By Angela McDaniels
Tacoma, Wash., April 30 - BNP Paribas priced $1.01 million of contingent income autocallable notes due April 30, 2019 linked to the Russell 2000 index, according to a term sheet.
Each quarter, the notes will pay a conditional coupon at the rate of 6.25% per year if the index's closing level is greater than or equal to 75% of the initial level on the valuation date for that quarter. Otherwise, no coupon will be paid that quarter.
Beginning April 26, 2016, the notes will be redeemed at par plus the conditional coupon if the index closes at or above the initial level on any early redemption valuation date, which occur quarterly.
If the notes are not called and the final index level is greater than or equal to the barrier level, 60% of the initial level, then the payout at maturity will be par. If the final level is less than the barrier level, then investors will lose 1% for every 1% that the index level is below the initial level.
BNP Paribas Securities Corp. is the agent.
| Issuer: | BNP Paribas
|
| Issue: | Contingent income autocallable notes
|
| Underlying index: | Russell 2000
|
| Amount: | $1,007,000
|
| Maturity: | April 30, 2019
|
| Coupon: | Paid at rate of 6.25% per year if index's closing level is at least 75% of initial level on valuation date for that quarter; otherwise, no coupon will be paid that quarter
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to barrier level, par; otherwise, 1% loss for every 1% that index level is below initial level
|
| Call: | At par plus conditional coupon if index closes at or above initial level on any early redemption valuation date, which occur quarterly beginning April 26, 2016
|
| Initial index level: | 940.28
|
| Barrier level: | 564.168, 60% of initial level
|
| Pricing date: | April 25
|
| Settlement date: | April 30
|
| Agent: | BNP Paribas Securities Corp.
|
| Fees: | Up to 3%
|
| Cusip: | 05574LHA9
|
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