New Issue: BNP Paribas sells $1.67 million digital certificate plus notes tied to S&P, Russell

By Marisa Wong

Madison, Wis., April 30 - BNP Paribas, NY Branch priced $1.67 million of 0% digital certificate plus notes due April 30, 2015 linked to the worst of the Russell 2000 index and the S&P 500 index, according to a term sheet.

A knock-out event occurs if either index closes below its knock-out level, 75% of the initial level, on any day during the life of the notes.

If a knock-out event has not occurred, the payout at maturity will be par plus the greater of the return of the worst performing index and the contingent minimum return of 16.5%.

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

BNP Paribas is the agent.

Issuer:	BNP Paribas, NY Branch
Issue:	Digital certificate plus notes
Underlying indexes:	Russell 2000 and S&P 500
Amount:	$1,665,000
Maturity:	April 30, 2015
Coupon:	0%
Price:	Par of $1,000
Payout at maturity:	If knock-out event has not occurred, par plus greater of return of worst performing index and 16.5%; otherwise, par plus return of worst performing index with full exposure to losses
Knock-out event:	Either index closes below knock-out level on any day during life of notes
Initial levels:	940.28 for Russell, 1,585.16 for S&P
Knock-out levels:	705.21 for Russell, 1,188.87 for S&P; 75% of initial levels
Pricing date:	April 25
Settlement date:	April 30
Agent:	BNP Paribas
Fees:	1.5%
Cusip:	05574LHK7

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