Structured Products Annual Performance Review 2022

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Analysis and Annualised Performance 2021

By Product Type

Capital at Risk

Deposits and Capital Protected

5 year average

5 year average

Structured Product Maturities

2021

2020 2019 2018 2017

2021

2020 2019 2018 2017

All products Number of product maturities

459 444

70 39 31

173 133

243 236

270 268

522 508

333 318

62 30 32

91 79 12

115 94

140 113

96 71 25

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

9 6

24 16

3 4

2 0

9 5

9 5

21

27

0

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

0

0

0

0

0

3.19

4.69

4.53

3.32

2.96

3.17

3.30

5.49

5.13

5.67

5.40

5.32

Average annualised return All products

6.82% 9.57% 4.23%

2.13% 4.87% 0.00%

4.22% 6.74% 7.55% 8.02% 7.03% 9.22% 9.38% 9.66% 11.33% 10.07% -4.01% 3.81% 5.62% 4.89% 3.75%

1.55% 3.05% 3.53% 3.40% 2.94% 4.01% 5.07% 5.63% 6.32% 5.40% 0.00% 0.55% 0.52% 0.18% 0.28%

Upper quartile Lower quartile

FTSE 100 Index Only Number of product maturities

273 272

55 35 20

86 77

160 160

192 192

313 313

205 203

32 17 15

60 60

68 68

70 70

57 50

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

1

9 0

0 0

0 0

0 0

2 0

0 0

0 0

0 0

7

0

0

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

0

0

2.88

4.48

4.24

3.36

3.00

3.41

3.25

5.35

4.87

5.58

5.32

5.13

Average annualised return All products

7.01% 9.57% 5.02%

2.58% 5.10% 0.00%

5.68% 6.81% 7.45% 7.64% 7.14% 8.48% 8.99% 9.52% 10.13% 9.55% 2.43% 5.03% 5.70% 5.75% 5.15%

1.82% 3.81% 4.57% 4.54% 3.71% 4.17% 5.19% 5.77% 6.04% 5.41% 0.00% 2.30% 3.42% 2.70% 1.96%

Upper quartile Lower quartile

Non-FTSE 100 Index Only Number of product maturities

186 172

15

87 56 15 16

83 76

78 76

209 195

129 115

30

31 19 12

47 26 21

70 43 27

39 21 18

4

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

13 17

8 6

11

3 4

2 0

9 5

7 6

0

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

0

0

0

0

0

3.65

5.47

4.82

3.24

2.85

2.82

3.39

5.64

5.65

5.80

5.47

5.61

Average annualised return All products

6.54% 9.48% 3.14%

0.50% 1.88% 0.00%

2.78% 6.59% 7.82% 8.58% 6.86% 9.85% 10.04% 9.96% 12.68% 10.70% -8.29% 1.69% 5.52% 3.86% 1.93%

1.27% 1.58% 2.03% 2.27% 1.81% 3.70% 4.22% 4.94% 6.24% 4.87% 0.00% 0.00% 0.00% 0.00% 0.00%

Upper quartile Lower quartile

5

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