BNP Paribas plans contingent buffered notes linked to Hang Seng China

By Toni Weeks

San Diego, Jan. 15 - BNP Paribas plans to price 0% contingent buffered equity notes due Feb. 3, 2014 linked to the Hang Seng China Enterprises Index and the spot rate of the Hong Kong dollar, according to a term sheet.

The underlying asset performance will be the (i) difference between the final and initial underlying levels divided by (ii) the initial underlying level. The initial underlying level is the initial index level multiplied by the initial spot rate, and the final underlying level is the final index level multiplied by the final spot rate.

The payout at maturity will be par plus any gain in the underlying asset performance, up to a maximum return of 20%.

Investors will receive par if the asset performance falls by up to 20% and will be fully exposed to any losses if it falls below the barrier level.

The notes (Cusip: 05574LEM6) are expected to price Jan. 18 and settle Jan. 24.

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

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