Dividends & Factors Single Factor Momentum

S&P U.S. Equity Momentum 40% VT Autocall Index

Description

The S&P U.S. Equity Momentum 40% VT Autocall Index tracks the performance of a portfolio of autocalls on the S&P U.S. Equity Momentum 40% VT 4% Decrement Index. Autocalls are initiated weekly on Fridays, with call and coupon dates set in four-week increments from the initiation date. Each autocall has a five-year tenor, a 100% call threshold, a 60% coupon and principal barrier, a one-year no-call period, and a 2.5% over hedge parameter. These autocalls represent exotic payoffs on the underlying index valued using a Monte Carlo valuation approach.

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Methodology
S&P U.S. Equity Momentum 40% VT 4% Decrement Autocall Index Methodology

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