EFTA01148995.pdf

January 17]. 2014 Pricing Supplement (To the Base Prospectus dated May 30. 2008. the Prospectus Supplement dated June 3. 2013. and the Product Supplement dated June 3. 2013) SUBJECT TO COMPLETION, DATED JANUARY [7], 2014 -11 Contingent Buffered Market Plus Notes due July 1151, 2015, Linked to the Performance of the • , aa BNP PARIBAS EURO STOXX 506 Index m = I- a m General 0 o • The Notes are designed for investors who seek to participate in the appreciation of the Underlying Asset at maturity and who anticipate that the Final Level 5 of the Underlying Asset will not have declined. as compared to the Initial Level, by more than (24]%. Investors in the Notes should be willing to forgo interest and dividend payments in exchange for the opportunity to receive the payment at maturity described below and. if the Final Level of the Underlying E Asset has declined. as compared to the Initial Level. by more than 1241%. be willing to lose some or all of their principal. If the Final Level of the 2 Underlying Asset has not declined. as compared to the Initial Level, by more than 1241%. investors will receive at maturity the principal amount of the Note E plus an amount equal to the product of such principal amount multiplied by the greater of (a) the Participation Rate of 11001% x the Underlying Asset o Performance and lb) zero. YOU MAY LOSE SOME OR ALL OF YOUR PRINCIPAL AMOUNT. C A • Senior unsecured obligations of BNP Paribas maturing July [15]. 2015. i c • Minimum Trading Size of 510.0()0 and integral multiples of $1,000 in excess thereof. The Notes will be issued in denominations of $1.1300. o • The Notes are expected to price on or about January 110]. 2014 ) (the Pricing Date) and are expected to be issued on or about January 1151, 2014 I'Ll (the E Issue Date). c. i Z. Key Terms Terms usedin this Pricing Supplement. but not defined herein. shall have the meanings ascribed to them in the Product Supplement. ci. = co Issuer: BNP Paribas (rated Aa4A2JA+).2 Guarantor: BNP Paribas acting through its NY Branch. Coupon Rate: 0.00% (there are no coupon payments). Underlying Asset: The EURO STOXX 500D Index ("SXSE"). The Bloomberg symbol for the Underlying Asset is "SX5E <Index>". Payment at Maturity: You will receive the following amount at maturity: • If the Final Level is greater than or equal to the Barrier Level, you will receive, for each 51,000 principal amount of Notes. the greater of: Bo • 51.000 x 1100%+ (Participation Rate x Underlying Asset Performance)] and a. • 51.000. • If the Final Level is less than the Barrier Level. you will receive. for each 51,000 principal amount of Notes. 51.000 x E o (100% + Underlying Asset Performance) I 2 In this case, you will receive less than the principal amount of your Notes, and you could receive zero. • E AU payments on the Notes are subject to the creditworthiness of the Issuer and Guarantor. a' • E Barrier Level: 1.1, which is equal to [76]% of the Initial Level. ' 85 Participation Rate: 1100)%.' 2 ot al es Underlying Asset (Final Level - Initial Level) / Initial Level. expressed as a percentage. s Performance: E1 Initial Level: [a], which is the Closing Level of the Underlying Asset on the Initial Valuation Date. 4 E Final Level: The arithmetic average of the Closing Level of the Underlying Asset on each of the 5 Averaging Dates. Pricing Date: January 110]. 2014. ' Initial Valuation Date: January 1101, 2014. 4 a o Issue Date: January 115], 2014.'•' • t Averaging Dates: July 6, 2015', July 7.2015'. July 8.2015', July 9, 2015' and July 10.2015. S ▪ C Final Valuation Date: July1101,2015. " atS Maturity Date: July1151.2015. " Business Days for Payment: New York - Modified Following Business Day. Principal Amount: Slot Initial Offering Price: 100% of the Principal Amount. 119 EFTA01148995 Calculation Agent: BNPP Securities. Denomination: SLOOD. Minimum Trading Size: 510.000 and integral multiples of $1,000 in excess thereof. CUSIP: 05574LV47. ISIN: US05574LV473. Series: 1528. Subject to postponement in the event of a Market Disruption Event as described under 'Underlying Assets — Indices — Market Disruption Events (or Notes with the Underlying Asset Comprised of an Index or Indices in the Product Supplement. 2 "A+" (negative outlook) by Standard and Pools Ratings Group. a rating of "A2" (stable outlook) by Moody's Investors Service. Inc. and a rating of "A+" (stable outlook) by Fitch Ratings. A rating (I is subject to downward revision. suspension or withdrawal at any time by the assigning rating organization. (2) does not take into account market risk or the performance-related risks of the investment. and 13) is not a recommendation to buy. sell or hold securities. 3 Expected. In the event we make any change to the expected Pricing Date and Issue Date. the Averaging Dates and Maturity Date will be changed so that the stated term of the Notes remains the same. To be determined on the Pricing Date. Investing in the Notes involves a number of risks. See "Risk Factors" beginning on page 8 of the Base Prospectus, "Risk Factors" beginning on page 5 of the Prospectus Supplement dated June 3. 