By Toni Weeks
San Diego, Nov. 5 - BNP Paribas priced $1.06 million of 0% contingent buffered enhanced notes due Nov. 14, 2013 linked to a basket of Asian indexes and their related currency relative to the dollar, according to a term sheet.
The basket includes equal weights of the Hang Seng China Enterprises index and the Hang Seng index, both relative to the Hong Kong dollar spot rate.
The basket return will equal (i) 50% of the Hang Seng China times the Hong Kong dollar return plus (ii) 50% of the Hang Seng times the Hong Kong dollar return.
If the final basket level is at least 80% of the initial basket level, the payout at maturity will be par plus the greater of the basket return and 24%. Otherwise, investors will be fully exposed to the decline in the basket.
JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC are the agents.
| Issuer: | BNP Paribas
|
| Issue: | Contingent buffered enhanced notes
|
| Underlying components: | Hang Seng China Enterprises index and the Hang Seng index, equally weighted
|
| Underlying currency: | Hong Kong dollar, relative to dollar
|
| Amount: | $1.06 million
|
| Maturity: | Nov. 14, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final basket level is at least 80% of initial basket level, par plus greater of basket return and 24%; otherwise full exposure to decline in basket
|
| Initial index levels: | 10,449.53 for Hang Seng China, 21,545.57 for Hang Seng
|
| Initial spot rate: | 0.129029 for Hong Kong dollar
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| Pricing date: | Oct. 26
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| Settlement date: | Oct. 31
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| Agents: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 05574LBH0
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