INTERNATIONAL PRODUCTS

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 12/10/2021
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 = 2.75% Quarterly Income Trigger: 55% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 55% Final level (European style)
P.A. RETURN -4.96% p.a.
ISIN XS2311141571
NEXT POTENTIAL MATURITY DATE 14/10/2024

COUNTERPARTY BNP
TYPE Note
CURRENCY USD
CURRENT PRICE 192.41% (as at 15/06/2026 10:26 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 = 5.75% Quarterly (23% 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 XS2355957452
NEXT POTENTIAL MATURITY DATE 01/07/2026

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

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
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 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 3.375% Quarterly (13.50% p.a.) Income Trigger: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.50% p.a.
ISIN XS2444514389
NEXT POTENTIAL MATURITY DATE 05/04/2024

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
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 = 3.125% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.50% p.a.
ISIN XS2354947447
NEXT POTENTIAL MATURITY DATE 02/04/2024

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
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 = 3.375% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.75% p.a.
ISIN XS2354947520
NEXT POTENTIAL MATURITY DATE 02/04/2024

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 25/03/2022
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 Memory Income Rate: USD = 2.16% Quarterly (8.64% p.a.) Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 8.64% p.a.
ISIN XS2356237813
NEXT POTENTIAL MATURITY DATE 25/03/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/02/2022
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 = 2.9% Semi- Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 5.80% p.a.
ISIN XS2424800238
NEXT POTENTIAL MATURITY DATE 26/02/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 23/03/2022
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 = 4.25% Quarterly (17.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 29.75% p.a.
ISIN XS2349082433
NEXT POTENTIAL MATURITY DATE 27/12/2023

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 23/03/2022
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 = 4.25% Quarterly (17.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 29.75% p.a.
ISIN XS2349082359
NEXT POTENTIAL MATURITY DATE 27/12/2023

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 29/03/2022
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 = 3.35% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.70% p,a,
ISIN XS2349080908
NEXT POTENTIAL MATURITY DATE 31/03/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 29/03/2022
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 = 3.85% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.70% p.a.
ISIN XS2349080817
NEXT POTENTIAL MATURITY DATE 31/03/2025

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi-Annual (First observation at 12 months) Autocall Trigger: 100% Coupon Rate: GBP = 4.05% 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 8.10% p.a.
ISIN XS2424809882
NEXT POTENTIAL MATURITY DATE 19/09/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi-Annual (First observation at 12 months) Autocall Trigger: 100% Coupon Rate: USD = 4.59% 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 9.18% p.a.
ISIN XS2424809965
NEXT POTENTIAL MATURITY DATE 19/09/2023

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/02/2022
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 = 2.81% Semi- Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 5.62% p.a.
ISIN XS2339630977
NEXT POTENTIAL MATURITY DATE 14/08/2025

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 14/02/2022
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: USD = 8% Annually Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8% p.a.
ISIN XS2422665799
NEXT POTENTIAL MATURITY DATE 14/02/2024

COUNTERPARTY Leonteq
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 11/02/2022
RETURN & BARRIERS
Maximum Term: 2 years Investment Structure: Memory Income Autocall Autocall Opportunities: Monthly Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.425% Monthly Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 17.10% p.a.
ISIN CH1158664115
NEXT POTENTIAL MATURITY DATE 12/02/2024

COUNTERPARTY Leonteq
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 11/02/2022
RETURN & BARRIERS
Maximum Term: 2 years Investment Structure: Memory Income Autocall Autocall Opportunities: Monthly Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.792% Monthly Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN CH1158664123
NEXT POTENTIAL MATURITY DATE 12/02/2024

COUNTERPARTY Leonteq
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 11/02/2022
RETURN & BARRIERS
Maximum Term: 2 years Investment Structure: Memory Income Autocall Autocall Opportunities: Monthly Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.10% Monthly Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.20% p.a.
ISIN CH1158664107
NEXT POTENTIAL MATURITY DATE 12/02/2024

COUNTERPARTY Leonteq
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 11/02/2022
RETURN & BARRIERS
Maximum Term: 2 years Investment Structure: Memory Income Autocall Autocall Opportunities: Monthly Autocall Trigger: 100% of initial level Memory Income Rate: USD = 2.125% Monthly Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 16.865% p.a.
ISIN CH1158664099
NEXT POTENTIAL MATURITY DATE 12/02/2024

COUNTERPARTY Leonteq
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 11/02/2022
RETURN & BARRIERS
Maximum Term: 2 years Investment Structure: Memory Income Autocall Autocall Opportunities: Monthly Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.708% Monthly Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN CH1158664081
NEXT POTENTIAL MATURITY DATE 12/07/2022