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

By Marisa Wong

Morgantown, W.Va., March 8 – BNP Paribas plans to price phoenix notes due March 31, 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.

After one year, 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 is the agent.

The notes will price on March 24 and settle on March 31.

The Cusip number is 05579TLY0.

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