By Toni Weeks
San Luis Obispo, Calif., April 30 - BNP Paribas priced $6.5 million of autocallable Russell 2000 index-linked range accrual notes due April 14, 2020, according to a pricing sheet.
The interest rate will be 7% multiplied by the proportion of days on which the index closes at or above the index trigger level, which is 75% of the initial level. Interest is payable quarterly.
If the index closes at or above the initial level on any early redemption valuation date beginning April 5, 2017, the notes will be automatically called at par plus accrued interest.
If the notes are not called and the final index level is greater than or equal to the barrier level, 60% of the initial level, the payout at maturity will be par. Otherwise, investors will be fully exposed to losses.
BNPP Securities is the agent.
| Issuer: | BNP Paribas
|
| Issue: | Autocallable range accrual notes
|
| Underlying index: | Russell 2000
|
| Amount: | $6.5 million
|
| Maturity: | April 14, 2020
|
| Coupon: | 7% per year multiplied by proportion of days on which the index is at or above trigger level; payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par if final index level is at least 60% of initial level; otherwise, full exposure to losses
|
| Call: | Automatically at par plus accrued interest if index closes at or above initial level on any quarterly early redemption valuation date beginning April 5, 2017
|
| Initial index level: | 923.28
|
| Trigger level: | 75% of initial level
|
| Barrier level: | 553.968, 60% of initial level
|
| Pricing date: | April 5
|
| Settlement date: | April 10
|
| Agent: | BNPP Securities
|
| Fees: | 3.75%
|
| Cusip: | 05574LHQ4
|
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