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BNP Paribas plans autocallable high watermark notes on Euro Stoxx 50
By Jennifer Chiou
New York, Oct. 10 - BNP Paribas plans to price 0% autocallable high watermark notes due Oct. 31, 2016 linked to the Euro Stoxx 50 index, according to a term sheet.
If the index closes at or above the initial level on either annual early redemption valuation date, holders will receive par plus 8% per year.
If the index finishes at or above the to-be-set barrier level, 73% to 77% of the initial level, the payout at maturity will be par plus the high watermark performance, which is the return of the index based on the highest closing level of the index during the life of the notes.
If the index return is negative, investors will be fully exposed to the decline in the index level.
The exact terms will be set at pricing.
The notes (Cusip: 05574LRF7) are expected to price on Oct. 28 and settle on Oct. 31.
BNPP Securities is the agent.
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