New Issue: BNP Paribas prices $3.97 million autocallable high watermark notes on Euro Stoxx 50

By Marisa Wong

Madison, Wis., Nov. 6 - BNP Paribas priced $3.97 million of 0% autocallable high watermark notes due Oct. 31, 2016 linked to the Euro Stoxx 50 index, according to a term sheet.

If the index closes at or above the initial level on either annual early redemption valuation date, holders will receive par plus 8% per year.

If the index finishes at or above the 76.8% barrier level, the payout at maturity will be par plus the high watermark performance, which is the return of the index based on the highest closing level of the index during the life of the notes.

If the index finishes below the barrier level, investors will be fully exposed to the decline in the index level.

BNPP Securities is the agent.

Issuer:	BNP Paribas
Issue:	Autocallable high watermark notes
Underlying index:	Euro Stoxx 50
Amount:	$3.97 million
Maturity:	Oct. 31, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index finishes at or above barrier level, par plus high watermark performance, which is return of index based on highest index closing level during life of notes; otherwise, full exposure to index decline
Call:	At par plus 8% per year if index closes at or above initial level on Oct. 28, 2014 or Oct. 28, 2015
Initial level:	3,022.04
Barrier level:	2,320.9267, 76.8% of initial level
Pricing date:	Oct. 28
Settlement date:	Oct. 31
Agent:	BNPP Securities
Fees:	2%
Cusip:	05574LRF7

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