Autocallable with Coupon at Redemption

Structured for Indian resident investors

The first autocall and coupon observation is set at month 25. Any redemption therefore falls after the 24-month holding period required for long-term capital gains treatment on unlisted foreign securities, and the certificates are not listed. As a result, gains are expected to be taxed at the long-term capital gains rate of 12.5% rather than at the investor's slab rate.

If the certificate is called at the first observation it redeems at 150.25%. After that tax, the potential net return is 21.10% a year.

This is a description of the expected treatment, not tax advice. Each investor is responsible for their own taxes and should consult their own tax adviser.

Key product details

• Instrument: 4Y Athena Worst-of certificate: an autocallable with the coupon paid at redemption
• ISIN: to be determined
• Issuer: BNP Paribas Issuance B.V. (S&P: A+)
• Guarantor: BNP Paribas (S&P: A+, Moody's: A1, Fitch: AA-)
• Underlyings (worst-of): Alphabet Inc (GOOGL UW), Amazon.com Inc (AMZN UW), JPMorgan Chase & Co (JPM UN)
• Currency: USD
• Notional: USD 1,000 per certificate
• Issue price: 100%
• Trade and strike date: 8 October 2026
• Issue date: 15 October 2026
• Redemption valuation date: 8 October 2030
• Redemption date: 17 October 2030
• Coupon: 24.12% p.a. (2.01% a month), conditional, paid at redemption
• Autocall trigger: 100% of the initial level, observed monthly, first observation on 8 November 2028 (month 25)
• Barrier: 65% of the initial level, European: observed on the redemption valuation date only
• Settlement: Cash
• Listing: None
• Minimum subscription: USD 1,000, and multiples of USD 1,000 thereafter

How it works

• Early redemption, every month from month 25: if every share closes at or above its initial level, the certificate redeems at 148.24% plus 2.01% for each observation reached: 150.25% at the first, rising to 194.47% at the twenty-third. If not, the product continues.
• At maturity, worst performer at or above its initial level: the investor receives 196.48%.
• At maturity, worst performer below its initial level but no share below 65%: the investor receives 100%, with no coupon.
• At maturity, any share below 65% of its initial level: the investor receives the notional multiplied by the final price of the worst performer divided by its initial price, so the loss matches the full fall in that share.

The certificates have no capital protection at any time and there can be a partial or total loss of the capital invested. Payments also depend on the credit of the issuer and the guarantor.

Strike levels

• Alphabet (GOOGL): strike $344.20; 65% barrier $223.73; autocall and coupon level $344.20
• Amazon (AMZN): strike $254.06; 65% barrier $165.14; autocall and coupon level $254.06
• JPMorgan Chase (JPM): strike $331.42; 65% barrier $215.42; autocall and coupon level $331.42

Is it your investment match?

• You are looking to earn an income above the market rate.
• You are neutral, moderately bearish or moderately bullish on the underlying assets.
• You can tolerate the reinvestment risk arising from an early redemption (autocall).

About the underlyings

• Alphabet: a global technology leader across Search, YouTube, Android, subscriptions and cloud services. Second-quarter revenue rose 24% to $119.8 billion, and Google Cloud revenue rose 82% to $24.8 billion on enterprise AI demand.
• Amazon: leading digital commerce and an extensive fulfilment network alongside a rapidly expanding cloud platform. Second-quarter sales rose 20% to $200.6 billion, operating income rose 43% to $27.5 billion and AWS revenue rose 37% to $42.2 billion.
• JPMorgan Chase: one of the world's most diversified financial institutions. Second-quarter net income reached $21.2 billion, revenue rose 27% to $58.0 billion, and a new $50 billion share-repurchase authorization was announced.

Market data from the factsheet dated 8 October 2026:

• Alphabet: spot 347.55; 11.04% year to date; analyst consensus Buy; target price 429.36
• Amazon: spot 254.75; 10.37% year to date; analyst consensus Strong Buy; target price 330.59
• JPMorgan Chase: spot 331.46; 2.87% year to date; analyst consensus Buy; target price 372.81

Earnings and valuation

• Alphabet: market cap $4.36T; revenue $445.87B and net income $244.12B over the trailing twelve months; trailing P/E 17.9x; five-year annualised EPS growth 29.90%
• Amazon: market cap $2.92T; revenue $775.68B and net income $135.28B over the trailing twelve months; trailing P/E about 21.8x; five-year annualised EPS growth 34.04%
• JPMorgan Chase: market cap about $960B; revenue $186.33B and net income $63.63B over the trailing twelve months; trailing P/E about 15.5x; five-year annualised EPS growth 17.66%

As an illustration of the margin the 65% barrier leaves: if earnings kept growing at those rates while share prices stayed flat for four years, the trailing P/E ratios would fall to 6.29x for Alphabet, 6.75x for Amazon and 8.09x for JPMorgan. A 35% fall in the share price on top of that would take them to 4.09x, 4.39x and 5.26x. This is an illustration based on past earnings growth, not a forecast.

