Autocalls offer high headline yields and regular income, but their multi-maturity structure, volatility skew and early expiration probabilities make pricing and risk management complex for investors and issuers alike.
The UK structured product market always has a large representation of autocall products, typically making up around 80% of issuances. Of these, many are income autocalls which pay coupons at regular intervals if the underlying(s) are above the required coupon barrier. These products also have autocall opportunities throughout their life at which point the products and associated income will stop. The presence of skew increases the probability of autocall events happening compared t