RISKS AND CONSIDERATIONS

SELECTED RISKS & CONSIDERATIONS ASSOCIATED WITH THE INDEX

No Assurance Can Be Given that the Strategy Used to Construct the Index Will Achieve Its Intended Results or that the Index Will Be Successful.

No assurance can be given that the investment strategy on which the Index is based will be successful or that the Index will outperform any alternative strategy that might be employed with respect to the Index Components. The Index has been developed based on predetermined rules that may not prove to be advantageous or successful, and that will not be adjusted for market conditions.

The Index is Subject to Risks Associated with Significant Leverage.

At times, the Index will use significant leverage to achieve its target volatility. When the Index employs leverage, any declines in the Index will be magnified, resulting in accelerated losses.

The Index May Not Be Fully Invested.

On a weekly rebalancing day, the Index’s exposure to the S&P 500 Index (the “SPX” or “Underlying Index”) will be less than 100% when the implied volatility is greater than the volatility target. If the Index’s exposure to the Underlying Index is less than 100%, the Index will not be fully invested, and any uninvested portion will earn no return.

The Index May Not Approximate Its Target Volatility.

No assurance can be given that the Index will maintain a realized volatility that approximates its target volatility. The actual realized volatility may be greater than or less than the target volatility, which may adversely affect the performance of the Index.

The Volatility Target Mechanism May Cause the Index to Perform Poorly in Adverse Market Conditions and to Underperform in Rising Markets.

Because the amount of leverage to be applied is determined only at the weekly rebalancing, the Index may not meaningfully reduce its leverage during adverse market conditions, and, because of the delayed application, by the time reduced exposure takes effect, market conditions may have already recovered. Similarly, when markets rise rapidly, the volatility target mechanism will reduce the Index’s leverage.

The Index Is An Excess Return Index That Does Not Reflect “Total Returns”.

The values tracked by the Index only reflect changes in the prices or levels of the relevant Index Components. The level of the Index will not benefit from any collateral return on any futures contracts or any dividends or other distributions on any Index Components.

The Daily Level of the Index Is Calculated Based on Performance Measured From the Preceding Weekly Rebalancing Date, Which Could Adversely Affect the Level of the Index.

The level of the Index on each day that is not a rebalancing day will be calculated based on the performance of the Underlying Index from the preceding rebalancing day and by reference to the level of the Index as of the prior rebalancing day. The level of the Index may be more favorable if such calculations were done over a different time-horizon – i.e., if such calculations were made based on the levels on the prior trading day rather than the prior rebalancing day or if such calculations were made based on less frequent rebalancing days.

The Index Fee Embedded in the Calculation of the Index Will Adversely Affect the Performance of the Index.

The Index includes a decrement feature whereby 6% per annum is deducted daily from the level of the Index. The level of the Index may decline even if the level of the Underlying Index increases. Because of the deduction of the decrement, the Index will underperform a similar index which does not include such a decrement feature.

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.