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BNP Paribas plans low barrier notes linked to S&P 500, Russell 2000
By Jennifer Chiou
New York, Dec. 6 - BNP Paribas plans to price low barrier notes due Dec. 26, 2017 linked to the worst performing of the S&P 500 index and the Russell 2000 index, according to a term sheet.
The fixed coupon rate is 3% per year.
The condition coupon rate, to be between 3.5% to 4.5% per year, will be paid if the closing level of both underlying indexes is at or greater than the initial level on the annual coupon valuation dates to take place in December.
If the final level of the worst-performing index is greater than or equal to the knock-out level, 50% of the initial level, the payout at maturity will be par. Otherwise, investors will share in the losses.
The exact terms will be set at pricing.
The notes (Cusip: 05574LDD7.) are expected to price on Dec. 20 and settle on Dec. 26.
BNP Paribas Securities is the agent.
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