In this analysis, we explore how close yield enhancement autocallable products came to breaching their knock-in barriers or crossed them following the market correction and rebound earlier this year as a result of the new tariffs introduced by the US administration.
Nvidia’s rally over the past two years made it a favourite stock among issuers of yield-enhancement structured products. Structures like reverse convertibles, autocallables and other yield enhancement notes linked to Nvidia usually feature soft capital protection via short put down-and-in options. There are currently 15,000 live products featuring a short down-and-in put on Nvidia at the time of writing. These products represent an initially subscribed notional of US$24.5 billion. Appro