JANUARY 2018 MULTI-ASSET DIVERSIFIED GLOBAL CERTIFICATE 11 Gain exposure to a broadly diversified investment universe through the BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index Issued by BNP Paribas Issuance B.V. Available only in Old Mutual International portfolio bonds Marketing Document For advised sales only
ABOUT CTF INVESTMENTS TM Introducing BNP Paribas product range - Committed to The Future (CTF) Investments. The objective of this product range is to provide a competitive offering of structured products to the offshore advisory market. These investments have been designed to meet Old Mutual International acceptability criteria and are only available via Old Mutual International portfolio bonds. Both BNP Paribas, as manufacturer, and Old Mutual International, as distributor, have made a commitment to reduce the costs involved in the creation and distribution of the CTF INVESTMENTS TM range of products. Investors can access CTF INVESTMENTS TM with the help of a financial advisor through Old Mutual International portfolio bonds. Investors will own the Old Mutual International portfolio bond and its value will be linked to the assets held within the bond, chosen by the investor but owned by Old Mutual International. This brochure contains key details of how the Multi-Asset Diversified Global Certificate 11 works. This brochure should be read in conjunction with the Base Prospectus and associated Supplements for Certificates issued under the BNP Paribas Issuance B.V. Note, Warrant and Certificate Programme dated 9 June 2017 available at the following website: https://rates-globalmarkets.bnpparibas.com/gm/public/legaldocs.aspx 2
IMPORTANT TERMS Annualised Return - the return earned in a year after accounting for the effects of compounding Certificate this investment is a Certificate. A Certificate is effectively a loan from an investor who holds the Certificate to the issuer of the Certificate (in this case BNP Paribas Issuance B.V). The Issuer agrees to pay the investor a return, if applicable, as described in the documentation of the Certificate. The exception to this is if the Issuer and Guarantor default and are unable to make these payments to the investor. In this case, the investor could lose some or all of their investment in the Certificate. Distribution Fee the amount of the Initial Investment that is payable to a third party. See page 9 for more information. Final Index Level the official closing level of the Index on the Final Valuation Date Final Valuation Date the date on which the Final Index Level is recorded. See page 9 for dates. Guarantor BNP Paribas Index the BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index (Bloomberg Code: BNPID8UF Index) Index Performance the percentage change from the Initial Index Level to the Final Index Level Initial Index Level the closing level of the Index on the Start Date Initial Investment the total amount invested into this product before deduction of the Distribution Fee Issuer BNP Paribas Issuance B.V. Maturity Date the date on which any proceeds that are due from the investment are payable. See page 9 for dates. Maximum Drawdown a measure of the largest single drop from top to bottom in the value of an asset for the period shown Participation Rate the percentage of the positive Index Performance that is payable on the Maturity Date Sharpe Ratio a measure for calculating risk-adjusted return. It is calculated as the average return earned per unit of volatility or total risk. Comparatively, a higher Sharpe Ratio indicates a better return is obtained for the same level of risk, or the same return is obtained with a lower level of risk. Start Date the date on which the Initial Index Level is recorded and on which the Participation Rate is determined. See page 9 for dates. Volatility a measure of price movements, or of the amount by which the level of an asset moves around its average level over a set period of time. Volatility is an indicator of the level of risk of an asset. High volatility equates to high risk. 3
PRODUCT AT A GLANCE A quick overview The Multi-Asset Diversified Global Certificate 11 (the Certificate) is a five year Certificate issued by BNP Issuance B.V. (the Issuer) and guaranteed by BNP Paribas (the Guarantor). It offers: Exposure to the performance of the BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index (the Index) - a broadly diversified index made up of a range of global assets, that benefits from an efficient allocation methodology and daily risk management. At maturity: 1. Repayment of the Initial Investment irrespective of the performance of the Index; 2. If the Index closes above the Initial Index Level, payment of an amount equal to at least 110% (the Participation Rate) of the growth in the Index from the Start Date to the Final Valuation Date (the Index Performance). The Participation Rate will be fixed on the Start Date and will not be less than 110%. There is a risk of partial or total loss of the Initial Investment and any potential payment due in the event of bankruptcy or payment default by the Issuer and the Guarantor. Is the Certificate right for investors? An investment in the Certificate may expose investors to risks which are different to those normally associated with investment in traditional asset classes. Please see a summary of risk factors on page 8. Investors should consult their own professional advisors prior to making a decision to invest in the Certificate. May be right for investors who: May not be right for investors who: would like to