Published on 10/10/2013 in the Prospect News Structured Products Daily.
New Issue: BNP Paribas prices $6.4 million 5% autocallable reverse convertibles tied to S&P, Russell
By Jennifer Chiou
New York, Oct. 10 - BNP Paribas, NY Branch priced $6.4 million of 5% autocallable reverse convertible notes due April 13, 2015 linked to the worst of the Russell 2000 index and the S&P 500 index, according to a term sheet.
If each index closes above its initial level on either April 8, 2014 or Oct. 8, 2014, the notes will be called at par.
If the worst-performing index finishes above the 80% barrier level, the payout at maturity will be par.
Otherwise, the payout will be par plus the downside leverage factor of 125% times the return of the worst-performing index plus 20%, with full exposure to losses.
BNP Paribas is the agent.
| Issuer: | BNP Paribas, NY Branch
|
| Issue: | Autocallable reverse convertible notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $6.4 million
|
| Maturity: | April 13, 2015
|
| Coupon: | 5%
|
| Price: | Par of $1,000
|
| Payout at maturity: | If worst performing index finishes above 80% barrier level, par; otherwise, par plus 125% times the return of the worst-performing index plus 20%, with full exposure to losses
|
| Call: | At par if each index closes above its initial level on either April 8, 2014 or Oct. 8, 2014
|
| Initial levels: | 1,047.26 for Russell, 1,655.45 for S&P
|
| Pricing date: | Oct. 8
|
| Settlement date: | Oct. 11
|
| Agent: | BNP Paribas
|
| Fees: | None
|
| Cusip: | 05574LRK6
|
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