INVESTMENTS

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY EUR
CURRENT PRICE Not available

STRIKE DATE 01/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Classic Autocall with One Star Effect Autocall Opportunities: Semi Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 3.75% Semi Annually (7.50% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 7.50% p.a.
ISIN XS2355886503
NEXT POTENTIAL MATURITY DATE 02/04/2024

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 01/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Reducing Autocall with One Star Effect Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level then reduced by 2.50% every 3 months Floored at 60% Coupon Rate: USD = 5.375% Quarterly (21.00% p.a. Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 21.00% p.a
ISIN XS2355894192
NEXT POTENTIAL MATURITY DATE 01/07/2026

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 13/04/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: GBP = 2.45% Quarterly (9.80% p.a.) USD = 2.70% Quarterly (10.80% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 85% of initial level Autocall Coupon Rate: GBP = 1.50% Quarterly (6.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 9.80%
ISIN XS2349099247
NEXT POTENTIAL MATURITY DATE 13/01/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 13/04/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Hybrid Memory Income Autocall Income Trigger: 50% of initial level Income Rate: GBP = 2.45% Quarterly (9.80% p.a.) USD = 2.70% Quarterly (10.80% p.a.) Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 85% of initial level Autocall Coupon Rate: USD = 1.50% Quarterly (6.00% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.80%
ISIN XS2349099163
NEXT POTENTIAL MATURITY DATE 13/01/2026

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

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 1.67% Quarterly (6.68% p.a.) Income Trigger: 80% Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN
ISIN XS2358217961
NEXT POTENTIAL MATURITY DATE 31/03/2023

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 31/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: USD = 1.5625% Quarterly (6.25% p.a.) Income Trigger: 80% Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 6.25% p.a.
ISIN XS2355969465
NEXT POTENTIAL MATURITY DATE 02/04/2024

• FACTSHEET

COUNTERPARTY BNP Paribas
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 31/03/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Annually (First Observation at 12 months) Autocall Trigger: 100% of initial level Coupon Rate: GBP = 1.3750% Quarterly (5.50% p.a.) Income Trigger: 80% Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 5.50% p.a.
ISIN XS2355969200
NEXT POTENTIAL MATURITY DATE 02/04/2024

• FACTSHEET

COUNTERPARTY BNP Paribas Issuance B.V.
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 29/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Memory Income Autocall with One Star Effect Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD= 1.60% Quarterly Income Trigger: 80% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style) One Star Effect Trigger: 100% of initial level
P.A. RETURN 6.40% p.a.
ISIN XS2358197759
NEXT POTENTIAL MATURITY DATE 08/05/2023

• FACTSHEET
• KEY INFORMATION DOCUMENT (KID)

COUNTERPARTY BNP Paribas
TYPE
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Profit Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Profit Rate: USD = 4.27% Quarterly Profit Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN -15.575%
ISIN XS2288429827
NEXT POTENTIAL MATURITY DATE 30/03/2026

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
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 then reduced by 2.5% Quarterly Memory Income Rate: USD = 4.10% Quarterly Income Trigger: 65% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 60% Final level (European style)
P.A. RETURN 16.40% p.a.
ISIN XS2349091343
NEXT POTENTIAL MATURITY DATE 30/12/2025

• FACTSHEET

COUNTERPARTY Leonteq
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 30/03/2022
RETURN & BARRIERS
Maximum Term: 4 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Memory Income Rate: USD = 6.75% Quarterly Income Trigger: 75% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 27.00% p.a.
ISIN CH1164000072
NEXT POTENTIAL MATURITY DATE 30/12/2024

• FACTSHEET

COUNTERPARTY BBVA
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/04/2022
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 = 2.45% Quarterly (9.80% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 9.80% p.a.
ISIN XS2361879187
NEXT POTENTIAL MATURITY DATE 28/04/2026

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

COUNTERPARTY BBVA
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 28/04/2022
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 = 2.60% Quarterly (10.40% p.a.) Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 10.40% p.a.
ISIN XS2361879005
NEXT POTENTIAL MATURITY DATE 28/04/2026

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

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

STRIKE DATE 28/04/2022
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 = 3.125% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 6.25% p.a.
ISIN XS2366932791
NEXT POTENTIAL MATURITY DATE 30/04/2024

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

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

STRIKE DATE 28/04/2022
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: USD = 3.650% Semi-Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 7.3% p.a.
ISIN XS2366932874
NEXT POTENTIAL MATURITY DATE 30/04/2024

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

COUNTERPARTY Marex
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 28/03/2022
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 = 8.76% Semi Annually Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN
ISIN XS2329170083
NEXT POTENTIAL MATURITY DATE 29/03/2027

COUNTERPARTY BNP
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 21/03/2022
RETURN & BARRIERS
Maximum Term: 5 years Investment Structure: Defensive Autocall Autocall Opportunities: Quarterly (First Observation at 6 months) Autocall Trigger: 95% of initial level Coupon 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 XS2358529423
NEXT POTENTIAL MATURITY DATE 30/03/2027

• FACTSHEET

COUNTERPARTY BIL
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 18/03/2022
RETURN & BARRIERS
Maximum Term: 3 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 = 4.70% Semi- Annually Income Trigger: 85% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 70% Final level (European style)
P.A. RETURN 9.40% p.a.
ISIN CH1156469681
NEXT POTENTIAL MATURITY DATE 18/03/2024

COUNTERPARTY Barclays
TYPE Note
CURRENCY USD
CURRENT PRICE Not available

STRIKE DATE 15/03/2022
RETURN & BARRIERS
Maximum Term: 3 years Investment Structure: Memory Income Autocall Autocall Opportunities: Quarterly (First Observation at 12 months) Autocall Trigger: 100% of initial level Memory Income Rate: USD = 6.25% Quarterly Income Trigger: 50% of initial level Capital Risk: Not capital protected Capital Protection Barrier: 50% Final level (European style)
P.A. RETURN 25.00% p.a.
ISIN XS2354961273
NEXT POTENTIAL MATURITY DATE 17/03/2025

COUNTERPARTY Morgan Stanley
TYPE Note
CURRENCY GBP
CURRENT PRICE Not available

STRIKE DATE 13/04/2022
RETURN & BARRIERS
Maximum Term: 6 years Investment Structure: Low Hurdle Autocall Autocall Opportunities: Semi-Annual (First observation at 12 months) Autocall Trigger: 100% Coupon Rate: GBP = 4.69% Semi-Annually Low Hurdle Trigger: 90% of initial level at maturity for all accumulated coupons Capital Risk: Not capital protected Capital Protection Barrier: 65% Final level (European style)
P.A. RETURN 9.38% p.a.
ISIN XS2425012767
NEXT POTENTIAL MATURITY DATE 13/10/2023

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