BNP Paribas plans to price notes tied to S&P 500 Futures 35% Defined Volatility index

By Emma Trincal

New York, Sept. 7 – BNP Paribas plans to price 0% notes due Oct. 5, 2027 linked to the S&P 500 Futures 35% Defined Volatility index (USD) ER, according to a term sheet.

The notes will be called at par plus a call premium of 12.7% if the index finishes at or above its initial level on any annual observation date, except the final one when the call level will be 60% of the initial price.

If the index finishes below the 60% barrier level, investors will be fully exposed to the index decline.

The S&P 500 Futures 35% Defined Volatility index is designed to measure the performance of the S&P 500 Futures (3-day roll) index, while maintaining a level of implied volatility of 35%. It was created by S&P Dow Jones Indices and launched on June 24.

The notes are guaranteed by BNP Paribas, New York Branch.

BNP Paribas Securities Corp. is the agent.

The notes are expected to price on Sept. 30 and settle on Oct. 5.

The Cusip number is 05592QAA3.

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