Analysis of Autocallable Notes Who reap the benefits? The issuer, facilitator, distributor, or the investor?

Sie, Andreas Garborg; Helmersen, Jonas Blom
Master thesis
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URI
https://hdl.handle.net/11250/2983218
Date
2021
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Abstract
Autocallable structured products are complex instruments incorporating features and

conditions that make them difficult to assess for potential investors. Despite this, they

have become one of the most popular structured products in Norway. A potential reason

is that many investors believe that these notes offer a high fixed coupon combined with

limited risk. Finance experts do not share this belief suggesting that investors of these

products are either ignorant or idiots.

In this thesis we analyse two autocallable notes offered in the Norwegian market. Our

analysis suggest that investors pay price premiums of ca. 50% relative to the present

value of the notes. The products have a high probability of negative and strong negative

returns. In addition, the sales documents of these products appear biased. Based on this,

it seems like the benefits of these notes are not reaped by the investor, but by the issuer,

facilitator, and distributor.