INTERNATIONAL PRODUCTS

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

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