INTERNATIONAL PRODUCTS

PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
BBVA Semi-Annual Classic Autocall Feb 2023 USD
ISIN: XS2471147855
STRIKE DATE: 27/02/2023
INDICATIVE PRICE: 84.95%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 84.95% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/TSX 601,220.24801294.976
Eurostoxx 504,248.01004916.99
HSI19,943.510016248.97
Nikkei 22527,423.960038471.2

STRIKE DATE 27/02/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD: 7.30% Semi Annually (14.60% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2471147855
NEXT POTENTIAL MATURITY DATE 27/08/2024

EXPAND CLOSE
BBVA Semi-Annual Classic Autocall Feb 2023 EUR
ISIN: XS2471147939
STRIKE DATE: 27/02/2023
INDICATIVE PRICE: 86.09%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE 86.09% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/TSX 601,220.24801294.976
Eurostoxx 504,248.01004916.99
HSI19,943.510016248.97
Nikkei 22527,423.960038471.2

STRIKE DATE 27/02/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: EUR: 5.50% Semi Annually (11.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2471147939
NEXT POTENTIAL MATURITY DATE 27/08/2024

EXPAND CLOSE
CS Diversified Markets Memory Income Autocall Jan 2023 GBP
ISIN: XS2525914516
STRIKE DATE: 31/01/2023
INDICATIVE PRICE: 100.00%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY GBP
CURRENT PRICE 100.00% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,163.45004916.99
FTSE 1007,771.70007820.36
Nikkei 22527,327.110038471.2
S&P 5004,076.60005051.41

STRIKE DATE 31/01/2023
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 2.17 Quarterly (8.68% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2525914516
NEXT POTENTIAL MATURITY DATE 30/04/2024

EXPAND CLOSE
CS Diversified Markets Memory Income Autocall Jan 2023 USD
ISIN: XS2525910449
STRIKE DATE: 31/01/2023
INDICATIVE PRICE: 100.19%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY USD
CURRENT PRICE 100.19% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,163.45004916.99
FTSE 1007,771.70007820.36
Nikkei 22527,327.110038471.2
S&P 5004,076.60005051.41

STRIKE DATE 31/01/2023
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 2.34% Quarterly (9.36% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2525910449
NEXT POTENTIAL MATURITY DATE 30/04/2024

EXPAND CLOSE
BBVA 85-60 Memory Income Autocall Feb 2023 EUR
ISIN: XS2458717670
STRIKE DATE: 24/02/2023
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,178.82004916.99
S&P/TSX 601,218.16601294.976
Nikkei 22527,453.480038471.2
S&P/ASX 2007,307.03207612.494

STRIKE DATE 24/02/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: EUR : 3.48% Semi Annually (6.96% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.96% p.a.
ISIN XS2458717670
NEXT POTENTIAL MATURITY DATE 24/02/2024

EXPAND CLOSE
BBVA 85-60 Memory Income Autocall Feb 2023 USD
ISIN: XS2458717597
STRIKE DATE: 24/02/2023
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,178.82004916.99
S&P/TSX 601,218.16601294.976
Nikkei 22527,453.480038471.2
S&P/ASX 2007,307.03207612.494

STRIKE DATE 24/02/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 4.41% Semi Annually (8.82% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.70% p.a.
ISIN XS2458717597
NEXT POTENTIAL MATURITY DATE 24/02/2024

EXPAND CLOSE
BBVA 85-60 Memory Income Autocall Feb 2023 GBP
ISIN: XS2458717324
STRIKE DATE: 24/02/2023
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,178.82004916.99
S&P/TSX 601,218.16601294.976
Nikkei 22527,453.480038471.2
S&P/ASX 2007,307.03207612.494

STRIKE DATE 24/02/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi AnnualFirst Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate:GBP: 3.76% Semi Annually (7.52% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.52% p.a.
ISIN XS2458717324
NEXT POTENTIAL MATURITY DATE 24/02/2024

EXPAND CLOSE
Morgan Stanley Capital Protected Classic Autocall Feb 2023 USD
ISIN: XS2534746370
STRIKE DATE: 14/02/2023
INDICATIVE PRICE: 104.57%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE 104.57% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,238.76004916.99
Nasdaq 10012,590.890017713.66
Nikkei 22527,602.770038471.2

STRIKE DATE 14/02/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities:Semi Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Coupon Rate: USD: 3.64% Semi Annually ( 7.28% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2534746370
NEXT POTENTIAL MATURITY DATE 14/02/2025

EXPAND CLOSE
BBVA Low Hurdle Autocall Dec 2022 GBP
ISIN: XS2442508151
STRIKE DATE: 21/12/2022
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P 5003,821.62005051.41
Eurostoxx 503,802.49004916.99
Nikkei 22526,568.030038471.2

STRIKE DATE 21/12/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Low Hurdle Autocall Autocall Opportunities:Annual (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 13.5% Annually Low Hurdle Trigger: 90% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.50%
ISIN XS2442508151
NEXT POTENTIAL MATURITY DATE 21/12/2023

EXPAND CLOSE
BBVA Semi-Annual Classic Autocall Dec 2022 GBP
ISIN: XS2378611672
STRIKE DATE: 20/12/2022
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 503,802.49004916.99
FTSE 1007,370.62007820.36
Nikkei 22526,568.030038471.2
S&P 5003,821.62005051.41

