BNP Paribas to price phoenix notes linked to worst of Euro Stoxx, S&P

By Angela McDaniels

Tacoma, Wash., Jan. 5 – BNP Paribas plans to price phoenix notes due Jan. 29, 2021 linked to the worst of the Euro Stoxx 50 index and the S&P 500 index, according to a term sheet.

The notes will pay a quarterly contingent coupon at an annual rate of 6.4% to 8% if each index closes at or above 65% of its initial level on the corresponding quarterly valuation date.

Beginning Jan. 24, 2017, the notes will be called at par if both indexes close at or above their initial levels on any quarterly valuation date.

The payout at maturity will be par if each index finishes at or above its barrier level, 65% of its initial level. If either index finishes below its barrier level, investors will be exposed to the decline in the worst-performing index.

BNP Paribas Securities Corp. is the agent.

The notes will price Jan. 26.

The Cusip number is 05579TKK1.

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