INVESTMENTS

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 23/04/2024
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 95% of initial level (Reduced by 2.50% every 6 months) Memory Income Rate: USD: 5.44% Semi-Annual (10.88% p.a.) Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2781310250
NEXT POTENTIAL MATURITY DATE 23/10/2026

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 23/04/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Reducing Knock-Out Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Knock Out Trigger: 70% of initial level (Reduced by 5% every 3 months) Memory Income Rate: USD: 6.40% Quarterly (25.60% p.a.) Income Trigger: 40% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Geared Put
P.A. RETURN 25.60% p.a.
ISIN XS2781310177
NEXT POTENTIAL MATURITY DATE 23/04/2025

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 23/04/2024
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Semi-Annual (First Observation at 12 months) Autocall Trigger: 90% of initial level (Reduced by 1.75% every 6 months) Memory Income Rate: USD: 8.60% Semi-Annual (17.20% p.a.) Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 17.20% p.a.
ISIN XS2781310334
NEXT POTENTIAL MATURITY DATE 23/04/2025

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 24/05/2024
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level with 60% Glider at month 12 Coupon Rate: USD: 6.00% Quarterly (24.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 24% p.a.
ISIN XS2781342378
NEXT POTENTIAL MATURITY DATE 25/11/2024

• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT

COUNTERPARTY Natixis
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 23/05/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 6.45% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2662084057
NEXT POTENTIAL MATURITY DATE 24/05/2027

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

COUNTERPARTY Natixis
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 23/05/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: USD: 7.25% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2662083919
NEXT POTENTIAL MATURITY DATE 24/05/2027

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/04/2024
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: 5.00% Semi-Annually (10.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.00% p.a.
ISIN XS2696277867
NEXT POTENTIAL MATURITY DATE 20/10/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/04/2024
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: 5.16% Semi-Annually (10.32% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.32% p.a.
ISIN XS2696277784
NEXT POTENTIAL MATURITY DATE 20/10/2025

• FACTSHEET

COUNTERPARTY UBS AG
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/04/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 3.875% Semi-Annual (7.75% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 7.75% p.a.
ISIN XS2806491804
NEXT POTENTIAL MATURITY DATE 17/10/2025

COUNTERPARTY Citigroup Global Markets Limited
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/05/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.65% Quarterly (6.60% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.60% p.a.
ISIN XS2795457709
NEXT POTENTIAL MATURITY DATE 18/05/2026

• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY Citigroup Global Markets Limited
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/05/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 24 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 1.85% Quarterly (7.40% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.40% p.a.
ISIN XS2795457881
NEXT POTENTIAL MATURITY DATE 18/05/2026

• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT

COUNTERPARTY UBS AG
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/05/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 3.6250% Semi-Annual (7.25% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.25% p.a.
ISIN XS2805535817
NEXT POTENTIAL MATURITY DATE 17/11/2025

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

COUNTERPARTY UBS AG
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/05/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Semi-Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 4.00% Semi-Annual (8.00% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.00% p.a.
ISIN XS2805535734
NEXT POTENTIAL MATURITY DATE 17/11/2025

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY AUD
CURRENT PRICE Not available

STRIKE DATE 09/04/2024
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: AUD: 5.575% Semi-Annually (11.15% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 11.15% p.a.
ISIN XS2720304307
NEXT POTENTIAL MATURITY DATE 09/10/2025

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 30/04/2024
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: EUR: 4.80% Semi-Annually (9.60% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 9.60% p.a.
ISIN XS2749313370
NEXT POTENTIAL MATURITY DATE 30/04/2025

• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 23/04/2024
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Capped Participation Growth Participation Rate: 155.00% Basket Growth Cap: 15.00% Maximum Return: 23.25% plus Capital at Maturity Final Observation Level: Performance of the equally weighted basket from its initial strike level. Capital Risk: 10% Capital at Risk Capital Protection Barrier: 90% Capital Protected (1-for-1 downside between 100% - 90%)
P.A. RETURN
ISIN XS2720286561
NEXT POTENTIAL MATURITY DATE 23/04/2027

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/03/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.575% Semi-Annual (6.30% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.30% p.a.
ISIN XS2720253983
NEXT POTENTIAL MATURITY DATE 29/09/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 28/03/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 18 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 1.80% Semi-Annual (7.20% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.20% p.a.
ISIN XS2720253801
NEXT POTENTIAL MATURITY DATE 29/09/2025

COUNTERPARTY Société Générale
TYPE
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/03/2024
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: 2.55% Quarterly (10.20% p.a.) Income Trigger: 55% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 55% Final Level Barrier (European Style)
P.A. RETURN 10.20% p.a.
ISIN XS2781129692
NEXT POTENTIAL MATURITY DATE 28/03/2025

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/03/2024
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Drop Down Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level, then reduced by 2.5% every quarter, floored at 90%. Coupon Rate: GBP: 2.26% Quartlery (9.04% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 9.04% p.a.
ISIN XS2720280952
NEXT POTENTIAL MATURITY DATE 30/06/2025

• FACTSHEET