Published on 10/10/2013 in the Prospect News Structured Products Daily.
New Issue: BNP Paribas prices $12.6 million 0% Athena notes linked to worst of Russell 2000, S&P 500
By Toni Weeks
San Luis Obispo, Calif., Oct. 10 - BNP Paribas priced $12.6 million of 0% Athena notes due April 8, 2015 linked to the worst performing of the Russell 2000 index and the S&P 500 index, according to a term sheet.
If each index closes at or above its initial level on either of two semiannual early redemption valuation dates, the notes will be automatically called at the applicable early redemption payment, which will be, per $1,000 principal amount of notes, $1,046 on April 3, 2014 or $1,092 on Oct. 3, 2014.
If the notes are not called and the worst-performing index finishes at or above its initial level, the payout at maturity will be $1,138 per $1,000 principal amount.
Investors will receive par if the worst-performing index falls by up to 20% and will lose 1.25% for each 1% decline in the worst-performing index beyond the 20% buffer.
BNPP Securities is the agent.
| Issuer: | BNP Paribas
|
| Issue: | Athena notes
|
| Underlying indexes: | Russell 2000 and S&P 500
|
| Amount: | $12.6 million
|
| Maturity: | April 8, 2015
|
| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If worst-performing index finishes at or above initial level, $1,138 per $1,000 of notes; par if worst-performing index falls by up to 20%; 1.25% loss for each 1% decline in the worst-performing index beyond 20%
|
| Call: | If each index closes at or above its initial level on either of two semiannual early redemption valuation dates, $1,046 per $1,000 principal amount on April 3, 2014 or $1,092 per $1,000 principal amount on Oct. 3, 2014
|
| Initial index levels: | 1,070.9 for Russell, 1,678.66 for S&P
|
| Pricing date: | Oct. 3
|
| Settlement date: | Oct. 8
|
| Agent: | BNPP Securities
|
| Fees: | None to 0.3%
|
| Cusip: | 05574LRE0
|
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