Five Year Performance Review 2023

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Analysis and Annualised Performance by Product Shape - Autocall/Kick-Out Products (FTSE Only)* By Product Type Capital at Risk Deposits and Capital Protected Structured Product Maturities 2022 2021 2020 2019 2018 Average 2022 2021 2020 2019 2018 Average

FTSE Only Number of product maturities

307 307

20 20

227 227

40 40

97 97

128 128

160 160

4 4 0 0

1 1

15 15

8 8 0 0

10 10

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

0 0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

0 0

Number of products which lost capital Average duration / term (years)

2.54

3.91

2.47

2.33

2.15

2.15

2.40

3.00

3.00

3.00

3.00

3.38

Average annualised return All products

7.06% 9.28% 5.42%

4.05% 5.27% 2.93%

7.23% 7.31% 7.41% 7.71% 7.27% 9.70% 9.59% 9.48% 9.40% 9.46% 5.45% 5.71% 5.71% 6.32% 5.62%

4.99% 2.91% 3.72% 4.16% 4.02% 5.67% 2.91% 4.13% 4.42% 4.70% 4.31% 2.91% 2.97% 3.85% 3.15%

Upper quartile Lower quartile

FTSE Only Capital at Risk Autocall Plans 2018-22

FTSE Only Deposits and Capital Protected Autocall Plans 2018-22

350 300 250 150 100 50 0

2.6 2.55 2.5 2.45 2.4 2.35 2.3 2.25 2.2 2.15 2.1

25

6 5 4 3 2 1 0

20

15

10

No. of Plans

No. of Plans

5

No. of Positive Returns Average Term

No. of Positive Returns Average Term

Average Term (Years)

Average Term (Years)

0

2022

2021

2020

2019

2018

Average

2022

2021

2020

2019

2018

Average

10%

6%

8%

4%

6%

4%

2%

Lower Quartile All Products Upper Quartile

Lower Quartile All Products Upper Quartile

2%

0% Average Annualised Returns %

0% Average Annualised Returns %

2022

2021

2020

2019

2018

Average

*The FTSE CSDI measures the performance of the same 100 shares in the same weightings as the FTSE 100 and the two are over 99% correlated - we have therefore grouped the two underlyings for the purpose of this review and refer to them collectively as FTSE.

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