A Guide to Autocalls: 2024 Update

Maturity performance July 2004 - July 2024

Underlying

Most historically issued autocalls have utilised the FTSE 100 index only as the underlying. Of these, over 2000 of the capital at risk variety have now matured with 13 returning capital only and the rest returning gains. Higher risk plans utilising more than one underlying have typically offered higher coupons but the greater potential for loss, or just a return of capital with no gain, manifests more often. Deposit based autocalls have virtually no potential for loss but an increased potential to return capital only at maturity which has occurred in less than 15% of all historical maturities, albeit approximately 4% where the underlying was the FTSE 100 only.

Deposit maturities

FTSE 100 only

Dual Index Shares

Total maturities

166 159

4 3

31 10 21

With gain

Only capital

7 0

1

With loss

0

0

Average annualised

4.47% p.a./ 3.0 years

3.46% p.a./ 5.8 years

2.40% p.a./ 4. 6 years

return & duration

6.46% p.a./ 2.1 years 2.40% p.a./ 4.1 years

5.26% p.a./ 6 years 0.00% p.a./ 6 years

8.41% p.a./ 2 years 0.00% p.a./ 5.1 years

Top quartile

Bottom quartile

Underlying

Capital at risk maturities

FTSE only *

Dual index

Shares

Other

Total maturities

2005

896

102

163

With gain

1992

870

70

139

Only capital

13

12

14

17

With loss

0

14

18

7

Average annualised return & duration

7.62% p.a./ 2.2 years

8.33% p.a./ 2.5 years

7.18% p.a./ 3.3 years

7.29% p.a./ 3.0 years

10.11% p.a./ 1.8 years 5.62% p.a./ 2.7 years

11.44% p.a./ 1.7 years 5.15% p.a./ 3.4 years

18.85% p.a./ 1.2 years -11.08% p.a./ 5.9 years

12.52% p.a./ 2.2 years 0.73% p.a./ 4.7 years

Top quartile

Bottom quartile

*Including FTSE CSDI only. See Appendix A.

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