By Toni Weeks
San Diego, Dec. 4 - BNP Paribas priced $225,000 of 0% capped twin win notes due Nov. 28, 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 70% knock-in level on any day during the life of the notes.
If the fund finishes at or above the initial price, the payout at maturity will be par plus 150% of the gain, capped at a maximum return of 23%.
If the fund falls but 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 fund return is negative and a knock-out event has occurred, investors will be fully exposed to any losses.
BNPP Securities is the agent.
| Issuer: | BNP Paribas
|
| Issue: | Capped twin win notes
|
| Underlying fund: | iShares MSCI Emerging Markets index fund
|
| Amount: | $225,000
|
| Maturity: | Nov. 28, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final price is greater than or equal to initial price, par plus 1.5 times the gain, capped at 23%; if fund return is negative but fund never dips below 70% of initial price during life of notes, par plus absolute value of the fund return, subject to a cap of 30%; if fund return is negative and knock-out event has occurred, full exposure to losses
|
| Initial price: | $41.28
|
| Knock-out price: | $28.896, 70% of initial price
|
| Pricing date: | Nov. 27
|
| Settlement date: | Nov. 30
|
| Agent: | BNPP Securities
|
| Fees: | 2%
|
| Cusip: | 05574LCJ5
|
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