BNP plans Athena notes linked to the worst of Dow Jones, Stoxx 50

New York, Dec. 2 – BNP Paribas plans to price 0% Athena notes due Jan. 31, 2017 linked to the worst of the Dow Jones industrial average and the Euro Stoxx 50 index, according to a term sheet.

If the final level of the worse performing of the two indexes is greater than or equal to its initial level, the payout at maturity will be par plus a digital amount of 16% to 20%, with the exact amount to be set at pricing.

If the worse performing of the two indexes ends below its initial level but loses no more than the buffer amount of 20%, the payout at maturity will be par.

If the worse performing of the indexes loses more than the buffer level investors will receive par less 1.25% for each 1% the index drops beyond the buffer.

The notes will be redeemed early at a premium if each index is at or above its initial level on an early redemption valuation date.

For the July 27, 2015 valuation date, the redemption price will be par plus 4% to 5%, to be paid on July 31, 2015, for the Jan. 26, 2016 valuation date, the redemption price will be par plus 8% to 10%, to be paid on Feb. 1, 2016, and for the July 26, 2016 valuation date, the redemption price will be par plus 12% to 15%, to be paid on Aug. 1, 2016. The exact redemption levels will be set at pricing.

The notes (Cusip: 05579T7G5) are expected to price on Jan. 27 and settle on Jan. 30.

BNP Paribas is the agent.

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