FVC analysis: stress testing defensive autocalls

Step-down features compress yields but increase chances of early payout

In a step-down product, the autocall levels decrease over the investment's lifetime

Autocallables are by far the most popular structured product type in the UK retail market. But in an environment where markets are choppy, investors would do well to consider autocallables with defensive features. One such iteration is so-called step-down products, where the autocall levels – the levels the underlying needs to hit in order for the product to kick out early and yield a bonus for the investor – decrease during the lifetime of the product.

To analyse the impact step-down features h

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