Backtest

• Factsheet backtest: 1,304 simulations with strike dates between 6 October 2017 and 7 October 2022. The product autocalled 100.00% of the time and repaid the full notional 100.00% of the time, including autocall.
• Alpha Quantum historical analysis: 3,129 start dates over the past 15 years. In every case the coupons were paid, the product was autocalled and the investor received the full notional invested.

Backtest results are simulations based on historical data, not the actual performance of this product. Past performance is not indicative of future results.

Redemption schedule

• Month 25, 8 November 2028: paid 17 November 2028. Redeems at 150.25% if all three shares are at or above their initial levels.
• Month 26, 8 December 2028: paid 18 December 2028. Redeems at 152.26% if all three shares are at or above their initial levels.
• Month 27, 8 January 2029: paid 17 January 2029. Redeems at 154.27% if all three shares are at or above their initial levels.
• Month 28, 8 February 2029: paid 20 February 2029. Redeems at 156.28% if all three shares are at or above their initial levels.
• Month 29, 8 March 2029: paid 19 March 2029. Redeems at 158.29% if all three shares are at or above their initial levels.
• Month 30, 9 April 2029: paid 18 April 2029. Redeems at 160.30% if all three shares are at or above their initial levels.
• Month 31, 8 May 2029: paid 17 May 2029. Redeems at 162.31% if all three shares are at or above their initial levels.
• Month 32, 8 June 2029: paid 18 June 2029. Redeems at 164.32% if all three shares are at or above their initial levels.
• Month 33, 9 July 2029: paid 18 July 2029. Redeems at 166.33% if all three shares are at or above their initial levels.
• Month 34, 8 August 2029: paid 17 August 2029. Redeems at 168.34% if all three shares are at or above their initial levels.
• Month 35, 10 September 2029: paid 19 September 2029. Redeems at 170.35% if all three shares are at or above their initial levels.
• Month 36, 8 October 2029: paid 17 October 2029. Redeems at 172.36% if all three shares are at or above their initial levels.
• Month 37, 8 November 2029: paid 19 November 2029. Redeems at 174.37% if all three shares are at or above their initial levels.
• Month 38, 10 December 2029: paid 19 December 2029. Redeems at 176.38% if all three shares are at or above their initial levels.
• Month 39, 8 January 2030: paid 17 January 2030. Redeems at 178.39% if all three shares are at or above their initial levels.
• Month 40, 8 February 2030: paid 19 February 2030. Redeems at 180.40% if all three shares are at or above their initial levels.
• Month 41, 8 March 2030: paid 18 March 2030. Redeems at 182.41% if all three shares are at or above their initial levels.
• Month 42, 8 April 2030: paid 17 April 2030. Redeems at 184.42% if all three shares are at or above their initial levels.
• Month 43, 8 May 2030: paid 17 May 2030. Redeems at 186.43% if all three shares are at or above their initial levels.
• Month 44, 10 June 2030: paid 20 June 2030. Redeems at 188.44% if all three shares are at or above their initial levels.
• Month 45, 8 July 2030: paid 17 July 2030. Redeems at 190.45% if all three shares are at or above their initial levels.
• Month 46, 8 August 2030: paid 19 August 2030. Redeems at 192.46% if all three shares are at or above their initial levels.
• Month 47, 9 September 2030: paid 18 September 2030. Redeems at 194.47% if all three shares are at or above their initial levels.
• Month 48, 8 October 2030 (redemption valuation date): paid 17 October 2030. 196.48% if the worst performer is at or above its initial level; otherwise 100%, subject to the 65% barrier.

About the issuer

The certificates are issued by BNP Paribas Issuance B.V. under its Warrant and Certificate Programme and guaranteed by BNP Paribas, which is incorporated in France and supervised by the ECB and the ACPR. Credit ratings shown on the term sheet: S&P A+, Moody's A1, Fitch AA- for the guarantor. As a French credit institution the guarantor is subject to the EU bank resolution regime, under which amounts due under the guarantee can be reduced or converted.

BNP Paribas Financial Markets S.N.C. will endeavour to make a secondary market in the certificates under normal market conditions, with a bid-offer spread no greater than 1%, but no representation is made that a market will exist. The terms are indicative; the Final Terms prevail.