INVESTMENTS

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/10/2022
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: 2.70% Semi-Annually (5.40% p.a.) Income Trigger: 60% of initial level
P.A. RETURN 5.40% p.a.
ISIN XS2428675990
NEXT POTENTIAL MATURITY DATE 16/10/2023

• FACTSHEET
• FVC REPORT

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 17/10/2022
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: 3.00% Quarterly (12.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2424427172
NEXT POTENTIAL MATURITY DATE 19/10/2026

• FACTSHEET
• FVC REPORT

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/10/2022
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: GBP: 2.85% Quarterly (11.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style
P.A. RETURN
ISIN XS2424427255
NEXT POTENTIAL MATURITY DATE 19/10/2026

• FACTSHEET
• FVC REPORT

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 06/09/2022
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: 3.20% Semi Annually (6.40% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 75% Final level (European style)
P.A. RETURN 6.40% p.a.
ISIN XS2426243866
NEXT POTENTIAL MATURITY DATE 06/09/2023

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 08/09/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income Rate: USD: 5.75% Quarterly (23.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2508009672
NEXT POTENTIAL MATURITY DATE 08/03/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 29/09/2022
RETURN & BARRIERS
Maximum Term: 5 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: 3.40% Semi Annually (6.80% p.a.) Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.80% p.a.
ISIN XS2477648369
NEXT POTENTIAL MATURITY DATE 29/09/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 29/09/2022
RETURN & BARRIERS
Maximum Term: 5 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: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.40% p.a.
ISIN XS2477648526
NEXT POTENTIAL MATURITY DATE 29/09/2023

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 02/09/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi-Annual (First observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 3.50% Semi-Annually Low Hurdle Trigger: 90% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 7.00% p.a.
ISIN XS2380341086
NEXT POTENTIAL MATURITY DATE 05/03/2024

• FACTSHEET

COUNTERPARTY Morgan Stanely
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 27/09/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP : 6.25% Semi Annually (12.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 12.50% p.a.
ISIN XS2477592989
NEXT POTENTIAL MATURITY DATE 27/09/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 27/09/2022
RETURN & BARRIERS
Maximum Term: 5 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: 65% Final level (European style)
P.A. RETURN 13.50% p.a.
ISIN XS2477593011
NEXT POTENTIAL MATURITY DATE 27/09/2023

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 25/08/2022
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: USD: 3.75% Quarterly (15.00% p.a.) Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2392196247
NEXT POTENTIAL MATURITY DATE 27/02/2023

• FACTSHEET

COUNTERPARTY Goldman Sachs
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/08/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi- Annual (First Observation at 36 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 12.50% Semi Annually (25.00% p.a.) Low Hurdle Trigger: 60% on Final Observation. Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2467326638
NEXT POTENTIAL MATURITY DATE 19/02/2027

COUNTERPARTY Societe Generale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 19/08/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi- Annual (First Observation at 36 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 13.20% Semi Annually (26.40% p.a.) Low Hurdle Trigger: 60% on Final Observation. Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN
ISIN XS2507985807
NEXT POTENTIAL MATURITY DATE 19/02/2027

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 20/09/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall Autocall Opportunities: Semi Annual (First Observation at 24 months) Autocall Trigger: 100% of initial level Coupon Rate: USD: 3.00% Semi Annually (6.00% p.a.) Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN 6.00% p.a.
ISIN XS2477550631
NEXT POTENTIAL MATURITY DATE 20/09/2024

• FACTSHEET

COUNTERPARTY Barclays
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 16/09/2022
RETURN & BARRIERS
Maximum Term: 5 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 : 2.65 % Semi Annually (5.3 0 % p.a.) Income Trigger: 60% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 5.30% p.a.
ISIN XS2414639075
NEXT POTENTIAL MATURITY DATE 19/09/2023

• FACTSHEET

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 16/09/2022
RETURN & BARRIERS
Maximum Term: 5 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: 3.10 % Semi Annually (6.20 % p.a.) Income Trigger: 60 % of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 6.20% p.a.
ISIN XS2414639158
NEXT POTENTIAL MATURITY DATE 19/09/2023

• FACTSHEET

COUNTERPARTY Barclays Bank PLC
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 17/08/2022
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: 3.20% Semi Annually (6.20% p.a.) Income Trigger: 70% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 6.4% p.a.
ISIN XS2414620489
NEXT POTENTIAL MATURITY DATE 18/08/2025

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/08/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Capital Protected Participation Participation Rate: USD: 124.40% participation in the Index (Capped at 45% growth returning 155.98%) Capital Risk: 100% Capital protected
P.A. RETURN
ISIN XS2414008677
NEXT POTENTIAL MATURITY DATE 23/08/2027

COUNTERPARTY EFG International
TYPE
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 05/08/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Reducing Autocall Autocall Opportunities: Annually (First Observation at 3 months) Autocall Trigger: 100% of initial level, reducing 5% p.a. Coupon Rate: GBP= 2.838% Quarterly (11.352% p.a.) Capital Risk: Not capital protected. Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN CH1188157718
NEXT POTENTIAL MATURITY DATE 06/02/2023

COUNTERPARTY EFG International
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 05/08/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Reducing Autocall Autocall Opportunities: Annually (First Observation at 3 months) Autocall Trigger: 100% of initial level, reducing 5% p.a. Coupon Rate: GBP= 3.438% Quarterly (13.752% p.a.) Capital Risk: Not capital protected. Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN CH1188157700
NEXT POTENTIAL MATURITY DATE 06/02/2023