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39889000 Delta One Notes Due February 4, 2022, Linked to An

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39889000 Delta One Notes Due February 4, 2022, Linked to An January 29, 2021 Pricing Supplement (To the Product Supplement dated May 15, 2020, the Prospectus Supplement dated May 15, 2020, and the Base Prospectus dated May 22, 2019) $39,889,000 Delta One Notes due February 4, 2022, Linked to an Equally-Weighted Basket of 15 Stocks General • The Notes are designed for investors who seek a return at maturity linked to the appreciation and dividends paid of an equally-weighted basket of fifteen common stocks (subject to a Participation Rate). The amount paid for each $1,000 in principal amount of the notes (the “Payment at Maturity”) will depend upon the performance of the Basket and the dividends paid on the Reference Shares over the term of the notes. Investors should be willing to forgo interest and, if the Basket Level Percentage is less than approximately 102.25%, be willing to lose some or all of their investment. All payments on the Notes are subject to the creditworthiness of the Issuer and Guarantor. 1 • Senior unsecured obligations of BNP Paribas maturing February 4, 2022. • Minimum Trading Size of $1,000 and integral multiples of $1,000 in excess thereof. The Notes will be issued in denominations of $1,000. 1 • The Notes were priced on January 22, 2021 (the Pricing Date) and will be issued on January 29, 2021 (the Issue Date). Key Terms Terms used in this Pricing Supplement, but not defined herein, shall have the meanings ascribed to them in the Product Supplement. Issuer: BNP Paribas. Guarantor: BNP Paribas acting through its NY Branch. Status of the Notes: Senior Preferred Notes. Coupon Rate: 0.00% (there are no coupon payments). Underlying Asset: The Notes are linked to an equally-weighted basket of shares of 15 common stocks (each, a “Reference Share” and a “Basket Component” and together, the “Basket”) of entities that are not affiliated with us (each, a “Reference Share Issuer”). Reference Share (Basket Component) Bloomberg Symbol Component Initial Price Final Price Weighting AutoZone Inc. ("AZO") AZO UN <Equity> 1/15 $1,193.0933, which is The sum of (a) the the arithmetic average arithmetic average of of the Average Intra- the Closing Price of day Prices of the the respective Basket respective Basket Component on each of Component on each of the 4 Valuation Dates, the 4 Averaging Dates. and (b) the Dividend Amount for that Basket Component Boston Scientific Corporation ("BSX") BSX UN <Equity> 1/15 $36.6372, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component CareTrust REIT Inc (“CTRE”) CTRE UW <Equity> 1/15 $22.8156, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component ChemoCentryx Inc (“CCXI”) CCXI UW <Equity> 1/15 $61.6969, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component 1 / 16 Chubb Ltd ("CB") CB UN <Equity> 1/15 $150.8992, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Cigna Corporation ("CI") CI UN <Equity> 1/15 $218.8419, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Dollar General Corporation ("DG") DG UN <Equity> 1/15 $205.4314, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Fidelity National Information Services FIS UN <Equity> 1/15 $127.5814, which is the The sum of (a) the Inc. ("FIS") arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Maximus Inc (“MMS”) MMS UN <Equity> 1/15 $77.6440, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Ping Identity Holding Corp (“PING”) PING UN <Equity> 1/15 $31.3585, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Teleflex Inc. ("TFX") TFX UN <Equity> 1/15 $381.5108, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Waste Connections Inc. ("WCN") WCN UN <Equity> 1/15 $101.5016, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, 2 / 16 Dates. and (b) the Dividend Amount for that Basket Component Webster Financial Corporation WBS UN <Equity> 1/15 $49.9750, which is the The sum of (a) the ("WBS") arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component WESCO International Inc. ("WCC") WCC UN <Equity> 1/15 $80.3805, which is the The sum of (a) the arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Wintrust Financial Corporation WTFC UW <Equity> 1/15 $64.0748, which is the The sum of (a) the ("WTFC") arithmetic average of arithmetic average of the Average Intra-day the Closing Price of Prices of the respective the respective Basket Basket Component on Component on each of each of the 4 Averaging the 4 Valuation Dates, Dates. and (b) the Dividend Amount for that Basket Component Average Intra-day Price: With respect to a Reference Share and any Averaging Date, the arithmetic mean of the prices at which we or any of our affiliates (which may include the Calculation Agent) acquires, establishes, reestablishes, substitutes, maintains, unwinds or disposes of, as the case may be, of any transactions or assets relating to that Reference Share as we deem necessary to hedge our obligations with respect to the Notes. Payment at Maturity: The amount that you will receive at maturity for each $1,000 in principal amount of Notes will depend upon the performance of the Basket and the dividends paid on the Reference Shares. The Payment at Maturity will equal: . $1,000 × Basket Level Percentage × Participation Rate The Basket Level Percentage must exceed approximately 102.25% in order for you to receive a Payment at Maturity per $1,000 in principal amount of the Notes that exceeds the principal amount. In addition, the Payment at Maturity could be substantially less than the principal amount of the notes, and you could receive zero. All payments on the Notes are subject to the creditworthiness of the Issuer and Guarantor. Participation Rate: 97.80%. Because the Participation Rate is less than 100%, the Basket Level Percentage must exceed approximately 102.25% in order for you to receive a payment at maturity per $1,000 in principal amount of the notes that exceeds the principal amount of the Notes. Basket Level Percentage: Equals the sum of the Component Returns for the respective Basket Components, with each one multiplied by its respective Component Weighting, expressed as a percentage. Component Return: The Component Return will measure the change in value of each Reference Share over the term of the notes, including the payment of certain dividends.
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