2013. "Risk Factors" beginning on page I of the Product Supplement and "Selected Risk Considerations" beginning on page IS] of this Pricing Supplement. Price to Public' Agent's Commission Proceeds to BNP Paribas Per Note I•I% I.rie LIi Total SI•] s The price to the public for any single purchase by an investor in certain trust accounts. who is not being charged the full selling concession or fee by other dealers of approximately kW., is Ira. The price to the public for all other purchases of Notes is II001%. The Notes and the Guarantee are nor bank deposits and are not insured or guaranteed by the Federal Deposit Insurance Corporation or any otherfederal agency. JPMorgan Placement Agent BNP PARIBAS 219 EFTA01148996 The Issuer has not been registered under the Investment Company Act of 1940. as amended (the "Investment Company Act"), and the Notes and the Guarantee have not been, and will not be. registered under the Securities Act of 1933. as amended (the "Securities Act"), or the slate securities laws of any state of the United States or the securities laws of any other jurisdiction and are being offered pursuant to the registration exemption contained in Section 3(0421of the Securities Act. Neither the Securities and Exchange Commission (the "SEC") nor any slate securities commission has approved or disapproved of the Notes or determined that this Pricing Supplement is truthful or complete. Any representation to the contrary is a criminal offense. Under no circumstances shall this Pricing Supplement constitute an offer to sell or a solicitation of an offer to buy, nor shall there be any sale of these Notes. in any jurisdiction in which such offer. solicitation or sale would be unlawful prior to qualification tinder the securities laws of any such jurisdiction. The Notes constitute unconditional liabilities of the Issuer and the Guarantee constitutes an unconditional obligation of the Guarantor. You may revoke your offer to purchase the Notes at an:, time prior to the time al which we accept such offer. We reserve the right to change the terms of. or reject any offer to purchase the Notes prior to their issuance. In the event of any changes to the terms of the Notes. we will notify you and you will be asked to accept such changes in connection with your purchase. You may also choose to reject such changes in which case we may reject your offer to purchase. ADDITIONAL TERMS SPECIFIC TO THE NOTES You should read this Pricing Supplement together with the Base Prospectus dated May 30. 2008, as supplemented by the Prospectus Supplement dated June 3, 2013 and the Product Supplement dated June 3 2013 relating to our US Medium-Term Note Program. of which these Notes are a pan. This Pricing Supplement. together with the documents listed in the preceding sentence, contains the terms of the Notes and supersedes all prior or contemporaneous oral statements as well as any other written materials including preliminary or indicative pricing terms, correspondence. trade ideas. structures for implementation. sample structures. brochures or other educational materials of ours. You should carefully consider, among other things. the matters set forth in "Selected Risk Considerations" herein and "Risk Factors" in the Base Prospectus. Prospectus Supplement and Product Supplement. as the Notes involve risks not associated with conventional debt securities. We urge you to consult your investment, legal. tax. accounting and other advisors before you invest in the Notes. You may access the Base Prospectus. Prospectus Supplement and Product Supplement at the following link: litto://eodpo.bnoparibas.comILISMTNPD As used in this Pricing Supplement. the "Company". "we", "us" or "our refers to BNP Paribas. Hypothetical Examples of Amounts Payable at Maturity The following table illustrates hypothetical payments on a $1,000 investment in the Notes. The following table portrays the Initial Level of [3.069.161. Participation Rate of [1001%. and Barrier Level of 12,332.56161. In addition. we have assumed for the following table that no Market Disruption Events. adjustments. or Events of Default have occurred during the term of the Notes. The examples set forth below are for illustrative purposes only and may not be the actual total returns applicable to a purchaser of the Notes. The numbers appearing in the examples have been rounded for ease of analysis. The actual payment amounts received by investors and the total return on the Notes resulting from this payment will depend on several variables. including (i) the Initial Level of the Underlying Asset and (ii) the Closing Level of the Underlying Asset on each of the Averaging Dates, all determined by the Calculation Agent. All payments on the Notes are subject to the creditworthiness of the Issuer and Guarantor. Example