Concepts
Autocallable notes
The payoff, the parameters and the eight standing templates.
Definition
An autocallable barrier note pays a fixed coupon on scheduled dates while the underlying stays at or above a barrier, ends early when the underlying closes at or above an autocall level, and at maturity either returns cash or, below the barrier, delivers the underlying at its starting price.
Parameters
| Parameter | Meaning |
|---|---|
| S0 | Official close at strike (close #1) |
| Autocall level | Percent of S0; a close at or above it ends the note early |
| Barrier | Percent of S0; decides coupons and the maturity outcome |
| Coupon | Percent of notional per observation, discovered at strike |
| Observations | Closes #2 to #13, one per week |
| Notional cap | The largest matched size a series accepts |
Standing templates
| Underlying | Autocall | Barrier | Coupon band / wk | Backstop min |
|---|---|---|---|---|
| AAPL | 105% | 85% | 0.10 to 0.55% | 0.25% |
| MSFT | 105% | 85% | 0.10 to 0.70% | 0.35% |
| AMZN | 105% | 82% | 0.20 to 0.90% | 0.40% |
| NVDA | 105% | 78% | 0.15 to 1.30% | 0.45% |
| META | 105% | 80% | 0.25 to 1.00% | 0.45% |
| TSLA | 110% | 72% | 0.30 to 1.45% | 0.55% |
| COIN | 110% | 62% | 0.40 to 1.60% | 0.70% |
| GOOGL | 105% | 84% | 0.12 to 0.75% | 0.30% |
SeriesPolicy opens one series per template on every US trading day. These are design parameters until launch.
CARRY payoff at maturity
- Final close at or above the barrier: principal back in USDG, plus every coupon earned.
- Final close below the barrier: notional ÷ S0 Stock Tokens, plus every coupon earned.
GUARD payoff at maturity
- Final close at or above the barrier: the stock back, plus any unused prefund.
- Final close below the barrier: the stock goes to CARRY at S0 and GUARD receives the notional in USDG, which is the value of a put struck at S0.
Why the coupon is high
The coupon is the price of that put. CARRY is selling downside protection, and volatile stocks with deep barriers cost more to protect, so their bands sit higher.
Comparison with adjacent products
| Product | Collateral | Liquidation | Counterparty |
|---|---|---|---|
| Bank autocallable | Issuer balance sheet | No | The bank |
| Covered call vault | Underlying | No | Option buyers |
| Lending market | Overcollateralised | Yes | Pool |
| Get Berrier note | Fully escrowed both sides | No | The other leg, in escrow |