SPR Structured Products Annual Review - Exante Webinar

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Analysis and Annualised Performance by Product Shape - Autocall/Kick-Out Products 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

87 67 13

10

158 152

187 185

365 351

149 138

189 179

19 15

12

10

3 3 0 0

11

1

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

8 4 0

9

7 4 0

9 0

3 3

2 0

9 5

6 5

7 4

4 0

1

7

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

0

3.18

5.71

2.35

2.18

2.51

2.59

2.08

3.63

3.67

3.20

3.00

3.91

Average annualised return All products

4.47% 9.84% -5.17%

0.29% 0.97% 0.00%

7.16% 7.88% 8.23% 6.98% 7.44% 9.90% 9.72% 11.57% 10.72% 10.63% 4.00% 6.18% 4.90% 2.04% 3.63%

2.94% 2.77% 4.41% 4.23% 2.76%

Upper quartile Lower quartile

4.12% 4.38% 5.64% - 0.54% 0.00% 2.79% -

3.65% 0.71%

FTSE 100 Index Only Number of product maturities

40 40

1 1

97 97

128 128

187 187

85 84

107 107

15 15

8 8 0 0

8 8 0 0

3 3 0 0

7 7

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

0 0

0 0

0 0

0 0

0 0

1

0 0

0 0

0 0

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

0

2.33

3.00

2.15

2.15

2.31

2.38

2.26

3.00

3.00

3.00

3.00

3.00

Average annualised return All products

7.31% 9.59% 5.71%

2.91%

7.41% 7.71% 7.62% 7.17% 7.51% 9.48% 9.40% 9.36% 8.78% 9.32% 5.71% 6.32% 6.23% 5.78% 6.05%

3.72% 4.16% 4.67% 4.23% 4.06%

- -

Upper quartile Lower quartile

4.13% 4.42% 5.10% - 2.97% 3.85% 4.19% -

3.95% 3.11%

Non-FTSE 100 Index Only Number of product maturities

47 27 13

9 0 9 0

61 55

59 57

178 164

64 54

82

4 0 4 0

4 0 4 0

2

0

4 0 4 0

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

71

1 1

- - - -

3 3

2 0

9 5

5 5

6 4

7

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

0

3.91

6.01

2.66

2.24

2.72

2.88

2.80

6.00

5.00

4.00

5.73

Average annualised return All products

2.06% 10.04% -10.31%

0.00% 0.00% 0.00%

6.76% 8.26% 8.87% 6.73% 7.35% 10.64% 10.29% 13.03% 12.23% 11.81% 1.13% 6.15% 3.94% -2.62% 1.18%

0.00% 0.00% 3.36% -

0.35% 0.00% 0.00%

Upper quartile Lower quartile

0.00% 0.00% - 0.00% 0.00% -

- -

7

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