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).
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 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.