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Top 100 WORST Performing Auto Callable Notes and Related Losses
Auto-callable structured products have become a widespread but risky investment strategy. In the past four years alone, $122 billion worth of these structured products have been sold by major issuers like UBS, Goldman Sachs, JP Morgan, Citigroup, and Morgan Stanley. However, hidden within these products is a growing billion-dollar problem—massive investor losses due to flawed structuring, poor disclosure, and unpredictable market movements.
Our securities and investment fraud lawyers at Israels & Neuman, PLC have handled many different cases involving structured products and can quickly determine if you are eligible to bring an arbitration case to try to recoup your losses.
We recently read a fantastic 5-part article series on autocallable structured products, written by Craig McCann and Mike Yan of SLCG. Dr. McCann is an expert witness and has a deep level of understanding of complex investment products.
The fifth part of the original article can be found here, but we summarized it for you below.
This post is based on extensive research by Dr. Craig McCann of SLCG Economic Consulting and identifies the top 100 auto-callable notes with the largest principal losses—a combined $1.01 billion in investor losses, or 55.1% of their total face value.
Why Auto-Callable Notes Are Failing Investors
Auto-callable notes are marketed as high-yield investments that pay periodic interest, with the potential for early redemption (auto-call) if certain market conditions are met. However, these products often contain hidden risks:
- If the underlying asset never reaches the call threshold, investors are stuck holding the note until maturity.
- If the stock price drops significantly, investors can suffer massive principal losses.
- Worst-of-basket notes expose investors to the weakest performing stock in a group, making losses even more severe.
The Worst Auto-Callable Losses: A Breakdown by Issuer
Dr. McCann’s analysis reveals that five major issuers each had over $100 million in losses from these structured products:
- Goldman Sachs: $234 million in losses
- JP Morgan, UBS, Morgan Stanley, and Credit Suisse: Each suffered over $100 million in losses from their structured notes.
Interestingly, UBS, Credit Suisse, and Bank of Montreal—firms previously identified for inflating their estimated Day-1 values—experienced the highest percentage of investor losses, averaging 62.6% principal loss per note, compared to 53.4% for all other issuers.
Largest Single Loss: JP Morgan’s ViacomCBS Note
The single largest loss came from a JP Morgan auto-callable note linked to ViacomCBS (CUSIP: 46652Y752) issued on June 11, 2021:
- Face Value: $38.4 million
- Final Payout: Just $2.607 per $10 face value, a 73.93% loss.
- Why? ViacomCBS never hit its call price, and its final price at maturity was only 26.07% of its original value.
Full List of the Top 100 Largest Auto-Callable Losses
Below is a list of each of the worst-performing auto-callable notes, including issuer, filing date, underlying stock(s), and CUSIP numbers.
(Principal Loss, % Loss, Issuer, Filing Date, Underlying Linked CUSIP)
