By Angela McDaniels
Tacoma, Wash., Jan. 23 - BNP Paribas priced $10.44 million of 0% notes due Feb. 5, 2014 linked to a weighted basket of three buffered return enhanced components, according to a term sheet.
The basket includes the Euro Stoxx 50 index with a 56% weight, the FTSE 100 index with a 23% weight and the Tokyo Stock Price index with a 21% weight. The indexes' underlying currencies are the euro, the British pound sterling and the Japanese yen, respectively.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
The initial level of each index was converted into dollars from its underlying currency at the exchange rate in effect on the pricing date. Each index's final level will be the average of its converted levels on the five trading days ending Jan. 31, 2014.
If an index's underlying return is greater than or equal to zero, its component return will be double the underlying return, subject to a maximum return of 14.2% for each index. If the index's underlying return is greater than or equal to negative 10% but less than zero, its component return will be zero. If the index's underlying return is less than negative 10%, its component return will be 1.1111 times the sum of the underlying return and 10%.
BNP Paribas Securities Corp. is the agent with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as dealers.
| Issuer: | BNP Paribas
|
| Issue: | Notes linked to weighted basket of three buffered return enhanced components
|
| Underlying components: | Euro Stoxx 50 index (56% weight), FTSE 100 index (23% weight) and Tokyo Stock Price index (21% weight)
|
| Amount: | $10,442,000
|
| Maturity: | Feb. 5, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes
|
| Component return: | If index's underlying return is greater than or equal to zero, 200% of underlying return, subject to maximum of 14.2%; if index's underlying return is greater than or equal to negative 10% but less than zero, zero; if index's underlying return is less than negative 10%, 1.1111 times sum of underlying return and 10%
|
| Initial index levels: | 2,709.59 for Euro Stoxx 50; 6,154.41 for FTSE 100; 911.44 for Tokyo Stock Price
|
| Initial spot rates: | 1.3292 for euro; 1.5863 for pound; 0.0111 for yen
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| Pricing date: | Jan. 18
|
| Settlement date: | Jan. 24
|
| Agent: | BNP Paribas Securities Corp.
|
| Dealers: | JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 05574LEL8
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