benefit from the positive performance of an index linked to a wide range of diversified asset classes; are not comfortable with the investment strategy of the Index or think the Index may fall over the investment term; accept the risk that they may not receive any return on their investment; do not need access to their money during the investment term; do not need a regular income from their investment; are comfortable with the risks associated with this Certificate; are comfortable with the credit risk of the Issuer and Guarantor; want to make an investment in USD; require a guaranteed return from their investments; need access to their money during the investment term; want a regular income from their investment; are not comfortable with the risks associated with this Certificate; do not wish to be exposed to the credit risk of the Issuer and Guarantor; do not want to make an investment in USD; do not understand how the Certificate works. understand how the Certificate works. 4
THE INDEX A summary of the methodology of the BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index The Index is made up of underlying assets which give access to equity, commodity and government bond markets, in a variety of geographical locations. It includes a total of ten, liquid, underlying assets. The portion of the Index allocated to each asset is calculated based on the price trend for each asset (today s price compared to daily prices in the past year), volatility and correlation (how assets move in relation to each other). The portion of the index allocated to each asset is rebalanced daily, offering a highly reactive strategy in all market conditions. The sum of weights of the assets in the Index is not restricted to, which means that through leveraging and deleveraging a more efficient portfolio can be obtained. The sum of all the weights of all assets must range from 0% to 300%, even if some individual weights are negative. A negative weight indicates the Index will grow if the asset falls in value. An additional risk control mechanism is applied to the Index in order to help limit the impact of extreme market moves on returns. This is done by limiting exposure to the assets comprising the Index in volatile markets, in order to keep volatility close to 8%. The Index directly tracks the performance of the BNP Paribas Multi-Asset Diversified vol 8 EUR Future Index, converted each day from EUR into USD. The Index can be composed of assets expressed in different currencies and protection against the evolution of these currencies against the USD is embedded in the Index. The performance of the Index is calculated after fees have been deducted. Fees include an annual 0.5% adjustment factor deducted from the Index level, and the costs for re-balancing of the Index daily. * The Custom Equity and Commodity Indices activity of BNP Paribas Global Markets has been attested in accordance with SOC1 / ISAE 3402 standard as of 31-Mar-2015. Index Components and Weights Assets Minimum possible target weight in Index Maximum possible target weight in Index Actual weight in Index at end of December 2017 Equity Europe -50% 50% 3% Equity US -50% 50% 33% Equity Japan -50% 50% 20% Equity China -10% 10% 9% Equity Emerging Markets -5% 5% 0% Gov. Bonds Germany - 99% Gov. Bonds US - -35% Gov. Bonds Japan -25% 25% 25% Gold -25% 25% 10% Commodities -25% 25% 17% Total 182% Source: BNP Paribas, Bloomberg, 29 December 2017. Past performance is not indicative of future performance. 5
Historical performance of the Index (simulated until 14 June 2016) Index set equal to on 9 January 2013 200% BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index 180% Index live since 15 June 2016 160% 140% 120% 80% Jan-13 Jan-14 Jan-15 Jan-16 Jan-17 Jan-18 9 January 2013 9 January 2018 BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index Annualised return 9.55% Annualised volatility 7.70% Sharpe Ratio 1.24 Maximum drawdown -8.28% Source: Bloomberg, BNP Paribas, 9 January 2018. The Index performance is simulated from 9 January 2013 to 14 June 2016, with actual performance thereafter. Simulated past performance and past performance are not indicative of future performance. HOW IS THE INVESTMENT RETURN CALCULATED? Calculating the amount payable at maturity On the Final Valuation Date, the Final Index Level is checked and compared to the Initial Index Level: If the Final Index Level is at or below the Initial Index Level, the Initial Investment is repaid in full to Certificate holders on the Maturity Date; Otherwise, if the Final Index Level is above the Initial Index Level, the Initial Investment plus an amount equal to at least 110% of the Index Performance, is paid to Certificate holders on the Maturity Date. Sample calculations Example Initial Investment () Index Performance on Final Valuation Date 110% Participation Rate x positive Index Performance % Initial Investment payable at maturity Amount payable at maturity Annualised Return 1 USD 1,000 +70% 77.00% 177% USD 1,770 12.10% 2 USD 1,000 +35% 38.50% 138.50% USD 1,385 6.73% 3 USD 1,000 +5% 5.50% 105.50% USD 1,055 1.08% 4 USD 1,000 0% 0.00% USD 1,000 0.00% 5 USD 1,000-35% 0.00% USD 1,000 0.00% 6 USD 1,000-70% 0.00% USD 1,000 0.00% 6 Source: BNP Paribas. The above sample calculations assume no bankruptcy or payment default by the Issuer and Guarantor and use an indicative Participation Rate of 110%. Sample calculations are for illustrative purposes only and are not indicative of future performance. Annualised Return calculated on an IRR basis (Internal Rate of Return).
