By Angela McDaniels
Tacoma, Wash., Nov. 6 - BNP Paribas priced $11.95 million of 0% trigger return enhanced notes due Nov. 5, 2015 linked to the Euro Stoxx 50 index, according to a term sheet.
A knock-in event will occur if the index's closing level is less than the knock-out level, 95% of the initial index level, on any day during the observation period, which begins on the pricing date and ends on Jan. 31, 2014.
If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus the product of the participation rate and the index return, subject to the maximum return. If the final index level is less than the initial index level, investors will be fully exposed to the decline.
The participation rate will be 200% if a knock-in event has not occurred and 300% if a knock-in event has occurred. The maximum return will be 33.7% if a knock-in event has not occurred and 50.55% if it has occurred.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | BNP Paribas
|
| Issue: | Trigger return enhanced notes
|
| Underlying index: | Euro Stoxx 50
|
| Amount: | $11.95 million
|
| Maturity: | Nov. 5, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final index level is greater than or equal to initial level, par plus product of participation rate and index return, subject to maximum return; if final index level is less than initial index level, full exposure to decline
|
| Participation rate: | 200% if knock-in event has not occurred and 300% if knock-in event has occurred
|
| Maximum return: | 33.7% if knock-in event has not occurred and 50.55% if knock-in event has occurred
|
| Initial index level: | 3,067.95
|
| Knock-in level: | 2,914.553, 95% of initial level
|
| Pricing date: | Oct. 31
|
| Settlement date: | Nov. 5
|
| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1.5%
|
| Cusip: | 05574LS82
|
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