Hypothetical Underlying Hypothetical Final Level Hypothetical Payment at Hypothetical Return on Asset Performance Maturity the Notes 100% 6,138.32 $2,000 100% 90% 5,831.40 $1,900 90% 80% 5,524.49 $1,800 80% 70% 5,217.57 $1,700 70% 60% 4,910.66 $1,600 60% (1) 50% 4,603.74 $1,500 50% 40% 4,296.82 $1,400 40% 30% 3,989.91 $1,300 30% 20% 3,682.99 $1,20D 20% (2) 10% 3,376.08 $1,100 10% (3) 0% 3,069.16 $1,000 0% (4) -10% 2,762.24 $1,000 0% 379 EFTA01148997  -20% 2,455.33 $1,000 0% (5) -24% 2.332.56 $1,000 0% (6) -25% 2,301.87 $750 -25% (7) -30% 2,148.41 $700 -30% -40% 1,841.50 $600 -40% (8) -50% 1,534.58 $500 -50% -60% 1,227.66 $400 -60% -70% 92035 $300 -70% -80% 61323 $200 -80% -90% 306.92 $100 -90% -100% 0 $0 -100% The following examples illus rate how the total returns set forth in the table above are calculated. Example 1: The Underlying Asset Performance is equal to 50%. Because the Underlying Asset Performance is 50%. the payment at maturity is equal to $1.500 per $1.000 principal amount of Notes. Example 2: The Underlying Asset Performance is equal to 10%. Because the Underlying Asset Performance is 10%. the payment at maturity is equal to $1.100 per $1.000 principal amount of Notes. Example 3: The Underlying Asset Performance is equal to 0%. Because the Underlying Asset Performance is 0%, the payment at maturity is equal to $1.000 per $1.000 principal amount of Notes. Example 4: The Underlying Asset Performance is equal to -10%. Because the Underlying Asset Performance is -10%. the payment at maturity is equal to $1,000 per $1.000 principal amount of Notes. Example 5: The Underlying Asset Performance is equal to -24%. Because the Underlying Asset Performance is -24%. the payment at maturity is equal to $1,000 per $1.000 principal amount of Notes. Example 6: The Underlying Asset Performance is equal to -25%. Because the Underlying Asset Performance is -25%. the payment at maturity is equal to $750 per $1.000 principal amount of Notes. Example 7: The Underlying Asset Performance is equal to -30%. Because the Underlying Asset Performance is -30%. the payment at maturity is equal to $700 per $1.000 principal amount of Notes. Example 8: The Underlying Asset Performance is equal to -50%. Because the Underlying Asset Performance is -50%. the payment at maturity is equal to $500 per $1.000 principal amount of Notes. 4,9 EFTA01148998  SELECTED RLSK CONSIDERATIONS An investment in the Notes involves significant risks. Investing in the Notes is not equivalent to investing directly in the Underlying Asset or any of the component securities of the Underlying Asset. Some of these risks are explained in more detail in the "Risk Factors" section of the Product Supplement. Among other things. you should consider the following: • Suitability of Notes for Investment — You should reach a decision to invest in the Notes after carefully considering, with your advisors. the suitability of the Notes in light of your investment objectives and the specific information set out in this Pricing Supplement. the Product Supplement. the Prospectus Supplement and the Base Prospectus. Neither the Issuer nor any dealer participating in the offering makes any recommendation as to the suitability of the Notes for investment. • Your Investment in the Notes May Result in a Loss — The Notes do not guarantee any return of principal. The return on the Notes at maturity is linked to the performance of the Underlying Asset and will depend on whether, and the extent to which, the Underlying Asset Performance is positive or negative. Other than the initial payment for the principal amount of the Note, in no event will you be required to make any additional payments to the Issuer. If the Final Level is less than the Barrier Level, you will be fully exposed to any depreciation in the Underlying Asset based on a 1% loss for every 1% decline in the Final Level, as compared to the Initial Level. In this case, your Payment at Maturity will be less, and may be significantly less, than your principal amount of Notes. You could receive zero at maturity. • No Principal Protection — The principal amount of your investment is not protected and you may receive less, and possibly significantly less, than the amount you invest. You may lose up to 100% of your investment in the Notes. All payments on the Notes are subject to the creditworthiness of the Issuer and Guarantor. • The Notes Do Not Pay Interest — We will not pay interest on the Notes. You may receive less at maturity than you could have earned on ordinary interest-bearing debt securities with similar maturities. including other of our debt securities, since the Payment at Maturity is based on whether the Final Level of the Underlying Asset is greater than, equal to or less than the Barrier Level. Because the Payment at Maturity may be less than the amount originally invested in the Notes. the return on the Notes (the effective yield to maturity) may be negative. Even if it is positive, the