BNP Paribas plans twin win notes due 2015 linked to Russell, S&P 500

By Susanna Moon

Chicago, Jan. 9 - BNP Paribas plans to price 0% capped twin win notes due Feb. 2, 2015 linked to the Russell 2000 index and the S&P 500 index, according to a term sheet.

A knock-out event will occur if either index closes below the 65% knock-out level on any day during the life of the notes.

If the worst performing index finishes above the initial level, the payout at maturity will be par plus 125% of the gain up to a maximum return of 23% to 27%.

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 maximum return of 35%.

Otherwise, the payout will be par plus the return of the worst performing index.

The exact terms will be set at pricing.

The notes will price on Jan. 28 and settle on Jan. 31.

BNPP Securities is the agent. The distributor is Advisors Asset Management, Inc.

The Cusip number is 05574LEC8.

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