-$28,396,499 -73.93% JP Morgan 6/15/2021 PARA ‘46652Y752
-$24,140,943 -81.43% Goldman Sachs 6/22/2021 DOCU ‘36260Y575
-$22,221,819 -71.96% Barclays 12/1/2020 BABA ‘06747L793
-$21,537,488 -51.62% Goldman Sachs 11/30/2021 AFRM ‘36261U879
-$20,617,694 -62.70% Goldman Sachs 6/15/2021 BABA ‘36260Y443
-$19,844,255 -77.57% UBS 7/2/2021 PARA ‘90279B191
-$19,422,700 -81.54% Goldman Sachs 6/29/2021 DOCU ‘36260Y724
-$18,947,751 -67.35% HSBC 10/5/2021 AFRM ‘40439K151
-$16,053,330 -85.97% UBS 11/2/2021 RNG ‘90285B763
-$15,992,339 -79.02% UBS 7/20/2021 PYPL ‘90279B381
-$14,093,685 -37.60% HSBC 3/29/2021 ICLN ‘40438U697
-$13,270,650 -66.35% HSBC 11/19/2020 BABA, JD ‘40438CD73
-$13,215,232 -54.34% UBS 7/13/2021 RBLX ‘90279B357
-$12,918,713 -86.48% Goldman Sachs 10/26/2021 RNG ‘36261U507
-$12,911,046 -84.05% JP Morgan 11/1/2021 SQ ‘48132YFZ3
-$12,839,423 -85.46% Morgan Stanley 10/6/2020 ZM ‘61771D514
-$12,612,423 -63.06% Credit Suisse 1/29/2021 NIO ‘22550MPT0
-$11,823,669 -76.77% UBS 8/3/2021 PYPL, SQ ‘90279B555
-$11,769,914 -77.18% JP Morgan 3/17/2021 ICLN, PBW ‘48132TCL8
-$11,359,425 -68.55% JP Morgan 2/25/2021 ARKK ‘48132RC40
-$11,248,711 -47.55% Citigroup 11/1/2021 KBE, XBI, XLK ‘17329ULH2
-$11,093,302 -52.54% Credit Suisse 11/19/2019 BA ‘22550K624
-$11,048,618 -82.45% HSBC 8/24/2021 ZM ‘40439K425
-$11,022,527 -85.09% Credit Suisse 10/2/2020 ZM ‘22550X626
-$10,949,166 -82.19% JP Morgan 11/1/2021 TWLO ‘48132YGB5
-$10,694,301 -42.85% Credit Suisse 1/26/2021 KRE, XBI, XLK ‘22552X4W0
-$10,644,258 -85.15% Credit Suisse 11/30/2021 PTON ‘22553P6P9
-$10,435,578 -50.78% HSBC 1/30/2018 SX7E ‘40435J422
-$10,364,077 -70.43% Morgan Stanley 4/30/2021 PARA ‘61771VWX4
-$10,343,102 -31.70% Goldman Sachs 6/11/2021 SPY, XBI ‘36260Y468
-$9,935,676 -82.32% Morgan Stanley 10/19/2021 MRNA ‘61773G150
-$9,836,092 -80.32% B of A 4/20/2021 CHWY ‘09709UGK8
-$9,666,266 -42.85% Citigroup 1/26/2021 SMH, XBI, XLK ‘17328YGJ7
-$9,588,922 -72.33% Citigroup 11/1/2021 OKTA ‘17329UL82
-$9,580,844 -51.37% RBC 5/25/2021 WYNN ‘78014U129
-$9,358,229 -46.79% Barclays 10/14/2020 BABA ‘06741WLG3
-$9,321,135 -80.32% JP Morgan 4/20/2021 CHWY ‘48132TVJ2
-$9,131,504 -35.81% Goldman Sachs 4/19/2021 SPSIBI ‘40057FZT4
-$9,031,422 -72.71% Barclays 11/3/2020 BABA ‘06747K274
-$8,935,811 -27.89% BMO 11/1/2021 RTY ‘06368G2T3
-$8,723,852 -40.95% Morgan Stanley 11/1/2021 INDU, KRE, NDX ‘61773F7E7
-$8,689,960 -43.45% Citigroup 11/3/2021 TSLA ‘17329T450
-$8,531,140 -39.52% Morgan Stanley 4/27/2021 KRE, XBI, XLK ‘61771VUW8
-$8,521,133 -33.60% B of A 7/26/2021 KRE, XBI, XLK ‘09709UNL8
-$8,500,203 -68.55% Morgan Stanley 2/25/2021 ARKK ‘61771EM54
-$8,440,029 -44.49% B of A 3/2/2021 KRE, XBIXLK ‘09709UCX4
-$8,408,409 -89.03% Citigroup 7/28/2021 AAPL, ROKU ‘17328NYR3
-$8,391,110 -63.08% JP Morgan 11/1/2021 RBLX ‘48132YGA7
-$8,248,095 -60.61% JP Morgan 12/27/2021 ARKK, INDU, SPX ‘48132Y3D5
-$8,238,556 -40.95% Morgan Stanley 11/1/2021 KRE, NDX, SPX ‘61773F7F4
-$8,233,450 -32.19% Barclays 1/14/2020 C ‘06747E153
-$8,201,905 -74.27% RBC 8/31/2021 PARA ‘78016EG50
-$8,199,198 -57.97% Credit Suisse 11/5/2019 BA ‘22550K517
-$8,180,579 -16.36% RBC 12/22/2021 SPY ‘78013G3N3
-$8,126,049 -77.55% Morgan Stanley 8/10/2021 PYPL ‘61772Y640
