Published on 4/30/2013 in the Prospect News Structured Products Daily.
New Issue: BNP Paribas prices $500,000 twin win notes linked to S&P 500, Russell
By Susanna Moon
Chicago, April 30 - BNP Paribas priced $500,000 of twin win notes due April 30, 2018 linked to the Russell 2000 index and the S&P 500 index, according to a term sheet.
A knock-out event occurs if either index closes below its 65% knock-out level on any day during the life of the notes.
If the worst performing index finishes above its initial level, the payout at maturity will be par plus 1.25 times the return of the worst performing index, up to a maximum return of 15%.
If the worst performing index falls but a knock-out event has not occurred, the payout will be par plus the absolute value of the return of the worst performing index, up to a cap of 35%.
Otherwise, investors will be fully exposed to any losses of the worst performing index.
BNP Paribas Securities Corp. is the agent.
| Issuer: | BNP Paribas
|
| Issue: | Twin win notes
|
| Underlying indexes: | Russell 2000 and the S&P 500
|
| Amount: | $500,000
|
| Maturity: | April 30, 2018
|
| Coupon: | 6.75% annualized for each quarter that both indexes close above barrier level on valuation date for that quarter
|
| Price: | Par
|
| Payout at maturity: | If worse performing index gains, par plus 125% of return, capped at 15%; if worse performing index falls but never dips below barrier level, par plus absolute value of that return, capped at 35%; otherwise, fully exposure to losses of worse performing index.
|
| Initial index level: | 940.28 for Russell, 1,585.16 for S&P
|
| Barrier level: | 611.1820 for Russell, 1,030.3540 for S&P; 65% of initial level
|
| Pricing date: | April 25
|
| Settlement date: | April 30
|
| Agent: | BNP Paribas Securities Corp.
|
| Fees: | 2%
|
| Cusip: | 05574LHH4
|
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