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Published bySamson Greene Modified over 9 years ago
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Autocallables in Context of Market Conditions end Q1 2011
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(1)Recap from previous Autocall piece (2)Do Autocalls look attractive? Rates Vols Secondary Market (3)Long-term Autocall trends (4)Summary of Autocall structures traded
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(1) Recap from previous Autocall piece Pricing of autocalls should be taken in context of rates Expected life of most autocalls – take prevailing 2-Year Swap Rate Sensitivity of Coupon to rates Volatility – Are VIX and 12M implied Vol relevant measures to Autocalls? Yields of Other Asset Classes and Macro Correlations
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(2) Do Autocalls look attractive? Volumes of Autocalls Performance: Absolute and Relative Absolute Return Funds Investor mark-to-market experience Two broad investor types: - around 8% and low autocall barriers - those looking for 10% plus
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(2)...Rates Recap from last Autocall analysis excellent absolute and relative performance
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(2)...Volatility Recap from last Autocall analysis excellent absolute and relative performance
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(2)...Secondary Market Recap from last Autocall analysis excellent absolute and relative performance
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(3) Long-term Autocall trends Recap from last Autocall analysis excellent absolute and relative performance
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(4) Summary of Autocall structures traded Recap from last Autocall analysis excellent absolute and relative performance
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