SPR Structured Products Annual Review - Exante Webinar

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Analysis and Annualised Performance 2020

By Product Type

Capital at Risk

Deposits and Capital Protected

5 year average

5 year average

Structured Product Maturities

2020 2019 2018 2017

2016

2020 2019 2018 2017

2016

All products Number of product maturities

173 133

62 30 32

243 236

270 268

522 508

287 271

299 283

91 79 12

115 94

140 113

148 117

111 87 25

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

24 16

3 4

2 0

9 5

7 9

9 7

21

27

31

0

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

0

0

0

0

0

4.53

5.49

3.32

2.96

3.17

3.79

3.43

5.13

5.67

5.40

5.23

5.38

Average annualised return All products

4.22% 9.22% -4.01%

1.55% 4.01% 0.00%

6.74% 7.55% 8.02% 6.63% 7.02% 9.38% 9.66% 11.33% 10.31% 10.27% 3.81% 5.62% 4.89% 2.11% 3.28%

3.05% 3.53% 3.40% 3.32% 3.14% 5.07% 5.63% 6.32% 6.16% 5.67% 0.55% 0.52% 0.18% 0.06% 0.26%

Upper quartile Lower quartile

FTSE 100 Index Only Number of product maturities

86 77

32 17 15

160 160

192 192

313 313

209 207

192 190

60 60

68 68

70 70

101

66 62

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

97

9 0

0 0

0 0

0 0

2 0

2 0

0 0

0 0

0 0

4 0

4 0

0

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

4.24

5.35

3.36

3.00

3.41

4.01

3.52

4.87

5.58

5.32

5.19

5.26

Average annualised return All products

5.68% 8.48% 2.43%

1.82% 4.17% 0.00%

6.81% 7.45% 7.64% 6.82% 7.11% 8.99% 9.52% 10.13% 9.53% 9.54% 5.03% 5.70% 5.75% 4.23% 4.99%

3.81% 4.57% 4.54% 3.94% 3.97% 5.19% 5.77% 6.04% 5.87% 5.60% 2.30% 3.42% 2.70% 1.52% 2.15%

Upper quartile Lower quartile

Non-FTSE 100 Index Only Number of product maturities

87 56 15 16

30

83 76

78 76

209 195

78 64

107

31 19 12

47 26 21

70 43 27

47 20 27

45 24 21

13 17

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

93

3 4

2 0

9 5

5 9

7 7

0

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

0

0

0

0

0

4.82

5.64

3.24

2.85

2.82

3.22

3.27

5.65

5.80

5.47

5.30

5.55

Average annualised return All products

2.78% 9.85% -8.29%

1.27% 3.70% 0.00%

6.59% 7.82% 8.58% 6.13% 6.86% 10.04% 9.96% 12.68% 11.77% 11.28% 1.69% 5.52% 3.86% -3.38% 0.73%

1.58% 2.03% 2.27% 1.97% 1.93% 4.22% 4.94% 6.24% 6.76% 5.46% 0.00% 0.00% 0.00% 0.00% 0.00%

Upper quartile Lower quartile

5

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