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 autocall date). If called, the holder will receive the note’s principal amount in addition to an above-market coupon. The autocall 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.

Autocallable 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.