INTERNATIONAL PRODUCTS

CURRENT PRODUCTS PREVIOUS PRODUCTS
PRODUCT NAME
ISIN
STRIKE DATE
INDICATIVE PRICE
STATUS
FACTSHEET
CIBC 80-60 Memory Income Autocall March 2020 USD
ISIN: XS2132904959
STRIKE DATE: 30/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY CIBC
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
IBEX 356,659.900017580.4
Nasdaq 1007,889.006024019.99
FTSE 1005,563.740010364.79
S&P/ASX 2005,181.38008671.785

STRIKE DATE 30/03/2020
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 Income Rate: USD = 3.70% Semi-Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2132904959
NEXT POTENTIAL MATURITY DATE 30/03/2021

EXPAND CLOSE
CIBC 80-60 Memory Income Autocall March 2020 GBP
ISIN: XS2132905170
STRIKE DATE: 30/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY CIBC
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
IBEX 356,659.900017580.4
Nasdaq 1007,889.006024019.99
FTSE 1005,563.740010364.79
S&P/ASX 2005,181.38008671.785

STRIKE DATE 30/03/2020
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 Income Rate: GBP = 3.30% Semi-Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2132905170
NEXT POTENTIAL MATURITY DATE 30/03/2021

EXPAND CLOSE
BBVA US 50-50 Memory Income Autocall March 2020 USD
ISIN: XS2073899788
STRIKE DATE: 04/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Advanced Micro Devices50.1100210.21
Nvidia Corporation284.5100175.75
Apple Inc75.685255.63
Twitter Inc36.000053.7

STRIKE DATE 04/03/2020
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Reduced by 1% each quarter Memory Income Rate: USD = 3.4% Quarter Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2073899788
NEXT POTENTIAL MATURITY DATE 04/03/2021

EXPAND CLOSE
BBVA Developed Indices Memory Income Autocall February 2020 GBP
ISIN: XS2113657816
STRIKE DATE: 28/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
OMX Stockholm 301,668.83703006.37
S&P/ASX 2006,441.21008671.785
Nasdaq 1006,580.610024019.99
HSI26,129.930025294.03

STRIKE DATE 28/02/2020
RETURN & BARRIERS
Investment Structure: Annual Memory Income Autocall Autocall Opportunities: Annual(First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP= 5% Annual Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2113657816
NEXT POTENTIAL MATURITY DATE 01/03/2021

EXPAND CLOSE
BBVA Developed Indices Memory Income Autocall February 2020 USD
ISIN: XS2113669316
STRIKE DATE: 28/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
OMX Stockholm 301,668.83703006.37
S&P/ASX 2006,441.21008671.785
Nasdaq 1008,461.835024019.99
HSI26,129.930025294.03

STRIKE DATE 28/02/2020
RETURN & BARRIERS
Investment Structure: Annual Memory Income Autocall Autocall Opportunities: Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 6.10% Annual Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2113669316
NEXT POTENTIAL MATURITY DATE 01/03/2021

EXPAND CLOSE
BBVA Major Markets Memory Income Autocall Feb 2020 USD
ISIN: XS2073893401
STRIKE DATE: 28/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1006,580.610010364.79
S&P 5002,954.22006575.32
Eurostoxx 503,329.49005732.71

STRIKE DATE 28/02/2020
RETURN & BARRIERS
Investment Structure: Annual Memory Income Autocall Autocall Opportunities: Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 6.5% Annual Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2073893401
NEXT POTENTIAL MATURITY DATE 01/03/2021

EXPAND CLOSE
GS Major Markets Classic Autocall February 2020 GBP
ISIN: XS1967003234
STRIKE DATE: 28/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Nikkei 22521,142.960053739.68
S&P 5002,954.22006575.32
FTSE 1006,580.610010364.79
Eurostoxx 503,329.49005732.71

STRIKE DATE 28/02/2020
RETURN & BARRIERS
Investment Structure: Semi-Annual Snowballing Coupon if Autocalled Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP= 5.865% Semi-Annual Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1967003234
NEXT POTENTIAL MATURITY DATE 01/03/2021

