INTERNATIONAL PRODUCTS

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)

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 12/04/2022
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= 4.35% Semi-Annually Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.70% p.a.
ISIN XS2370334851
NEXT POTENTIAL MATURITY DATE 12/04/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 08/04/2022
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 = 9.15% Quarterly (36.60% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 0.00%
ISIN XS2361881167
NEXT POTENTIAL MATURITY DATE 08/04/2026

• FACTSHEET

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 08/04/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon Rate: USD = 7.65% Quarterly (30.60% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 30.60%
ISIN XS2436414465
NEXT POTENTIAL MATURITY DATE 08/04/2024

• FACTSHEET

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 05/04/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 2.05% Quarterly Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 8.20% p.a.
ISIN XS2269749979
NEXT POTENTIAL MATURITY DATE 05/01/2024

COUNTERPARTY BNP Paribas Issua
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 06/05/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Reducing Autocall with One Star Effect Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level then reduced by 2.50% every 3 months Floored at 60% Coupon Rate: USD = 6.25% Quarterly (25.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 24% p.a.
ISIN XS2367520207
NEXT POTENTIAL MATURITY DATE 06/02/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 01/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall with One Star Effect Autocall Opportunities: Semi Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 3.75% Semi Annually (7.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 7.50% p.a.
ISIN XS2355886503
NEXT POTENTIAL MATURITY DATE 02/04/2024

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY GBP
CURRENT PRICE 181.69% (as at 15/05/2026 09:55 UK Time)

STRIKE DATE 01/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Reducing Autocall with One Star Effect Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level then reduced by 2.50% every 3 months Floored at 60% Coupon Rate: USD = 5.375% Quarterly (21.00% p.a. Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN
ISIN XS2355894192
NEXT POTENTIAL MATURITY DATE 01/07/2026

• View Valuation Report

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 13/04/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: GBP = 2.45% Quarterly (9.80% p.a.) USD = 2.70% Quarterly (10.80% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 85% of initial level Autocall Coupon Rate: GBP = 1.50% Quarterly (6.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 9.80%
ISIN XS2349099247
NEXT POTENTIAL MATURITY DATE 13/01/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 13/04/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: GBP = 2.45% Quarterly (9.80% p.a.) USD = 2.70% Quarterly (10.80% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 85% of initial level Autocall Coupon Rate: USD = 1.50% Quarterly (6.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.80%
ISIN XS2349099163
NEXT POTENTIAL MATURITY DATE 13/01/2026

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 1.67% Quarterly (6.68% p.a.) Income Trigger: 80% Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN
ISIN XS2358217961
NEXT POTENTIAL MATURITY DATE 31/03/2023

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 1.5625% Quarterly (6.25% p.a.) Income Trigger: 80% Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 6.25% p.a.
ISIN XS2355969465
NEXT POTENTIAL MATURITY DATE 02/04/2024

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 31/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 1.3750% Quarterly (5.50% p.a.) Income Trigger: 80% Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 5.50% p.a.
ISIN XS2355969200
NEXT POTENTIAL MATURITY DATE 02/04/2024

• FACTSHEET

COUNTERPARTY BNP Paribas Issuance B.V.
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: USD= 1.60% 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 6.40% p.a.
ISIN XS2358197759
NEXT POTENTIAL MATURITY DATE 08/05/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BNP Paribas
TYPE
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Profit Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Profit Rate: USD = 4.27% Quarterly Profit Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN -15.575%
ISIN XS2288429827
NEXT POTENTIAL MATURITY DATE 30/03/2026

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
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 then reduced by 2.5% Quarterly Memory Income Rate: USD = 4.10% Quarterly Income Trigger: 65% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 16.40% p.a.
ISIN XS2349091343
NEXT POTENTIAL MATURITY DATE 30/12/2025

• FACTSHEET