Supplementary Data & Loss Analysis

Analysis and Annualised Performance by Product Shape - Income Products

All Income Plans

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

7

406 393 1 12 4.70

144 126 18 0 5.26

6 1 0 5.57

Average Annualised Returns

3.36% 5.65% 0.41%

5.90% 7.40% 3.85%

1.97% 3.72% 0.25%

All Products Upper Quar�le Lower Quar�le

FTSE 100 Index Only Income Plans

Structured Product Maturi�es

Capital at Risk

Structured Deposits

Capital ‘Protected’

Number of Maturi�es

125 116 9 0 5.12

278 277 1 0 4.87

5

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

5 0

0 5.60

Average Annualised Returns

All Products Upper Quar�le Lower Quar�le

2.49% - -

3.73% 5.68% 0.90%

6.03% 7.05% 5.02%

Non-FTSE 100 Index Income Plans

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

19 10

128 116 0 12 4.34

2 1 1 0 5.49

9 0 6.17

Average Annualised Returns

0.89% 2.78% 0.00%

All Products Upper Quar�le Lower Quar�le

5.62% 7.88% 1.30%

0.65% - -