New Issue: BNP Paribas prices $379,000 twin win notes linked to S&P 500

By Angela McDaniels

Tacoma, Wash., March 7 - BNP Paribas, New York Branch priced $379,000 of 0% twin win notes due Feb. 11, 2016 linked to the S&P 500 index, according to a term sheet.

A knock-out event will occur if the index closes below the 80% knock-in level on any day during the life of the notes.

If the index finishes at or above the initial level, the payout at maturity will be par plus 150% of the gain, capped at a maximum return of 45%.

If the index falls but a knock-out event has not occurred, the payout will be par plus the absolute value of the index return, subject to a maximum return of 20%.

If the index return is negative and a knock-out event has occurred, investors will be fully exposed to the decline.

BNP Paribas Securities is the agent.

Issuer:	BNP Paribas, New York Branch
Issue:	Twin win notes
Underlying index: S&P 500
Amount:	$379,000
Maturity:	Feb. 11, 2016
Coupon:	0%
Price:	Par
Payout at maturity:	If index finishes at or above initial level, par plus 150% of gain, capped at 45%; if index falls but knock-out event has not occurred, par plus absolute value of index return, capped at 20%; if index return is negative and knock-out event has occurred, full exposure to decline
Knock-out event:	Index closes below knock-in level on any day during life of notes
Initial index level: 1,512.12
Knock-out level:	1,209.696, 80% of initial level
Pricing date:	Feb. 6
Settlement date:	Feb. 11
Agent:	BNP Paribas Securities
Fees:	3%
Cusip:	05574LFM5

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