Structured Products Annual Performance Review 2022

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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

2021

2020 2019 2018 2017

2021

2020 2019 2018 2017

All products Number of product maturities

395 386

5 4

87 67 13

158 152

187 185

365 351

238 228

10

19 15

12

10

11

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

1

8 4 0

9

7 4 0

8

1

3 3

2 0

9 5

7 3

9 0

4 0

1

1

0

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

7

0

2.90

3.60

3.18

2.35

2.18

2.51

2.62

5.71

3.63

3.67

3.20

3.93

Average annualised return All products

7.07% 9.69% 4.88%

3.99% 5.67% 0.00%

4.47% 7.16% 7.88% 8.23% 7.37% 9.84% 9.90% 9.72% 11.57% 10.31% -5.17% 4.00% 6.18% 4.90% 4.24%

0.29% 2.94% 2.77% 4.41% 2.79% 0.97% 4.12% 4.38% 5.64% 4.02% 0.00% 0.54% 0.00% 2.79% 0.68%

Upper quartile Lower quartile

FTSE 100 Index Only Number of product maturities

227 227

4 4 0 0

40 40

97 97

128 128

187 187

136 136

1 1

15 15

8 8 0 0

8 8 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

0 0

0 0

0 0

0 0

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

2.47

3.00

2.33

2.15

2.15

2.31

2.31

3.00

3.00

3.00

3.00

3.00

Average annualised return All products

7.23% 9.70% 5.45%

4.99% 5.67% 4.31%

7.31% 7.41% 7.71% 7.62% 7.46% 9.59% 9.48% 9.40% 9.36% 9.51% 5.71% 5.71% 6.32% 6.23% 5.88%

2.91% 3.72% 4.16% 4.67% 4.15%

Upper quartile Lower quartile

- -

4.13% 4.42% 5.10% 4.47% 2.97% 3.85% 4.19% 3.50%

Non-FTSE 100 Index Only Number of product maturities

168 159

1

47 27 13

61 55

59 57

178 164

103

9 0 9 0

4 0 4 0

4 0 4 0

2

4 0 4 0

0

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

92

1 1

8

1

3 3

2 0

9 5

7 3

1

0

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

7

0

3.49

6.01

3.91

2.66

2.24

2.72

3.02

6.01

6.00

5.00

4.00

5.61

Average annualised return All products

6.85% 9.56% 4.16%

0.00%

2.06% 6.76% 8.26% 8.87% 7.26% 10.04% 10.64% 10.29% 13.03% 11.02% -10.31% 1.13% 6.15% 3.94% 2.63%

0.00% 0.00% 0.00% 3.36% 0.34%

- -

Upper quartile Lower quartile

0.00% 0.00% 0.00% - 0.00% 0.00% 0.00% -

0.00% 0.00%

6

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