BNP Paribas plans quarterly review notes due 2014 tied to Brent crude

By Toni Weeks

San Diego, Jan. 23 - BNP Paribas plans to price 0% quarterly review notes due Feb. 5, 2014 linked to Brent crude oil, according to a term sheet.

The notes will be called at par plus a premium if the price of Brent crude closes above the call level on any of three call dates.

The notes will be called at $1,036.16 for each $1,000 principal amount if the price of Brent crude closes above its initial level on May 1, at $1,072.25 for each $1,000 principal amount if the price of Brent crude closes above the 95% call level on July 31, 2013 or at $1,108.38 for each $1,000 principal amount if the price of Brent crude closes above the 90% call level on Oct. 31, 2013.

If the notes are not called and the price of Brent crude finishes at or above the 85% barrier level, the payout at maturity will be par plus 14.45%.

Otherwise, investors will be exposed to any losses.

The exact terms will be set at pricing.

The notes (Cusip: 05574LES3) are expected to price Jan. 25 and settle Jan. 30.

BNPP Securities is the agent with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as dealers.

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