BNP Paribas to price contingent variable income notes linked to stocks

By Jennifer Chiou

New York, Dec. 6 - BNP Paribas plans to price contingent variable income notes due Dec. 30, 2017 linked to a basket of common stocks, according to a term sheet.

The underlying stocks are Altria Group, Inc., AT&T, Inc., Barrick Gold Corp., FirstEnergy Corp., Kinder Morgan, Lockheed Martin Corp., PPL Corp., Reynolds American Inc., Southern Copper Corp. and Verizon Communications Inc.

Interest is payable annually in an amount equal to the average of the stocks' performances, subject to a minimum coupon of 0.5%.

If a stock's return is positive or flat, its performance will be equal to the auto cap. If a stock's return is negative, its performance will be the greater of the stock return and negative 20%. The auto cap is expected to be 5% to 6% and will be set at pricing.

The payout at maturity will be par plus the final coupon.

The notes (Cusip: 05574LDC9.) are expected to price on Dec. 20 and settle on Dec. 26.

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