Supplementary Data & Loss Analysis

Analysis and Annualised Performance by Product Shape - Autocalls / Kick-out Products

All Autocalls

Structured Product Maturi�es

Capital at Risk

Capital ‘Protected’

Structured Deposits

9

114 104 10 0 2.67

1567 1511 31 25 2.11

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

3 6 0 4.44

Average Annualised Returns

4.88% 7.29% 2.32%

All Products Upper Quar�le Lower Quar�le

8.41% 12.09% 4.88%

2.02% 8.83% 0.00%

FTSE 100 Index Only Autocalls

Capital at Risk

Capital ‘Protected’

Structured Deposits

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

932 923 9 0 1.99

2 0 2 0 6.00

101 98 3 0 2.48

Average Annualised Returns

All Products Upper Quar�le Lower Quar�le

0.00% - -

5.02% 6.98% 3.18%

8.05% 10.69% 5.99%

Average Annualised Returns

Non-FTSE 100 Index Autocalls

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

635 588

7 3 4 0 3.99

13 6 7 0 4.16

22 25 2.27

Average Annualised Returns

8.93% 13.59% 3.48%

2.59% - -

All Products Upper Quar�le Lower Quar�le

3.78% 9.04% 0.00%