BGL BNP PARIBAS AUTOCALLABLE SRI NOTE 2020

Transcription

1 BGL BNP PARIBAS AUTOCALLABLE SRI NOTE 2020 Debt security 90% capital protected at maturity Subscription period: From 26 March to 30 April 2015 (except if closed early) Recommended investment period: five years (barring early redemption) The investor takes a risk of loss of capital that is not measurable ex ante in the event of exiting during the product's life when the automatic redemption requirements are not met. At maturity, the potential loss is limited to -10% of the par value subscribed. Issuer: BGL BNP PARIBAS S.A. (Standard & Poor s A+, Moody s A2, Fitch Ratings A+ as at 26 March 2015) The investor is subject to the credit risk of the Issuer. Marketing brochure

2 Main characteristics Lifetime of between 2 and 5 years. Redemption depends on the performance of the Ethical Europe Equity Index, consisting of 30 European equities, selected on the basis of a combination of environmental, social and governance (ESG) criteria and financial criteria. If the product runs to maturity, any capital gain paid will be equal to the average performance of the index over the last 13 months before maturity, if it is positive. Risk of loss of capital at maturity in the event of an adverse performance of the index. However, the potential loss is limited to -10% of the par value subscribed. Even in the event of a more severe decline in the index, the capital (1) will therefore be repaid, at maturity, for at least 90% of its par value. Early repayment of the par value is possible as of the end of the second year, if the index has reached a certain trigger threshold relative to its initial level. The trigger threshold for early repayment with a gain increases at each of the three predetermined observation dates (see details on page 6). In the event of early redemption, the investor will be entitled to a single coupon, the gross amount of which will be equal to 5% of the par value subscribed, multiplied by the number of years elapsed since the date of issue. The yield to maturity will vary depending on whether or not an early redemption occurs. The minimum yield to maturity will be -2.09% (1) (case of repayment of 90% of the capital at maturity). SRI investment certified by Forum Ethibel If you assign great importance to the ethical, sustainable and socially responsible aspect of your investment decisions, the certification by Forum Ethibel offers you a twofold guarantee. 1. The money lent to the issuer is invested ethically, in the form of loans to or equity investments in companies, bodies or projects in Luxembourg with strong emphasis on environmental and social factors (the criteria used are described in detail in the Forum Ethibel certificate). Moreover, this reinvestment is checked again each year. 2. The redemption premium is linked to the performance of the Ethical Europe Equity Index, the composition of which is subject to ESG and ethical criteria. Every three months, compliance with the stockpicking methodology is checked and certified by Forum Ethibel. How is the collected capital used? In order to profile the product's socio-ethical nature, BGL BNP Paribas S.A. uses the total amount of the paid-in capital for loans to, investments or equity stakes in companies, organisations or projects in Luxembourg which comply with one of the following characteristics: 1. They can be considered socially innovative. 2. They have a significant social component and deserve the "Social Entrepreneurship" or "Social Project" label. 3. They are heavily focused on products respecting the environment or sustainable development. 4. They offer a substantial range of leading socio-ecological products or services. These positive criteria can be detailed as follows: 1. Socially innovative may mean: Working in a democratic society and under self-management, or Promoting the emancipation of discriminated groups and the combat against intolerance, or The pursuit of sustainable development or Working on personal growth. 2. By "Investing in Social Entrepreneurship and Social Projects" is meant: Schools and Universities Education and integration Protected workshops and related companies (recognised by VOSEC and CWES) Hospitals NGOs (Red Cross, Doctors Without Borders, Oxfam, etc.) CPAS social centres Old people's homes - Service flats Shelters for the young and disadvantaged Psychiatric institutions Culture Development Granting microloans Ethical Trade Healthcare (nursing care, palliative care, etc.) Social Housing Research and development in the social sector. 3. "Products respecting the environment or sustainable development" cover the following categories: Renewable energies and Energy efficiency (wind power, solar power, heat pumps, biomass, hydropower, insulation, double glazing, passive houses) Electric and hybrid cars Water treatment and supply Sustainable agriculture Sustainable fisheries Sustainable forest management Public and sustainable transport Waste treatment and recycling 4. A substantial range means that at least 50% of revenues come from products or services of obvious ecological or social quality. (1) Excluding applicable fees and taxes, barring a bankruptcy or payment default by the Issuer. 2/8

