XS1577086603

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BNP Athena Certificate ACA ISP 12 - 16.06.2020

N° 5 of 237 Autocall in Italy |  Probability of 0% to outperform BTP learn more

Summary

This is a 3 year autocall paying in Euro issued by BNP Paribas linked to the performance of Credit Agricole SA and Intesa Sanpaolo SpA between 06/09/2017 and 06/09/2020. Although the latest maturity date is 06/09/2020, the product will be monitored at semiannual periods. The product will mature early if at any semiannual date, from period 1, the worst performing underlying is at or above 0% of its initial level (at the relevant date). In which case, the product will repay the initial investment plus a coupon of 12%, 24%, 36%, 48% and 60% (at the relevant date when the autocall is triggered). If the product runs to maturity, the product will repay the initial investment plus a coupon of 72% so long as the worst performing underlying is at or above 0%. If the European protection barrier of 60% has not been breached, the nominal value will be paid, otherwise the product will repay the initial investment less any negative worst performing underlying measured over the term of the product

Product Sheet

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 Basic Risk-Return


Forward Annualized and total return vs volatility and semideviation

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Risk-Return Map

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 Probabilistic Comparative Returns

Detailed comparison of this product performance with the market banchmark, a domestic bond with the same maturity of the product.


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 Early Redemption and Barriers

Find below the probability of early redemption on the next observation, the probability of losing the capital protection and the expected returns conditioned to these events.


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 Tail Risk

Here the expected return of the product conditional upon the occurence of extreme events whose probability of occurence is equal to 1% and 5%.


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This product have been mapped on /Italy/2017 and have been modelled using the template /Structured Products/Autocall



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