Step-Up Autocallable Recovery Note

Underlying asset outlook

• Apple Inc.: Consistent innovation pipeline and robust financials with potential for 30%+ gains
• Alphabet (Class A): Strong earnings momentum, AI-driven growth initiatives, analyst targets near $215
• JPMorgan Chase: Solid fundamentals with projected 40%+ upside through end-2026

Key product details

• Structure: Enhanced Step-Up Autocallable with monthly observations
• Maturity: August 5, 2030 (5 years)
• Issue Price: 55.00% of notional
• Autocall Trigger: 108% of initial levels (8% gain required)
• Enhanced Step-Up: 0.8% monthly increase (vs. 0.7% in previous series)
• First Observation: 9 months from issue (May 2026)
• Issuer/Guarantor: BNP Paribas (S&P: A+, Moody: A1, Fitch: A+)

Enhanced return structure

This series offers accelerated returns with higher monthly step-ups:

• Year 1 Autocall: 16.36% return (if triggered in May 2026)
• Progressive Enhancement: 0.8% monthly increase in returns
• Maximum Return: 81.82% (capped at 100% of notional)
• Peak Performance: Reaches maximum return by February 2030

Current market positioning

• AAPL: initial price $202.92, autocall target $219.15, required gain 8.00%
• GOOGL: initial price $194.67, autocall target $210.24, required gain 8.00%
• JPM: initial price $291.37, autocall target $314.68, required gain 8.00%

Historical performance analysis

Based on simulation of over 1,300 data points from the past decade, there is a 100% probability that the Note will autocall within 2 years and 7 months, delivering approximately 48% gains. The enhanced step-up structure provides superior returns compared to our previous series while maintaining the same low autocall threshold.

Investment rationale

This enhanced Note is designed for investors seeking defined, double-digit gains with high probability of early redemption and improved return potential. The 8% autocall trigger remains accessible for three quality names, while the enhanced 0.8% monthly step-up provides superior compensation for extended holding periods.

Risk consideration

Returns depend on the worst-performing stock among the three underlyings. At maturity, if the worst performer is below initial levels, capital recovery follows the formula: 55% – |worst performance|.