return payable on the Note may not be enough to compensate you for any loss in value due to inflation and other factors relating to the value of money over time. • Investing in the Notes Is Not the Same as Investing in the Underlying Asset, the Securities Comprising the Underlying Asset or Contracts relating to the Underlying Asset or Securities Comprising the Underlying Asset — The Payment at Maturity on the Notes is based on the Underlying Asset Performance on the Final Valuation Date and whether the Final Level is greater than, equal to or less than the Barrier Level. The return on the Notes may not reflect the return you would realize if you directly invested in the Underlying Asset, the securities comprising the Underlying Asset or any other exchange-traded or over-the-counter instruments based on the Underlying Asset or the securities comprising the Underlying Asset. • No Dividend Payments or Voting Rights — As a holder of the Notes. you will not have voting rights or rights to receive cash dividends or other distributions or other rights that holders of a direct investment in securities comprising the Underlying Asset would have. Furthermore, a direct investment in the Index Components of the Underlying Asset is likely to have tax consequences that are different from an investment in your Notes. • We Cannot Control the Actions of the Issuers of the Common Stocks included in the Underlying Asset, Including Actions That Could Adversely Affect the Value of Your Notes - We will have no ability to control the actions of the companies. including actions that could affect the value of the Underlying Asset, the stocks underlying the Underlying Asset, or your Notes. None of the proceeds you pay us will go to any of the companies included in the Underlying Asset as issuer of the Index Component. and none of those companies will be involved in the offering of the Notes in any way. Neither those companies nor we will have any obligation to consider your interests as a holder of the Notes in taking any corporate actions that might affect the value of your Notes. You will not have any right against the issuer of any Index Component as a shareholder of such issuer solely because you are a holder of the Notes. • Any Amount Payable Under the Notes Is Subject to our Credit Risk, and our Credit Ratings and Credit Spreads May Adversely Affect the Market Value of the Notes — Any payments to be made on the Notes. including any principal protection (if applicable) provided at maturity. depends on the ability of the Issuer and Guarantor to satisfy its obligations as they come due. Investors are subject to the credit risk, and to changes in the market's view of the creditworthiness of the Issuer and the Guarantor, and in the event the Issuer or Guarantor were to default on its obligation, you may not receive any amounts owed to you under the terms of the Notes. The credit ratings of the Issuer and the Guarantor are an assessment of their ability to pay their obligations, including those on the Notes. Consequently. any actual or anticipated declines in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the Notes. • Certain Built-In Costs Are Likely to Adversely Affect the Value of the Notes Prior to Maturity — While the payment at maturity described in this Pricing Supplement is based on the full principal amount of your Notes. the Initial Offering Price of the Notes includes the agent's commission and the cost of hedging our obligations under the Notes through one or more of our affiliates. As a result, the price. if any. at which BNPP Securities and other affiliates of BNP Paribas may be willing to purchase Notes from you in secondary market transactions will likely be lower than the Initial Offering Price. and any sale prior to the Maturity Date could result in a substantial loss to you. The Notes are not designed to be short-term trading instruments. Accordingly. you should be able and willing to hold your Notes to maturity. • Lack of Liquidity — The Notes will not be listed on any securities exchange. BNPP Securities intends to offer to purchase the Notes in the secondary market but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to 519 EFTA01148999  trade or sell the Notes. Because other dealers are not likely to make a secondary market for the Notes. the price at which you may be able to trade your Notes is likely to depend on the price, if any. at which BNPP Securities is willing to buy the Notes. • Potential Conflicts — We and our affiliates play a variety of roles in connection with the issuance of the Notes. including acting as Calculation Agent and hedging our obligations under the Notes. In performing these duties, the economic interests of the Calculation Agent and other affiliates of ours are potentially adverse to your interests as an investor in the Notes. In addition, we are one of the companies that make up the SXSE. We will not have any obligation to consider your interests as a