BNP Paribas plans autocallable certi plus notes linked to S&P, Russell

By Susanna Moon

Chicago, Jan. 9 - BNP Paribas, NY Branch plans to price 0% autocallable certi plus notes due Dec. 28, 2015 linked to the worst of the Russell 2000 index and the S&P 500 index, according to a term sheet.

If each index closes above its initial level on July 28, 2014, the notes will be called at $1,140 to $1,160 for each $1,000 principal amount.

If the worst performing index finishes above the 60% barrier level, the payout at maturity will be par plus double any gain of the worst performing index, with a minimum payout of par.

Otherwise, the payout will be par plus the return of the worst performing index with exposure to any losses.

The exact terms will be set at pricing.

BNPP Securities is the agent. The distributor is Advisors Asset Management, Inc.

The notes will price on Jan. 28 and settle on Jan. 31.

The Cusip number is 05574LED6.

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