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BNP Paribas plans leveraged buffered notes linked to Russell 2000
By Angela McDaniels
Tacoma, Wash., Oct. 4 - BNP Paribas plans to price 23- to 26-month 0% notes linked to the Russell 2000 index, according to a term sheet.
If the final index level is greater than or equal to the initial index level, the payout at maturity will be par plus 150% of the index return, subject to the maximum settlement amount. Investors will receive par if the index declines by 10% or less and will lose 1.1111% for every 1% that the index declines beyond 10%.
The maximum settlement amount is expected to be $1,202.50 to $1,232.50 per $1,000 principal amount of notes and will be set at pricing.
BNP Paribas Securities Corp. is the agent.
The Cusip number is 05574LRC4.
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