INTERNATIONAL PRODUCTS

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE 161.12% (as at 06/07/2026 10:07 UK Time)

STRIKE DATE 03/08/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Participation Participation Rate: USD: 150% participation in the weighted basket Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2467240169
NEXT POTENTIAL MATURITY DATE 03/08/2027

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COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE 94.77% (as at 06/07/2026 10:07 UK Time)

STRIKE DATE 06/09/2022
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: 2.70% Quarterly (10.80% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.80% p.a.
ISIN XS2380335278
NEXT POTENTIAL MATURITY DATE 08/06/2026

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COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 94.92% (as at 06/07/2026 10:07 UK Time)

STRIKE DATE 06/09/2022
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 : 2.90% Quarterly (11.60% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 11.60% p.a.
ISIN XS2380335351
NEXT POTENTIAL MATURITY DATE 08/09/2026

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COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 31/08/2022
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: 1.5625% Quarterly (6.25% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.25
ISIN XS2409640401
NEXT POTENTIAL MATURITY DATE 31/08/2023

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COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/08/2022
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: 1.9250% Quarterly (7.70% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.70% p.a.
ISIN XS2409640583
NEXT POTENTIAL MATURITY DATE 30/11/2023

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COUNTERPARTY UniCredit
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 29/07/2022
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.% Quarterly (7.80% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.56% p.a.
ISIN DE000HB89PD3
NEXT POTENTIAL MATURITY DATE 28/07/2023

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COUNTERPARTY UniCredit
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 29/07/2022
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: 1.95% Quarterly (7.80% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.80% p.a.
ISIN DE000HB89PC5
NEXT POTENTIAL MATURITY DATE 28/07/2023

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COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/07/2022
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: 4.05% Semi Annually (8.10% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.10% p.a.
ISIN XS2392187337
NEXT POTENTIAL MATURITY DATE 28/07/2023

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COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 25/08/2022
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: 5 625% Semi Annually (11.25% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 11.25% p.a.
ISIN XS2477425651
NEXT POTENTIAL MATURITY DATE 25/08/2023

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COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 25/08/2022
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: 7.125% Semi Annually (14.35% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 14.25% p.a.
ISIN XS2477425578
NEXT POTENTIAL MATURITY DATE 25/08/2023

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COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 25/08/2022
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: 4.50% Semi Annually (9.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 9.00% p.a.
ISIN XS2477425495
NEXT POTENTIAL MATURITY DATE 25/08/2023

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COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
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: 3.92% Semi Annually (7.84% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.84% p.a.
ISIN XS2477253699
NEXT POTENTIAL MATURITY DATE 18/07/2023

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COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 16/08/2022
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 XS2392192501
NEXT POTENTIAL MATURITY DATE 17/02/2023

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• FVC REPORT

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 16/08/2022
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 XS2392192683
NEXT POTENTIAL MATURITY DATE 17/02/2023

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COUNTERPARTY BBVA
TYPE
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/07/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 80% of initial level Memory Income Rate: USD: 5.25% Quarterly Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 21.00% p.a.
ISIN XS2378618842
NEXT POTENTIAL MATURITY DATE 07/07/2023

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COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 27/07/2022
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: 1.60% Quarterly (6.40% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.40% p.a.
ISIN XS2377612606
NEXT POTENTIAL MATURITY DATE 27/07/2023

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COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 27/07/2022
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: 1.90% Quarterly (7.60% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.40% p.a.
ISIN XS2377612861
NEXT POTENTIAL MATURITY DATE 27/07/2023

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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 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 2.80% Semi-Annually (5.60% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 5.60% p.a.
ISIN XS2477053842
NEXT POTENTIAL MATURITY DATE 30/06/2023

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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 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 3.55% Semi-Annually (7.10% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.10% p.a.
ISIN XS2477053768
NEXT POTENTIAL MATURITY DATE 30/06/2023

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COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/06/2022
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 = 3.85% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.70% p.a.
ISIN XS2378612134
NEXT POTENTIAL MATURITY DATE 30/06/2023

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