A structured note (a short-term market-linked product) that offers an above-market coupon if automatically called prior to the scheduled maturity date. The note is automatically matured (“autocalled”) if the reference asset is at or above its initial level on a predetermined observation date (also known as an auto-call date). If called, the holder will receive the note’s principal amount in addition to an above-market coupon. The auto-call possibility is checked on a schedule of preset observation dates (quarterly, semiannually, yearly). The note’s underlying reference asset can be an equity (single stock), an equity index, a commodity, a commodity index, or a foreign currency.

Auto-callable notes belong to the broader class of autocallable products which provide contingent downside protection (protection against downside barrier risk) along with enhanced yield (a coupon higher than that of a fixed income bond with a similar credit quality and maturity.