INTERNATIONAL PRODUCTS

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 24/05/2022
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: EUR = 4.125% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.25 p.a.
ISIN XS2477031954
NEXT POTENTIAL MATURITY DATE 24/05/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/05/2022
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: GBP = 5.10% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.20% p.a.
ISIN XS2477031012
NEXT POTENTIAL MATURITY DATE 24/05/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: EUR: 3.20% Semi-Annually (6.40% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.40% p.a.
ISIN XS2477219328
NEXT POTENTIAL MATURITY DATE 17/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
RETURN & BARRIERS
Maximum Term: 5 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: 3.50% Semi-Annually (7.00% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.00%
ISIN XS2477219161
NEXT POTENTIAL MATURITY DATE 17/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
RETURN & BARRIERS
Maximum Term: 5 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: 4.10% Semi-Annually (8.20% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.20% p.a.
ISIN XS2477219245
NEXT POTENTIAL MATURITY DATE 17/07/2023

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

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE 126.19% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 14/07/2022
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Issuer Callable Growth Participation Note Participation Rate: 500% times growth above initial level Callable Observations: Quarterly (First Observation at 12 months) Callable Coupon Rate: USD: 1.90% Quarterly (7.60% p.a.) Capital Protection Barrier: 60% Capital Protected
P.A. RETURN
ISIN XS2476389460
NEXT POTENTIAL MATURITY DATE 14/07/2026

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

COUNTERPARTY Société Générale
TYPE Note
CURRENCY GBP
CURRENT PRICE 124.67% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 14/07/2022
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Issuer Callable Growth Participation Note Participation Rate: 500% times growth above initial level Callable Observations: Quarterly (First Observation at 12 months) Callable Coupon Rate: GBP: 1.95% Quarterly (7.80% p.a.) Capital Protection Barrier: 60% Capital Protected
P.A. RETURN
ISIN XS2476392761
NEXT POTENTIAL MATURITY DATE 14/07/2026

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

COUNTERPARTY Société Générale
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 14/07/2022
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Issuer Callable Growth Participation Note Participation Rate: 500% times growth above initial level Callable Observations: Quarterly (First Observation at 12 months) Callable Coupon Rate: EUR: 1.55% Quarterly (6.20% p.a.) Capital Protection Barrier: 60% Capital Protected
P.A. RETURN 6.2% p.a.
ISIN XS2476392845
NEXT POTENTIAL MATURITY DATE 14/10/2025

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 14/06/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 85% of initial level Memory Income Rate: USD= 7.40% Quarterly Income Trigger: 65% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 29.60% p.a.
ISIN XS2380270392
NEXT POTENTIAL MATURITY DATE 14/06/2023

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 12/07/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income 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 XS2378619063
NEXT POTENTIAL MATURITY DATE 13/01/2023

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 12/07/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income Rate: USD: 5.50% Quarterly (22.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2378619147
NEXT POTENTIAL MATURITY DATE 13/01/2023

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

COUNTERPARTY Unicredit Bank AG
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 06/06/2022
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= 4.25% Semi Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.50% p.a.
ISIN DE000HB6AZP1
NEXT POTENTIAL MATURITY DATE 06/09/2023

• FACTSHEET

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE 160.45% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 31/05/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 48 months) Autocall Trigger: 100% of initial level Coupon Rate: USD= 7.80% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2466943383
NEXT POTENTIAL MATURITY DATE 01/06/2026

• FACTSHEET
• View Valuation Report

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE 152.06% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 31/05/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 48 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 6.75% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2466946485
NEXT POTENTIAL MATURITY DATE 01/06/2026

• FACTSHEET
• View Valuation Report

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/06/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) AutocallTrigger: 100% of initial level Memory Income Rate: GBP: 2.90% Semi-Annually (5.80% p.a.) 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 XS2477065770
NEXT POTENTIAL MATURITY DATE 28/06/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/06/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) AutocallTrigger: 100% of initial level Memory Income Rate: USD: 3.60% Semi-Annually (7.20% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.2% p.a.
ISIN XS2477066661
NEXT POTENTIAL MATURITY DATE 28/06/2024

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

COUNTERPARTY Morgan Stanley
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 Annually (First Observation at 12 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 XS2425222499
NEXT POTENTIAL MATURITY DATE 30/05/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
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 Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP= 2.80% Semi Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 5.60% p.a.
ISIN XS2425222572
NEXT POTENTIAL MATURITY DATE 30/05/2023

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE 97.13% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 28/06/2022
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: 3.00% Quarterly (12.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2378607134
NEXT POTENTIAL MATURITY DATE 29/06/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 97.28% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 28/06/2022
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: 3.00% Quarterly (12.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2378607217
NEXT POTENTIAL MATURITY DATE 29/06/2026

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