BNP Paribas plans contingent income autocallables on Russell 2000

By Susanna Moon

Chicago, March 7 - BNP Paribas, New York Branch plans to price contingent income autocallable notes due March 28, 2018 linked to the Russell 2000 index, according to a term sheet.

The notes will pay a conditional coupon of 6.75% to 7.25% per year if the index closes at or above 75% of its initial level on a quarterly coupon valuation date.

If the index closes at or above its initial level on any quarterly redemption date after three years, the notes will be redeemed at par plus the conditional coupon.

The payout at maturity will be par unless the index finishes below the 75% barrier level, in which case investors will share fully in losses.

BNPP Securities is the agent.

The notes will price on March 25 and settle on March 28.

The Cusip number is 05574LGE2.

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