INTERNATIONAL PRODUCTS

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/06/2022
RETURN & BARRIERS
Maximum Term: 5 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 Capital Risk: Not capital protected
P.A. RETURN 13.50% p.a.
ISIN XS2477011097
NEXT POTENTIAL MATURITY DATE 22/06/2023

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

COUNTERPARTY BNP
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 09/05/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Annually (First Observation at 24 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 7.10% p.a. Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.10% p.a.
ISIN XS2379653707
NEXT POTENTIAL MATURITY DATE 09/05/2024

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/06/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon Rate: GBP = 4.50% Quarterly (18.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2378591205
NEXT POTENTIAL MATURITY DATE 08/03/2023

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 07/06/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon Rate: GBP= 4.50% Quarterly (18.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2378591114
NEXT POTENTIAL MATURITY DATE 08/03/2023

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE 123.07% (as at 23/04/2026 09:35 UK Time)

STRIKE DATE 09/05/2022
RETURN & BARRIERS
Investment Structure: Capital Protected Growth Participation Note Participation Rate: USD = 320% Capital Risk: 100% Capital Protected
P.A. RETURN
ISIN XS2358161136
NEXT POTENTIAL MATURITY DATE 01/05/2028

• View Valuation Report

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 29/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP= 1.35% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 5.40% p.a.
ISIN XS2358197676
NEXT POTENTIAL MATURITY DATE 08/05/2023

• FACTSHEET

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 27/05/2022
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: GBP = 3.175% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.35% p.a.
ISIN XS2370425816
NEXT POTENTIAL MATURITY DATE 28/05/2024

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 27/05/2022
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 = 3.75% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.50% p.a.
ISIN XS2370425907
NEXT POTENTIAL MATURITY DATE 28/05/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE 92.07% (as at 23/04/2026 09:35 UK Time)

STRIKE DATE 27/05/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Fixed Income Autocall Autocall opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Fixed Income Rate: GBP = 2.65% Quarterly (10.60% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2361901379
NEXT POTENTIAL MATURITY DATE 27/05/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 92.19% (as at 23/04/2026 09:35 UK Time)

STRIKE DATE 27/05/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Fixed Income Autocall Autocall opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Fixed Income Rate: USD = 2.85% Quarterly (11.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2361901452
NEXT POTENTIAL MATURITY DATE 27/05/2026

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 31/05/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 2.90% Semi-Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 5.80% p.a.
ISIN XS2425186918
NEXT POTENTIAL MATURITY DATE 31/05/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/05/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 3.60% Semi-Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.20% p.a.
ISIN XS2425187130
NEXT POTENTIAL MATURITY DATE 31/05/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 100.90% (as at 23/04/2026 09:35 UK Time)

STRIKE DATE 26/04/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income Rate: USD= 3.90% Quarterly Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2349098942
NEXT POTENTIAL MATURITY DATE 27/04/2026

• FACTSHEET
• View Valuation Report

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 22/04/2022
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 8.50% Quarterly Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 5.425% P.A.
ISIN XS2367245144
NEXT POTENTIAL MATURITY DATE 22/07/2024

• FACTSHEET

COUNTERPARTY BNP
TYPE Note
CURRENCY ZAR
CURRENT PRICE Not available

STRIKE DATE 19/04/2022
RETURN & BARRIERS
Maximum Term: 3.5 years Investment Structure: Capital Protected Growth Income Rate: ZAR = 41% at maturity Income Trigger: if underlying is between 100%-141% of inital level Participation rate: 100% if above 141% of inital level Capital Protection Barrier: 100% Capital Protected
P.A. RETURN 17.664%
ISIN ZAE000309886
NEXT POTENTIAL MATURITY DATE 20/10/2025

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 19/05/2022
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 = 5.30% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.60% p.a.
ISIN XS2361895548
NEXT POTENTIAL MATURITY DATE 19/05/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/05/2022
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: USD = 6.90% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 13.80%
ISIN XS2361895621
NEXT POTENTIAL MATURITY DATE 19/05/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 05/05/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon Rate: USD = 5.25% Quarterly (21.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2361890317
NEXT POTENTIAL MATURITY DATE 07/11/2022

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 13/05/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi-Annual (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 4.50% Semi-Annually Low Hurdle Trigger: 90% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 9.00% p.a.
ISIN XS2425112476
NEXT POTENTIAL MATURITY DATE 15/05/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 13/05/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi-Annual (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 5.20% Semi-Annually Low Hurdle Trigger: 90% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.40% p.a.
ISIN XS2425112393
NEXT POTENTIAL MATURITY DATE 15/05/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)