holder of the Notes in taking any corporate action that might affect the level of the SXSE and the Notes. • Taxes — We intend to treat each Note as a cash-settled forward contract with respect to the Underlying Asset. Subject to the limitations described therein, and based on certain factual representations received from us, in the opinion of our special U.S. tax counsel. Sidley Austin LLP. it is reasonable to treat the Notes as cash-settled forward contracts with respect to the Underlying Asset. Please see the discussion under the heading "Taxation — United States Federal Income Taxation — United States Holders — Consequences of Reverse Convertible Notes and Forward Contract Notes — Consequences of Forward Contract Notes" in the Base Prospectus. Under the above agreed-to characterization, a United States holder's tax basis in a Forward Contract Note generally will equal the holder's cost for that Forward Contract Note. Upon the sale or other taxable disposition of a Forward Contract Note, a United States holder generally will recognize gain or loss equal to the difference between the amount realized on the sale or other taxable disposition and the United States holder's tax basis in the Forward Contract Note. Such gain or loss generally will be long-term capital gain or loss if the United States holder has held the Forward Contract Note for more than one year at the time of disposition. Pursuant to the terms of the Notes. you agree to treat the Notes in accordance with this characterization for all U.S. federal. state, and local income tax purposes. However, because there are no regulations. published rulings or judicial decisions addressing the characterization for U.S. federal, state. and local income tax purposes of securities with terms that are substantially the same as those of the Notes. other characterizations and treatments are possible. In particular. it is possible that the Notes will be characterized as 'contingent payment debt instruments" in which case the tax consequences to you would be different, and could be less favorable, than if the Notes were characterized as prepaid derivative contracts. For a description of the tax consequences of the ownership of contingent payment debt instruments, please see the discussion under the heading "Taxation — United States Federal Income Taxation — United States Holders — Consequences of Notes Characterized As Debt—Linked Debt Notes and Other Notes Providing for Contingent Payments" in the Base Prospectus. You should carefully consider, among other things. the matters set forth in "Taxation — United States Federal Income Taxation — United States Holders — Consequences of Reverse Convertible Notes and Forward Contract Notes — Consequences of Forward Contract Notes" and "— Consequences of Notes Characterized As Debt — Linked Debt Notes and Other Notes Providing for Contingent Payments" in the Base Prospectus. Pursuant to final regulations released by the U.S. Department of the Treasury on January 17. 2013 and a notice released by the U.S. Internal Revenue Service (the "IRS") on July 12, 2013. Foreign Account Tax Compliance Act (FATCA) withholding (as described in 'Taxation — United States Federal Income Taxation — Information Reporting and Backup Withholding' in the Prospectus Supplement dated June 3. 2013) will generally not apply to obligations that are issued prior to July 1. 20141 therefore, the Notes will not be subject to FATCA withholding. Individuals that (i) are either (a) a U.S. citizen, (b) a resident alien for any pan of the year. (c) a nonresident alien that has made an election to be treated as a resident alien for purposes of filing a joint U.S. federal income tax return or (d) a nonresident alien who is a bona fide resident of American Samoa or Puerto Rico and (ii) own "specified foreign financial assets" with an aggregate value in excess of $50.000 on the last day of the taxable year (or with an aggregate value in excess of $75.000 at any time during the taxable year). will generally be required to file an information report on IRS Form 8938 with respect to such assets with their U.S. federal tax returns. "Specified foreign financial assets" include any financial accounts maintained by foreign financial institutions. as well as any of the following, but only if they are held for investment and not held in accounts maintained by financial institutions: (i) stocks and securities issued by non-United States persons. (ii) financial instruments and contracts that have non-United States issuers or counterpanies. and (iii) interests in foreign entities. Prospective purchasers that are individuals are urged to consult their tax advisors regarding the application of this legislation to their ownership of Notes. IRS Circular 230 Notice: To ensure compliance with IRS Circular 230. prospective investors are hereby notified that: (a) any discussion of U.S. federal, state. and local tax issues contained or referred to in this Pricing