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BNP plans digital notes tied to worst of Russell 2000, S&P 500 indexes
New York, Jan. 10 – BNP Paribas plans to price 0% digital notes due July 31, 2018 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.
The payout at maturity will be par plus a digital payment of 12.5% to 13.5% if the worst performing index finishes at a level greater than 90% of its initial value.
Investors will be exposed to any decline in the worst performing index beyond the 10% buffer.
The exact digital payment and buffer will be set at pricing.
BNP Paribas is the agent.
The notes will price on Jan. 26 and settle on Jan. 31.
The Cusip number is 05579TTD8.
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