INTERNATIONAL PRODUCTS

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
RETURN & BARRIERS
Investment Structure: Classic semi-annual Autocall Autocall Opportunities: Semi-annual from 12 months Autocall Trigger: 100% of initial level Coupon Rate: 4.25% semi-annual (8.50% annually) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 9.50% p.a.
ISIN XS2682514059
NEXT POTENTIAL MATURITY DATE 19/09/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
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: 6.00% Semi-Annually (12.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 12.00% p.a.
ISIN XS2608297698
NEXT POTENTIAL MATURITY DATE 19/09/2024

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
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: 6.75% Semi-Annually (13.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.50% p.a.
ISIN XS2608297425
NEXT POTENTIAL MATURITY DATE 19/09/2024

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/10/2023
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: 6.10% Semi-Annually (12.20% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 12.20% p.a.
ISIN XS2608299801
NEXT POTENTIAL MATURITY DATE 17/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/10/2023
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: 6.70% Semi-Annually (13.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.40% p.a.
ISIN XS2608299983
NEXT POTENTIAL MATURITY DATE 17/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/09/2023
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: 4.68% Semi-Annually (9.36% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 9.36% p.a.
ISIN XS2608977646
NEXT POTENTIAL MATURITY DATE 18/09/2024

• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/09/2023
RETURN & BARRIERS
Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level then reduced by 2.50% per quarter, Floored at 70% Memory Income Rate: USD = 4.00% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 16.00% p.a.
ISIN XS2580075732
NEXT POTENTIAL MATURITY DATE 16/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/09/2023
RETURN & BARRIERS
Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level then reduced by 2.50% per quarter, Floored at 70% Memory Income Rate: GBP = 3.875% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 15.50% p.a.
ISIN XS2580075658
NEXT POTENTIAL MATURITY DATE 16/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY UniCredit AG
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.81% Quarterly (7.24% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.24% p.a.
ISIN DE000HC92CZ6
NEXT POTENTIAL MATURITY DATE 16/09/2024

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE 152.14% (as at 14/08/2026 08:49 UK Time)

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Participation Growth Note Participation Rate: USD: 200% participation in the Index at maturity between 100% - 140% of initial level Capital Risk: 60% European Barrier
P.A. RETURN
ISIN XS2584329325
NEXT POTENTIAL MATURITY DATE 14/09/2028

• View Valuation Report

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP 2.1125% Quarterly (8.45% p.a.) Income Trigger: 40% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 40% Final level (European style)
P.A. RETURN 8.45% p.a.
ISIN XS2658415547
NEXT POTENTIAL MATURITY DATE 16/03/2026

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Societe Generale
TYPE
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP 2.00% Quarterly (8.00% p.a.) Income Trigger: 40% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 40% Final level (European style)
P.A. RETURN 8.00% p.a.
ISIN XS2659606698
NEXT POTENTIAL MATURITY DATE 14/03/2024

• FACTSHEET

COUNTERPARTY Goldmans Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 2.222755% Quarterly (8.9102% p.a.) Income Trigger: 40% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 40% Final level (European style)
P.A. RETURN 8.9102% p.a.
ISIN XS2658413179
NEXT POTENTIAL MATURITY DATE 14/03/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY UBS AG
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
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: 5.25% Semi-Annually (10.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 10.50% p.a.
ISIN XS2683117423
NEXT POTENTIAL MATURITY DATE 17/09/2024

• FACTSHEET

COUNTERPARTY UBS AG
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
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: 5.15 % Semi Annually ( 10.30 % p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 10.30% p.a.
ISIN XS2683117340
NEXT POTENTIAL MATURITY DATE 17/09/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
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: 5.34% Semi Annually Snowballing ( 10.68% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 10.68% p.a.
ISIN XS2580102643
NEXT POTENTIAL MATURITY DATE 16/09/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
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: 5.82% Semi-Annually (11.64% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 11.64% p.a.
ISIN XS2580102999
NEXT POTENTIAL MATURITY DATE 16/09/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
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: 3.58% Semi Annually (7.16% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.16% p.a.
ISIN XS2580102726
NEXT POTENTIAL MATURITY DATE 14/09/2024

• FACTSHEET

COUNTERPARTY
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 22/12/2020
RETURN & BARRIERS
Leveraged Vol Control
P.A. RETURN
ISIN XS2276756165
NEXT POTENTIAL MATURITY DATE 22/12/2025

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE 32.56% (as at 14/08/2026 08:49 UK Time)

STRIKE DATE 11/09/2023
RETURN & BARRIERS
Maximum Term : 4 years Investment Structure : Memory Income Autocall Autocall Opportunities : Quarterly (First Observation at 12 months) Knock-Out Trigger 90% of initial level then reduced by 5% quarterly floored at 50%) Memory Income Rate : USD: 5.00% Quarterly (20.00% p.a.) Income Trigger : 50% of initial level Capital Risk Not capital protected Capital Protection Barrier : 50% Leveraged Put at maturity.
P.A. RETURN
ISIN XS2659586726
NEXT POTENTIAL MATURITY DATE 11/09/2026

• KEY INFORMATION DOCUMENT (KID)
• View Valuation Report