Structured Products Annual Performance Review

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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

2020

2019

2018

2017

2016

2020

2019

2018

2017

2016

All products Number of product maturities

40 28 11

24 24

30 30

70 70

82 77

49 46

44 21 23

51 51

92 76 16

124

133 102

89 70 19

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

98 26

0 0

0 0

0 0

1 4

2 1

0 0

31

Number of products which lost capital

1

0

0

0

0

0

Average duration / term (years) Average annualised return All products

5.92

5.63

5.71

5.13

5.07

5.36

5.35

5.34

5.89

5.55

5.27

5.49

3.98% 6.60% 8.05% 8.90% 6.46% 6.96% 9.82% 8.51% 10.95% 11.94% 10.61% 10.70% -2.41% 4.79% 5.50% 5.66% 1.32% 2.80%

1.38% 3.15% 3.68% 3.22% 3.22% 3.12% 3.85% 5.09% 5.81% 6.35% 6.27% 5.82% 0.00% 1.27% 0.73% 0.08% 0.00% 0.32%

Upper quartile Lower quartile

FTSE 100 Index Only Number of product maturities

23 14

20 20

29 29

66 66

74 73

42 40

23

33 33

52 52

56 56

86 82

50 46

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

8

9 0

0 0

0 0

0 0

1 0

2 0

15

0 0

0 0

0 0

4 0

4 0

Number of products which lost capital

0

Average duration / term (years) Average annualised return All products

5.90

5.55

5.70

5.08

5.03

5.28

5.22

5.31

5.91

5.60

5.25

5.47

3.27% 6.59% 8.05% 9.16% 7.06% 7.39% 7.39% 8.67% 11.19% 12.02% 10.74% 10.64% 0.00% 4.68% 5.33% 6.25% 2.89% 4.13%

0.99% 3.59% 4.71% 4.41% 3.91% 3.88% 3.53% 5.33% 5.93% 6.13% 5.95% 5.47% 0.00% 1.83% 3.49% 2.45% 1.32% 1.97%

Upper quartile Lower quartile

Non-FTSE 100 Index Only Number of product maturities

17 14

4 4 0 0

1 1 0 0

4 4 0 0

8 4 0 4

7 5 0 1

21 13

18 18

40 24 16

68 42 26

47 20 27

39 23 15

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

2 1

8 0

0 0

Number of products which lost capital

0

0

0

0

Average duration / term (years) Average annualised return All products

5.95

6.00

6.00

5.88

5.51

5.85

5.48

5.39

5.87

5.52

5.30

5.52

4.94% 6.68% 7.94% 4.71% 0.91% 4.26%

1.81% 2.35% 2.35% 2.24% 1.97% 2.16% 3.94% 4.39% 5.14% 6.21% 6.76% 5.71% 0.00% 0.70% 0.00% 0.00% 0.00% 0.06%

Upper quartile Lower quartile

11.10% 7.55% -5.17% 5.34%

- -

8.14% 2.96% 8.09% 2.64% -1.02% -1.89%

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