Five Year Performance Review 2023

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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 2022 2021 2020 2019 2018 Average 2022 2021 2020 2019 2018 Average

Non-FTSE Only Number of product maturities

126 126

2 2 0 0

168 159

47 27 13

61 55

59 57

92 85

1

9 0 9 0

5

4 0 4 0

4 0 4 0

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

0

1

0 0

8

3 3

2 0

5 2

1

4 0

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

1

7

0

3.2

3.50

3.49

3.91

2.66

2.24

3.18

6.01

6.01

6.00

5.00

5.56

Average annualised return All products

7.59% 9.62% 6.14%

5.45% -

- - -

- - -

6.85% 2.06% 6.76% 8.26% 6.73% 9.56% 10.04% 10.64% 10.29% 9.86% 4.16% -10.31% 1.13% 6.15% 3.08%

0.45% 2.25% 0.00%

0.61%

- -

- -

- -

Upper quartile Lower quartile

Non-FTSE Only Capital at Risk Autocall Plans 2018-22

Non-FTSE Deposits and Capital Protected Autocall Plans 2018-22

180 160 140 120 100

4.5 4 3.5 3 2.5 2 1.5 1 0.5 0

10 9 8 7 6 5 4 3 2 1 0

7 6 5 4 3 2 1 0

80 60 40 20 0

No. of Positive Returns No. Returning Capital Only Average Term

No. of Positive Returns No. Realising Loss Average Term

No. of Plans

No. of Plans

Average Term (Years)

Average Term (Years)

2022

2021

2020

2019

2018

Average

2022

2021

2020

2019

2018

Average

10% 8% 6% 4% 2% 0% -2% -4% -6% -8%

6%

4%

2%

Lower Quartile All Products Upper Quartile

Lower Quartile All Products Upper Quartile

-10% -12% Average Annualised Returns %

0% Average Annualised Returns %

2022

2021

2020

2019

2018

Average

2022

2021

2020

2019

2018

Average

17

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