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

By Toni Weeks

San Luis Obispo, Calif., March 7 - BNP Paribas plans to price 0% capped twin win notes due March 30, 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 13% to 17%.

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 March 25 and settle March 28.

BNPP Securities is the agent.

The Cusip number is 05574LGL6.

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