Autocall

Description

An autocallable (also known as a kickout, target return or express certificate) is a feature of a structured product that matures early if one or more underlying assets reaches target levels at predefined dates. Typically, if an autocallable event is triggered, investors will receive capital as well as a predefined coupon based on the performance of the underlying asset(s). An investment with an autocallable feature, which matures early and automatically if a set of predefined market conditions are met, should not be confused with a callable feature, which can mature at the issuer's discretion. This template also models Express Certificates and Cash Collect Autocallable Certificates

Customizables Attributes

Contract Terms

First Observation (Strike Date) The first date at which the underlying is observed.
Last Observation The last observation date at which the underlying is observed. Product maturity is set a number of days following this date as specified by Days To Payout.
Frequency Autocall and Coupon frequency.
Payments Start From Period Earliest period at which the contract can pay out coupons or mature early.
Days to payout Number of working days to the payment date from an Observation Date.
Issuer The name of entity issuing the security.
Issue Price Price at which the contract is issued at Issue Date.
Payout Currency The currency in which the contract pays.
Underlying Basket of indices or equities whose performance enters in the product's payout.
Autocall Type Defines the category for the contract and headline features.
Custom Strike Levels Enter here the underlying fixing levels if different from underlying market close prices at strike date. Leave this field empty to use the closing market prices at the strike date,

Observation Dates Payouts

Coupon Threshold The threshold by which the performance of the underlying must equal or exceed in order for the Coupon to be awarded.
Coupon The coupon to be paid at a payment date provided the performance of the underlying for the corresponding Observation Date satisfies the Coupon Threshold condition and the product is not called.
Coupon Memory Regulates conditional coupon amount: If on an Observation Date the Coupon Threshold is satisfied then the coupon amount due is increased by the sum of any previous coupons not paid due to the relevant Coupon Threshold criterion not being satisfied at the time.
Autocall Threshold The threshold by which the performance of the underlying must equal or exceed in order for an early redemption (maturity) event to occur.
Autocall Coupon The coupon to be paid at a payment date provided the performance of the underlying for the corresponding Observation Date satisfied the Autocall Threshold.
Accumulate Autocall Coupon If set to false, a custom autocall coupon can be entered, If set to true, the autocall coupon is calculated by multiplying the coupon for the observation period index.

Final Payout

Minimum Repayment If greater than zero, the 'Minimum Repayment' is the minimum quantity paid by the contract when the capital is not protected.
Protection Type Defines how the Protection Barrier is calculated: If set to 'European', the protection barrier condition is tested only at maturity, if set 'American' it is tested at every date between the Strike Date and the Last Observation Date. 'NoBarrer' excludes the capital protection.
ProtectionBarrier Defines the threshold for the protection barrier (if applicable): If the contract has not matured early and the performance of the underlying calculated for the Last Observation Date is lower than the Protection Barrier then the redemption amount will be exposed to the negative performance in the underlying.
Final Payout Type Determines how the final payout behave when the final coupon threshold is triggered. If set to 'Coupon' the a final fixed coupon will be payed, otherwise, if set to 'Floating' the underlying level will be paid up to a cap.
Final Threshold The final coupon (or the partecipation to the underlying performance) will be paid if the underlying performance at maturity is greater than the provided level.
Final Coupon / Performance Cap If Final Payout Type is set to 'Coupon' this number represents the Coupon to be awared at the final payment date if the underlying performance is greater than the Final Coupon Threshold. If Final Payout Type is set the 'Float', it represents the cap to the underlying performance.
Up Participation If the payout type is 'Floating', it represents the partecipation to the underyling performance at maturity.
Airbag Reduces impact of negative performances when the underlying level is under the protection barrier.