BNP plans athena notes linked to worst of Russell 2000, S&P 500

New York, May 4 – BNP Paribas plans to price 0% athena notes due June 1, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.

The notes will be called at par plus a redemption premium of 8.4% per year if the closing level of each underlying index is at or above its initial level on the annual valuation date.

At maturity, the payout will be par plus 33.6% if the worst performing index closes at or above its initial level.

If the worst performing index closes below its initial level but at or above the barrier level, 70% of its initial level, the payout will be par.

Otherwise investors will be exposed to the loss of the worst performing index from its initial level.

BNP Paribas Securities Corp. is the agent.

The notes will price on May 25 and settle on May 31.

The Cusip number is 05579TXG6.

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