored, endorsed or promoted by the Index Sponsor. The Index Sponsor does not make any warranty or representation whatsoever, express or implied, either as to the results to be obtained as to the use of the Index or the figure as which the Index stands at any particular day or otherwise. The Index is compiled and calculated solely by the Index Sponsor. However, the Index Sponsor shall not be liable to any person for any error in the Index and the Index Sponsor shall not be under any obligation to advise any person, including a purchase or vendor of the Products, of any error therein. In addition, the Index Sponsor gives no assurance regarding any modification or change in any methodology used in calculating the Index and is under no obligation to continue the calculation, publication and dissemination of the Index. MSCI Taiwan Disclaimer: THIS FINANCIAL PRODUCT IS NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MORGAN STANLEY CAPITAL INTERNATIONAL INC. ( MSCI ), ANY AFFILIATE OF MSCI OR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX. THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY BNP PARIBAS. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THIS FINANCIAL PRODUCT OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FINANCIAL SECURITIES GENERALLY OR IN THIS FINANCIAL PRODUCT PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THIS FINANCIAL PRODUCT OR THE ISSUER OR OWNER OF THIS FINANCIAL PRODUCT. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THIS FINANCIAL PRODUCT INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NEITHER MSCI, ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR RELATED TO, MAKING OR COMPILING ANY MSCI INDEX IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THIS FINANCIAL PRODUCT TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE EQUATION BY WHICH THIS FINANCIAL PRODUCT IS REDEEMABLE FOR CASH. NEITHER MSCI, ANY OF ITS AFFILIATES NOR ANY OTHER PARTY INVOLVED IN, OR 24