Trade of the month: Autocallables
Autocallables remain popular in just about every structured product market in the world. With interest rates stuck at historically low levels, principal-protected products continue to look unattractive. Yet, because volatility levels are moderate compared to their historical highs, reverse convertibles and other traditional short-volatility structures do not look exceptional either. It should be remembered that for any product type, the pick-up in yield or other advantages must be in excess of
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