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BNP Paribas plans dual directional notes on Euro Stoxx 50 index
New York, Dec. 2 – BNP Paribas plans to price 0% dual directional contingent notes due June 30, 2017 linked to the Euro Stoxx 50 index, according to a term sheet.
If the index finishes above the initial level, the payout at maturity will be par plus the 125% of the index return, up to a maximum payout of par plus 25%.
If the index falls but remains above the barrier, the payout will be par plus 50% of the absolute value of the index return. The barrier level will be set at pricing and is expected to be 70% to 75% of the initial level.
Otherwise, investors will be fully exposed to any losses.
BNP Paribas is the agent.
The notes will price on Dec. 26 and settle on Dec. 31.
The Cusip number is 05579T6R2.
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