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Analysis: autocalls issuance and hedging

Tim Mortimer - Future Value Consultants (FVC), 16 May 2018

Autocalls remain popular in many structured products markets for a variety of reasons. Probably the most important of these is that their terms remain attractive in times of low interest rates and moderate volatility when neither reverse convertibles nor capital protected products offer stand out returns. In addition most auto-callables do not require any market growth (measured from the initial strike date) to provide their target returns.

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