New Issue: BNP Paribas prices $490,000 autocallable certi plus notes linked to S&P, Russell

By Marisa Wong

Madison, Wis., Feb. 1 - BNP Paribas, NY Branch priced $490,000 of 0% autocallable certi plus notes due Jan. 29, 2016 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 July 28, 2014, the notes will be called at $1,140 for each $1,000 principal amount.

If the worst performing index finishes above the 60% barrier level, the payout at maturity will be par plus double any gain of the worst performing index, with a minimum payout of par.

Otherwise, the payout will be par plus the return of the worst performing index with full exposure to losses.

BNPP Securities is the agent.

Issuer:	BNP Paribas, NY Branch
Issue:	Autocallable certi plus notes
Underlying indexes:	Russell 2000 index and S&P 500 index
Amount:	$490,000
Maturity:	Jan. 29, 2016
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	If worst performing index finishes above 60% barrier level, par plus double any gain of worst performing index, with a minimum payout of par; otherwise, par plus return of worst performing index with full exposure to losses
Call:	At $1,140 per note if each index closes above initial level on July 28, 2014
Initial levels:	906.71 for Russell, 1,500.18 for S&P
Barrier levels:	544.026 for Russell, 900.108 for S&P, 60% of initial levels
Pricing date:	Jan. 28
Settlement date:	Jan. 31
Agent:	BNPP Securities
Fees:	Up to 1.75% to 2.5%
Cusip:	05574LED6

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