BNP plans autocallable contingent income notes on Russell, S&P 500

New York, Dec. 2 – BNP Paribas plans to price autocallable contingent income notes due June 29, 2018 linked to the lesser performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.

Each quarter, the notes will pay a contingent coupon at an annual rate of 5.5% to 6.5% if each index closes at or above its barrier level, 70% of its initial level, on the review date for that quarter. The exact coupon will be set at pricing.

The notes will be automatically called at par plus the contingent coupon if each index closes at or above its initial level on any quarterly review date.

If the notes have not been called, the payout at maturity will be par unless the final level of either index is less than its barrier level, in which case investors will be fully exposed to the decline of the lesser-performing index.

The notes (Cusip: 05579T6S0) are expected to price on Dec. 26 and settle on Dec. 31.

BNP Paribas is the agent.

© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere. For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.