  When the Orthogonal Chebyshev Sliding Technique was introduced it was applied
to a portfolio of swaps and swaptions within the context of the FRTB-IMA
capital calculation. The computational cost associated to the computation of
the ES values - an essential component of the capital caluclation under
FRTB-IMA - was reduced by more than $90\%$ while passing PLA tests.
  This paper extends the use of the Orthogonal Chebyshev Sliding Technique to
portfolios of equity autocallables defined over a range of spot underlyings.
Results are very positive as computational reductions are of about $90\%$ with
passing PLA metrics.
  Since equity autocallables are a commonly traded exotic trade type, with
significant FRTB-IMA computational costs, the extension presented in this paper
constitutes an imporant step forward in tackling the computational challenges
associated to an efficient FRTB-IMA implementation.