Supplement or any document referred to herein is not intended or written to be used, and cannot be used by prospective investors for the purpose of avoiding penalties that may be imposed on them under the United States Internal Revenue Code: (b) such discussion is written for use in connection with the promotion or marketing of the transactions or matters addressed herein: and (c) prospective investors should seek advice based on their particular circumstances from an independent tax advisor. • Many Economic and Market Factors Will Impact the Value of the Notes — In addition to the level of the Underlying Asset on any day. the value of the Notes will be affected by a number of economic and market factors that may either offset or magnify each other. including: • supply and demand for the Notes, including inventory positions held by BNP Paribas or any other market makers: • the expected volatility of the Underlying Asset: • the time to maturity of the Notes: • the dividend rate on the securities underlying the Underlying Asset: • interest and yield rates in the market generally: • a variety of economic, financial. political, regulatory or judicial events: and • our creditworthiness, including actual or anticipated downgrades in our credit ratings. • Market Disruption Events and Adjustments — The Final Level. Final Valuation Date. Averaging Dates. Maturity Date. and the payment at maturity, among others, are subject to adjustment as described in the following sections of the Product Supplement: 6(9 EFTA01149000  • For a description of Market Disruption Events as well as the consequences of that Market Disruption Event. see "Underlying Assets-Indices-Market Disruption Events for Notes with the Underlying Asset Comprised of an Index or Indices": and • For a description of further adjustments that may affect the Underlying Asset, see 'Underlying Assets — Indices—Adjustments Relating to Notes with the Underlying Asset Comprised of an Index". • The Notes are Not Adjusted to Reflect Currency Exchange Rates but May Still be Exposed to Currency Exchange Risk — Some or all of the Index Components are traded in Euro. Even though payment on the Notes at maturity will not be adjusted for any changes in the exchange rate between the U.S. dollar and the Euro and will be based solely upon the Underlying Asset Performance, changes in the USD/Euro exchange rate may reflect changes in the Eurozone or U.S. economies that, in turn. may affect the Final Level and the Underlying Asset Performance. Foreign currency exchange rates vary over time. and may vary considerably during the term of the Notes. Changes in foreign currency exchange rates result over time from the interaction of many factors directly or indirectly affecting economic and political conditions in the country or countries in which such currency is used, and economic and political developments in other relevant countries. Of particular importance to USD/Euro currency exchange risk are: • existing and expected rates of inflation: • existing and expected interest rate levels.. • the balance of payments in the United States and the Eurozone countries and between each country and its major trading partners: and • the extent of governmental surplus or deficit in the United States and the Eurozone countries. All of these factors are. in turn, sensitive to the monetary. fiscal and trade policies pursued by the United States and the Eurozone countries and those of other countries and global or regional banking institutions important to international trade and finance. • Risks Associated With Investments in Securities Indexed to the Value of Foreign Equity Securities — Investments in securities indexed to the value of foreign equity securities, such as the securities composing the EURO STOXX 509 Index, involve risks associated with the securities markets in those countries, including the risk of volatility in those markets, governmental intervention in those markets and cross-shareholdings in companies in certain countries. These stocks may be more volatile and may be subject to different political. market. economic, exchange rate, regulatory and other risks which may have a negative impact on the performance of the financial products linked to the Underlying Asset, which may have an adverse effect on the Notes. Also. the public availability of information concerning the issuers of the securities composing the EURO STOXX 509 Index will vary depending on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the issuers of the securities composing the EURO STOXX 509 Index may be subject to accounting. auditing and financial reporting standards and requirements different from those applicable to U.S. reporting companies. • Non-US. Securities Markets Risks — The Index Components are issued by foreign companies in foreign securities markets. These stocks may be more volatile and may be subject to different political. market, economic, exchange rate, regulatory and