A Guide to Autocalls: 2024 Update
Maturity performance July 2004 - July 2024
Underlying
Most historically issued autocalls have utilised the FTSE 100 index only as the underlying. Of these, over 2000 of the capital at risk variety have now matured with 13 returning capital only and the rest returning gains. Higher risk plans utilising more than one underlying have typically offered higher coupons but the greater potential for loss, or just a return of capital with no gain, manifests more often. Deposit based autocalls have virtually no potential for loss but an increased potential to return capital only at maturity which has occurred in less than 15% of all historical maturities, albeit approximately 4% where the underlying was the FTSE 100 only.
Deposit maturities
FTSE 100 only
Dual Index Shares
Total maturities
166 159
4 3
31 10 21
With gain
Only capital
7 0
1
With loss
0
0
Average annualised
4.47% p.a./ 3.0 years
3.46% p.a./ 5.8 years
2.40% p.a./ 4. 6 years
return & duration
6.46% p.a./ 2.1 years 2.40% p.a./ 4.1 years
5.26% p.a./ 6 years 0.00% p.a./ 6 years
8.41% p.a./ 2 years 0.00% p.a./ 5.1 years
Top quartile
Bottom quartile
Underlying
Capital at risk maturities
FTSE only *
Dual index
Shares
Other
Total maturities
2005
896
102
163
With gain
1992
870
70
139
Only capital
13
12
14
17
With loss
0
14
18
7
Average annualised return & duration
7.62% p.a./ 2.2 years
8.33% p.a./ 2.5 years
7.18% p.a./ 3.3 years
7.29% p.a./ 3.0 years
10.11% p.a./ 1.8 years 5.62% p.a./ 2.7 years
11.44% p.a./ 1.7 years 5.15% p.a./ 3.4 years
18.85% p.a./ 1.2 years -11.08% p.a./ 5.9 years
12.52% p.a./ 2.2 years 0.73% p.a./ 4.7 years
Top quartile
Bottom quartile
*Including FTSE CSDI only. See Appendix A.
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