Trade of the month: Autocallables

The autocall or kickout structure has proven enduringly popular and versatile over a number of years in many markets. These products can contain a variety of features, but generally have a maximum maturity and a certain number of pre-determined dates on which, if the reference stock or index is above a threshold reference level at any of the autocall or kickout dates, the product is immediately terminated and a pre-determined amount paid. The most popular type of product pays a high annualise