INTERNATIONAL PRODUCTS

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 24/06/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Knock-Out Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Knock-Out Trigger: 95% of initial level, reduced to 70% on the Final Observation Coupon Rate: USD: 3.80% Quarterly (15.20% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 15.20% p.a.
ISIN XS2814006735
NEXT POTENTIAL MATURITY DATE 27/12/2024

• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE 98.02% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 02/07/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 6.20% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2736676102
NEXT POTENTIAL MATURITY DATE 09/07/2027

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COUNTERPARTY Natixis
TYPE Note
CURRENCY USD
CURRENT PRICE 98.22% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 02/07/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: USD: 6.70% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2736676284
NEXT POTENTIAL MATURITY DATE 09/07/2027

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COUNTERPARTY Natixis
TYPE Note
CURRENCY EUR
CURRENT PRICE 98.17% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 02/07/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: EUR: 5.00% p.a. (paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2736676367
NEXT POTENTIAL MATURITY DATE 09/07/2027

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COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE 99.52% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 24/05/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Fixed Income Reducing Autocall Autocall Opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level (Reduced by 2.00% every 3 months) Fixed Income Rate: USD: 3.3875% Quarterly (13.55% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2773287714
NEXT POTENTIAL MATURITY DATE 02/03/2026

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COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 110.71% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 21/06/2024
RETURN & BARRIERS
Source: BBVA 24.05.2024 Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 36 months) Autocall Trigger: 100% of initial level Coupon Rate: USD: 4.50% Semi-Annually (9.00% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2760221726
NEXT POTENTIAL MATURITY DATE 21/06/2027

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COUNTERPARTY Canadian Imperial Bank of Commerce
TYPE Note
CURRENCY USD
CURRENT PRICE 118.65% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 24/06/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Growth Participation Averaging: Quarterly throughout the whole term Participation Rate: 140% Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2829205223
NEXT POTENTIAL MATURITY DATE 01/07/2030

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COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE 112.28% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 17/05/2024
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Capital Protected Uncapped Participation Participation Rate: USD: 140% Uncapped Participation in the Averaged Basket at Maturity Capital Risk: 100% Capital protected
P.A. RETURN
ISIN XS2769401550
NEXT POTENTIAL MATURITY DATE 17/05/2029

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COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE 114.15% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 17/05/2024
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Capital Protected Capped Participation Participation Rate: USD: 144% Capped Participation in the Weighted Basket at Maturity Basket Growth Cap: 35% Max Return at Maturity: 50.40% Capital Risk: 100% Capital protected
P.A. RETURN
ISIN XS2817427797
NEXT POTENTIAL MATURITY DATE 17/05/2029

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COUNTERPARTY UBS
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/05/2024
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: 6.045% Semi-Annually (12.09% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 55% Final level (European style)
P.A. RETURN 12.09% p.a.
ISIN XS2816810365
NEXT POTENTIAL MATURITY DATE 17/11/2025

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COUNTERPARTY UBS
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 19/06/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 3.725% Semi-Annual (7.45% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.45% p.a.
ISIN XS2826668555
NEXT POTENTIAL MATURITY DATE 19/12/2025

• KEY INFORMATION DOCUMENT (KID)
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COUNTERPARTY UBS
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/06/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 4.175% Semi-Annual (8.45% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.45% p.a.
ISIN XS2826668472
NEXT POTENTIAL MATURITY DATE 19/12/2025

• KEY INFORMATION DOCUMENT (KID)
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COUNTERPARTY Barclays
TYPE Note
CURRENCY EUR
CURRENT PRICE 98.08% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 15/05/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Fixed Income Fixed Income Rate: EUR: 2.45% Semi-Annual (4.90% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2772410135
NEXT POTENTIAL MATURITY DATE 15/05/2028

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COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/05/2024
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: 1.975% Quarterly (7.90% p.a.) Income Trigger: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.90% p.a.
ISIN XS2759819316
NEXT POTENTIAL MATURITY DATE 15/08/2025

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/06/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 3.50% Semi-Annual (7.00% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.00% p.a.
ISIN XS2759826014
NEXT POTENTIAL MATURITY DATE 17/06/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)
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COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/06/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 3.80% Semi-Annual (7.60% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.60% p.a.
ISIN XS2759826105
NEXT POTENTIAL MATURITY DATE 17/06/2025

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• KEY INFORMATION DOCUMENT (KID)
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COUNTERPARTY UBS
TYPE Note
CURRENCY EUR
CURRENT PRICE 98.89% (as at 30/01/2026 09:11 UK Time)

STRIKE DATE 12/06/2024
RETURN & BARRIERS
Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: EUR: 1.53% Quarterly (6.12% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2822443490
NEXT POTENTIAL MATURITY DATE 12/06/2026

• KEY INFORMATION DOCUMENT (KID)
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COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/04/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.80% Quarterly (7.20% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.20% P.A.
ISIN XS2720320923
NEXT POTENTIAL MATURITY DATE 30/10/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY UBS
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/04/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.575% Quarterly (6.30% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.30% p.a.
ISIN XS2801328027
NEXT POTENTIAL MATURITY DATE 30/04/2030

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/05/2024
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: 5.70% Semi-Annually (11.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 11.40% p.a.
ISIN XS2759805018
NEXT POTENTIAL MATURITY DATE 01/12/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT