BNP Paribas plans contingent variable income notes tied to currencies

By Toni Weeks

San Diego, March 5 - BNP Paribas plans to price contingent variable income notes due March 30, 2015 linked to a basket of five equally weighted emerging market currencies relative to the dollar, according to a prospectus supplement.

The underlying currencies are the Brazilian real, the Russian ruble, the Indian rupee, the Chinese renminbi and the Turkish lira.

Interest is payable annually in an amount equal to the average of the currency's performances, subject to a floor of zero.

If a currency's return is positive or flat, its performance will be fixed at the 5.5% to 7.5% coupon cap. If its return is negative, its performance will be the greater of the currency return and negative 10%.

The exact coupon cap will be set at pricing.

The payout at maturity will be par.

The notes (Cusip: 05567L4F1) are expected to price March 26 and settle March 30.

BNP Paribas Securities Corp. is the agent. Advisors Asset Management, Inc. is the distributor.

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