Structured Products Annual Performance Review 2020

Analysis and Annualised Performance by Product Shape - Auto-calls / Kick-out Products

All Plans

Lowes 'Preferred' Plans

All Auto-Calls

Capital at Risk Capital 'Protected'

Deposits

Capital at Risk Capital 'Protected'

Deposits

19 15

Number of Products Returning Capital Only Number of Products which Lost Capital Number of Product Maturities Number of Products Producing Positive Returns

47 47

0

0

158 152

1 1 0 0

- - - -

- - - -

3 3

4 0

0 0

2.35

6.00

3.63

Average Duration / Term (Years) Average Annualised Returns All Products

2.67

7.16% 9.90% 4.00%

2.25%

2.94% 4.12% 0.54%

8.07% 10.13% 6.39%

-

-

- -

- -

Upper Quartile Lower Quartile

- -

Lowes 'Preferred' Plans

All Plans

Number of Product Maturities Number of Products Producing Positive Returns Number of Products Returning Capital Only FTSE 100 Index only Auto-calls Number of Products which Lost Capital

Capital at Risk Capital 'Protected'

Deposits

Capital at Risk Capital 'Protected' Deposits

97 97

0

15 15

41 41

0

0

- - -

- - - -

- - - -

0 0

0 0

0 0

-

3.00

2.55

2.15

Average Duration / Term (Years) Average Annualised Returns All Products Upper Quartile

7.41% 9.48% 5.71%

0

3.72% 4.13% 2.97%

7.83% 9.72% 6.33%

-

-

- -

- -

- -

Lower Quartile

All Plans

Lowes 'Preferred' Plans

Number of Product Maturities Number of Products Producing Positive Returns Number of Products Returning Capital Only Non-FTSE 100 Index only Auto-calls Number of Products which Lost Capital

Capital at Risk Capital 'Protected'

Deposits

Capital at Risk Capital 'Protected' Deposits

4 0 4 0

6 6 0 0

0

0

61 55

1 1 0 0

- - - -

- - - -

3 3

2.66

6.00

6.00

3.50

Average Duration / Term (Years) Average Annualised Returns All Products Upper Quartile

0.00% 0.00% 0.00%

9.73% 12.11% 8.41%

-

-

6.76% 10.64% 1.13%

2.25%

- -

- -

- -

Lower Quartile