By Marisa Wong
Madison, Wis., March 7 - BNP Paribas, New York Branch priced $10 million of 0% return enhanced notes due March 12, 2014 linked to the Hang Seng China Enterprises index and the spot rate of the deliverable Chinese renminbi, according to a term sheet.
The payout at maturity will be par plus five times any gain in the underlying level, up to a maximum return of 91.75%.
Otherwise, investors will be fully exposed to losses.
The initial underlying level is equal to the initial index level multiplied by the initial currency rate.
The final underlying level will be the average of the product of (i) the final index level multiplied by (ii) the applicable final currency rate on the five trading days ending Feb. 15, 2017.
BNP Paribas Securities Corp. is the underwriter, with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
Issuer: | BNP Paribas
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Issue: | Return enhanced notes
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Underlying index: | Hang Seng China Enterprises
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Amount: | $10 million
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Maturity: | Feb. 21, 2017
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Coupon: | 0%
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Price: | Par
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Payout at maturity: | Par plus 500% of any gain in the underlying level, capped at 91.75%; full exposure to losses
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Initial index level: | 11,845.20
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Initial spot rate: | 6.2188
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Initial underlying level: | Initial index level times initial currency rate
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Final underlying level: | Average of product of final index level times final currency rate on five trading days ending Feb. 15, 2017
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Pricing date: | Feb. 15
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Settlement date: | Feb. 21
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Underwriter: | BNP Paribas Securities Corp. with JPMorgan Chase Bank, NA and J.P. Morgan Securities LLC as placement agents
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Fees: | 2.5%
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Cusip: | 05574LFR4
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