FVC analysis: stress testing worst-of autocalls

Dual- or triple-index products offer higher potential gains but carry increased risk

winners medals
Worst-of products link returns to the poorest performer of two or more underlyings

One of the reasons autocallable structured products have achieved such enduring popularity with investors is the variety of underlyings the structure can incorporate within a relatively straightforward payout mechanism. One of the most popular flavours of autocalls for investors looking to juice yields in a low-rate environment is so-called worst-of products, where returns are linked to the worst performer of two or more underlyings – most commonly two indexes.

To analyse the effect this

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