Lowes Annual Performance Review 2024

Headline Data

Lowes FTSE linked 2023 structured performance

Structured Product Maturities 2023 All Products Lowes ‘Preferred’ Plans Additional Exclusive to Lowes Clients Number of product maturities 629 118 13 Generated positive returns 608 114 13 Returned capital only 15 1 0 Lost capital 6 3 0 Average duration / term (years) 3.14 3.87 2 Average annualised returns All Capital-at-Risk Products 6.90% 6.54% 6.93% Upper quartile 10.08% 9.39% 7.23% Lower quartile 3.63% 2.61% 6.76% All Deposit Products 3.07% 4.61% - Upper quartile 4.81% 5.38% - Lower quartile 0.71% 3.93% - All Products 6.51% 6.28% 6.93% Upper quartile 9.91% 9.19% 7.23% Lower quartile 2.84% 2.16% 6.76%

The following table shows the results of the FTSE* linked structures maturing in 2023 that were most commonly held by Lowes clients. Most of these were designed with input from Lowes with many exclusively available to our clients.

Given that structured products offer pre-defined returns they are not specifically designed to out-perform the underlying to which they are linked but for Lowes ‘Preferred’ FTSE* linked structured products maturing in 2023 out-performance occurred in most instances.

Gain on net investment (%)

Plan Annualised Return (%)

Designed in cooperation with Lowes

Maturity Date 10-Jan 20-Feb 21-Feb 24-Feb 27-Feb 03-Mar 11-Apr 12-Apr 28-Apr 09-May 22-May 26-Jun 28-Jun 28-Jun 07-Jul 17-Jul 17-Jul 17-Jul 24-Jul 26-Jul 14-Aug 29-Aug 29-Aug 04-Sep 04-Sep 18-Sep 18-Sep 04-Oct 06-Oct 16-Oct 18-Oct 30-Oct 06-Nov 27-Nov 30-Nov 18-Dec 18-Dec 20-Dec

Term in force (Years)

Out-performance vs Index (%)

Counterparty

HSBC Bank

3 2 3 2 2 6 2 2 2 2 2 2 4 2 2 2 2 2 2 4 2 2 2 2 2 2 2 4 6 2 2 2 2 2 2 2 3 2

21

19.59

6.55 10.21

Morgan Stanley & Co.

21.5 24.3

1.35

Y Y Y Y Y Y Y Y Y Y Y Y Y Y

Goldman Sachs

16.55 -4.32 -7.39 50.43 5.79 2.70 0.32 6.10 7.62 9.00 40.19 12.52 12.38 8.82 7.96

7.51

Citigroup Barclays

14 15

6.76 7.23 7.94 8.60 6.32 7.22 8.75 6.48 9.00 6.76 6.76 8.80 6.99 6.76 6.76 6.90 6.29 6.98 6.76 7.23 6.76 8.39 6.76 7.34 6.02 6.76 6.76 8.39 6.76 7.23 6.76 7.19

Société Générale Morgan Stanley

58.2

18

BNP Paribas

14.9

Morgan Stanley Société Générale

13 15

Detailed analysis available on pages 11 to 14

Citigroup

18.3 13.4 41.2

Key Takeaways

Goldman Sachs

Citigroup

• Autocall/kick-out products made up the majority of all maturing products in 2023 (accounting for 72% of maturities) returning average annualised return of 7.14% over an average duration of 2.6 years. • The FTSE 100 continues to be the most prevalent underlying measure used, representing 74% of all maturities. • FTSE 100 linked autocalls are the most common shape, accounting for 52% of all maturities in the last year. These achieved an average annualised return of 6.85% over an average term of 2.6 years. • Notably 2023 witnessed the first FTSE 100 only linked capital at risk autocall plans to mature returning capital only since 2013. It does however remain that no FTSE 100 only linked capital at risk autocall has realised a loss.

• 629 retail plans matured throughout 2023, just five less than the previous year. • Over 96% of maturing plans returned positive returns for investors. • 15 out of the 629 returned capital only to investors. • 6 capital at risk plans realised a loss for investors’ in 2023, all of which were three-stock linked plans, deemed as higher risk, speculative investments. • 565 capital at risk structured investments matured in 2023, 11 more than the year before with an average annualised return of 6.90% over an average duration of 3.02 years, a marginal uplift from the previous year. • 64 structured deposits matured in 2023 returning an average annualised return of 3.07% over an average term of 4.19 years. Lowes ‘Preferred’ deposit maturities earned investors an average annualised return of 4.61% over an average of 4.01 years. • 118 Lowes Preferred plans matured in 2023, earning an average annualised return of 6.28% over an average of 3.87 years.

Credit Agricole Société Générale

14 14

Citigroup

18.4 14.5

Goldman Sachs

Citigroup

14 14

7.98 4.74

Y

Société Générale Société Générale

30.6

28.91 8.93

Citigroup Barclays

13

Y

14.5

9.73 9.57

Credit Agricole Goldman Sachs Société Générale Morgan Stanley Morgan Stanley Goldman Sachs

14 15 14

Y

10.60 9.60

Y Y Y Y Y Y Y Y Y Y

17.5

7.22 3.72

14

32.8

29.21 42.38

Natixis

42

Société Générale Goldman Sachs

14 14

8.52 8.67

Morgan Stanley & Co.

17.5

16.90 12.44 9.08

Credit Agricole Société Générale

14 15 14

Citigroup

8.41

Morgan Stanley & Co. Morgan Stanley & Co.

15.6

10.86

7.51

21

4.52

6.56 7.05

Y Y

Credit Agricole

14.6

7.41

of which were FTSE-linked autocalls, which are shown separately in the right-hand column of the table above and on the following page.

The data table analysis on pages 11-14 cover the publicly available products distinguishing those that Lowes identified as ‘preferred’. They do not include the exclusive solutions available to Lowes clients, all

* Underlying index was the FTSE 100 or FTSE CSDI. The CSDI tracks the same shares in the same proportions as the FTSE 100 but accounts for dividends differently. The CSDI has been over 99% correlated with the FTSE 100.

5

4