What factors affect the price of a CBBC?

During the term of a CBBC, its price will be influenced by a number of factors, including:

(a) its strike price or level and call price or level;

(b) the likelihood of the occurrence of a mandatory call event;

(c) the probable range of residual value (if any) upon the occurrence of a mandatory call event;

(d) the funding cost;

(e) time remaining to expiry;

(f) the interim interest rates and expected dividend payments or other distributions on the underlying asset;

(g) the liquidity of the underlying asset;

(h) the availability of, and demand for, the CBBC;

(i) the probable range of the cash settlement amount;

(j) the issuer’s related hedging transaction costs;

(k) the creditworthiness of the issuer and its guarantor, if applicable; and

(l) in the case of index CBBCs, the price and liquidity of the futures contracts relating to such index