MARKET SCENARIOS Positive scenario On the Final Valuation Date, the Final Index Level is 50% higher than the Initial Index Level. The Certificate pays of the Initial Investment + 110% of the Index Performance (110% x 50%) = 155% on the Maturity Date Investors receive an annualised return of 9.16% Index Level Payment on Maturity Date of of the Initial Investment + 55% 155% 55% 1 2 3 4 5 Year Payment on Maturity Date of of the Initial Investment Neutral scenario Index Level On the Final Valuation Date, the Final Index Level is the same as the Initial Index Level. The Certificate pays of the Initial Investment on the Maturity Date Investors receive an annualised return of 0% 1 2 3 4 5 Year Negative scenario Index Level Payment on Maturity Date of of the Initial Investment On the Final Valuation Date, the Final Index Level is 55% lower than the Initial Index Level. The Certificate pays of the Initial Investment on the Maturity Date Investors receive an annualised return of 0% 45% 1 2 3 4 5 Year LEGEND Index level during Certificate term Final Index Level 110% of Index Performance Initial Investment Source: BNP Paribas. The above scenarios assume no bankruptcy or payment default by the Issuer and Guarantor and use an indicative Participation Rate of 110%. Scenarios are for illustrative purposes only and are not indicative of future performance. Annualised Return calculated on an IRR basis (Internal Rate of Return). 7
BENEFITS & RISKS OF INVESTING Benefits Exposure to an Index which contains a range of diversified assets classes and geographies, and benefits from a sophisticated asset allocation methodology and rigorous risk management Potential for a return at maturity, which will at least be 110% of any positive Index Performance, due to the Participation Rate which will not be less than 110%. Even if the Index performs poorly over the term of the Certificate, the Initial Investment will be repaid in full at maturity. Key Risks Risk of not receiving any return if the Index Performance is negative on the Final Valuation Date Risk of partial or total loss of Initial Investment in the case of bankruptcy or payment default by the Issuer and Guarantor Exiting the investment before the Maturity Date may result in a loss to the investor on their Initial Investment. The value of the Certificate changes not only according to the performance of the Index, but also according to other market parameters such as FX rates, interest rates and the credit worthiness of the Issuer and Guarantor. Certificates are not listed on any exchange. BNP Paribas may (but is under no obligation to) provide a bid price, upon request, on the Certificates on a reasonable efforts basis subject to normal market conditions. Investors are not investing directly in the equities, bonds or commodities that make up the Index and will not receive any dividends. Tax treatment may change during the term of the investment, which may affect the tax treatment of any return investors receive. The Subscription Period may be shortened or the offer may be withdrawn if Old Mutual International or BNP Paribas determine that the market conditions make a successful completion of the offer more difficult. If an application to invest or monies are received after the Certificate is closed to subscriptions, investors will be informed and their contribution will be returned to them. For a more comprehensive disclosure and more detailed information of the risks attached to the Certificates, please refer to the Issuer s Base Prospectus and associated Supplements available at: https://rates-globalmarkets.bnpparibas.com/gm/public/legaldocs.aspx; and the Final Terms or Pricing Supplement for the Certificate, available on request from Old Mutual International or available to financial advisers at www.ctf-investment.com. 8
INDICATIVE SUMMARY OF TERMS & CONDITIONS Issue type ISIN Code Certificate XS1686393338 Issuer BNP Paribas Issuance B.V. (rated A by Standard & Poor's, as at 9/1/2018) Guarantor BNP Paribas (rated A (Standard & Poor s), Aa3 (Moody s), A+ (Fitch), as at 9/1/2018) Listing This Certificate will not be listed on any exchange Subscription Period 15 January 2018 23 February 2018 Subscription Period may end early if the Certificate is oversubscribed. Investment Term 5 years Start Date 2 March 2018 Final Valuation Date 2 March 2023 Maturity Date 9 March 2023 Index BNP Paribas Multi-Asset Diversified vol 8 USD FX Hedged Future Index (Bloomberg Code: BNPID8UF Index) Participation Rate To be fixed on the Start Date and will not be less than 110% Currency Initial Investment Capital Protection USD USD 1,000 (1 Certificate) Yes Distribution Fee A maximum fee equivalent to 0.90% for each year of the Investment Term of an investor s Initial Investment is payable by BNP Paribas to Old Mutual International, of which Old Mutual International will pay equivalent to 0.70% for each year to a third party financial advisor. Details of this third party payment available on request from Old Mutual International. 9
