BNP Paribas aims to price leveraged notes linked to the S&P 500 index

By Devika Patel

Knoxville, Tenn., Aug. 3 – BNP Paribas intends to price 0% leveraged notes linked to the S&P 500 index, according to a term sheet.

If the final index level is greater than or equal to the barrier level, the payout at maturity will be par plus 100% to 120% of the index return, subject to a minimum payout of par. The barrier level will be 60% of the initial index level. The exact participation rate will be set at pricing.

If the final index level is less than the barrier level, investors will lose 1% for every 1% that the index declines below the initial level.

The notes are expected to price Aug. 26 and settle Aug. 31.

BNP Paribas is the agent.

The Cusip number is 05579TFW1.

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