BNP Paribas plans buffered return enhanced notes on three indexes

By Susanna Moon

Chicago, Jan. 16 - BNP Paribas plans to price 0% notes due Feb. 5, 2014 linked to a basket of indexes and their related currencies, according to a term sheet.

The basket consists of 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 respective currencies are the euro, the British pound and the Japanese yen.

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.

If an index finishes above its initial level, its component return will be double its return, up to a maximum return of 14.2% for each index.

If the index falls by up to 10%, its component return will be zero.

If the index falls by more than 10%, its component return will be 1.111111 times the sum of its return plus 10%.

BNPP Securities is the agent.

The notes will price on Jan. 18 and settle on Jan. 24.

The Cusip number is 05574LEL8.

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