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BNP plans dual directional notes tied to Stoxx 50, Nikkei, S&P 500
New York, April 6 – BNP Paribas plans to price 0% dual directional notes due Oct. 24, 2017 linked to the Euro Stoxx 50 index, the Nikkei 225 index, and the S&P 500 index, according to a term sheet.
The Stoxx 50 will have a 30% weight, the Nikkei a 10% weight and the S&P 500 a 60% weight.
If the final basket level is greater than or equal to the initial level, the payout at maturity will be par plus the basket return capped at 17.5% to 22.5%.
If the final basket level is less than the initial level but more than the barrier level of 75% of the initial level the payout will be par plus the absolute value of the basket return.
Investors will be fully exposed to the basket decline if it finishes below the barrier level.
The exact terms will be set at pricing.
The notes are expected to price on April 27 and settle on April 30.
The Cusip is 05579TD45.
BNP Paribas is the agent.
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