3 The Ethical Europe Equity Index The Ethical Europe Equity Index is a stock market index calculated by Solactive AG, in close cooperation with VIGEO and Forum Ethibel. VIGEO is the leading European expert in socially responsible performance. The company founded by Nicole Notat in 2002 measures companies' performance and risks in relation to six areas of social responsibility: environment, human rights, human resources, societal engagement, behaviour in markets and corporate governance. Forum Ethibel is an independent Belgian non-profit organisation, formed in 1992 and recognised as an expert in the rating, independent auditing and certification of products meeting ethical standards. Solactive AG, founded in 2007, is a German supplier of financial market indices, specialised in the creation of personalised indices. You will find more information on these three partners at and The Ethical Europe Equity Index consists of 30 European equities, selected according to a strict methodology from all the companies rated by VIGEO. Its composition is determined based on a combination of environmental, social and governance (ESG) and ethical criteria, on the one hand, and financial criteria on the other hand. To stay close to market reality, the composition of the index is revised every three months, being determined according to the methodology described on page 4. More information You will find the composition of the Ethical Europe Equity Index and can follow its performance on the website Composition of the index as at # Company Country Sector Weighting 1 Zurich Insurance Group Switzerland Insurance 5.19% 2 National Grid United Kingdom Utilities 5.07% 3 Swiss Re Switzerland Insurance 4.49% 4 Legal General Group United Kingdom Insurance 4.37% 5 Centrica United Kingdom Utilities 4.30% 6 SSE United Kingdom Utilities 3.82% 7 TeliaSonera Sweden Telecommunications 3.64% 8 MÜNCHENER RÜCK Germany Insurance 3.57% 9 Allianz Germany Insurance 3.55% 10 GlaxoSmithKline United Kingdom Healthcare 3.48% 11 Klepierre France Real estate 3.41% 12 Next United Kingdom Retailing 3.39% 13 UnibailRodamco France Real estate 3.34% 14 Old Mutual United Kingdom Insurance 3.28% 15 Telefonica Spain Telecommunications 3.20% Source: Solactive AG Simulated performance of the Ethical Europe Equity Index compared with the historical performances of the Euro Stoxx 50 and Stoxx Europe 600 indices, from 30/01/2000 to 28/02/2015 (data relative to 30/01/2000 = 100) Since the Ethical Europe Equity Index was launched on 16 April 2013, the chart below is based on the actual performance of the index for the period from 16 April 2013 to 26 March 2015 and on a simulation of performance for the prior period. This simulation is based on the VIGEO global universe as at 16 April 2013, to which only financial filters (the only available objective historical data) were applied to redefine, every three months, the historical composition of the index Ethical Europe Equity Index Stoxx Europe 600 Index Euro Stoxx 50 Index # Company Country Sector Weighting 16 Telenor Norway Telecommunications 3.04% 17 Casino Guichard Perrachon France Retailing 3.04% 18 Repsol Spain Oil and gas 2.99% 19 Sandvik Sweden Industrial goods and services 2.97% 20 Delta Lloyd Netherlands Insurance 2.88% 21 AXA France Insurance 2.86% 22 Terna Italy Utilities 2.80% 23 OMV Austria Oil and gas 2.79% 24 Enagas Spain Utilities 2.78% 25 Corio Netherlands Real estate 2.70% 26 Nordea Bank Sweden Banks 2.64% 27 Veolia Environnement France Utilities 2.62% 28 GDF Suez France Utilities 2.61% 29 Vodafone Group United Kingdom Telecommunications 2.60% 30 BNP Paribas France Banks 2.55% Past data in no case represent a guarantee for the future. The performance of the Ethical Europe Equity Index is calculated excluding dividends. Source: Bloomberg, data as at 26 March 2015 For further information concerning the index (in particular its daily closing level, its components and the selection methodology), go to solactive.com/en/?s=ethical%20europe%20equity&index=de000sla5ee6 3/8

