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Introducing the

S&P 500 FUTURES 35% DEFINED VOLATILITY 6% DECREMENT INDEX

The S&P 500® Futures 35% Defined Volatility 6% Decrement Index (“the Index”) tracks the performance of the S&P 500® and deploys leverage with the objective of maintaining a 35% level of Implied Volatility, less a fixed amount of 6% per year.

Created by S&P Dow Jones Indices, the S&P 500® Futures Defined Volatility Index Series seeks to maintain a pre-defined level of volatility by applying leverage, which is calculated based on the current weekly implied volatility of The 500™. As a result, callable yield notes issued by BNP Paribas linked to the Index are intended to display a consistent and higher level of yield, compared to classic worst-of index baskets.

For more information on the Index performance and statistics, please click here.

For a list of selected risks and considerations with the Index, please click here.

DOWNLOAD MATERIAL

FACTSHEET

A more concise overview of the Index with the
latest information on performance.
Updated monthly.

MORE ON S&P DOW JONES INDICES

Find out more about the Index on the
dedicated page on the S&P DJI website.

ABOUT BNP PARIBAS

A factsheet with more information about
BNP Paribas. Updated yearly.

Want to know more about the
S&P 500 Futures 35% Defined Volatility 6% Decrement Index? Contact us at:

dl.us.structured.solutions@us.bnpparibas.com

© BNP Paribas. All rights reserved.

 

Important Information

 

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

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

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

© BNP Paribas. All rights reserved.

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