CIO Autocallable RCNs Opportunity List

A biweekly report identifying attractive US and European stocks for use as underlyings in autocallable reverse convertible notes based on quantitative screening and bottom-up analysis.

Key Takeaways

• 1.Autocallable RCNs offer yield enhancement by selling put options on underlying stocks, potentially providing positive yields with lower volatility than the underlying asset.
• 2.UBS uses a three-step selection methodology: a machine learning quantitative screen, bottom-up fundamental analysis (Most Preferred/Buy ratings), and operational filters for liquidity and volatility.
• 3.The report highlights top single-stock picks across the US and European markets that screen favorably for inclusion in structured products based on valuation, default risk, and implied volatility.

Table of Contents

• CIO Autocallable Methodology
• Bottom-up analysis
• Operational filters
• Additional comments
• Contact
• Frequency of updates
• Producers, disseminators and their competent authorities
• UBS Investment Bank Global Equity Rating Definitions
• Global Equity 12-Month Rating Definitions
• Key Definitions
• Exceptions and Special Cases
• UBS CIO risk views
• UBS CIO valuation views
• Sell recommendations
• Issuer valuation views
• Required Disclosures
• Analyst certification
• Company/Country Disclosures (29 May 2026)
• Statement of Risk
• Risk information

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