5 Year Review Structured Product Review 2024

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Analysis and Annualised Performance by Product Shape-Autocall/Kick-Out Products(Non-FTSE Only) By Product Type Capital at Risk Deposits and Capital Protected Structured Product Maturities 2023 2022 2021 2020 2019 Average 2023 2022 2021 2020 2019 Average

Non-FTSE Only Number of product maturities

120 115

126 126

168 159

47 27 13

61 55

104

3 2

2 2 0 0

1

9 0 9 0

4 0 4 0

4

Number of products producing positive returns Number of products returning capital only

96

0

1

0 5

0 0

8

3 3

5 3

1

1

3 0

Number of products which lost capital

1

7

0

0

Average duration / term (years) Average annualised return All products

2.54

3.20

3.49

3.91

2.66

3.14

6.00

3.50

6.01

6.01

6.00

5.74

8.03% 12.16% 2.53%

7.59% 9.62% 6.14%

6.85% 9.56% 4.16%

2.06% 10.04% -10.31%

6.76% 10.64%

6.86% 10.34%

3.37%

5.45%

0.00%

0.00% 0.00% 0.00%

0.00% 0.00% 0.00%

1.31%

Upper quartile Lower quartile

- -

- -

- -

0.00% 0.00%

1.13%

2.61%

Non-FTSE Only Capital at Risk Autocall Plans 2019-23

Non-FTSE Deposit Autocall Plans 2019-23

180 160 140 120 100

6

10 9 8 7 6

7

6

5

5

4

4

3

5 4 3 2 1 0

80 60 40 20 0

3

2

No. of Plans

No. of Plans

No. of Positive Returns No. Returning Capital Only Average Term (RHS)

2

No. of Positive Returns No. Returning Capital Only No. Realising Loss Average Term (RHS)

1

Average Term (Years)

Average Term (Years)

1

0

0

2023

2022

2021

2020

2019

Average

2023

2022

2021

2020

2019

Average

14% 12% 10%

6%

8% 6% 4% 2% 0%

4%

-2% -4% -6% -8%

2%

All Products Upper Quartile

All Products Upper Quartile

-10% -12% Average Annualised Returns

0% Average Annualised Returns

Lower Quartile

Lower Quartile

2023

2022

2021

2020

2019

Average

2023

2022

2021

2020

2019

Average

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