New Issue: BNP Paribas prices $1.9 million capped twin win notes linked to S&P 500

By Susanna Moon

Chicago, Dec. 14 - BNP Paribas, New York Branch priced $1.9 million of 0% twin win notes due Dec. 14, 2015 linked to the S&P 500 index, according to a 424B2 filing with the Securities and Exchange Commission.

A knock-out event will occur if the index closes below the 67% knock-out level on any day during the life of the notes.

If the index finishes above the initial level, the payout at maturity will be par plus the gain up to a maximum return of 30%.

If the index falls but a knock-out event has not occurred, the payout will be par plus the absolute value of the index return up to a downside cap of 33%.

Otherwise, investors will be fully exposed to any losses.

BNP Paribas Securities is the agent.

Issuer:	BNP Paribas, New York Branch
Issue:	Capped twin win notes
Underlying index:	S&P 500 index
Amount:	$1,901,000
Maturity:	Dec. 14, 2015
Coupon:	0%
Price:	Par
Payout at maturity:	Par plus return, capped at 30%, if index gains; par plus absolute value of return, capped at 33%, if index falls by up to knock-out level; otherwise, exposure to any losses
Initial level:	1,418.07
Barrier level:	950.1069, or 67% of initial level
Pricing date:	Dec. 7
Settlement date:	Dec. 12
Agent:	BNP Paribas Securities
Fees:	3%
Cusip:	05574LDF2

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