BNP Paribas plans to price return enhanced notes tied to S&P 500

By Marisa Wong

Madison, Wis., Nov. 6 - BNP Paribas plans to price 0% return enhanced notes due Nov. 27, 2013 linked to the S&P 500 index, according to a term sheet.

If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus double the index return, subject to a maximum return of 18.2%.

Otherwise, investors will be fully exposed to the decline in the index.

The final index level will be the average of the closing index levels on the five trading days ending Nov. 22, 2013.

JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the placement agents.

The notes (Cusip: 05574LBX5) will price on Nov. 9 and settle on Nov. 15.

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