INTERNATIONAL PRODUCTS

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 01/08/2018
RETURN & BARRIERS
Investment Structure: Quarterly Income Autocall Autocall opportunities: Quarterly (First observation at 24 months) Autocall Trigger: 100% of initial level Income Rate: GBP = 1.85% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN -6.49% p.a.
ISIN XS1850437978
NEXT POTENTIAL MATURITY DATE 01/08/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 02/08/2018
RETURN & BARRIERS
Investment Structure: Annual Autocall Autocall Opportunities: Annually (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 15.00% p.a. Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 15% p.a.
ISIN XS1840091455
NEXT POTENTIAL MATURITY DATE 02/08/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 02/08/2018
RETURN & BARRIERS
Investment Structure: Annual Autocall Autocall Opportunities: Annually (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 11.00% p.a. Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 11% p.a.
ISIN XS1840091372
NEXT POTENTIAL MATURITY DATE 02/08/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 21/06/2018
RETURN & BARRIERS
7% p.a. Memory coupon if all above 70% 100% autocall from 24 Months 60% Final Level Barrier
P.A. RETURN 4.66% p.a.
ISIN XS1823622805
NEXT POTENTIAL MATURITY DATE 21/06/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 21/06/2018
RETURN & BARRIERS
5% p.a. Memory coupon if all above 70% 100% Autocal Triggerl from 24 Months 60% Final Level Barrier
P.A. RETURN 3.33% p.a.
ISIN XS1823622557
NEXT POTENTIAL MATURITY DATE 21/06/2024

• FACTSHEET

COUNTERPARTY Natixis
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 21/06/2018
RETURN & BARRIERS
7.3% p.a. if above 70% 100% Autocall Trigger from 12 months 60% Final Level Barrier
P.A. RETURN 7.30% p.a.
ISIN XS1741755430
NEXT POTENTIAL MATURITY DATE 21/06/2023

• FACTSHEET

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 21/06/2018
RETURN & BARRIERS
5% p.a. if above 70% 100% Autocall Trigger from 12 months 60% Final Level Barrier
P.A. RETURN 5.00% p.a.
ISIN XS1741755356
NEXT POTENTIAL MATURITY DATE 21/06/2023

• FACTSHEET

COUNTERPARTY Natixis
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/08/2018
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall opportunities: Quarterly (First observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: 2.20% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1763355994
NEXT POTENTIAL MATURITY DATE 08/02/2021

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 07/08/2018
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall opportunities: Quarterly (First observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: 1.50% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1763355721
NEXT POTENTIAL MATURITY DATE 08/02/2021

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 27/07/2018
RETURN & BARRIERS
Investment Structure: 95% Capital Protected Issuer Callable Growth Note Participation Rate: GBP = 150% Strike Level: 95% of the closing level on the Strike Date Callable Observations: Quarterly (First observation at 12 months) Coupon Rate: GBP = 1.5% Quarterly (6% p.a.) Capital Risk: Max 5% capital at risk Capital Protection: 95% Capital Protected
P.A. RETURN 3.335% p.a.
ISIN XS1829847109
NEXT POTENTIAL MATURITY DATE 29/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 26/07/2018
RETURN & BARRIERS
Investment Structure: Issuer Callable Growth Participation Note Participation Rate: USD = 550% Callable Observations: Monthly (First observation at 12 months) Coupon Rate: USD = 1.2% Per Month (14.4% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.443%
ISIN XS1829821724
NEXT POTENTIAL MATURITY DATE 26/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 26/07/2018
RETURN & BARRIERS
Investment Structure: Issuer Callable Growth Participation Note Participation Rate: GBP = 310% Callable Observations: Monthly (First observation at 12 months) Coupon Rate: GBP = 1.0% Per Month (12% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 4.1953% p.a.
ISIN XS1829821641
NEXT POTENTIAL MATURITY DATE 26/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 24/07/2018
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall opportunities: Quarterly (First observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 2% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS1715716855
NEXT POTENTIAL MATURITY DATE 24/01/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/07/2018
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall opportunities: Quarterly (First observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 1.50% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS1715716772
NEXT POTENTIAL MATURITY DATE 24/01/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/07/2018
RETURN & BARRIERS
Investment Structure: Annual Low Hurdle Autocall Autocall Opportunities: Annually (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: 6.80% p.a. Low Hurdle Trigger: 70% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 6.80% p.a.
ISIN XS1838127428
NEXT POTENTIAL MATURITY DATE 18/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/07/2018
RETURN & BARRIERS
Investment Structure: Annual Low Hurdle Autocall Autocall Opportunities: Annually (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: 10.00% p.a. Low Hurdle Trigger: 70% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 10% p.a.
ISIN XS1838937776
NEXT POTENTIAL MATURITY DATE 18/07/2024

• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 10/07/2018
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall opportunities: Quarterly (First observation at 36 months) Autocall Trigger: 105% of initial level Memory Income Rate: GBP = 1.30% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 5.20% p.a.
ISIN XS1838127188
NEXT POTENTIAL MATURITY DATE 10/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 10/07/2018
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall opportunities: Quarterly (First observation at 36 months) Autocall Trigger: 105% of initial level Memory Income Rate: USD = 1.70% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 6.80% p.a.
ISIN XS1838926142
NEXT POTENTIAL MATURITY DATE 10/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/07/2018
RETURN & BARRIERS
Investment Structure: Quarterly Classic Autocall Autocall opportunities: Quarterly (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: 2.325% Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS1715709561
NEXT POTENTIAL MATURITY DATE 17/07/2019

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Commerzbank
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/07/2018
RETURN & BARRIERS
Investment Structure: Quarterly Classic Autocall Autocall opportunities: Quarterly (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: 3.25% Quarterly Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS1715709645
NEXT POTENTIAL MATURITY DATE 17/07/2019

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)