INTERNATIONAL PRODUCTS

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/01/2022
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 = 3.15% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 12.60% p.a.
ISIN XS2302900753
NEXT POTENTIAL MATURITY DATE 18/07/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/01/2022
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 = 3.65% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 14.60% p.a.
ISIN XS2302900670
NEXT POTENTIAL MATURITY DATE 18/07/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 18/01/2022
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: EUR = 2.55% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.20% p.a.
ISIN XS2339643285
NEXT POTENTIAL MATURITY DATE 18/07/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 22/02/2022
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 = 3.15% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.30% p.a.
ISIN XS2339638103
NEXT POTENTIAL MATURITY DATE 22/08/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/02/2022
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: USD = 3.65% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.30% p.a.
ISIN XS2339638368
NEXT POTENTIAL MATURITY DATE 22/08/2025

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/02/2022
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 = 3.91% 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 7.82% p.a.
ISIN XS2386137793
NEXT POTENTIAL MATURITY DATE 15/08/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/02/2022
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 = 4.34% 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 8.68% p.a.
ISIN XS2386137876
NEXT POTENTIAL MATURITY DATE 15/08/2024

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 10/02/2022
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 = 3.00% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2011519027
NEXT POTENTIAL MATURITY DATE 10/02/2023

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 10/02/2022
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 = 5.50% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 11.00% p.a.
ISIN XS2339631199
NEXT POTENTIAL MATURITY DATE 12/08/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 10/02/2022
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 = 6.25% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 12.50% p.a.
ISIN XS2339631272
NEXT POTENTIAL MATURITY DATE 12/08/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 10/02/2022
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: EUR = 5.00% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.00% p.a.
ISIN XS2339631355
NEXT POTENTIAL MATURITY DATE 12/08/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 29/12/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Income Trigger: 60% of initial level Income Rate: USD= 4.4% Quarterly (17.60% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level reducing 2% Pq Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN -18.95% p.a.
ISIN XS2329342393
NEXT POTENTIAL MATURITY DATE 29/12/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 29/12/2021
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 = 3.80% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.60% p.a.
ISIN XS2329327832
NEXT POTENTIAL MATURITY DATE 30/06/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 23/12/2021
RETURN & BARRIERS
Maximum Term: 2 years Investment Structure: Memory Income Autocall Income Trigger: 80% of initial level Income Rate: GBP= 1% Quarterly (4% p.a.) Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 3.00% p.a.
ISIN XS2329323765
NEXT POTENTIAL MATURITY DATE 27/12/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 21/12/2020
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Autocall Income Rate: USD = 7.8% p.a. Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level then reduced by 2% annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2042799267
NEXT POTENTIAL MATURITY DATE 23/12/2021

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/12/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Income Trigger: 60% of initial level Income Rate: USD= 4% Quarterly (16% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 16.00% p.a.
ISIN XS2317537376
NEXT POTENTIAL MATURITY DATE 23/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/12/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Income Trigger: 85% of initial level Income Rate: USD= 2.5% Semi-Annually (5% p.a.) Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 5.00% p.a.
ISIN XS2386005370
NEXT POTENTIAL MATURITY DATE 22/12/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 16/12/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: GBP = 1.95% Quarterly (7.80% p.a.) Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Autocall Coupon Rate: USD= 1.00% Quarterly (4.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2317530447
NEXT POTENTIAL MATURITY DATE 16/12/2022

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 28/01/2022
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 = 2.50% Quarterly (10.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN -9.2775% p.a.
ISIN XS2329339928
NEXT POTENTIAL MATURITY DATE 28/01/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/02/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: GBP = 2.75% Quarterly (11.00% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% 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 -19.04% p.a.
ISIN XS2329335348
NEXT POTENTIAL MATURITY DATE 26/01/2026

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