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BNP Paribas to price phoenix notes on worst of Russell 2000, S&P 500
New York, Feb. 3 – BNP Paribas plans to price phoenix notes due Feb. 27, 2018 linked to the worst of the Russell 2000 index and the S&P 500 index, according to a term sheet.
The notes will pay a quarterly contingent coupon at an annual rate of 7.25% to 8.25% if both indexes are at 75% of their initial level or more on the corresponding quarterly valuation date.
If both indexes are at their initial level or higher on the quarterly valuation date then the notes will also be called at par.
At maturity, the payout will be par if both indexes finish at or above their barrier level of 75% of the initial level.
If either index finishes below the barrier level, investors will be exposed to the decline in the worst performing index.
The exact terms will be set at pricing.
The notes (Cusip: 05579TAZ9) are expected to price on Feb. 24 and settle on Feb. 27.
BNP Paribas is the agent.
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