By Toni Weeks
San Luis Obispo, Calif., March 7 - BNP Paribas priced $3.49 million of 0% phoenix notes due Feb. 26, 2018 linked to the Russell 2000 index and the S&P 500 index, according to a term sheet.
The notes will pay a coupon of 7% if the closing level of each index is at least 65% of its initial index level on any quarterly coupon valuation date. Otherwise no coupon will be paid for that interest period. Interest is payable quarterly.
The notes will be automatically called at par plus the conditional coupon if each index closes at or above its initial level on any early redemption valuation date beginning Feb. 23, 2016.
If the notes are not called, the payout will be par if the worst-performing index finishes at or above the barrier level, 75% of the initial level. Otherwise, investors will be fully exposed to the decline of the worst-performing index.
BNP Paribas Securities is the agent.
Issuer: | BNP Paribas
|
Issue: | Phoenix notes
|
Underlying indexes: | Russell 2000 and S&P 500
|
Amount: | $3.49 million
|
Maturity: | Feb. 26, 2018
|
Coupon: | 7% per year if each index closes at or above 65% of its initial level on any quarterly coupon valuation date; otherwise no coupon will be paid for that quarter; payable quarterly.
|
Price: | Par
|
Payout at maturity: | Par if worst-performing index finishes at or above barrier level; otherwise, full exposure to decline in worst-performing index
|
Call: | At par plus conditional coupon if each index closes at or above initial level on any early redemption valuation date beginning Feb. 23, 2016
|
Initial levels: | 905.4 for Russell and 1,502.42 for S&P 500
|
Barrier levels: | 679.05 for Russell, 1,126.815 for S&P 500, 75% of initial levels
|
Pricing date: | Feb. 21
|
Settlement date: | Feb. 26
|
Agent: | BNP Paribas Securities
|
Fees: | 2%
|
Cusip: | 05574LFS2
|
© 2015 Prospect News.
All content on this website is protected by copyright law in the U.S. and elsewhere.
For the use of the person downloading only.
Redistribution and copying are prohibited by law without written permission in advance from Prospect News.
Redistribution or copying includes e-mailing, printing multiple copies or any other form of reproduction.