An autocallable that has a memory coupon as part of its structure. It provides its holder with early redemption at a predefined cash amount and the potential of high coupons. An autocallable’s performance is observed at regular observation dates (or coupon dates), typically once a year. On each of these dates, the possibility of early redemption and/ or payment of high coupons will be determined based on the performance of the underlying (asset, or basket) against two preset barriers: coupon barrier and autocall barrier.

If the underlying trades at or above the coupon barrier, the coupon is paid. And if the underlying trades at or above the autocall barrier, redemption takes place automatically and the holder receives the predefined monetary sum (or a notional amount), from the issuer. If there is no early redemption, the autocallable continues to the next observation date, with the possibility of early redemption up to that date.

Even if the coupon barrier is not breached, a memory version of the autocallable (a memory coupon autocallable or an autocallable with a memory) allows the holder to receive a high coupon for a coupon date that is lost. In the memory version, the size of coupon increases on each observation date that the coupon barrier is not triggered. And in case the product provides for a guaranteed coupon, the holder will also receive the defined guaranteed coupon on each coupon payment date that the product is still active.