BNP Paribas plans notes linked to Morningstar Ultimate Stock-Pickers

By Marisa Wong

Madison, Wis., April 10 - BNP Paribas plans to price 0% notes due April 28, 2017 linked to the performance of the Morningstar Ultimate Stock-Pickers Target Volatility 7% index, according to a term sheet.

The payout at maturity will be par plus 125% of any index gain.

Investors will receive par if the index level falls.

The index provides variable exposure to the Morningstar Ultimate Stock-Pickers index. The exposure to the base index is adjusted to maintain a target volatility of 7%. The base index invests in up to 60 equities that are among the most widely purchased stocks of the 26 investment managers followed by Morningstar.

The notes (Cusip: 05567L4L8) will price on April 25 and settle on April 30. The exact deal terms will be set at pricing.

BNP Paribas Securities is the agent.

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