Trade of the month: income-paying autocalls

Income-paying autocallables – or Phoenix structures – sit somewhere between a regular autocall and a reverse convertible. They are popular in Germany, Sweden, the UK and the US, helped by the inclusion of barriers above which income is paid

Tim Mortimer, Future Value Consultants

Income-paying autocalls are becoming increasingly popular in a range of markets, including Germany, Sweden, the UK and the US. Also known as phoenix structures, these investments sit somewhere between conventional autocalls and reverse convertibles.

Income-paying autocalls have a maturity with call dates defined during the product's lifetime. In addition, there are coupon dates that will generally occur on the call dates or on a more frequent or regular schedule. The coupons are paid provided