BNP Paribas plans 27-month zero-coupon callable notes tied to S&P 500

By Susanna Moon

Chicago, Dec. 8 - BNP Paribas plans to price 0% notes due March 27, 2013 based on the performance of the S&P 500 index, according to a term sheet.

The payout at maturity will be par plus double any index gain.

Investors will receive par if the index level falls by up to 30% and will be exposed to any decline beyond 30%.

The notes are callable at $1,095 to $1,115 for each $1,000 principal amount of notes on March 27, 2012.

The notes (Cusip 05567LR82) will price on Dec. 21 and settle on Dec. 27.

BNP Paribas Securities is the agent. Advisors Asset Management, Inc. is the distributor.

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