other risks which may have a negative impact on the performance of the financial products linked to the Underlying Asset, which may have an adverse effect on the Notes. Also, the public availability of information concerning the issuers of the Index Components will vary depending on their home jurisdiction and the reporting requirements imposed by their respective regulators. In addition, the issuers of such Index Components may be subject to accounting. auditing and financial reporting standards and requirement that differ from those applicable to United States reporting companies. • No Rights Against the Index Sponsor — Investors will have no rights against the Index Sponsor even if the Index Sponsor decides to suspend the calculation of the Underlying Asset and this suspension adversely impacts the amount investors receive at maturity. • If the Level or Price of the Underlying Asset or the Index Components Changes, the Market Value of the Notes May Not Change in the Same Manner — The Notes may trade quite differently from the performance of the Underlying Asset, the Index Components or other exchange-traded or over-the-counter instruments based on the level of the Underlying Asset. Changes in the level or price. as applicable, of the Underlying Asset or the Index Components may not result in a comparable change in the market value of the Notes. • The Policies of the Index Sponsor and Changes that Affect the Underlying Asset or the Index Components Could Affect the Amount Payable on the Notes, if Any, and Their Market Value - The policies of the sponsor of the Underlying Asset (the "Index Sponsor") concerning the calculation of the levels of the Underlying Asset or additions, deletions or substitutions of the Index Components and the manner in which changes affecting such Index Components or their issuers, such as stock dividends, reorganizations or mergers. are reflected in the level of the Underlying Asset, could affect the levels of the Underlying Asset and, therefore. the amount payable on the Notes, if any. at maturity and the market value of the Notes prior to maturity. The amount payable on the Notes. if any. and their market value could also be affected if the Index Sponsor changes these policies, for example, by changing the manner in which it calculates the level of the Underlying Asset. or if the Index Sponsor discontinues or suspends calculation or publication of the level of the Underlying Asset, in which case it may become difficult to determine the market value of the Notes. If events such as these occur. the Calculation Agent may determine the amount payable. if any. at maturity. 7/9 EFTA01149001  THE UNDERLYING ASSET Below is a description of the Underlying Asset. Unless otherwise stated, all information contained herein regarding the Underlying Asset is derived from publicly available sources and is provided for informational purposes only. We have not independently verified. and have not confirmed the accuracy or completeness of. such information. Neither the Issuer. the Guarantor nor any of its affiliates assumes any responsibilities for the adequacy or accuracy of information about the Underlying Asset. You should make your own investigation into the Underlying Asset. The EURO STOXX 508 Index General All information regarding the EURO STOXX 50® Index (the "SX5E") set forth herein reflects the policies of. and is subject to change by, STOXX Limited ("STOXX"). a company owned by Deutsche [terse AG and SIX Group AG. The SX5E is calculated, maintained and published by STOXX. The SX5E is reported b Bloornbe nder the ticker symbol "SX5E <Index>". It is also published in The Wall Street Journal and disseminated on the STOXX website. Composition of the SXSE The SX5E is composed of 50 European blue-chip companies from within the Eurozone portion of the STOXX 600 Supersector indices. The STOXX 600 Supersector indices contain the 600 largest stock traded on the major exchanges of I8 European countries and are organized into the following 19 Supersectors: automobiles & parts: banks: basic resources: chemicals: construction & materials: financial services: food & beverage: health care: industrial goods & services: insurance: media: oil & gas: personal & household goods: real estate: retail: technology: telecommunications: travel & leisure: and utilities. Computation of the SX5E Publication of the SX5E was introduced on February 26. 1998. with a base value of L000 as of December 31. 