INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
GS Diversified Markets Memory Income Autocall Feb 2021 USD
ISIN: XS2273841820
STRIKE DATE: 05/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,840.53108804.037
FTSE 1006,489.330010471.72
Russell 20002,233.32702943.992
MSCI Taiwan660.90001983.51

STRIKE DATE 05/02/2021
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Reducing Autocall Autocall opportunities: Quarterly (First observation at 24 months) Autocall Trigger: 100% of initial level then reduced 2% per quarter Memory Income Rate: 1.50% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 55% Final level (European style)
P.A. RETURN 6% p.a.
ISIN XS2273841820
NEXT POTENTIAL MATURITY DATE 07/05/2024

EXPAND CLOSE
GS Diversified Markets Memory Income Autocall Feb 2021 GBP
ISIN: XS2273845060
STRIKE DATE: 05/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,840.53108804.037
FTSE 1006,489.330010471.72
Russell 20002,233.32702943.992
MSCI Taiwan660.90001983.51

STRIKE DATE 05/02/2021
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Reducing Autocall Autocall opportunities: Quarterly (First observation at 24 months) Autocall Trigger: 100% of initial level then reduced 2% per quarter Memory Income Rate: 1.25% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 55% Final level (European style)
P.A. RETURN 5% p.a.
ISIN XS2273845060
NEXT POTENTIAL MATURITY DATE 07/05/2024

EXPAND CLOSE
Goldman Sachs Quarterly Memory Income Reducing Autocall Feb 2021 GBP
ISIN: XS2294478073
STRIKE DATE: 25/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006,651.960010471.72
S&P/ASX 2006,834.03108804.037
MSCI Taiwan679.33001983.51
Russell 20002,200.17202943.992

STRIKE DATE 25/02/2021
RETURN & BARRIERS
Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level then reduced by 1% every 3 months, floored at 85% Memory Income Rate: GBP = 1.55% Quarterly Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 4.65%
ISIN XS2294478073
NEXT POTENTIAL MATURITY DATE 26/02/2024

EXPAND CLOSE
Goldman Sachs High Yield Classic Autocall March 2021 USD
ISIN: XS2225108567
STRIKE DATE: 05/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,710.84608804.037
FTSE 1006,630.520010471.72
IBEX 358,286.800018764.4
MSCI Taiwan648.87001983.51

STRIKE DATE 05/03/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 7.04% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 14.08% p.a.
ISIN XS2225108567
NEXT POTENTIAL MATURITY DATE 05/03/2024

EXPAND CLOSE
Morgan Stanley Triple Index Classic Autocall Mar 2021 GBP
ISIN: XS2284565947
STRIKE DATE: 04/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006,650.880010471.72
Eurostoxx 503,704.85006187.63
S&P 5003,768.47007431.46

STRIKE DATE 04/03/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 3.75% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2284565947
NEXT POTENTIAL MATURITY DATE 06/03/2023

EXPAND CLOSE
Morgan Stanley Triple Index Classic Autocall Mar 2021 USD
ISIN: XS2284566242
STRIKE DATE: 04/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006,650.880010471.72
Eurostoxx 503,704.85006187.63
S&P 5003,768.47007431.46

STRIKE DATE 04/03/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 4.15% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2284566242
NEXT POTENTIAL MATURITY DATE 06/03/2023

EXPAND CLOSE
Goldman Sachs 85-65 Memory Income Reducing Autocall
ISIN: XS2274390504
STRIKE DATE: 19/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,793.7938804.037
IBEX 358,151.618764.4
Nasdaq 10013,580.7829635.95
MSCI Taiwan680.551983.51

STRIKE DATE 19/02/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level then reduced by 2% every 6 months, floored at 85% Memory Income Rate: USD = 4.40% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2274390504
NEXT POTENTIAL MATURITY DATE 22/02/2022

EXPAND CLOSE
BBVA European Banks Defensive Autocall March 2021 GBP
ISIN: XS2073913878
STRIKE DATE: 03/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Banco Santander2.944511.026
HSBC432.90001372.8
Lloyds40.4150102.35
Societe Generale21.480073.4

STRIKE DATE 03/03/2021
RETURN & BARRIERS
Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon Rate: GBP = 5.00% Quarterly (20% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2073913878
NEXT POTENTIAL MATURITY DATE 03/03/2022

EXPAND CLOSE
BBVA European Banks Defensive Autocall March 2021 USD
ISIN: XS2224087507
STRIKE DATE: 03/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Banco Santander2.944511.026
HSBC432.90001372.8
Lloyds40.4150102.35
Societe Generale21.480073.4

STRIKE DATE 03/03/2021
RETURN & BARRIERS
Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon Rate: USD = 5.25% Quarterly (21% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2224087507
NEXT POTENTIAL MATURITY DATE 03/03/2022

EXPAND CLOSE
Goldman Sachs 77-65 Memory Income Reducing Autocall March 2021 GBP
ISIN: XS2274294532
STRIKE DATE: 09/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,771.16108804.037
FTSE 1006,730.340010471.72
Nasdaq 10012,794.490029635.95
MSCI Taiwan646.85001983.51

STRIKE DATE 09/03/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) Autocall Trigger: 95% of initial level then reduced by 1% every 6 months Memory Income Rate: GBP = 2.50% Semi-Annually Income Trigger: 77% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 5.00% p.a.
ISIN XS2274294532
NEXT POTENTIAL MATURITY DATE 11/09/2023

