By Toni Weeks
San Diego, Dec. 4 - BNP Paribas priced $32.22 million of 0% notes due Dec. 11, 2013 linked to a basket of indexes and their related currencies, according to a 424B2 filing with the Securities and Exchange Commission.
The basket includes the Euro Stoxx 50 index with a 56% weight, the FTSE 100 index with a 23% weight and the Topix index with a 21% weight.
The related currencies are the euro for the Euro Stoxx, the British pound for the FTSE 100 and the Japanese yen for the Topix.
The payout at maturity will be par plus the basket return, which will equal the sum of the weighted component returns of the basket indexes.
The initial level of each index is its closing level on the pricing date multiplied by the exchange rate of its underlying currency relative to the dollar on that day. The final level of each index will be the average of its converted closing levels on the five trading days ending Dec. 6, 2013.
If an index's final level is greater than its initial level, its component return will be double its return, subject to a maximum return of 16.3% for each index. If the index declines by 10% or less, its component return will be zero. If the index declines by more than 10%, its component return will be 1.111111 times the sum of its return plus 10%.
BNPP Securities is the agent.
| Issuer: | BNP Paribas
|
| Issue: | BNotes
|
| Underlying basket: | Euro Stoxx 50 index (56% weight), FTSE 100 index (23% weight), Tokyo Stock Price index (21% weight) and their related currencies
|
| Amount: | $32,216,000
|
| Maturity: | Dec. 11, 2013
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus sum of weighted component returns of basket indexes
|
| Component return: | If index's final level is greater than initial level, 200% of underlying return, subject to cap of 16.3%; zero if index's level declines by up to 10%; 1.111111 times sum of index return plus 10% if index's level declines by more than 10%
|
| Initial index levels: | Closing index level on pricing date multiplied by initial exchange rate
|
| Initial index levels: | 2,519.68 for Euro Stoxx; 5,752.03 for FTSE 100; 767.01 for Topix
|
| Initial spot rates: | 1.2819 for euro, 1.5935 for pound, 0.0121 for yen
|
| Final index levels: | Average of index's converted closing levels on the five trading days ending Dec. 6, 2013
|
| Pricing date: | Nov. 21
|
| Settlement date: | Nov. 27
|
| Underwriter: | BNPP Securities
|
| Cusip: | 05574LCP1
|
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