By Angela McDaniels
Tacoma, Wash., April 1 - BNP Paribas priced $815,000 of 0% return enhanced notes due April 9, 2014 linked to the performance of the Hang Seng China Enterprises index and the deliverable Chinese renminbi, according to a term sheet.
The underlying asset performance will be the percentage change from the initial underlying level - the initial index level multiplied by the initial currency rate - to the final underlying level, which will be the average of the product of the final index level multiplied by the applicable final currency rate on the five days ending April 4, 2014.
If the final underlying level is greater than or equal to the initial underlying level, the payout at maturity will be par plus 200% of the underlying asset performance, subject to a maximum return of 36.5%.
If the final underlying level is less than the initial underlying level, investors will be fully exposed to the decline.
BNP Paribas Securities is the agent with J.P. Morgan Securities LLC as dealer.
| Issuer: | BNP Paribas
|
| Issue: | Return enhanced notes
|
| Underlyings: | Hang Seng China Enterprises index and deliverable Chinese renminbi
|
| Amount: | $815,000
|
| Maturity: | April 9, 2014
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | Par plus 200% of underlying asset performance, subject to maximum return of 36.5%, if underlying asset performance is positive; otherwise, full exposure to decline
|
| Initial levels: | 10,896.48 for index; 6.2065 for currency
|
| Pricing date: | March 22
|
| Settlement date: | March 27
|
| Agent: | BNP Paribas Securities
|
| Dealer: | J.P. Morgan Securities LLC
|
| Fees: | 1%
|
| Cusip: | 05574LGR3
|
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