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PRODUCT VALUATION REPORT

BBVA Quarterly Memory Income Autocall January 2024 GBP

Strike Date: 17/01/2024
Next Observation Date: 17/10/2024
Final Observation Date: 19/01/2027
Returns and Barriers: 
Investment Structure: Quarterly Memory Income Autocall
Autocall Opportunities: Quarterly (First Observation at 6 months)
Autocall Trigger: 100% of initial level
Memory Income Rate: GBP = 2.45% Quarterly
Income Trigger: 60% of initial level
Capital Risk: Not capital protected
CapitalProtection Barrier : 60% Strike with Geared Put (at maturity)
ISIN: XS2676599587
Currency: GBP
Current Price: 96.77% (as at 04/10/2024 10:06 UK Time)
Coupons Paid to Date: 4.9000%
UnderlyingStrike
Level
Last COB
Level
Increase/
Decrease
Advanced Micro Devices160.17162.851.67%
Nvidia Corporation56.05122.85119.17%
Amazon.com151.71181.9619.94%
Alphabet-C142.89167.2117.02%
Source: Bloomberg