Structured Products Annual Performance Review 2022

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Analysis and Annualised Performance by Product Shape - Growth 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

21

53 25 28

40 28

24 24

30 30

70 70

37 34

44 21 23

51 51

92 76 16

124

73 54 19

20

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

98 26

1

11

0 0

0 0

0 0

2 0

0 0

0

0

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

1

0

0

0

0

6.01

4.61

5.92

5.63

5.71

5.13

5.56

5.35

5.34

5.89

5.55

5.45

Average annualised return All products

7.56% 9.76% 3.70%

1.75% 4.72% 0.00%

3.98% 6.60% 8.05% 8.90% 7.25% 9.82% 8.51% 10.95% 11.94% 10.63% -2.41% 4.79% 5.50% 5.66% 3.55%

1.38% 3.15% 3.68% 3.22% 2.89% 3.85% 5.09% 5.81% 6.35% 5.50% 0.00% 1.27% 0.73% 0.08% 0.39%

Upper quartile Lower quartile

FTSE 100 Index Only Number of product maturities

18 17

41 21 20

23 14

20 20

29 29

66 66

31 29

23

33 33

52 52

56 56

41 34

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

8

1

9 0

0 0

0 0

0 0

2 0

15

0 0

0 0

0 0

7

0

0

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

0

0

6.01

4.40

5.90

5.55

5.70

5.08

5.48

5.22

5.31

5.91

5.60

5.35

Average annualised return All products

7.23% 9.38% 3.70%

2.08% 5.07% 0.00%

3.27% 6.59% 8.05% 9.16% 7.53% 7.39% 8.67% 11.19% 12.02% 10.45% 0.00% 4.68% 5.33% 6.25% 4.66%

0.99% 3.59% 4.71% 4.41% 3.50% 3.53% 5.33% 5.93% 6.13% 5.45% 0.00% 1.83% 3.49% 2.45% 1.85%

Upper quartile Lower quartile

Non-FTSE 100 Index Only Number of product maturities

3 3 0 0

12

17 14

4 4 0 0

1 1

4 4 0 0

6 5 0 0

21 13

18 18

40 24

68 42 26

32 20

4 8 0

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

2

0 0

8 0

0 0

16

12

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

1

0

0

0

6.01

5.34

5.95

6.00

6.00

5.88

5.96

5.48

5.39

5.87

5.52

5.57

Average annualised return All products

9.55% 10.49%

0.63% 2.18% 0.00%

4.94% 6.68% 7.94% 4.71% 5.73%

1.81% 2.35% 2.35% 2.24% 2.10% 3.94% 4.39% 5.14% 6.21% 5.13% 0.00% 0.70% 0.00% 0.00% 0.08%

Upper quartile Lower quartile

11.10% 7.55% - -5.17% 5.34% -

8.14% 9.76% 2.64% -1.01%

8.91%

7

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