INVESTMENTS

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 27/10/2023
RETURN & BARRIERS
Maximum Term : 4 years Investment Structure : Memory Income Autocall AutocallOpportunities : Quarterly (First Observation at 12 months) Knock-Out Trigger 90% of initial level then reduced by 5% quarterly floored at 50%) Memory Income Rate : USD: 5.32% Quarterly (21.28% p. Income Trigger : 50% of initial level Capital Risk Not capital protected CapitalProtection Barrier : 50% Strike with Geared Put (at maturity)
P.A. RETURN 21.28%
ISIN XS2659692243
NEXT POTENTIAL MATURITY DATE 27/10/2026

• KEY INFORMATION DOCUMENT (KID)
• FVC REPORT

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 24/10/2023
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: EUR: 3.20% Semi-Annual (6.40% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.40% p.a.
ISIN XS2608950791
NEXT POTENTIAL MATURITY DATE 24/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 24/10/2023
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: 5.20% Semi-Annually (10.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 10.40% p.a.
ISIN XS2608950528
NEXT POTENTIAL MATURITY DATE 24/10/2024

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/10/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 6.50% p.a. (Paid Quarterly)USD: 6.70% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2616831728
NEXT POTENTIAL MATURITY DATE 26/10/2026

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

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 24/10/2023
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Fixed Income Fixed Income Rate: GBP: 6.50% p.a. (Paid Quarterly)USD: 6.70% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN
ISIN XS2616831991
NEXT POTENTIAL MATURITY DATE 26/10/2026

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

COUNTERPARTY Citi
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 24/10/2023
RETURN & BARRIERS
Maximum Term: 1 year Investment Structure: Fixed Income Fixed Coupon Rate: EUR: 8.61% p.a. (Paid Quarterly) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 8.61% p.a.
ISIN XS2678874111
NEXT POTENTIAL MATURITY DATE 24/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/10/2023
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: 3.80% Semi-Annual (7.60% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.60% p.a.
ISIN XS2608304494
NEXT POTENTIAL MATURITY DATE 18/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/10/2023
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: 4.15% Semi-Annual (8.30% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 8.30% p.a.
ISIN XS2608304577
NEXT POTENTIAL MATURITY DATE 18/10/2024

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

COUNTERPARTY UBS
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 24/10/2023
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: 3.70% Semi-Annually (7.40% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.40% p.a.
ISIN XS2697455926
NEXT POTENTIAL MATURITY DATE 24/10/2024

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
RETURN & BARRIERS
Investment Structure: Classic semi-annual Autocall Autocall Opportunities: Semi-annual from 12 months Autocall Trigger: 100% of initial level Coupon Rate: 4.25% semi-annual (8.50% annually) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 9.50% p.a.
ISIN XS2682514059
NEXT POTENTIAL MATURITY DATE 19/09/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
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: 6.00% Semi-Annually (12.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 12.00% p.a.
ISIN XS2608297698
NEXT POTENTIAL MATURITY DATE 19/09/2024

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/09/2023
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: 6.75% Semi-Annually (13.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.50% p.a.
ISIN XS2608297425
NEXT POTENTIAL MATURITY DATE 19/09/2024

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/10/2023
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: 6.10% Semi-Annually (12.20% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 12.20% p.a.
ISIN XS2608299801
NEXT POTENTIAL MATURITY DATE 17/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/10/2023
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: 6.70% Semi-Annually (13.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 13.40% p.a.
ISIN XS2608299983
NEXT POTENTIAL MATURITY DATE 17/10/2024

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 18/09/2023
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: 4.68% Semi-Annually (9.36% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 9.36% p.a.
ISIN XS2608977646
NEXT POTENTIAL MATURITY DATE 18/09/2024

• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/09/2023
RETURN & BARRIERS
Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level then reduced by 2.50% per quarter, Floored at 70% Memory Income Rate: USD = 4.00% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 16.00% p.a.
ISIN XS2580075732
NEXT POTENTIAL MATURITY DATE 16/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/09/2023
RETURN & BARRIERS
Investment Structure: Memory Income Reducing Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 100% of initial level then reduced by 2.50% per quarter, Floored at 70% Memory Income Rate: GBP = 3.875% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 15.50% p.a.
ISIN XS2580075658
NEXT POTENTIAL MATURITY DATE 16/12/2024

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY UniCredit AG
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: GBP: 1.81% Quarterly (7.24% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.24% p.a.
ISIN DE000HC92CZ6
NEXT POTENTIAL MATURITY DATE 16/09/2024

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Participation Growth Note Participation Rate: USD: 200% participation in the Index at maturity between 100% - 140% of initial level Capital Risk: 60% European Barrier
P.A. RETURN
ISIN XS2584329325
NEXT POTENTIAL MATURITY DATE 14/09/2028

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/09/2023
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: GBP 2.1125% Quarterly (8.45% p.a.) Income Trigger: 40% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 40% Final level (European style)
P.A. RETURN 8.45% p.a.
ISIN XS2658415547
NEXT POTENTIAL MATURITY DATE 16/03/2026

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)