By Toni Weeks
San Luis Obispo, Calif., Nov. 6 - BNP Paribas priced $1.95 million of 0% dual directional notes due Oct. 30, 2015 linked to the iShares MSCI Emerging Markets exchange-traded fund, according to a term sheet.
A knock-out event occurs if the fund closes below the knock-out price, 72% of the initial price, on any day during the life of the notes.
If the fund finishes at or above the initial level, the payout at maturity will be par plus the fund return, subject to a maximum return of 25%.
If the fund return is negative and a knock-out event has not occurred, the payout will be par plus the absolute value of the return, up to a maximum return of 28%.
If the fund return is negative and a knock-out event has occurred, investors will share fully in losses from the initial price.
BNPP Securities in the agent.
| Issuer: | BNP Paribas
|
| Issue: | Dual directional notes
|
| Underlying fund: | iShares MSCI Emerging Markets ETF
|
| Amount: | $1.95 million
|
| Maturity: | Oct. 30, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If fund return is zero or positive, par plus fund return, up to 25%; if fund return is negative and a knock-out event never occurs, par plus absolute value of the return, up to 28%; if fund return is negative and knock-out event has occurred, par plus fund return, with full exposure to losses
|
| Knock-out event: | Fund closes below knock-out price on any day during life of notes
|
| Initial price: | $42.74
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| Knock-out price: | $30.7728, 72% of initial index level
|
| Pricing date: | Oct. 25
|
| Settlement date: | Oct. 30
|
| Agent: | BNPP Securities
|
| Fees: | 1.5%
|
| Cusip: | 05574LRY6
|
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