EXPAND CLOSE
GS Major Markets Classic Autocall February 2020 USD
ISIN: XS1967003408
STRIKE DATE: 28/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Nikkei 22521,142.960053739.68
S&P 5002,954.22006575.32
FTSE 1006,580.610010364.79
Eurostoxx 503,329.49005732.71

STRIKE DATE 28/02/2020
RETURN & BARRIERS
Investment Structure: Semi-Annual Snowballing Coupon if Autocalled Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD= 7.145% Semi-Annual Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1967003408
NEXT POTENTIAL MATURITY DATE 01/03/2021

EXPAND CLOSE
GS Major Markets Classic Autocall February 2020 EUR
ISIN: XS1971434441
STRIKE DATE: 28/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Nikkei 22521,142.960053739.68
S&P 5002,954.22006575.32
FTSE 1006,580.610010364.79
Eurostoxx 503,329.49005732.71

STRIKE DATE 28/02/2020
RETURN & BARRIERS
RETURN & BARRIERS Investment Structure: Semi-Annual Snowballing Coupon if Autocalled Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: EUR = 4.410% Semi-Annual Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS1971434441
NEXT POTENTIAL MATURITY DATE 01/03/2021

EXPAND CLOSE
BBVA Global Markets Income Autocall Feb 2020 USD
ISIN: XS2113986710
STRIKE DATE: 27/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Nasdaq 1008,436.666024019.99
FTSE 1006,796.400010364.79
Nikkei 22521,948.230053739.68
S&P/ASX 2006,657.85208671.785

STRIKE DATE 27/02/2020
RETURN & BARRIERS
Investment Structure: Quarterly Income Autocall Autocall Opportunities: Quartley (First observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 2.1% per Quarter Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2113986710
NEXT POTENTIAL MATURITY DATE 28/02/2022

EXPAND CLOSE
BBVA Global Markets Memory Income Autocall Feb 2020 USD
ISIN: XS2113975515
STRIKE DATE: 27/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Nasdaq 1008,436.666024019.99
FTSE 1006,796.400010364.79
Nikkei 22521,948.230053739.68
S&P/ASX 2006,657.85208671.785

STRIKE DATE 27/02/2020
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall Opportunities: Quartley (First observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.85% per Quarter Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2113975515
NEXT POTENTIAL MATURITY DATE 28/02/2022

EXPAND CLOSE
Investec Diversified Markets Memory Income Autocall March 2020 USD
ISIN: XS2129748468
STRIKE DATE: 31/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005,671.960010364.79
S&P 5002,584.59006575.32
Eurostoxx 502,786.90005732.71
Nikkei 22518,917.010053739.68

STRIKE DATE 31/03/2020
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 1.47% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2129748468
NEXT POTENTIAL MATURITY DATE 31/03/2021

EXPAND CLOSE
Investec Diversified Markets Memory Income Autocall March 2020 GBP
ISIN: XS2129748542
STRIKE DATE: 31/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY Investec
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005,671.960010364.79
S&P 5002,584.59006575.32
Eurostoxx 502,786.90005732.71
Nikkei 22518,917.010053739.68

STRIKE DATE 31/03/2020
RETURN & BARRIERS
Investment Structure: Quarterly Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 1.30% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2129748542
NEXT POTENTIAL MATURITY DATE 31/03/2021

EXPAND CLOSE
Goldman Sachs 100% Protected FTSE Issuer Callable Growth Apr 2020 USD
ISIN: XS2114072395
STRIKE DATE: 07/04/2020
INDICATIVE PRICE: 133.49%
STATUS: Live
FACTSHEET: DOWNLOAD

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE 133.49% (as at 02/04/2026 09:47 UK Time)

