Supplementary Data & Loss Analysis

Analysis and Annualised Performance

By Product Type

Headline Data Structured Product Maturi�es Capital at Risk

Capital ‘Protected’

Structured Deposits

2467 2354 57 56 3.10

602 446 152 4 5.27

826 668 158 0 4.58

Number of Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Average Annualised Returns

7.84% 11.84% 3.86%

3.46% 7.52% -0.02%

3.64% 6.67% 0.17%

All Products Upper Quar�le Lower Quar�le

FTSE 100 Index Only

Capital at Risk

Capital ‘Protected’

Structured Deposits

Structured Product Maturi�es

639 572 67 0 4.36

446 358 84 4 5.19

1643 1612 30 1 3.24

Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Average Annualised Returns

3.86% 7.57% 0.18%

4.15% 6.72% 1.03%

7.78% 11.13% 4.99%

All Products Upper Quar�le Lower Quar�le

Non-FTSE 100 Index

Structured Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Capital at Risk

Capital ‘Protected’

Structured Deposits

824 742 27 55 2.83

156 88 68 0 5.48

187 96 91 0 5.35

Average Annualised Returns

7.95% 12.98% 1.69%

2.32% 6.95% 0.00%

1.89% 6.00% 0.00%

All Products Upper Quar�le Lower Quar�le