INTERNATIONAL PRODUCTS

COUNTERPARTY Citi
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/09/2024
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: USD: 1.7625% Semi-Annually (7.05% p.a.) Income Trigger: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.05% p.a.
ISIN XS2885405782
NEXT POTENTIAL MATURITY DATE 19/06/2026

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/10/2024
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.)
P.A. RETURN 7.00% p.a.
ISIN XS2834760816
NEXT POTENTIAL MATURITY DATE 20/10/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/10/2024
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: 3.75% Semi-Annual (7.50% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.50% p.a.
ISIN XS2834760907
NEXT POTENTIAL MATURITY DATE 20/10/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/09/2024
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: 1.625% Quarterly (6.50% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.50% p.a.
ISIN XS2834712411
NEXT POTENTIAL MATURITY DATE 17/03/2026

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/09/2024
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: USD: 1.70% Quarterly (6.80% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.80% p.a.
ISIN XS2834712338
NEXT POTENTIAL MATURITY DATE 17/03/2026

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Marex
TYPE Note
CURRENCY GBP
CURRENT PRICE 183.20% (as at 24/07/2026 10:18 UK Time)

STRIKE DATE 13/09/2024
RETURN & BARRIERS
Investment Structure: Participation Maximum Term: 5 years Participation Rate: USD = 265% participation Capital Protection: 60% European Barrier
P.A. RETURN
ISIN XS2794288972
NEXT POTENTIAL MATURITY DATE 13/09/2029

• View Valuation Report

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/10/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level with 60% Glider at month 12 Coupon Rate: USD: 6.35% Quarterly (25.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 25.40% p.a.
ISIN XS2881880921
NEXT POTENTIAL MATURITY DATE 22/07/2025

• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT

COUNTERPARTY Citi
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 09/09/2024
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: 3.19% Semi-Annually (6.38% p.a.) Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.38% p.a.
ISIN XS2873367994
NEXT POTENTIAL MATURITY DATE 09/09/2025

COUNTERPARTY Natixis
TYPE Note
CURRENCY USD
CURRENT PRICE 97.39% (as at 24/07/2026 10:18 UK Time)

STRIKE DATE 08/10/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: USD: 6.36% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2736684114
NEXT POTENTIAL MATURITY DATE 08/10/2027

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)
• View Valuation Report

COUNTERPARTY UBS
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 09/10/2024
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: 4.00% Semi-Annual (8.00% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.00% p.a.
ISIN XS2901474689
NEXT POTENTIAL MATURITY DATE 09/10/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY UBS
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 09/10/2024
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: 4.075% Semi-Annual (8.15% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.15% p.a.
ISIN XS2901474762
NEXT POTENTIAL MATURITY DATE 09/10/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Citi
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 02/10/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Knock-Out Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Knock-Out Trigger: 100% of initial level Coupon Rate: GBP: 5.965% Semi-Annually (11.93% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 55% Final level (European style)
P.A. RETURN 11.93% p.a.
ISIN XS2885390067
NEXT POTENTIAL MATURITY DATE 02/10/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 01/10/2024
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 XS2834733920
NEXT POTENTIAL MATURITY DATE 01/10/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 01/10/2024
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: USD: 6.20% Semi-Annually (12.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 12.40% p.a.
ISIN XS2834734068
NEXT POTENTIAL MATURITY DATE 01/10/2025

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

COUNTERPARTY Citigroup
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 07/10/2024
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: 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 11.00% p.a.
ISIN XS2885410782
NEXT POTENTIAL MATURITY DATE 08/10/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/08/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Knock-Out Trigger: 100% of initial level then reduced by 2.50% quarterly Memory Income Rate: USD: 5.05% Semi-Annually (10.10% p.a.) Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.10% p.a.
ISIN XS2608300310
NEXT POTENTIAL MATURITY DATE 01/09/2025

• FACTSHEET

COUNTERPARTY Marex
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/08/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level, reduced to 70% on the Final Observation Coupon Rate: GBP: 5.788% Quarterly (23.152% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 23.152% p.a.
ISIN XS2774152750
NEXT POTENTIAL MATURITY DATE 28/02/2025

• FACTSHEET

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE 96.63% (as at 24/07/2026 10:18 UK Time)

STRIKE DATE 16/10/2024
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Callable Range Accrual Income Payments: Quarterly Income Rate: 6.50% p.a. (1.625% per quarter) SOFR Range: 3.25%-5.50% Issuer Callable: Quarterly from 12 Months Capital Risk: None Capital Protection Barrier: 100% Capital Protected
P.A. RETURN
ISIN XS2836595269
NEXT POTENTIAL MATURITY DATE 23/10/2026

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT
• View Valuation Report

COUNTERPARTY Citi
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 27/09/2024
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: EUR: 3.50% Semi-Annually (7.00% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.00% p.a.
ISIN XS2873431329
NEXT POTENTIAL MATURITY DATE 29/09/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Citigroup Global Markets Limited
TYPE Note
CURRENCY GBP
CURRENT PRICE 109.80% (as at 24/07/2026 10:18 UK Time)

STRIKE DATE 20/09/2024
RETURN & BARRIERS
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: GBP: 3.70% Semi-Annually (7.40% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2873412022
NEXT POTENTIAL MATURITY DATE 21/09/2027

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT
• View Valuation Report