INVESTMENTS

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/07/2022
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: 2.80% Quarterly (11.20% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 11.20% p.a.
ISIN XS2392185042
NEXT POTENTIAL MATURITY DATE 28/07/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 28/07/2022
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 12.00% p.a.
ISIN XS2392185125
NEXT POTENTIAL MATURITY DATE 28/07/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/06/2022
RETURN & BARRIERS
10.50% Annual Fixed Income Capital Protection: 50% Final Barrier
P.A. RETURN 10.50% p.a.
ISIN XS2392179078
NEXT POTENTIAL MATURITY DATE 28/06/2023

• FACTSHEET

COUNTERPARTY Credit Suisse
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 28/07/2022
RETURN & BARRIERS
Maximum Term : 5 years Investment Structure : Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD: 2.50% Quarterly (10.00% p.a) Income Trigger: 70% of initial level Capital Risk Not capital protected Capital Protection Barrier : 60% Final level (European style)
P.A. RETURN
ISIN XS2488901427
NEXT POTENTIAL MATURITY DATE 28/10/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 22/06/2022
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 = 6.90% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 13.80% p.a.
ISIN XS2378605864
NEXT POTENTIAL MATURITY DATE 23/06/2025

• FACTSHEET

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 27/07/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Capital Protected Memory Income Memory Income Rate: USD: 5.16% Annually Income Trigger: 90% of initial level Capital Risk: None Capital Protection: 100% Capital Protected at maturity
P.A. RETURN
ISIN XS2476465237
NEXT POTENTIAL MATURITY DATE 27/07/2028

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 20/07/2022
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: 6.00% Semi-Annually (12.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 12.00% p.a.
ISIN XS2477219591
NEXT POTENTIAL MATURITY DATE 20/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 20/07/2022
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: EUR: 5.50% Semi-Annually (11.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 11.00% p.a.
ISIN XS2477219757
NEXT POTENTIAL MATURITY DATE 20/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 20/07/2022
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: 7.40 % Semi Annually (14.80% p.a) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 14.80% p.a.
ISIN XS2477219831
NEXT POTENTIAL MATURITY DATE 20/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 24/05/2022
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 = 6.00% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 12.00% p.a.
ISIN XS2477031871
NEXT POTENTIAL MATURITY DATE 24/05/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 24/05/2022
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: EUR = 4.125% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.25 p.a.
ISIN XS2477031954
NEXT POTENTIAL MATURITY DATE 24/05/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 24/05/2022
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 = 5.10% Semi-Annually Autocall Trigger: 100% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 10.20% p.a.
ISIN XS2477031012
NEXT POTENTIAL MATURITY DATE 24/05/2023

• FACTSHEET

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
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: EUR: 3.20% Semi-Annually (6.40% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.40% p.a.
ISIN XS2477219328
NEXT POTENTIAL MATURITY DATE 17/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
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: 3.50% Semi-Annually (7.00% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.00%
ISIN XS2477219161
NEXT POTENTIAL MATURITY DATE 17/07/2023

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

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/07/2022
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: 4.10% Semi-Annually (8.20% p.a.) Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 8.20% p.a.
ISIN XS2477219245
NEXT POTENTIAL MATURITY DATE 17/07/2023

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

COUNTERPARTY Société Générale
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 14/07/2022
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Issuer Callable Growth Participation Note Participation Rate: 500% times growth above initial level Callable Observations: Quarterly (First Observation at 12 months) Callable Coupon Rate: USD: 1.90% Quarterly (7.60% p.a.) Capital Protection Barrier: 60% Capital Protected
P.A. RETURN
ISIN XS2476389460
NEXT POTENTIAL MATURITY DATE 14/10/2026

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

COUNTERPARTY Société Générale
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 14/07/2022
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Issuer Callable Growth Participation Note Participation Rate: 500% times growth above initial level Callable Observations: Quarterly (First Observation at 12 months) Callable Coupon Rate: GBP: 1.95% Quarterly (7.80% p.a.) Capital Protection Barrier: 60% Capital Protected
P.A. RETURN
ISIN XS2476392761
NEXT POTENTIAL MATURITY DATE 14/10/2026

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

COUNTERPARTY Société Générale
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 14/07/2022
RETURN & BARRIERS
Maximum Term: 7 years Investment Structure: Issuer Callable Growth Participation Note Participation Rate: 500% times growth above initial level Callable Observations: Quarterly (First Observation at 12 months) Callable Coupon Rate: EUR: 1.55% Quarterly (6.20% p.a.) Capital Protection Barrier: 60% Capital Protected
P.A. RETURN 6.2% p.a.
ISIN XS2476392845
NEXT POTENTIAL MATURITY DATE 14/10/2025

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 14/06/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 85% of initial level Memory Income Rate: USD= 7.40% Quarterly Income Trigger: 65% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 29.60% p.a.
ISIN XS2380270392
NEXT POTENTIAL MATURITY DATE 14/06/2023

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 12/07/2022
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: GBP: 4.50% Quarterly (18.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2378619063
NEXT POTENTIAL MATURITY DATE 13/01/2023

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