Structured Products Annual Performance Review 2022

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Analysis and Annualised Performance by Product Shape - Income 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

43 38

12 10

46 38

61

53 53

87 87

58 55

8 8 0 0

21 13

11

6 6 0 0

12

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

60

10

9 2 0

0 5

2 0

0 8

0

0 0

0 0

0 3

8 0

1

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

1

0

4.46

5.51

5.87

4.92

4.14

4.38

4.70

6.01

6.00

6.00

5.85

5.88

Average annualised return All products

4.14% 6.10% 0.87%

3.05% 4.38% 0.65%

3.96% 5.69% 6.11% 6.41% 5.48% 6.81% 7.37% 7.24% 7.65% 7.15% -1.34% 3.68% 5.13% 5.29% 3.22%

4.06% 2.90% 3.08% 5.53% 3.40% 4.47% 5.70% 4.91% 5.98% 5.14% 3.56% 0.00% 0.44% 5.17% 1.24%

Upper quartile Lower quartile

FTSE 100 Index Only Number of product maturities

28 28

10 10

23 23

43 43

35 35

60 60

38 38

8 8 0 0

12 12

8 8 0 0

6 6 0 0

9 9 0 0

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

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

4.21

5.40

5.90

5.05

3.87

5.01

4.80

6.01

6.00

6.00

5.85

5.85

Average annualised return All products

5.07% 5.93% 4.39%

3.65% 4.38% 2.84%

5.25% 5.56% 5.98% 6.05% 5.68% 5.84% 6.73% 6.96% 6.94% 6.61% 4.79% 4.49% 5.00% 5.21% 4.83%

4.06% 4.51% 4.07% 5.85% 4.34% 4.47% 5.72% 5.13% 5.98% 5.12% 3.56% 3.70% 2.96% 5.17% 3.55%

Upper quartile Lower quartile

Non-FTSE 100 Index Only Number of product maturities

15 10

2 0 2 0

23 15

18 17

18 18

27 27

20

0

9

3 2

0

3

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

17

- - - - - - -

1

- - - -

1

0 5

0 8

0

0 0

0 0

0 3

8 0

1

4 0

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

1

0

4.92

6.01

5.85

4.61

4.64

2.99

4.51

6.00

6.00

6.00

Average annualised return All products

2.40% 6.19% -2.88%

0.00%

2.67% 5.98% 6.37% 7.22% 5.10% 7.09% 8.02% 7.63% 8.17% 7.51% -5.67% 2.63% 5.45% 6.11% 1.35%

0.75% 0.44% -

0.58% 2.71% 0.00%

- -

Upper quartile Lower quartile

3.37% - 0.00% -

- -

8

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