EXPAND CLOSE
Goldman Sachs 77-65 Memory Income Reducing Autocall March 2021 USD
ISIN: XS2274294458
STRIKE DATE: 09/03/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,771.16108804.037
FTSE 1006,730.340010471.72
Nasdaq 10012,794.490029635.95
MSCI Taiwan646.85001983.51

STRIKE DATE 09/03/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) Autocall Trigger: 95% of initial level then reduced by 1% every 6 months Memory Income Rate: USD = 3.00% Semi-Annually Income Trigger: 77% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.00% p.a.
ISIN XS2274294458
NEXT POTENTIAL MATURITY DATE 11/09/2023

EXPAND CLOSE
BBVA Global Markets Classic Autocall Feb 2021 GBP
ISIN: XS2224086442
STRIKE DATE: 25/02/2021
INDICATIVE PRICE: 84.23%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE 84.23% (as at 15/06/2026 10:26 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 503,685.28006187.63
FTSE 1006,651.960010471.72
HSCEI11,717.41008374.43
S&P/TSX 601,084.26902050.451

STRIKE DATE 25/02/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 3.50% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2224086442
NEXT POTENTIAL MATURITY DATE 25/08/2026

EXPAND CLOSE
BBVA Global Markets Classic Autocall Feb 2021 USD
ISIN: XS2224086798
STRIKE DATE: 25/02/2021
INDICATIVE PRICE: 84.25%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE 84.25% (as at 15/06/2026 10:26 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 503,685.28006187.63
FTSE 1006,651.960010471.72
HSCEI11,717.41008374.43
S&P/TSX 601,084.26902050.451

STRIKE DATE 25/02/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 4.60% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2224086798
NEXT POTENTIAL MATURITY DATE 25/08/2026

EXPAND CLOSE
BBVA Global Markets Classic Autocall Feb 2021 EUR
ISIN: XS2224086525
STRIKE DATE: 25/02/2021
INDICATIVE PRICE: 84.80%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE 84.80% (as at 15/06/2026 10:26 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Eurostoxx 503,685.28006187.63
FTSE 1006,651.960010471.72
HSCEI11,717.41008374.43
S&P/TSX 601,084.26902050.451

STRIKE DATE 25/02/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: EUR = 3.00% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2224086525
NEXT POTENTIAL MATURITY DATE 25/08/2026

EXPAND CLOSE
BBVA US Tech 50-50 Memory Income Autocall EUR February 2021
ISIN: XS2224083423
STRIKE DATE: 24/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Amazon.com3,159.5300238.55
Advanced Micro Devices86.9400511.57
Apple Inc125.3500291.13
Tesla Motors742.0200

STRIKE DATE 24/02/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 90% of initial level Memory Income Rate: EUR = 4.05% Quarterly Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2224083423
NEXT POTENTIAL MATURITY DATE 27/08/2021

EXPAND CLOSE
BBVA US Tech 50-50 Memory Income Autocall GBP February 2021
ISIN: XS2224080080
STRIKE DATE: 24/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Amazon.com3,159.5300238.55
Advanced Micro Devices86.9400511.57
Apple Inc125.3500291.13
Tesla Motors742.0200

STRIKE DATE 24/02/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 90% of initial level Memory Income Rate: GBP = 4.25% Quarterly Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2224080080
NEXT POTENTIAL MATURITY DATE 29/11/2021

EXPAND CLOSE
BBVA US Tech 50-50 Memory Income Autocall USD February 2021
ISIN: XS2224080163
STRIKE DATE: 24/02/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Amazon.com3,159.5300238.55
Advanced Micro Devices86.9400511.57
Apple Inc125.3500291.13
Tesla Motors742.0200

STRIKE DATE 24/02/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 90% of initial level Memory Income Rate: USD = 4.50% Quarterly Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2224080163
NEXT POTENTIAL MATURITY DATE 27/08/2021

EXPAND CLOSE
Goldmans 75-60 Memory Income Reducing Autocall January 2021 USD
ISIN: XS2273885447
STRIKE DATE: 19/01/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006,712.950010471.72
Russell 20002,151.13702943.992
Nikkei 22528,633.460066020.04
Russian Depository Index1,692.70000

STRIKE DATE 19/01/2021
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 3.45% Semi-Annually Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.90% p.a.
ISIN XS2273885447
NEXT POTENTIAL MATURITY DATE 19/07/2023

EXPAND CLOSE
Goldmans Quarterly Classic Autocall January 2021 USD
ISIN: XS2019655351
STRIKE DATE: 12/01/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
S&P/ASX 2006,679.08308804.037
Nasdaq 10012,892.090029635.95
FTSE 1006,754.110010471.72
MSCI Taiwan636.27001983.51

STRIKE DATE 12/01/2021
RETURN & BARRIERS
Investment Structure: Classic Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 2.90% Quarterly Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2019655351
NEXT POTENTIAL MATURITY DATE 12/07/2021

EXPAND CLOSE
Barclays 3 Year Oil & Gas Sector Quarterly Autocall Jan 2021 GBP
ISIN: XS2219795080
STRIKE DATE: 14/01/2021
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Barclays Bank
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
SPDR S&P Oil & Gas ETF71.7100165.34

STRIKE DATE 14/01/2021
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Classic Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 3.00% Quarterly Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2219795080
NEXT POTENTIAL MATURITY DATE 14/07/2021

EXPAND CLOSE