Phoenix autocall
Definition · Level 12 · Exotics & structured
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Autocall that pays a coupon on each observation date where the underlying is above a coupon barrier set below the autocall barrier, so coupons can be paid while the note stays alive.
Example
Coupon barrier 70%, autocall barrier 100%: at 85% the note pays its coupon and runs on.
Where Tradecraft teaches it
Level 12 · Exotics & structured, in the lesson “Autocallable notes”: A note that ends early in good years: observation dates, barriers, memory coupons, and who is long what.
Related terms
- Autocall barrierThe level, usually 100% of the starting level, at or above which the note is called on an observation date.
- AutocallableNote that repays early, at par plus a coupon, if the underlying is at or above the autocall barrier on an observation date.
- Dividend futuresExchange-traded contracts on the dividends an index pays in a given calendar year.
- Memory couponFeature where missed conditional coupons are paid later if the underlying is back above the coupon barrier on a future observation date.
- Observation dateA date on which the note’s conditions are checked: is the index at or above the autocall barrier?
- Protection barrierLevel (e.g. 60% of the start) at or above which an autocall that was never called repays full capital; below it the investor loses one-for-one from…