BNP Paribas plans buffered return enhanced notes tied to WTI crude oil

By Marisa Wong

Madison, Wis., April 11 - BNP Paribas plans to price 0% buffered return enhanced notes due Oct. 31, 2016 linked to the performance of WTI crude oil, according to a term sheet.

If the final futures contract price is greater than or equal to the initial price, the payout at maturity will be par plus 500% the asset return, subject to a maximum return of 80% to 120% that will be set at pricing. Investors will receive par if the futures contract price falls by up to 10% and will lose 1% for every 1% that it declines beyond the 10% buffer.

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

The notes are expected to price April 25 and settle April 30.

The Cusip number is 05574LYB8.

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