4 Methodology for selection of the 30 equities forming the index Investment universe: companies rated by VIGEO The Equitics rating database brings together VIGEO's analyses and opinions on more than 2,000 listed companies, bond and money market issuers (unlisted companies, local and regional governments, public institutions) in six areas of evaluation based on 38 criteria. First step: selection on the basis of an ESG filter The first selection filter involves selecting only European companies posting a score higher than 1/ the average for their sector of activity AND 2/ the overall average for the investment universe. Second step: selection on the basis of financial criteria Liquidity A first filter is designed to give priority to the most liquid company shares (based on the average daily trading volume over 20 days). Dividends A second filter identifies shares of companies distributing large dividends, by selecting only equities offering a dividend yield greater than 115% of the average dividend yield on the 50 largest market capitalisations in the euro zone. The companies selected in this way are distinguished by their market liquidity and their financial robustness. Volatility A last filter can identify and select only the 30 equities having the lowest historical volatility levels over six months. The weighting of each of these 30 equities is then determined according to their respective volatilities. The least volatile equity will thus have the greatest weight in the index. This selection and the resulting weighting can reduce volatility and hence index risk to a minimum. Third step: control on the basis of ethical criteria A last ethical filter, applied to the 30 equities selected, aims at excluding and replacing companies - generating more than 5% of their revenues in the nuclear industry; - with a major involvement in the production or distribution of products and services related to games of chance, tobacco and arms; - which are the subject of major controversies on matters of human rights or labour law within the meaning of the International Labour Organization; - which are the subject of major environmental controversies. Independent audit Each quarter, the index's compliance with ethical criteria is checked by Forum Ethibel, which publishes its certification reports. Volatility Equities are subject to price movements upward and downward. These variations can be delimited within a fluctuation range which measures, as a percentage, the positive and negative deviations relative to a mean performance. In financial terms, this range is expressed by the concept of volatility. For example, saying that an equity has a volatility of 5% means that in most observed cases, the equity moves between +5% and -5% around its mean performance. Conclusion This methodology can identify equities which are the most ethical, socially responsible and sustainable; capable of distributing large dividends; and having a controlled risk profile. No regular dividend distribution Although one of the selection criteria for the equities forming the index concerns the dividends they distribute, it should be noted that the investor does not receive payment of these dividends. 4/8

5 On the initial observation date, the closing level of the Ethical Europe Equity Index is recorded and adopted as the initial level. A single coupon of 5% (gross) per year elapsed (1) in the event of early redemption In years 2, 3 and 4, on the annual observation dates, the index closing level is recorded. Whenever, on one of these dates, the index closes at least at the trigger threshold, BGL BNP Paribas Autocallable SRI Note 2020 is automatically repaid before maturity with a gain. BGL BNP Paribas Autocallable SRI Note 2020 will give entitlement to: - repayment of the par value (1) and - a 5% gain on the subscribed par value, per year elapsed (1)(2) since issue. The trigger threshold for early repayment with a gain is 110% of the reference level of the Ethical Europe Equity Index in year 2, and is then increased to 115% in year 3 and 120% in year 4. Otherwise, BGL BNP Paribas Autocallable SRI Note 2020 continues. or a gain at maturity in the event of a rise in the Ethical Europe Equity Index If the product runs to maturity on 7 May 2020, the amount repaid will be determined by the following procedures. During the last 13 months before maturity, on the monthly observation dates, the index closing levels are recorded and their mean is calculated. This mean is then compared with the initial level of the index, in order to calculate its mean performance. If this mean performance is negative, the repayment will be calculated as follows: Par value reduced by the negative mean performance of the index, within the limit of -10%, i.e. a minimum repayment of 90% of the par value (1). If the mean performance of the index is positive, BGL BNP Paribas Autocallable SRI Note 2020 will give entitlement to: - repayment of the par value and - a redemption premium equal to the positive mean performance of the index. Scenarios The following scenarios, given as an illustration, are a guide neither to the future performance of the Ethical Europe Equity Index, nor to the return on BGL BNP Paribas Autocallable SRI Note 2020 in the event of early redemption or redemption at maturity. Adverse scenario Neutral scenario Positive scenario In years 2, 3 and 4, the index does not reach the trigger threshold for early redemption with a gain and its mean performance is equal to -20%. On 7 May 2020, investors are entitled to redemption at 90% of the par value (1). In years 2, 3 and 4, the index does not reach the trigger threshold for early redemption with a gain. At maturity, its mean performance is equal to 5.53%. On 7 May 2020, investors are entitled to repayment of the par value plus a redemption premium equal to 5.53% (gross) (1). The index posts a 17% rise at the end of the second year. It is therefore above the trigger threshold for automatic redemption with a gain. On 7 May 2017, investors are entitled to repayment of the par value plus a single gross coupon of 10% (1). The gross yield to maturity is -2.09% (1). The gross yield to maturity is 1.08% (1). The gross yield to maturity is 4.88% (1). (1) Excluding applicable fees and taxes, barring a bankruptcy or payment default by the Issuer. (2) This represents a yield to maturity ranging between 4.66% and 4.88%. 5/8