STRIKE DATE 20/12/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP: 6.375% Semi Annually (12.75% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 12.75% p.a.
ISIN XS2378611672
NEXT POTENTIAL MATURITY DATE 20/12/2023

EXPAND CLOSE
BBVA Semi-Annual Classic Autocall Jan 2023 GBP
ISIN: XS2442512930
STRIKE DATE: 27/01/2023
INDICATIVE PRICE: 109.55%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE 109.55% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,178.01004916.99
FTSE 1007,765.15007820.36
Nikkei 22527,382.560038471.2
S&P 5004,070.56005051.41

STRIKE DATE 27/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP: 6.375% Semi Annually (12.75% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2442512930
NEXT POTENTIAL MATURITY DATE 29/07/2024

EXPAND CLOSE
BBVA Semi-Annual Classic Autocall Jan 2023 USD
ISIN: XS2442511700
STRIKE DATE: 27/01/2023
INDICATIVE PRICE: 110.74%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 110.74% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,178.01004916.99
FTSE 1007,765.15007820.36
Nikkei 22527,382.560038471.2
S&P 5004,070.56005051.41

STRIKE DATE 27/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD: 7.125% Semi-Annually (14.25% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2442511700
NEXT POTENTIAL MATURITY DATE 29/07/2024

EXPAND CLOSE
BBVA Semi-Annual Classic Autocall Jan 2023 EUR
ISIN: XS2442513078
STRIKE DATE: 27/01/2023
INDICATIVE PRICE: 107.05%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE 107.05% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,178.01004916.99
FTSE 1007,765.15007820.36
Nikkei 22527,382.560038471.2
S&P 5004,070.56005051.41

STRIKE DATE 27/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: EUR: 5.375% Semi-Annually (10.75% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2442513078
NEXT POTENTIAL MATURITY DATE 29/07/2024

EXPAND CLOSE
Morgan Stanley Capital Protected Classic Autocall Jan 2023 GBP
ISIN: XS2534550046
STRIKE DATE: 26/01/2023
INDICATIVE PRICE: 104.65%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE 104.65% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,173.98004916.99
Nasdaq 10012,051.480017713.66
Nikkei 22527,362.750038471.2

STRIKE DATE 26/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP: 3.15% Semi Annually (6.30% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2534550046
NEXT POTENTIAL MATURITY DATE 27/01/2025

EXPAND CLOSE
BBVA 85-60 Memory Income Autocall Jan 2023 EUR
ISIN: XS2442508078
STRIKE DATE: 24/01/2023
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,153.02004916.99
S&P/TSX 601,242.39001294.976
Nikkei 22527,299.190038471.2
S&P/ASX 2007,490.39607612.494

STRIKE DATE 24/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi Annual (First Observation at 12 Autocall Trigger: 100% of initial level Memory Income Rate: EUR: 3.65% Semi Annually (7.30% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.30% p.a.
ISIN XS2442508078
NEXT POTENTIAL MATURITY DATE 24/01/2024

EXPAND CLOSE
BBVA 80-60 Memory Income Autocall Jan 2023 GBP
ISIN: XS2442507856
STRIKE DATE: 24/01/2023
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,153.02004916.99
S&P/TSX 601,242.39001294.976
Nikkei 22527,299.190038471.2
S&P/ASX 2007,490.39607612.494

STRIKE DATE 24/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.95% Quarterly (7.80% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.80%
ISIN XS2442507856
NEXT POTENTIAL MATURITY DATE 24/01/2024

EXPAND CLOSE
BBVA 80-60 Memory Income Auocall Jan 2023 USD
ISIN: XS2442507930
STRIKE DATE: 24/01/2023
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,153.02004916.99
S&P/TSX 601,242.39001294.976
Nikkei 22527,299.190038471.2
S&P/ASX 2007,490.39607612.494

STRIKE DATE 24/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 2.20% Quarterly (8.80% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.80%
ISIN XS2442507930
NEXT POTENTIAL MATURITY DATE 24/01/2024

EXPAND CLOSE
Barclays S&P 500 3 Year Fixed Income Jan 2023 GBP
ISIN: XS2448757778
STRIKE DATE: 17/01/2023
INDICATIVE PRICE: 98.95%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE 98.95% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P 5003,990.97005051.41

STRIKE DATE 17/01/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 5.50% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 60 % Final level (European
P.A. RETURN
ISIN XS2448757778
NEXT POTENTIAL MATURITY DATE 26/01/2026

EXPAND CLOSE
Barclays S&P 500 3 Year Fixed Income Jan 2023 USD
ISIN: XS2448758230
STRIKE DATE: 17/01/2023
INDICATIVE PRICE: 99.24%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE 99.24% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P 5003,990.97005051.41

STRIKE DATE 17/01/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: USD : 6.00% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 60 % Final level (European
P.A. RETURN
ISIN XS2448758230
NEXT POTENTIAL MATURITY DATE 26/01/2026

EXPAND CLOSE
Morgan Stanley Capital Protected Classic Autocall Jan 2023 USD
ISIN: XS2534157545
STRIKE DATE: 13/01/2023
INDICATIVE PRICE: 106.70%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE 106.70% (as at 17/04/2024 09:17 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 504,126.68004916.99
Nasdaq 10011,459.610017713.66
Nikkei 22526,449.820038471.2

STRIKE DATE 13/01/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Coupon Rate: USD: 3.75% Semi Annually (7.50% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2534157545
NEXT POTENTIAL MATURITY DATE 14/01/2025

EXPAND CLOSE