By Marisa Wong
Madison, Wis., Feb. 1 - BNP Paribas, NY Branch priced $705,000 of 15% autocallable reverse convertible worst-of notes due Jan. 31, 2014 linked to four stocks, according to a term sheet.
The underlying stocks are Caterpillar Inc., Facebook, Inc., McDonald's Corp. and MetLife, Inc.
Interest is payable quarterly.
The notes will be called at par if the closing price of each underlying stock on any quarterly observation date is greater than or equal to the redemption price. The redemption price is equal to the initial price for the first redemption date, 95% of the initial price for the second redemption date and 90% of the initial price for the third date.
A knock-out event occurs if the closing price of any underlying stock is below its knock-out price - 60% of the initial price - on any day during the life of the notes.
The payout at maturity will be par unless the final share price of the worst-performing underlying stock is less than 85% of its initial price and a knock-out event has occurred, in which case investors will be fully exposed to the decline of the worst-performing stock.
BNPP Securities is the agent.
| Issuer: | BNP Paribas, NY Branch
|
| Issue: | Autocallable reverse convertible worst-of notes
|
| Underlying stocks: | Caterpillar Inc. (Symbol: CAT), Facebook, Inc. (Symbol: FB), McDonald's Corp. (Symbol: MCD) and MetLife, Inc. (Symbol: MET)
|
| Amount: | $705,000
|
| Maturity: | Jan. 31, 2014
|
| Coupon: | 15%, payable quarterly
|
| Price: | Par
|
| Payout at maturity: | Par unless final share price of worst-performing underlying stock is less than 85% of its initial price and a knock-out event has occurred, in which case full exposure to decline of worst-performing stock
|
| Knock-out event: | Closing price of any underlying stock is below its knock-out price on any day during life of notes
|
| Call: | At par if closing price of each underlying stock on any quarterly observation date is greater than or equal to redemption price; redemption price is equal to initial price for first redemption date, 95% of initial price for second redemption date and 90% of initial price for third date
|
| Initial prices: | $97.45 for CAT, $32.46 for FB, $94.36 for MCD and $37.63 for MET
|
| Knock-out prices: | $58.47 for CAT, $19.476 for FB, $56.616 for MCD and $22.578 for MET; 60% of initial prices
|
| Pricing date: | Jan. 28
|
| Settlement date: | Jan. 31
|
| Agent: | BNPP Securities
|
| Fees: | 1.25%
|
| Cusip: | 05574LER5
|
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