BNP Paribas to price autocallable leveraged notes on Russell, Nasdaq

By Emma Trincal

New York, March 10 – BNP Paribas plans to price autocallable leveraged notes due April 6, 2026 linked to the worst performing of the Nasdaq 100 index and the Russell 2000 index, according to a term sheet.

The notes will be guaranteed by BNP Paribas acting through its New York Branch.

The notes will be automatically called at par plus a redemption premium of 34% if each underlying index closes at or above 110% of its initial level on the early redemption valuation date, which is expected to be Oct. 3, 2023.

If the notes are not called and each index finishes at or above its barrier level, 70% of the initial level, the payout at maturity will be par plus 2.4 times the return of the lesser performing index, subject to a floor of par.

If the lesser performing index finishes below its 70% barrier level, investors will lose 1% for each 1% decline of the lesser performing index.

BNP Paribas Securities Corp. is the agent.

The notes will price on March 31 and settle on April 5.

The Cusip number is 05600MQD9.

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