BNP Paribas plans autocallable reverse convertibles tied to indexes

By Marisa Wong

Morgantown, W.Va., Feb. 3 – BNP Paribas plans to price 8% to 10% autocallable reverse convertible notes due Feb. 27, 2017 linked to the worse performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.

Interest is payable quarterly. The exact rate will be set at pricing.

The notes will be called at par plus accrued interest if each component closes at or above its initial level on any quarterly observation date.

The payout at maturity will be par unless either index finishes below its initial level and either index closes below its 70% knock-out level on any day during the life of the notes, in which case investors will be fully exposed to the decline of the worse performing index.

BNP Paribas Securities Corp. is the agent.

The CDs will price Feb. 23.

The Cusip number is 05579TLK0.

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