6 Advantages Capital 90% protected at maturity by the issuer. 100% participation, at maturity, in the mean performance of the index, if it is positive, and with no cap. Potential annual gain of 5% per year elapsed (in the event of early redemption). The possibility, as of the end of the second year, of benefiting, on certain conditions, from early repayment of the capital (1), which is therefore mobilised over a shorter period. Disadvantages Risk of loss of capital at maturity: Repayment of the capital at 100% of the par value is not provided for in all cases: in the event of an adverse performance of the Ethical Europe Equity Index at maturity, the investor is exposed to a loss of capital. This will, however, be limited to at most -10%, even in the event of a more severe decline in the index. Risk of underperforming the index: In the event of early redemption: the payment of a 5% coupon per year elapsed in the event of automatic early redemption acts as a cap on performance, to the extent that it does not make it possible to profit fully from a substantial rise in the index. In the event of redemption at maturity: the use of mean performance rather than merely the final level of the index results in lost earnings for the investor if the index rises continuously over the last 13 months. (1) Excluding applicable fees and taxes, barring a bankruptcy or payment default by the Issuer. 6/8

7 Risk factors Market risk: The market value of a structured product can vary significantly under the influence of various factors, such as the level of performance of the underlying assets, their volatility, fluctuations in interest rates or exchange rates, the product's remaining lifetime until maturity, the economic and financial situation of the country or countries in question and, if the product is not denominated in the investor's reference currency, exchange rate risk against his own currency. For structured products associated with an "issuer call" providing for the possibility of early redemption, the prospects for reinvesting the amounts repaid may be unfavourable. For structured products relating to credit markets, the risk of default by the various issuers of the underlying bonds evolves notably depending on their creditworthiness (reflected by their rating see issuer risk below applied to underlying bonds) and the macroeconomic environment. Investors must be aware of the creditworthiness of the issuer(s) on which the investments are made. Moreover, the price of the underlying bonds may vary significantly between the time at which they are issued and their maturity. This price fluctuation is related to interest-rate fluctuations in the market. Structuring risk: Since structured products are based on several complex factors, investors must thoroughly understand the mechanisms of the proposed structured product and the result according to the redemption formula or the valuation method chosen, depending on various market expectations and the nature of the underlying asset(s). Issuer risk: The structured product is neither issued nor guaranteed by BNP Paribas Wealth Management, which acts only as distributor of the security. Each investor is subject to the credit risk of the issuer and the guarantor, where applicable, defined in the product's legal documentation. The ratings of the issuer and its guarantor reflect the independent opinion of the rating agencies in question and should not be considered as a guarantee of creditworthiness. In the event of a failure of the issuer or even its guarantor, investors could sustain partial or total losses on the initial capital invested. Liquidity risk: In the case of structured products, the product's liquidity is completely in the hands of the issuer, which may or may not make a commitment in normal market operating conditions to buy or sell the product to the investor according to certain criteria defined at the outset (price, frequency and minimum amount). If they wanted to exit before the maturity date, investors could therefore possibly be unable to sell their financial asset partially or in full, or could have to sell at a very unfavourable price. Lastly, some products becoming very illiquid could face high volatility and an impairment of their market value, reducing the reliability of their valuation in portfolios or making such valuation impossible. Financing: The purchase of financial instruments via financing increases risk. Firstly, additional guarantees (extra assets as collateral) could be demanded. Secondly, the loss incurred when prices move unfavourably could be greater than without financing. Fluctuations in the prices of pledged instruments could therefore have a negative influence on the capacity for repaying loans/financing. It is important to clearly understand that the leverage resulting from the purchase of financial instruments via financing creates proportionally greater sensitivity to price fluctuations, and therefore offers the prospect of larger gains, but also, at the same time, a higher risk of loss. In short, the greater the leverage, the greater the potential loss. Conflicts of interest: Several conflicts of interest, potential and real, can result from the investing activities of the various parties involved in the transaction, the players in these investments and their subsidiaries. In particular, the manager/issuer or its subsidiaries may offer and manage other investment vehicles with possibly differing interests from those of the holders of the securities described above. Protection of capital: For capital guaranteed products, the guarantee covers the capital invested and applies at the product's maturity. During the product's lifetime, the market value fluctuates upward and downward depending on various factors (change in the underlying, volatility, interest rate fluctuations, etc.). In the event of an exit before maturity (not originally planned), if market liquidity so permits, investors may sustain partial or total losses on the initial capital invested. Moreover, in the case of an EMTN or a Certificate, the capital guarantee may not operate if the issuer or their guarantor were to default. For non-capital-guaranteed products, the invested capital enjoys no guarantee. Accordingly, in the event of an adverse movement in the underlying, investors may sustain partial or total losses on the initial capital invested. 7/8