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
FTSE 1005,704.450010364.79

STRIKE DATE 07/04/2020
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: 100% Capital Protected Issuer Callable Growth Participation Rate: USD = 175% Strike Level: 100% of the closing level on the Strike Date Callable Observations: Quarterly (First Observation at 12 months) Coupon Rate: USD = 1.50% Quarterly (6.00% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected
P.A. RETURN
ISIN XS2114072395
NEXT POTENTIAL MATURITY DATE 07/04/2026

EXPAND CLOSE
BBVA Annual Memory Income Autocall Feb 2020 USD
ISIN: XS2113775691
STRIKE DATE: 19/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
OMX Stockholm 301,900.28203006.37
S&P/ASX 2007,144.55908671.785
Russell 20001,692.57302512.368
Eurostoxx 503,865.18005732.71

STRIKE DATE 19/02/2020
RETURN & BARRIERS
Investment Structure: Annual Memory Income Autocall Autocall Opportunities: Annually (First observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 6.50% p.a. Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2113775691
NEXT POTENTIAL MATURITY DATE 19/02/2022

EXPAND CLOSE
BBVA US 50-50 Memory Income Autocall February 2020 USD
ISIN: XS2110333809
STRIKE DATE: 14/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Advanced Micro Devices55.3100210.21
Nvidia Corporation289.7900175.75
Apple Inc81.2375255.63
Twitter Inc36.910053.7

STRIKE DATE 14/02/2020
RETURN & BARRIERS
Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Reduced by 1% each quarter Memory Income Rate: USD = 3.3% Quarter Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2110333809
NEXT POTENTIAL MATURITY DATE 08/02/2021

EXPAND CLOSE
CIBC High Yield Income Autocall March 2020 USD
ISIN: XS2118193593
STRIKE DATE: 06/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY CIBC
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI10,456.93008504.81
Nasdaq 1008,530.337024019.99
FTSE 1006,462.550010364.79
S&P/ASX 2006,216.21108671.785

STRIKE DATE 06/03/2020
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Non Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Income Rate: USD = 4.30% Semi-Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2118193593
NEXT POTENTIAL MATURITY DATE 08/03/2021

EXPAND CLOSE
CIBC High Yield Income Autocall March 2020 GBP
ISIN: XS2118195531
STRIKE DATE: 06/03/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY CIBC
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI10,456.93008504.81
Nasdaq 1008,530.337024019.99
FTSE 1006,462.550010364.79
S&P/ASX 2006,216.21108671.785

STRIKE DATE 06/03/2020
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Non Memory Income Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Income Rate: GBP = 3.50% Semi-Annually Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2118195531
NEXT POTENTIAL MATURITY DATE 08/03/2021

EXPAND CLOSE
BBVA 80-70 Income Autocall Feb 2020 GBP
ISIN: XS2113961218
STRIKE DATE: 06/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
Nasdaq 1009,445.916024019.99
FTSE 1007,504.790010364.79
Nikkei 22523,873.590053739.68
S&P/ASX 2007,049.19908671.785

STRIKE DATE 06/02/2020
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Non Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP = 1.80% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN
ISIN XS2113961218
NEXT POTENTIAL MATURITY DATE 07/02/2022

EXPAND CLOSE
BBVA 60-60 Low Hurdle Autocall February 2020 GBP
ISIN: XS2112246736
STRIKE DATE: 05/02/2020
INDICATIVE PRICE: Not available
STATUS: Matured
FACTSHEET: DOWNLOAD

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

UNDERLYINGSTRIKE LEVELPREVIOUS CLOSING LEVEL
HSCEI10,493.85008504.81
Nasdaq 1009,367.481024019.99
FTSE 1007,482.480010364.79
S&P/ASX 2006,976.05308671.785

STRIKE DATE 05/02/2020
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi-Annual (First Observation at 6 months) Autocall Trigger: 100% of initial level 60% Low hurdle Autocall trigger on last observation Coupon Rate: GBP = 3% Semi-Annually Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.00% p.a.
ISIN XS2112246736
NEXT POTENTIAL MATURITY DATE 05/02/2026

EXPAND CLOSE