This is a recovery note and should be read as one. It was last priced at 25.70%, with a performance of -17.62% and no payout to date. The return on offer is the distance back to 100%; the risk is that the distance is never closed.
The three underlyings are Microsoft, Amazon and JP Morgan Chase, taken worst-of. All three are currently above their strikes — Amazon at 109.82%, JP Morgan at 108.15% and Microsoft at 106.23% — but the structure needs more than that: the worst of them must be above 125% of strike at the final fixing on June 20, 2028.
Key product details
- ISIN: XS3224310667
- Issuer: BNP Paribas (S&P: A+, Moody’s: Aa3, Fitch: A+)
- Underlyings: Microsoft (MSFT:UW), Amazon (AMZN:UW) and JP Morgan Chase (JPM:UN), worst-of
- Protection: 125%, European
- Initial fixing: December 19, 2025
- Final fixing: June 20, 2028
- Payment date / maturity: June 27, 2028
- Currency: USD
- Settlement: Cash
The three outcomes at maturity
- Worst performer above 125%: the note redeems at 100%.
- Worst performer below 125% but above 64%: the investor receives the issue price plus the performance of the worst performer.
- Worst performer below 64%: the note redeems at 0%.
Strike and current levels
- Amazon: strike 227.35 USD, current 249.67 USD (109.82%); protection barrier 159.14 USD
- JP Morgan Chase: strike 317.21 USD, current 343.06 USD (108.15%); protection barrier 222.05 USD
- Microsoft: strike 485.92 USD, current 516.17 USD (106.23%); protection barrier 340.14 USD
Who this suits
An investor who understands that the capital is fully at risk, wants concentrated exposure to a recovery in these three names, and is sizing the position accordingly. The factsheet shows a single scheduled observation, on June 20, 2028, with no coupon against it.
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