Autocall Reverse

Description

A reverse autocall is a feature of a structured product which matures early if the underlying asset (basket or worst of) drops below the target predefined levels at the observation 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).

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.

Observation Dates Payouts

Coupon Threshold A coupon will be awarded if the performance of the underlying is lower than the coupon threshold.
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 at an observation date the coupon threshold condition 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 below 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

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 at the Last Observation Date is higher than the Protection Barrier then product return could be negative.
Final Threshold The final coupon will be paid if the underlying performance at maturity is lower than the provided level.
Final Coupon Represents the coupon to be awared at the final payment date when the underlying performance is lower than the final coupon threshold.