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BNP plans leveraged notes linked to worst of Russell 2000, S&P 500
New York, Dec. 5 – BNP Paribas plans to price 0% leveraged notes due Dec. 30, 2021 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.
If the final level of the lesser-performing index is greater than or equal to its barrier level, 50% of its initial level, the payout at maturity will be par plus at least 170% of that index’s return, subject to a minimum payout of par. The exact participation rate will be set at pricing.
If the final level of the lesser-performing index is less than its barrier level, investors will be fully exposed to the decline in that index from its initial level.
BNP Paribas Securities Corp. is the agent.
The notes will price on Dec. 27 and settle on Dec. 30.
The Cusip number is 05579TSY3.
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