Hi, have anyone seen the term sheet of athena product sold by BNP?I feel confused about the option payoff at maturity, but I only see the brochure...Can anyone upload the term sheet or describe it in this forum?THANKS A LOT!

For further information see the brochure at: BnpParibas page 9. I am not related to BNP in any way, and the following is my personal analysis of the information presented by BNP.ok..The explanation in the brochure is very confusing since the graph in Pessimistic scenario shows the Eurostoxx end just above 50, while the example indicate that the closing level is really 60. Use 60 and the math works out fine.The upside:1) You get no linear equity exposure2) You get high coupon for every year the underlying finishes off at initial spt level or higher3) You get no coupon for year end where stock finishes lower than initial spot levelThe downside:1) You are short an OTM put with a specific strike called a "barrier"2) This doesn't look like a barrier to me in the sense of kick-in since the barrier is the same as strike3) The issuer can redeem the note at par at every interest date, so if interest rates fall and/or equity market rises you lose your potential future gains, but retain accrued coupons.Construction is complicated but you are a) short "yield" to maturity (lond fixed rate bond)b) Long ratchet annual binary calls on the underlyingc) Short OTM put with "barrier as a striked) ...and then short a call on all of the aboveMy intution says you are short volatility with a very complex vega structure. The callability does effect the pricing quite alot. You are short so many things (vega convexity and yield/stockprice correlation), enough to make it non-attractive at current vol levels in my opinion.Interesting product however and might be attractive under some scenarios, given efficient pricing.Best regards,Z

Quote3) The issuer can redeem the note at par at every interest date, so if interest rates fall and/or equity market rises you lose your potential future gains, but retain accrued coupons.why u say at par if Mkt goes up? (i think u get the exit coupon)QuoteConstruction is complicated but you are a) short "yield" to maturity (lond fixed rate bond)b) Long ratchet annual binary calls on the underlying I think it's more long 1 binary call (payout=coupon*1) of maturity First Reset Datelong 1 binary call (payour=coup*2) of maturity Second Reset Date, and so on. Right?Quoted) ...and then short a call on all of the above sorry, but I cannot see where the short call enters here (even worse if I try to understand "on all of the above"...) ?Thks for your help.

pls can someone help?