Basic Reverse Convertibles | Single Observation Reverse Convertibles | Autocallable Reverse Convertibles

Autocallable securities are a type of reverse convertible. Autocallable securities have one or more call dates on which the structured product must be called by the issuer at a pre-specified premium if the reference asset’s value has crossed a pre-specified “trigger.” The call dates tend to be contract anniversaries and the premiums to face value paid when the security is called increase with successive call dates.

If the product is not called, the payoff at maturity exposes the investor to the reference asset’s risk of capital loss without offering any exposure to the reference asset’s capital appreciation. Some autocallable reverse convertibles’ payoffs at maturity depend on the reference asset’s value on the note’s final valuation date, while others depend on the reference asset’s lowest value during the note’s term.

The maturity payoffs to some autocallable reverse convertibles are not reduced below the face value by the full percentage decline in the reference asset’s value. The size of this buffer can vary significantly.

Table 1 lists a few of the autocallable reverse convertibles which have been sold under different brand names by various brokerage firms.

Table 1:
Autocallable Reverse Convertibles
Brokerage FirmBrand Name
BarclaysAnnual AutoCallable Notes
BarclaysSemi-Annual AutoCallable Notes
BarclaysQuarterly AutoCallable Notes
BarclaysAutocallable Optimization Securities with Contingent Protection
JPMorganAutocallable Optimization Securities with Contingent Protection
UBSAutocallable Optimization Securities with Contingent Protection
Morgan StanleyAuto-Callable Securities
Tear Sheets
Phoenix Autocallable Optimization Securities with Contingent Protection linked to Amazon.com, Inc. due 00/00/0000

Phoenix Autocallable Optimization Securities with Contingent Protection linked to Goldcorp Inc. due 00/00/0000

Phoenix Autocallable Optimization Securities with Contingent Protection linked to Transocean, Ltd. due 00/00/0000

Phoenix Autocallable Optimization Securities with Contingent Protection linked to Ford Motor Co. due 00/00/0000

Phoenix Autocallable Optimization Securities with Contingent Protection linked to MetLife, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to the American depositary shares of Bar due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Ford Motor Company due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to the American depositary shares of Rio due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Silver Wheaton Corp. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to International Paper Company due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Adobe Systems, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Citigroup, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Halliburton Company due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Deere & Company due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Apple, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Deckers Outdoor Corporation due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to NVIDIA Corp. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to General Electric Company due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Prudential Financial, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Applied Materials, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Corning Incorporated due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to MetLife, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to MEMC Electronic Materials, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Micron Technology, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Anadarko Petroleum Corp. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Freeport-McMoRan Copper & Gold, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Hess Corp. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to Alpha Natural Resources, Inc. due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to The Dow Chemical Company due 00/00/0000

Trigger Phoenix Autocallable Optimization Securities linked to IAMGOLD Corporation due 00/00/0000

 

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