Structured Products Annual Performance Review

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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

2020

2019

2018

2017

2016

2020

2019

2018

2017

2016

All products Number of product maturities

87 67 13

158 152

187 185

365 351

149 138

189 179

10

19 15

12

10

3 3 0 0

11

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

1 9 0

8 4 0

9 1 0

7 4 0

3 3

2 0

9 5

6 5

7 4

4 0

Number of products which lost capital

7

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

3.18

2.35

2.18

2.51

2.59

2.08

5.71

3.63

3.67

3.20

3.00

3.91

4.47% 7.16% 7.88% 8.23% 6.98% 7.44% 9.84% 9.90% 9.72% 11.57% 10.72% 10.63% -5.17% 4.00% 6.18% 4.90% 2.04% 3.63%

0.29% 2.94% 2.77% 4.41% 4.23% 2.76%

Upper quartile Lower quartile

0.97% 4.12% 4.38% 5.64% 0.00% 0.54% 0.00% 2.79%

- -

3.65% 0.71%

FTSE 100 Index Only Number of product maturities

40 40

97 97

128 128

187 187

85 84

107 107

1 1 0 0

15 15

8 8 0 0

8 8 0 0

3 3 0 0

7 7 0 0

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

0 0

0 0

0 0

0 0

1 0

0 0

0 0

Number of products which lost capital

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

2.33

2.15

2.15

2.31

2.38

2.26

3.00

3.00

3.00

3.00

3.00

3.00

7.31% 7.41% 7.71% 7.62% 7.17% 7.51% 9.59% 9.48% 9.40% 9.36% 8.78% 9.32% 5.71% 5.71% 6.32% 6.23% 5.78% 6.05%

2.91% 3.72% 4.16% 4.67% 4.23% 4.06%

Upper quartile Lower quartile

- -

4.13% 4.42% 5.10% 2.97% 3.85% 4.19%

- -

3.95% 3.11%

Non-FTSE 100 Index Only Number of product maturities

47 27 13

61 55

59 57

178 164

64 54

82 71

9 0 9 0

4 0 4 0

4 0 4 0

2 1 1 0

0

4 0 4 0

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

- - - - - - -

3 3

2 0

9 5

5 5

6 4

Number of products which lost capital

7

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

3.91

2.66

2.24

2.72

2.88

2.80

6.01

6.00

5.00

4.00

5.73

2.06% 6.76% 8.26% 8.87% 6.73% 7.35% 10.04% 10.64% 10.29% 13.03% 12.23% 11.81% -10.31% 1.13% 6.15% 3.94% -2.62% 1.18%

0.00% 0.00% 0.00% 3.36%

0.35% 0.00% 0.00%

Upper quartile Lower quartile

0.00% 0.00% 0.00% 0.00% 0.00% 0.00%

- -

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