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BNP Paribas plans to price phoenix notes linked to Russell 2000 index
New York, Feb. 3 – BNP Paribas plans to price phoenix notes due Feb. 27, 2017 linked to the Russell 2000 index, according to a term sheet.
The notes will pay a quarterly contingent coupon at an annual rate of 5.25% to 6.75% if the Russell 2000 closes at 70% of its initial level or higher on the corresponding quarterly valuation date.
If the index closes at its 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 the index finishes at or above its barrier level of 70% of the initial level.
If the index finishes below the barrier level, investors will be exposed to its decline.
The exact terms will be set at pricing.
The notes (Cusip: 05579TAY2) are expected to price on Feb. 24 and settle on Feb. 27.
BNP Paribas is the agent.
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