INTERNATIONAL PRODUCTS

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 29.37% (as at 25/09/2026 11:12 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 11/12/2026

• KEY INFORMATION DOCUMENT (KID)
• View Valuation Report

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 08/09/2023
RETURN & BARRIERS
Maximum Term: 1 year Investment Structure: Fixed Income Fixed Coupon Rate: GBP: 9.12% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 9.12% p.a.
ISIN XS2581045791
NEXT POTENTIAL MATURITY DATE 09/09/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/09/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level, reduced to 75% on the Final Observation Coupon Rate: GBP: 2.625% Quarterly (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 XS2580093982
NEXT POTENTIAL MATURITY DATE 30/09/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/08/2023
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: 1.925% Quarterly (7.70% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.70% p.a.
ISIN XS2543364165
NEXT POTENTIAL MATURITY DATE 03/09/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 31/08/2023
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: 1.925% Quarterly (7.70% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.70%
ISIN XS2543364082
NEXT POTENTIAL MATURITY DATE 03/09/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/08/2023
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: 1.97% Quarterly (7.88% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.88% p.a.
ISIN XS2580074842
NEXT POTENTIAL MATURITY DATE 02/12/2024

• FACTSHEET

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE 33.68% (as at 25/09/2026 11:12 UK Time)

STRIKE DATE 27/09/2023
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: 5.15% Quarterly (20.60% p.a) Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Strike with Geared Put (at maturity)
P.A. RETURN
ISIN XS2659578541
NEXT POTENTIAL MATURITY DATE 27/03/2026

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE 127.47% (as at 25/09/2026 11:12 UK Time)

STRIKE DATE 28/09/2023
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: 4.77% Semi-Annually (9.54% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2655173669
NEXT POTENTIAL MATURITY DATE 28/09/2026

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE 124.04% (as at 25/09/2026 11:12 UK Time)

STRIKE DATE 28/09/2023
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: USD: 4.20% Semi-Annually (8.40% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2655173586
NEXT POTENTIAL MATURITY DATE 28/09/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 25/08/2023
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 2.515% Quarterly (10.06% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 10.06% p.a.
ISIN XS2580050313
NEXT POTENTIAL MATURITY DATE 25/11/2024

• FACTSHEET

COUNTERPARTY Citi
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 26/09/2023
RETURN & BARRIERS
Maximum Term: 1 year Investment Structure: Fixed Income Fixed Coupon Rate: USD: 11.252% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 11.252% p.a.
ISIN XS2663092521
NEXT POTENTIAL MATURITY DATE 26/09/2024

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/08/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 6.60 % p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.60% p.a.
ISIN XS2567931642
NEXT POTENTIAL MATURITY DATE 24/08/2026

• FACTSHEET

COUNTERPARTY Barclays Bank PLC
TYPE Note
CURRENCY GBP
CURRENT PRICE 98.95% (as at 25/09/2026 11:12 UK Time)

STRIKE DATE 22/09/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 7.20% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2581071102
NEXT POTENTIAL MATURITY DATE 29/09/2026

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

COUNTERPARTY Barclays Bank PLC
TYPE Note
CURRENCY USD
CURRENT PRICE 99.61% (as at 25/09/2026 11:12 UK Time)

STRIKE DATE 22/09/2023
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 XS2581071284
NEXT POTENTIAL MATURITY DATE 29/09/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 22/08/2023
RETURN & BARRIERS
Term: 2 years Investment Structure: Memory Income Memory Income Rate: GBP: 6.40% Annually Income Trigger: 65% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.40% p.a.
ISIN XS2580050156
NEXT POTENTIAL MATURITY DATE 22/08/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 29/06/2023
RETURN & BARRIERS
Investment Structure: Semi-annual Memory Income Autocall Autocall opportunities: Semi-Annually (First observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 3.00% Semi-annual Income Trigger: 75% of initial level Protection Barrier: 50%
P.A. RETURN 6.00% p.a.
ISIN XS2515307341
NEXT POTENTIAL MATURITY DATE 30/06/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/08/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Capital Protected Participation Participation Rate: USD: 100% participation in the Index at maturity (Capped at 127%) Capital Risk: 100% Capital protected
P.A. RETURN 9% p.a.
ISIN XS2576622331
NEXT POTENTIAL MATURITY DATE 18/08/2026

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
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: 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 XS2580064298
NEXT POTENTIAL MATURITY DATE 19/09/2024

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

COUNTERPARTY
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
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: USD: 4.05% Semi-Annual (8.10% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.10% p.a.
ISIN XS2580064371
NEXT POTENTIAL MATURITY DATE 19/09/2024

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