Lowes Autocall Review 2022 Update

Autocall Shape Variations

Capital-at-risk FTSE linked autocalls can be subdivided into four main shapes: 1. At-the-money autocalls. Designed to mature on the first potential maturity date that the FTSE 100 Index is at, or above the strike level, this typically being the level recorded at commencement of the term.

3. Defensive autocalls. The opposite to hurdle contracts in that the maturity trigger is set at a level below the strike level. 4. Step-down autocalls. The maturity trigger for the first potential maturity date is set at a level which could be the same, or higher than the strike level, but if maturity does not occur then the maturity trigger reduces on subsequent anniversaries, albeit not necessarily on the next.

2. Hurdle autocalls. As with at-the-money contracts, but rather than the maturity trigger being the same as the strike level, it is at a higher level, requiring the index to grow in order to trigger a positive maturity.

Of these four shapes, the most common has been the at-the-money autocalls, accounting for 53.15% of all FTSE 100 linked capital-at-risk maturities, followed by the step down (32.85%), defensive (10.02%) and hurdle contracts (3.98%).

Prevalence of different shapes of FTSE 100 linked, capital-at-risk autocalls 2003 – 2021

At the money

Step Down

Defensive

Hurdle

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