BNP Paribas plans autocallable buffered return enhanced notes on ETFs

By Emma Trincal

New York, June 12 – BNP Paribas plans to price 0% autocallable buffered return enhanced notes due July 29, 2025 linked to the worst of SPDR Gold Shares and Energy Select Sector SPDR fund, according to a term sheet.

The notes will be called at par plus a call premium of 9% if each index finishes at or above 80% of its respective initial level on the early redemption value date after one year.

If the notes are not called, the payout at maturity will be par plus 200% the return of the worse performing ETF.

If the worst performer declines but finishes at or above the 85% buffer level, the payout will be par.

Otherwise, investors will lose 1% for each 1% decline of the least performing index beyond the 15% buffer.

BNP Paribas Securities Corp. is the agent.

The notes are expected to price on July 26 and settle on July 29.

The Cusip number is 05601WVZ1.

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