By Angela McDaniels
Tacoma, Wash., March 7 - BNP Paribas priced $150,000 of 0% twin win notes due Feb. 27, 2015 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.
A knock-out event will occur if either index closes below its knock-out level on any day during the life of the notes. The knock-out levels are 65% of the initial levels.
If the final level of the worst-performing index is greater than or equal to its initial index level, the payout at maturity will be par plus 125% of the worst-performing index's return, subject to a maximum return of 18%.
If the final level of the worst-performing index is less than its initial level and a knock-out event has not occurred, the payout will be par plus the absolute value of the worst-performing index's return, subject to a maximum return of 35%.
If the final index level is less than the initial level and a knock-out event has occurred, investors will be fully exposed to the decline of the worst-performing index from its initial level.
BNP Paribas Securities Corp. is the agent.
| Issuer: | BNP Paribas
|
| Issue: | Twin win notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $150,000
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| Maturity: | Feb. 27, 2015
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If final level of worst-performing index is greater than or equal to initial index level, par plus 125% of worst-performing index's return, subject to 18% cap; if final level of worst-performing index is less than initial level and knock-out event has not occurred, par plus absolute value of worst-performing index's return, subject to 35% cap; if final index level is less than initial level and knock-out event has occurred, full exposure to decline of worst-performing index from initial level
|
| Knock-out event: | Either index closes below knock-out level on any day during life of notes
|
| Initial index levels: | 895.84 for Russell 2000 and 1,487.85 for S&P 500
|
| Knock-out levels: | 582.296 for Russell 2000 and 967.1025 for S&P 500; 65% of initial levels
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| Pricing date: | Feb. 25
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| Settlement date: | Feb. 28
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| Agent: | BNP Paribas Securities Corp.
|
| Fees: | Up to 1.25%
|
| Cusip: | 05574LFJ2
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