This seventh article takes a detailed look at the lesser known risk measure Fugit, a Latin term rather than a Greek one, but closely linked to the standard Greek measures.
Fugit is used in the analysis of structured products that can terminate before their stated maturity (that is mentioned in the term-sheet). This aptly named “time is flying” metric captures the product’s expected remaining life and clearly deserves closer attention. The analysis will focus on the Eurostoxx 50 index as the underlying of an autocall barrier reverse convertible (AC BRC). The options’ parameters on 14 November 2025 are embedded in the AC BRC with: Source: