INTERNATIONAL PRODUCTS

COUNTERPARTY UniCredit
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 01/11/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Quarterly Memory Income with an Annual Autocall Autocall Opportunities: Annually (First Observation at 12 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: 60% Final level (European style)
P.A. RETURN 6% p.a.
ISIN DE000HB09PX9
NEXT POTENTIAL MATURITY DATE 03/11/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 12/10/2021
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 = 2.52% Quarterly (10.08% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.08% p.a.
ISIN XS2302881789
NEXT POTENTIAL MATURITY DATE 01/07/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BNP
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/09/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Defensive Autocall with one star effect Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income Rate: USD = 1.925% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected European barrier: 65% with one star effect
P.A. RETURN 7.70% p.a.
ISIN XS2304435485
NEXT POTENTIAL MATURITY DATE 22/03/2024

• FACTSHEET

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 20/10/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Semi-Annual (First Observation at 18 months) Autocall Trigger: 100% of initial level then reduced by 2% every 6 months, Floored at 85% Memory Income Rate: GBP = 3.00% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected
P.A. RETURN 6.00% p.a.
ISIN XS2383746695
NEXT POTENTIAL MATURITY DATE 22/04/2024

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

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 20/10/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Semi-Annual (First Observation at 18 months) Autocall Trigger: 100% of initial level then reduced by 2% every 6 months, Floored at 85% Memory Income Rate: USD = 3.75% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected
P.A. RETURN 7.50% p.a.
ISIN XS2383746422
NEXT POTENTIAL MATURITY DATE 22/04/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 22/10/2021
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 = 3.90% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.80% p.a.
ISIN XS2385489005
NEXT POTENTIAL MATURITY DATE 22/04/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/10/2021
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: 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 XS2385489187
NEXT POTENTIAL MATURITY DATE 22/04/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/10/2021
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: GBP = 7.00% Quarterly (28.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2302897942
NEXT POTENTIAL MATURITY DATE 19/04/2022

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/10/2021
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 = 7.00% Quarterly (28.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2302891150
NEXT POTENTIAL MATURITY DATE 19/04/2022

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

COUNTERPARTY UniCredit
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/09/2021
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income with an Annual Autocall Autocall Opportunities: Annually (First Observation at 12 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: 60% Final level (European style)
P.A. RETURN 5.00% p.a.
ISIN DE000HR9SZK0
NEXT POTENTIAL MATURITY DATE 30/09/2025

• FACTSHEET

COUNTERPARTY UniCredit
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/09/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Quarterly Memory Income with an Annual Autocall Autocall Opportunities: Annually (First Observation at 12 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: 60% Final level (European style)
P.A. RETURN 6% p.a.
ISIN DE000HR9SZJ2
NEXT POTENTIAL MATURITY DATE 30/09/2025

• FACTSHEET

COUNTERPARTY UniCredit AG
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/09/2021
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Semi-Annual Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 105% of initial level Memory Income Rate: USD = 2.50% Semi-Annually (5.00% p.a.) Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 55% Final level (European style)
P.A. RETURN 5% p.a.
ISIN DE000HR9SYG1
NEXT POTENTIAL MATURITY DATE 30/09/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 12/10/2021
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 = 4.00% Semi-Annually USD = 4.75% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.00% p.a.
ISIN XS2302882910
NEXT POTENTIAL MATURITY DATE 14/10/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 12/10/2021
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: USD = 4.75% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 9.50% p.a.
ISIN XS2302883058
NEXT POTENTIAL MATURITY DATE 14/10/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 26/08/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 18 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP= 3.50% Semi-Annually (7.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.00% p.a.
ISIN XS2296808384
NEXT POTENTIAL MATURITY DATE 26/08/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/09/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: 2.50% Quarterly (10% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Autocall Coupon Rate: 1.50% Quarterly (6% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2296835437
NEXT POTENTIAL MATURITY DATE 30/03/2022

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 30/09/2021
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: 2.25% Quarterly (9% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Autocall Coupon Rate: 1.50% Quarterly (6% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2296835510
NEXT POTENTIAL MATURITY DATE 30/03/2022

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

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY USD
CURRENT PRICE 60.18% (as at 15/06/2026 10:26 UK Time)

STRIKE DATE 24/09/2021
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 = 4.05% Semi-Annually (8.10% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2372515390
NEXT POTENTIAL MATURITY DATE 01/10/2026

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

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY GBP
CURRENT PRICE 58.04% (as at 15/06/2026 10:26 UK Time)

STRIKE DATE 24/09/2021
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 = 3.30% Semi-Annually (6.60% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2372508262
NEXT POTENTIAL MATURITY DATE 24/09/2026

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 19/08/2021
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 = 0.85% Quarterly Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2300719858
NEXT POTENTIAL MATURITY DATE 19/08/2022

• FACTSHEET