BNP Paribas plans contingent income autocallables tied to Russell 2000

By Angela McDaniels

Tacoma, Wash., June 13 - BNP Paribas plans to price contingent income autocallable notes due June 29, 2020 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% to 7.25% per year - the exact rate will be set at pricing - 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 June 26, 2017, 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. Advisors Asset Management, Inc. is distributor.

The notes are expected to price June 25 and settle June 28.

The underwriting discount will be up to 3%, and some broker-dealers may receive additional commissions or referral fees of up to 0.75%.

The Cusip number is 05574LJU3.

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