-$7,923,612 -79.24% UBS 9/7/2018 XOP ‘90284W677
-$7,885,779 -46.66% Citigroup 7/27/2021 AAPL, AMZN ‘17328NSH2
-$7,832,256 -40.50% B of A 11/1/2021 DT ‘09709UTZ1
-$7,712,150 -72.56% RBC 6/17/2021 SQ ‘78016E4Y0
-$7,643,658 -83.66% RBC 7/20/2021 ZM ‘78016EHH3
-$7,611,727 -21.42% JP Morgan 6/29/2021 GM ‘46652Y653
-$7,562,388 -83.92% JP Morgan 10/29/2021 MRNA, ZG, ROKU ‘48132YJD8
-$7,561,370 -73.54% Goldman Sachs 10/22/2021 DOCU ‘36261U523
-$7,555,898 -76.17% JP Morgan 10/5/2021 DOCU ‘48132X313
-$7,470,000 -100.00% Credit Suisse 10/26/2021 FRCB, SBNY, USB ‘22551G432
-$7,293,124 -86.98% Credit Suisse 11/3/2020 ZM ‘22550X741
-$6,966,275 -69.66% Morgan Stanley 2/18/2021 PDD ‘61771VAE0
-$6,944,857 -45.28% HSBC 7/9/2021 AMZN, COST, TGT, WMT ‘40439JFN0
-$6,933,915 -78.35% Citigroup 9/30/2021 AMZN, TDOC ‘17328NXQ6
-$6,901,963 -71.57% UBS 12/2/2020 AMZN, BABA ‘90278R460
-$6,791,827 -64.49% Morgan Stanley 10/16/2019 BA ‘61770C434
-$6,686,637 -67.80% Credit Suisse 8/12/2021 Z ‘22550MVT3
-$6,665,922 -56.20% Goldman Sachs 6/22/2021 SHOP ‘36260Y567
-$6,536,787 -81.33% Goldman Sachs 11/15/2021 MRNA ‘36261U721
-$6,536,193 -70.66% CIBC 5/3/2021 ARKK ‘13605W2V2
-$6,487,286 -81.26% Morgan Stanley 10/5/2021 MRNA ‘61773E734
-$6,476,887 -84.20% Goldman Sachs 11/26/2021 MRNA ‘36261U861
-$6,434,644 -51.62% Citigroup 11/9/2021 TSLA ‘17329T740
Auto-Callable Notes That Haven’t Matured Yet
In addition to the 78 notes that have already matured, 22 more high-risk notes remain outstanding, with projected losses exceeding $230 million. Notable examples include:
-$14,837,360 -53.87% Barclays 7/18/2023 RIVN ‘06745MQK7
-$11,130,974 -46.85% Barclays 3/26/2024 EL ‘06745QBV0
-$9,034,456 -45.17% UBS 4/12/2024 EL ‘90307F255
-$8,584,177 -45.59% Citigroup 3/19/2024 AMD ‘17291LRC1
-$8,464,045 -33.86% HSBC 6/25/2021 SPY, XBI ‘40439K763
-$8,405,601 -53.47% Goldman Sachs 3/23/2021 ARKK ‘40057FSJ4
-$8,090,740 -32.37% HSBC 7/12/2021 SPY, XBI ‘40439K730
-$7,923,872 -79.24% Goldman Sachs 9/16/2021 MTCH, TWTR, CHWY ‘40057JKJ4
-$7,750,257 -57.05% Goldman Sachs 3/22/2022 AA ‘36264H180
-$7,633,727 -96.85% Credit Suisse 1/12/2021 AAPL, BYND, PYPL, SPLK ‘22552X2E2
-$6,577,667 -65.78% Credit Suisse 10/27/2021 META, LLY, OKTA ‘22551G465
-$6,577,147 -63.64% Goldman Sachs 2/17/2021 ARKK ‘40057FG57
-$11,283,925 -29.47% Goldman Sachs 7/16/2021 SPY, XBI ‘36261B301
-$9,506,827 -41.48% Goldman Sachs 2/6/2024 AMD ‘40057Y3Q4
-$9,286,780 -34.24% B of A 9/3/2021 SPY, XBI ‘09710E614
-$9,270,979 -37.64% UBS 3/22/2022 PYPL ‘90290V614
-$8,911,093 -44.90% Goldman Sachs 8/22/2023 RIVN ‘40057TUS1
-$7,842,774 -39.73% Goldman Sachs 2/13/2024 AMD ‘40057YB44
-$7,254,912 -49.87% Goldman Sachs 3/12/2024 AMD ‘40057YM26
-$7,153,440 -40.21% Goldman Sachs 2/21/2024 AMD ‘40057YD26
-$6,599,730 -41.55% Morgan Stanley 3/27/2024 AMD ‘61776K539
-$6,474,573 -29.31% Goldman Sachs 10/25/2022 OXY ‘36264U173
Final Thoughts: The Auto-Callable Trap
The findings in this report reinforce a troubling reality: auto-callable structured notes are often designed to benefit issuers at the expense of investors. Whether through inflated Day-1 values, hidden costs, or poorly structured call and payout mechanisms, these products have caused billions in losses—losses that many investors never saw coming.