BNP plans conditional coupon notes on BNP MAD 5 index

New York, Sept. 13 – BNP Paribas plans to price conditional coupon notes due Sept. 30, 2024 linked to the performance of the BNP Paribas Multi Asset Diversified 5 index, according to a term sheet.

The notes will pay an annual coupon equal to the return on the index multiplied by the participation rate less any previously paid coupons, with a floor of zero.

The participation rate will be between 130% and 140% and will be set at pricing.

At maturity, holders will receive par plus any conditional coupon.

The index implements a momentum investing strategy by shifting exposure between eight different components on a daily basis subject to a target realized volatility level of 5%. Any changes are subject to a maximum of 5% per day.

The index components are the BNP Paribas Eurozone Equity Futures index, the BNP Paribas US Equity Futures index, the BNP Paribas Japan Equity Futures index, the BNP Paribas EUR 10Y Futures index, the BNP Paribas USD 10Y Futures index, the BNP Paribas JPY 10Y Futures index, the Bloomberg Commodity ex-Agriculture and Livestock Capped index and the S&P GSCI Gold index Excess Return.

BNP Paribas Securities Corp. is the agent.

The notes will price on Sept. 25 and settle on Sept. 29.

The Cusip number is 05583R3R3.

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