By Susanna Moon
Chicago, March 7 - BNP Paribas, New York Branch priced $10 million of 0% buffered return enhanced notes due March 1, 2016 linked to a basket containing an index and a fund, according to a term sheet.
The basket consists of the Hang Seng China Enterprises index with a 25% weight and the iShares MSCI Emerging Markets index fund with a 75% weight.
The payout at maturity will be par plus any gain in the basket, up to a maximum return of 36.5%.
Investors will receive par if the basket falls by up to 10% and will be exposed to losses beyond 10%.
BNP Paribas Securities Corp. is the underwriter, with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
| Issuer: | BNP Paribas
|
| Issue: | Buffered return enhanced notes
|
| Underlying basket: | Hang Seng China Enterprises index (25% weight) and the iShares MSCI Emerging Markets index fund (75% weight)
|
| Amount: | $1.75 million
|
| Maturity: | March 1, 2016
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus any basket gain, capped at 36.5%; exposure to any losses beyond 10%
|
| Initial index level: | 11,104.10 for Hang Seng China and $42.94 for MSCI EM
|
| Pricing date: | Feb. 26
|
| Settlement date: | Feb. 28
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| Underwriter: | BNP Paribas Securities Corp. with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents
|
| Fees: | 3%
|
| Cusip: | 05574LFX1
|
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