By Toni Weeks
San Luis Obispo, Calif., Oct. 10 - BNP Paribas priced $3.59 million of 0% dual directional notes due Jan. 9, 2015 linked to the S&P 500 index, according to a term sheet.
A knock-out event occurs if the index closes below the knock-out level, 79.7% of the initial level, on any day during the life of the notes.
If the final index level is greater than or equal to the initial level, the payout at maturity will be par plus the index return, subject to a maximum return of 12%.
If the index return is negative and a knock-out event has not occurred, the payout will be par plus the absolute value of the index return, up to a maximum return of 20.3%.
If the index return is negative and a knock-out event has occurred, investors will be fully exposed to the decline in the index.
BNPP Securities is the underwriter with JPMorgan chase Bank, NA and J.P. Morgan Securities LLC as placement agents.
| Issuer: | BNP Paribas
|
| Issue: | Dual directional notes
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| Underlying index: | S&P 500
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| Amount: | $3.59 million
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| Maturity: | Jan. 9, 2015
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| Coupon: | 0%
|
| Price: | Par
|
| Payout at maturity: | If index return is zero or positive, par plus index return, subject to return cap of 12%; if index return is negative and knock-out event has not occurred, par plus absolute value of index return, up to cap of 20.3%; if index return is negative and knock-out event has occurred, par plus index return, with full exposure to losses
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| Knock-out event: | Index closes below knock-out level on any day during life of notes
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| Initial level: | 1,690.5
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| Knock-out level: | 1,347.3285, 79.7% of initial level
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| Pricing date: | Oct. 4
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| Settlement date: | Oct. 9
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| Underwriter: | BNPP Securities
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| Agents: | JPMorgan chase Bank, NA and J.P. Morgan Securities LLC
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| Fees: | 1.1%
|
| Cusip: | 05574LRA8
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