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Income autocalls

What is an income autocall?

An income autocall is a type of structured investment whose pay-out is contingent on the performance of an underlying asset. Income autocalls are market-linked investments offering an above-market coupon if automatically matured prior to the scheduled maturity date. The product is automatically matured (‘auto-called’) if the reference asset is at or above its initial level on a predetermined observation date.

How does it work?

Example of a payoff:

  • Potential return: 3% semi-annual income
  • Semi-annual income barriers: 70% of initial level, annual autocall barriers: 100% of initial level
  • At maturity - conditional capital protection barrier: 65% of initial level
  • The maximum term of the autocall is 6 years
  • The investment cost the investor 100p on day 1

Commonly asked questions

Structured products risk information

Credit risk

The holder of the investments will be exposed to the credit risk of the issuer. A decline in the issuers credit quality is likely to reduce the market value of the product and therefore the price an investor may receive for the product if they sell it in the market.

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Market risk

Capital repayment depends on the performance of the underlying; the future performance of which cannot be guaranteed.

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Liquidity risk

The investments will not be traded on an organised exchange. The issuer will use reasonable efforts to quote prices in all market conditions.

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Exit risk

The secondary market price of the investments will depend on many factors including, but not limited to, the value and volatility of the underlying index, interest rates, dividend rates, time remaining to maturity and the creditworthiness of the Issuer. Prior to maturity, the price may be less than the amount the holder would have received on maturity of the investment.

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Tax risk

The tax treatment of structured products can be complex and tax rates and regulations may change during the term of this investment. Guidance is given here, but if in any doubt investors should seek their own professional tax advice.

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Time horizon

Whilst an investor might be happy with the capital erosion prospects at maturity, the reference index/indices may fall throughout the life of the security and the security might fall by more than you would expect.

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