Let's say that I'm issuing an Autocallable Note with the following features:
Underlying: FTSE 100
Autocall Observation Frequency: Annual Observation
Autocall Level: 100% of Initial Level of FTSE 100 (The Note autocalls if FTSE 100 goes above Autocall Level at Observation Dates)
Annual Coupon: 10% (Coupon only pays out when the Note is autocalled. Coupon accumulates to next year if the note is not autocalled)
Maturity: 6 years
Knock-In Barrier: 60% of Initial Level of FTSE 100 (KI only observed at maturity. If the Note is neither Autocalled nor Knocked-In at maturity, investor get 100% money back)
With the above Autocall Note, is the Issuer long or short vega? Please explain.
Is the issuer long or short interest rates? Or is it more complicated when it comes to interest rate risks of an Autocall Note?
Also, what other risks are there for the issuer?