Update: BNP Paribas to price low barrier notes linked to Russell 2000

By Toni Weeks

San Diego, Jan. 4 - BNP Paribas plans to price low barrier notes due Jan. 31, 2018 linked to the Russell 2000 index, according to a term sheet.

The issuer previously reported the offering as reverse convertible notes linked to the Russell 2000.

If the index level is greater than or equal to the barrier level - 56% to 58% of the initial index level - on any quarterly valuation date, the notes will pay an annualized coupon of 6%. Otherwise, no coupon will be paid for that interest period. Interest is payable quarterly.

The payout at maturity will be par unless the final index level is below the barrier level, in which case investors will be fully exposed to losses from the initial index level.

The notes (Cusip: 05574LEA2) are expected to price Jan. 28 and settle Jan. 31.

BNP Paribas Securities Corp. is the agent.

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