1991. The SX5E is compiled and calculated as follows. It is calculated with the "Laspeyres formule, which measures price changes against a fixed base quantity weight. The SX5E is weighted by free float market capitalization. Each component's weight is capped at 10% of the SXSE's total free float market capitalization. Free float weights are reviewed quarterly and the SX5E composition is reviewed annually in September. Selection of Index Components Within each of the 19 SX5E Supersector indices, the component stocks are ranked by free float market capitalization. The largest stocks are added to the selection list until the coverage is close to. but still less than. 60% of the free float market capitalization of the corresponding SX5E Total Market Index (TMI) Supersector index. If the next-ranked stock brings the coverage closer to 60% in absolute terms, then it is also added to the selection list. Any remaining stocks that are current SX5E components are added to the selection list. The stocks on the selection list are ranked by free float market capitalization. In exceptional cases, the STOXX Limited Supervisory Board may make additions and deletions to the selection list. The 40 largest stocks on the selection list are chosen as components. Any remaining current components of the SX5E ranked between 41 and 60 are added as index components. If the component number is still below 50. then the largest remaining stocks on the selection list are added until the SX5E contains 50 stocks. The SX5E has an index divisor, which is adjusted to maintain the continuity of the SX5E's value across changes due to corporate actions such as: • the issuance of dividends: • the occurrence of stock splits: • the stock repurchase by the issuer: and • other reasons. Additional information on the SX5E is available on the following website: The information on this website is not pan of or incorporated by reference in this Pricing Supplement. the Product Supplement. the Prospectus Supplement. or the Base Prospectus. License Agreement The Issuer entered into a non-exclusive license agreement with STOXX whereby the Issuer, in exchange for a fee, is permitted to use the SX5E in connection with the Notes. We are not affiliated with STOXX: the only relationship between STOXX and us is any licensing of the use of STOXX's indices and trademarks relating to them. The license agreement between STOXX and the Issuer provides that the following language must be set forth herein: "STOXX and its licensors (the "Licensors") have no relationship to the Issuer, other than the licensing of the EURO STOXX 500 Index and the related trademarks for use in connection with the securities. STOXX and its Licensors do not: • Sponsor. endorse, sell or promote the securities. • Recommend that any person invest in the securities or any other securities. • Have any responsibility or liability for or make any decisions about the timing. amount or pricing of securities. • Have any responsibility or liability for the administration. management or marketing of the securities. • Consider the needs of the securities or the owners of the securities in determining. composing or calculating the EURO STOXX 500 Index or have any obligation to do so. 879 EFTA01149002  STOXX and its Licensors will not have any liability in connection with the securities. Specifically. • STOXX and its Licensors do not make any warranty. express or implied and disclaim any and all warranty about: • The results to be obtained by the securities, the owner of the securities or any other person in connection with the use of the EURO STOXX 50® Index and the data included in the EURO STOXX 506 Index; • The accuracy or completeness of the EURO STOXX 50® Index and its data; • The merchantability and the fitness for a particular purpose or use of the EURO STOXX 50® Index and its data: • STOXX and its Licensors will have no liability for any errors, omissions or interruptions in the EURO STOXX 509 Index or its data; • Under no circumstances will STOXX or its Licensors be liable for any lost profits or indirect. punitive, special or consequential damages or losses, even if STOXX or its Licensors knows that they might occur. The licensing agreement between the Issuer and STOXX is solely for their benefit and not for the benefit of the owners of the securities or any other third parties. Historical Performance of the EURO STOXX S0® Index The following graph sets forth the daily closing levels of the EURO STOXX 500 Index from January 6.2009 through January 6. 2014. We obtained the EURO STOXX 50® Index closing levels below from Blogmberg. M. We make no representation or warranty as to the accuracy or completeness of the information obtained from Bloomberg. M. The historical levels of the EURO STOXX 500 Index are provided for informational purposes only. You should not take the historical levels of the EURO STOXX 50® Index as an indication of future performance. which may be better or worse than the levels set forth below. The closing level of the EURO STOXX 50® Index on January 6, 2014 was 13.069.14 Daily Closing Levels of the EURO STOXX 50 Index 3200 3000 Jan 06, 2 2800 TII >• 2600 C C •o 2400 2200 2000 1800 2010 2011 2012 2013 2014 Supplemental Plan of Distribution JPMorgan Chase Bank. M.. JPMorgan Securities LLC and their affiliates will act as placement agents for the Notes and will receive a fee from the Issuer that will not exceed S[0) per $1,000 principal amount of the Notes. 9J9