8 Main characteristics ISIN code: XS Legal form: Notes (debt security) Issuer: BGL BNP Paribas S.A. (Standard & Poor s A+, Moody s A2, Fitch Ratings A+ as at 26 March 2015) Par value: EUR 1,000 Offer price: 101% Minimum investment amount: EUR 10,000 Underlying / Index: Ethical Europe Equity Index, calculated excluding dividends (composition available at Subscription period: From 26 March to 30 April 2015 (except if closed early) Issue date: 7 May 2015 Observation date of the initial index level: 30 April 2015 Annual observation dates: 2 May 2017 (year 2), 30 April 2018 (year 3), 30 April 2019 (year 4) Monthly observation dates for calculating the mean index performance: 30 April 2019, 30 May 2019, 1 July 2019, 30 July 2019, 30 August 2019, 30 September 2019, 30 October 2019, 2 December 2019, 30 December 2019, 30 January 2020, 2 March 2020, 30 March 2020, 30 April 2020 Early redemption dates: 9 May 2017 (year 2), 7 May 2018 (year 3), 7 May 2019 (year 4) Maturity date: 7 May 2020 Redemption mechanisms: Distribution commissions: Tax treatment: Possibility of early repayment of the par value plus a 5% coupon per year elapsed, as of the end of the second year, if the Ethical Europe Equity Index reaches a certain trigger threshold for early redemption with a gain relative to its initial level, on one of the three annual observation dates. Upon the 5-year maturity, in the absence of early redemption: If the mean performance of the index is positive: repayment of the par value plus a gain equal to this positive mean performance; If the mean performance of the index is negative: the redemption will only be partial and calculated as follows: Par value reduced by the negative mean performance of the index, within the limit of -10%, i.e. at least 90% of the par value. Commissions relating to this transaction have been received by the distributor. They cover distribution costs and represent an annual amount equivalent to at most 0.5% (including tax) of the amount actually invested. Details of these commissions are available on request from BGL BNP Paribas. Income generated by the product is not subject to the withholding tax eliminating tax liabilities applicable to Luxembourg residents, and said income does not fall within the scope of the automatic exchange of information under the savings directive. BGL BNP Paribas Société Anonyme, whose head office is situated avenue J.F. Kennedy, 50, L-2951 Luxembourg, is responsible for the production and distribution of this document, which is a marketing publication. It has therefore not been prepared in accordance with legal or regulatory requirements designed to promote the independence of investment research; said requirements may therefore not be referred to for an objective explanation of the subjects dealt with herein. It also follows from this that it is not subject to the rules prohibiting dealing ahead of the dissemination of investment research. This document is not an offer or a solicitation to sell, buy or subscribe to any financial instrument, in any jurisdiction whatsoever; nor is it a financial report within the meaning of the legislation applicable to financial reports. In the event of divergences between this document and the financial report to which it refers, the information contained in the financial report shall take precedence. The information contained in this document does not constitute investment advice. This document does not claim to give an exhaustive description of the financial instrument to which it refers nor of its issuer, nor of certain risks related thereto. Although all reasonable measures have been taken to ensure the accuracy of the information it contains, neither BGL BNP Paribas, nor any affiliated company, nor any of its directors, collaborators or employees may be held liable for any direct or indirect damage, loss, costs, claims, compensation or other expenses which might result from the use of or reference to this document, except in the case of fraud or gross negligence. A decision to invest in this product cannot be taken solely on the basis of this document and should only be taken after careful analysis of all its characteristics and the risks related thereto, as described in the Investors Guide and the financial report, and after obtaining all necessary information and the advice of professional advisers (including tax advisers). BGL BNP PARIBAS Public limited company ("Société Anonyme") 50, av. J.F. Kennedy L-2951 Luxembourg Corporate and Trade Register ("RCS") in Luxembourg: B 6481 Credit institution accredited and supervised by the Financial Sector Supervisory Commission (CSSF), 110, route d Arlon, L 2991 Luxembourg 8/8