DISCLAIMERS This document is CONFIDENTIAL AND FOR DISCUSSION PURPOSES ONLY. This document does not constitute an offer or a solicitation to engage in any trading strategy or to purchase or sell any financial instruments. Given its general nature, the information included in this document does not contain all the elements that may be relevant for a recipient to make an informed decision in relation to any strategies or financial products discussed herein. The information contained in this document has been obtained from sources believed to be reliable, but BNP Paribas makes no representation, express or implied, that such information, or any opinions based thereon and contained in this document, are accurate or complete. Other financial institutions or persons may have different opinions or draw different conclusions from the same facts or ideas analysed in this document. Any scenarios, assumptions, historical or simulated performances, indicative prices or examples of potential transactions or returns are included for illustrative purposes only, and BNPP gives no assurance that any favourable scenarios described are likely to happen, nor that it is possible to trade on the terms described herein or that any of the potential returns illustrated can be achieved. BNPP is further under no obligation to update or keep current the information contained in this document. BNPP has used historical information in order to provide an illustration of how certain parameters may have performed over a defined period. This document also contains certain performance data based on back-testing, i.e., calculations of the hypothetical performance of a strategy, index or asset as if it had actually existed during a defined period of time and may in certain circumstances contain simulated performance information where the index or asset described has recently been established or issued. The scenarios, simulations, development expectations and forecasts contained in this document are for illustrative purposes only. This type of information has inherent limitations which you must consider carefully. While the information has been prepared in good faith in accordance with BNPP's own internal models and other relevant sources, an analysis based on different models or assumptions may yield different results. Therefore, this analysis may vary significantly from an analysis obtained from other sources or market participants. Further, please note that such analysis is based on a number of working assumptions that may not be capable of duplication in actual trading terms. Unlike actual performance records, hypothetical or simulated performances, returns or scenarios may not necessarily reflect certain market factors such as liquidity constraints, fees and transaction costs. Actual historical or backtested past performance and forecasts are not reliable indicators of future performance. This document contains only a summary description of the main features of certain Notes, Warrants or Certificates (the Securities ). A proposed investment in the Securities cannot be fully assessed without full knowledge and understanding of the relevant Final Terms and the Terms and Conditions contained in the relevant Base Prospectus for such Securities (as supplemented from time to time), which is publicly available on the website of the Autorité des marchés financiers (the "AMF") in France (www.amf-france.org). A proposed investment in the Securities cannot be fully assessed without full knowledge and understanding of the relevant Final Terms and the Terms and Conditions contained in the relevant Base Prospectus for such Securities (as supplemented from time to time), which is available from BNPP. In particular, potential investors should carefully read the section headed Risk Factors for a full description of the potential risks associated with the Securities and the section entitled Offering and Sale for certain limitations on the purchase and onward sales of the Securities. The Securities are structured to provide capital protection at maturity. This applies to the nominal value of the Securities only, providing the Securities are held until maturity. If the Securities are not held until maturity then this protection does not apply, and investors should be aware that there is risk of partial or total loss of the invested capital. Capital protection is designed to protect the investor from certain market risks, but not counterparty risk. The investor is still exposed to the risk of counterparties entering insolvency or defaulting on their obligations. Capital protection is provided by BNP Paribas Issuance BV ( IBV ), as issuer of the Securities. As IBV s payment obligations under the Securities are guaranteed by BNPP, an investment in the Securities is subject to the credit risk of the BNPP Group. In providing this document, BNPP gives no financial, legal, tax or any other type of advice to, nor has any fiduciary duties towards, recipients. Certain strategies and/or potential transactions discussed in this document involve the use of derivatives, which may be complex in nature and may give rise to substantial risks, including the risk of partial loss of any investment. BNPP makes no representation as to whether any of the strategies or transactions discussed herein may be suitable for investors financial needs, circumstances or requirements. Investors must make their own assessment of the strategies and/or potential transactions, using such professional advisors as they may require. BNPP accepts no liability for any direct or consequential losses arising from any action taken in connection with or reliance on the information contained in this document. As an investment bank with a wide range of activities, BNPP may face conflicts of interest, which are resolved under legal provisions and internal guidelines. You should be aware, however, that BNPP may engage in transactions in a manner inconsistent with the views expressed in this document, either for its own account or for the account of its clients. Laws and regulations of countries may restrict the distribution of this document. Persons in possession of this document should inform themselves about possible legal restrictions and observe them accordingly. 10
