BNP plans autocallable contingent income notes on two sector ETFs

New York, Jan. 2 – BNP Paribas plans to price autocallable contingent income notes due Jan. 31, 2018 linked to the lesser performing of the Materials Select Sector SPDR Fund and the Technology Select Sector SPDR Fund, according to a term sheet.

Each quarter, the notes will pay a contingent coupon at an annual rate of 7% to 9% if each fund closes at or above its barrier level, 75% 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 fund 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 fund is less than its 75% barrier level, in which case investors will be fully exposed to the decline of the lesser-performing fund.

The notes (Cusip: 05579T7L4) are expected to price on Jan. 27 and settle on Jan. 30.

BNP Paribas is the agent.

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