Almost 70% of all autocalls linked to a benchmark index currently sit above their knockout barrier.
The bear rally in recent weeks made a ripple of early redemptions among structured products. Consequently, many underlyings' current levels rose above the autocall barrier as the Eurostoxx 50 increased by 20% compared to this year’s low – which was set at 29 September when the index closed at 3,279 basis points – with hopes of slowing interest rates hikes.
The chart is based on a sample of 1,800 live index-linked autocall products, which represent 55% of all outstanding equity index-linked structured products on the SRP France database. It looks forward to their future autocall observations throughout 2023.
Products are represented by the dots in terms of their autocall observation date(s) and based on the product’s distance from their autocall barrier (as of 23 November 2022). Each product is featured in the chart as often as it has observations over the year, for example a product with monthly observation is shown 12 times – once each month.
Products above the line would be redeemed early on the respective date, as long as markets stayed or rose above their current level.
Green dots represent products linked to benchmarks (Eurostoxx 50) and sector benchmarks (Eurostoxx Banks). Grey dots represent products linked to the most used synthetic dividend indexes such as the SBF Top 50 ESG EW Decrement 50 Points and S&P Euro 50 Equal Weight 50 Point Decrement Index. Products linked to single-stock indexes and decrement funds are not included in the chart.
Nearly 70% of the autocalls linked to a classic index currently sit above the autocall barrier (the average distance for the sub-group is 5% above the autocall barrier).
Around 35% of the autocalls linked to a decrement index sit above the autocall barrier (the average distance for the sub-group is 1.2% below the autocall barrier). The median distance from the barrier is +3.8% and -4%, for the benchmark and the decrement-linked, respectively.
Some 12% of the products feature a step-down autocall barrier which will move them closer to the barrier with each observation date (as is visible from the chart).
Half of the products in the sample have quarterly, monthly, or daily autocall observations.
The average age of the products in the sample is 1.5-year; 30% of the products have been live for two years or more.