INTERNATIONAL PRODUCTS

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
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: USD = 2.75% Quarterly (11.00% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% 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 -19.04% p.a.
ISIN XS2329335421
NEXT POTENTIAL MATURITY DATE 26/01/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
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: EUR = 2.70% Quarterly (10.80% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Autocall Coupon Rate: EUR = 1.50% Quarterly (6.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN -19.06% p.a.
ISIN XS2329335264
NEXT POTENTIAL MATURITY DATE 26/01/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 08/12/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Income Trigger: 75% of initial level Income Rate: USD= 2.25% Quarterly (9% 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
ISIN XS2317534944
NEXT POTENTIAL MATURITY DATE 08/03/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 20/01/2022
RETURN & BARRIERS
Maximum Term: 4 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 (11.00% p.a.) Income Trigger: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 11.00% p.a.
ISIN XS2412756046
NEXT POTENTIAL MATURITY DATE 22/01/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/12/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.50% Quarterly (6.00% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6% p.a.
ISIN XS2385965723
NEXT POTENTIAL MATURITY DATE 09/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 07/12/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 1.25% Quarterly (5.00% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 5% p.a.
ISIN XS2385965566
NEXT POTENTIAL MATURITY DATE 09/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/12/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 80% of initial level Income Rate: USD= 2.16% Semi Annually (4.32% p.a.) Autocall Opportunities: Semi Annually (First Observation at 24 months) Autocall Trigger: 100% of initial level Autocall Coupon Rate: USD = 1.00% Semi Annually (2.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 6.32% p.a.
ISIN XS2317536212
NEXT POTENTIAL MATURITY DATE 07/06/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/12/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 80% of initial level Income Rate: GBP = 2.815% Semi Annually (5.63% p.a.) Autocall Opportunities: Quarterly (First Observation at 24 months) Autocall Trigger: 100% of initial level Autocall Coupon Rate: USD= 0.75% Quarterly (1.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 7.135 p.a.
ISIN XS2396755493
NEXT POTENTIAL MATURITY DATE 07/06/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 07/12/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 1.45% Quarterly (5.80% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 5.80% p.a.
ISIN XS2311613330
NEXT POTENTIAL MATURITY DATE 07/03/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income Rate: USD = 3.85% Quarterly (15.40% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 15.40% p.a.
ISIN XS2296826360
NEXT POTENTIAL MATURITY DATE 02/12/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 12/01/2022
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 = 3.00% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.00% p.a.
ISIN XS2317538937
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 12/01/2022
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 = 3.50% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.00% p.a.
ISIN XS2317539075
NEXT POTENTIAL MATURITY DATE 13/01/2026

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 13/01/2022
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 = 4.00% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.00% p.a.
ISIN XS2386035013
NEXT POTENTIAL MATURITY DATE 15/01/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 13/01/2022
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 = 4.00% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.00% p.a.
ISIN XS2386034719
NEXT POTENTIAL MATURITY DATE 15/01/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 26/11/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level, reducing 2% every 3 Months Floored at 75% Memory Income Rate: USD = 4.10% Quarterly (16.40% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN -21.17
ISIN XS2311598192
NEXT POTENTIAL MATURITY DATE 26/11/2025

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)
• Download

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 07/01/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 101% of initial level Coupon Rate: GBP = 6.00% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 12.00% p.a.
ISIN XS2317533201
NEXT POTENTIAL MATURITY DATE 07/07/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 07/01/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 101% of initial level Coupon Rate: USD = 6.50% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 13.00% p.a.
ISIN XS2317533383
NEXT POTENTIAL MATURITY DATE 07/07/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 07/01/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 101% 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 XS2317533466
NEXT POTENTIAL MATURITY DATE 07/07/2025

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

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 09/12/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 2.50% Quarterly (10.00% p.a.) Income Trigger: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 10.00% p.a.
ISIN XS2403751840
NEXT POTENTIAL MATURITY DATE 10/06/2024

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

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 01/12/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 90% of initial level Memory Income Rate: USD = 4.5375% Quarterly (18.15% p.a.) Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN -10.55 p.a.
ISIN XS2403707784
NEXT POTENTIAL MATURITY DATE 01/12/2025

• FACTSHEET