An absolute return autocall (also known as twin win) is a feature of a structured product which give, at any review date, the possibility of early redemption conditioned the underlying is above to the auto call threshold. In this case the nominal amount plus a coupon will be paid. At maturity, if the product has not been called, if the underlying returns are positive, the underlying returns subject to a maximum upside return is paid. Otherwise, if the underlying is greater or equal to the absolute return threshold the absolute value of the underlying returns is paid. The template will also allow to specify additional contingent coupons payable at any review date and the possibility of shaping the final payoff by specifying the participation to the underlying performance
Autocall Absolute Return - Twin Win
Observation Dates Payouts
|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.
|Protection Barrier||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.
|Upside Participation||Partecipation on returns when the underlying performance at maturity is positive.
|Downside Participation||Partecipation on returns when the underlying performance at maturity is negative.
|Has Cap||Enable or disable cap on underlying return.
|Cap Level||Cap for the performance of the underlying. Used if 'Has Cap' is set to 'True'.