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BNP plans buffered notes on S&P 500, MSCI EAFE fund, MSCI EM fund
New York, Feb. 3 – BNP Paribas plans to price 0% buffered notes due Feb. 27, 2020 linked to the S&P 500 index, the iShares MSCI EAFE exchange-traded fund and the iShares MSCI Emerging Markets exchange-traded fund, according to a term sheet.
The S&P 500 will have a 53% weight, the MSCI EAFE ETF a 42% weight and the MSCI Emerging Markets ETF a 5% weight.
If the final basket level is greater than or equal to the initial level, the payout at maturity will be par plus the basket return.
Investors will receive par if the basket falls by up to 25% and will be exposed to any basket decline beyond the 25% buffer.
The exact terms will be set at pricing.
The notes (Cusip: 05579TB21) are expected to price on Feb. 24 and settle on Feb. 27.
BNP Paribas is the agent.
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