BNP Paribas to issue leveraged notes on S&P 500 Futures Excess Return

By Emma Trincal

New York, Sept. 20 – BNP Paribas plans to issue 0% leveraged notes due Sept. 21, 2028 linked to the S&P 500 Futures Excess Return index, according to a term sheet.

The notes are guaranteed by BNP Paribas acting through its New York branch.

If the final index level is positive, the payout at maturity will be par plus 300% of the index return, subject to a maximum return of par plus 90%.

If the final level declines by 20% or less, the payout will be par.

Otherwise, investors will lose 1% for every 1% that the index declines from initial level.

The agent is BNP Paribas Securities Corp.

The notes were expected to price on Sept. 18 and to settle on Sept. 21.

The Cusip number is 05610PCV5.

The fee is 0.25%.

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