BNP Paribas plans twin win notes due 2014 tied to iShares MSCI EM

By Toni Weeks

San Diego, Nov. 13 - BNP Paribas plans to price 0% capped twin win notes due Nov. 26, 2014 linked to the iShares MSCI Emerging Markets index fund, according to a term sheet.

A knock-out event will occur if the fund closes below the knock-out level on any day during the life of the notes. The knock-out level is expected to be 70% of the initial share price.

If the final share price is greater than or equal to the initial price, the payout at maturity will be par plus 150% of any gain in the price, subject to a maximum return of 22% to 24%.

If the final price is less than the initial price and a knock-out event has not occurred, the payout will be par plus the absolute value of the fund return, subject to a maximum return of 30%.

If the final price is less than the initial price and a knock-out event has occurred, investors will be fully exposed to the fund's decline from its initial price.

The exact terms will be set at pricing.

The notes are expected to price Nov. 20 and settle Nov. 26.

BNPP Securities is the agent. The distributor is Advisors Asset Management, Inc.

The Cusip number is 05574LCJ5.

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