Any investment to which this document relates is only available to such persons as this document may be lawfully distributed and other classes of persons should not rely on this document. The securities referred to herein have not been and will not be registered under the United States Securities Act of 1933, as amended (the Securities Act ), and may not be offered or sold in the United States except pursuant to an exemption from the registration requirements of the Securities Act. BNP Paribas London Branch (registered office: 10 Harewood Avenue, London NW1 6AA; tel: +44 20 7595 2000; fax: +44 20 7595 2555) is lead supervised by the European Central Bank (ECB) and the Autorité de Contrôle Prudentiel et de Résolution (ACPR). BNP Paribas London Branch is authorised by the ECB, the ACPR and the Prudential Regulation Authority and subject to limited regulation by the Financial Conduct Authority and Prudential Regulation Authority. Details about the extent of our authorisation and regulation by the Prudential Regulation Authority, and regulation by the Financial Conduct Authority are available from us on request. BNP Paribas London Branch is registered in England and Wales under no. FC13447. www.bnpparibas.com The methodology of and rules governing the index (the "Index Methodology" and the "Index") are proprietary. None of the sponsor of the Index (the "Index Sponsor"), the index calculation agent (where such party is not also the Index Sponsor, the "Index Calculation Agent") nor, where applicable, the index Investment Advisor (the "Index Investment Advisor") guarantee that there will be no errors or omissions in computing or disseminating the Index. The Index Methodology is based on certain assumptions, certain pricing models and calculation methods adopted by the Index Sponsor, the Index Calculation Agent and, where applicable, the Index Investment Advisor, and may have certain inherent limitations. Information prepared on the basis of different models, calculation methods or assumptions may yield different results. You have no authority to use or reproduce the Index Methodology in any way, and neither BNP Paribas nor any of its affiliates shall be liable for any loss whatsoever, whether arising directly or indirectly from the use of the Index or Index Methodology or otherwise in connection therewith. The Index Sponsor reserves the right to amend or adjust the Index Methodology from time to time in accordance with the rules governing the Index and accepts no liability for any such amendment or adjustment. Neither the Index Sponsor nor the Index Calculation Agent are under any obligation to continue the calculation, publication or dissemination of the Index and accept no liability for any suspension or interruption in the calculation thereof which is made in accordance with the rules governing the Index. None of the Index Sponsor, the Index Calculation Agent nor, where applicable, the Index Investment Advisor accept any liability in connection with the publication or use of the level of the Index at any given time. The Index Methodology embeds certain costs in the strategy which cover amongst other things, friction, replication and repo costs in running the Index. The levels of such costs (if any) may vary over time in accordance with market conditions as determined by the Index Sponsor acting in a commercially reasonable manner. BNP Paribas and its affiliates may enter into derivative transactions or issue financial instruments (together, the "Products") linked to the Index. The Products are not in any way sponsored, endorsed, sold or promoted by the sponsor of any index component (or part thereof) which may comprise the Index (each a "Reference Index") that is not affiliated with BNP Paribas (each such sponsor, a "Reference Index Sponsor"). The Reference Index Sponsors make no representation whatsoever, whether express or implied, either as to the results to be obtained from the use of the relevant Reference Index and/or the levels at which the relevant Reference Index stands at any particular time on any particular date or otherwise. No Reference Index Sponsor shall be liable (whether in negligence or otherwise) to any person for any error in the relevant Reference Index and the relevant Reference Index Sponsor is under no obligation to advise any person of any error therein. None of the Reference Index Sponsors makes any representation whatsoever, whether express or implied, as to the advisability of purchasing or assuming any risk in connection with the Products. BNP Paribas and its affiliates have no rights against or recourse to any Reference Index Sponsor should any Reference Index not be published or for any errors in the calculation thereof or on any other basis whatsoever in relation to any Reference Index, its production, or the level or constituents thereof. BNP Paribas and its affiliates shall have no liability to any party for any act or failure to act by any Reference Index Sponsor in connection with the calculation, adjustment or maintenance of the relevant Reference Index and have no affiliation with or control over any Reference Index or the relevant Reference Index Sponsor or the computation, composition or dissemination of any Reference Index. Although the Index Calculation Agent will obtain information concerning each Reference Index from publicly available sources that 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 BNP Paribas or any of its affiliates nor the Index Calculation Agent as to the accuracy, completeness and timeliness of information concerning any Reference Index. CTF INVESTMENTS and the three triangles is a trade mark of BNP Paribas. 11