Lowes Annual Performance Review 2024

6 -year autocalls cap out

SP-The Stars The best performing structured products of 2023

The total number of FTSE only, capital at risk autocalls to mature without gains in the UK retail space now stands at just thirteen – out of over 1,800 maturities, over two decades. The previous eight commenced just prior to the 2008 financial crisis. For those eight, if their maximum term had been seven years, only one would have failed to produce a gain. Whilst we won’t know until later in 2024 whether this would be the case this time round, we certainly know an extra year or two would have been welcome. The chart below plots the maturity trigger levels for the eight FTSE 100 linked autocalls that faced their final maturity in 2023, and the index performance over their duration. As can be seen, over the six-year period the index often came close to the annual maturity triggers points but not close enough. To us, this accentuates the benefit of extended maximum terms of 7 years or more for autocalls allowing for more opportunities to kick out with a positive result. We remain hopeful that in 2024 the market will be high enough for any autocalls approaching their final observation dates to trigger positive maturities but either way, 2023 witnessed the first capital at risk FTSE autocalls to not mature positively since 2013.

The final months of 2023 witnessed a handful of 6-year maximum term, capital at risk autocalls reach their final observation date. Whilst capital protection barriers were far from being breached, it became a question whether these investments would make or break and mature with significant gains, or just return capital to investors. November saw five such plans return capital only after the FTSE failed to close above the initial index level on each of their annual observation dates including the sixth anniversary. Unfortunately, the FTSE was unable elevate sufficiently to result in positive maturities. One of the plans in question had its final observation measure as the average closing price of the index over the final five days of the plan and ultimately missed out by just 5 index points. December then saw the fate of the two more plans that would either return capital only or benefit from six-years worth of snowballed coupons. The Santa rally in the FTSE 100 saw the index rise above the required level of 7,623 to trigger positive maturities for these two Investec plans, returning gains of 44.4% and 56.1% respectively.

Non-FTSE 100 Only Plan Tempo FTSE 100 FDEW Long Kick-Out Plan April 2020 - Option 3 Gain: 61.2% after three years (benefiting from Tempo’s stated terms or better pledge) Underlying link: FTSE 100 Fixed Dividend Equal Weight Custom Index Annualised return: 17.25%

FTSE 100 Kick Out Plan Mariana 10:10 Plan February 2019 (Option 3) Gain: 58.04% after four years Annualised return: 12.11% Deposit Plan Investec FTSE 100 Kick-Out Deposit Plan 83

FTSE 100 Growth Plan Société Générale UK Defensive Growth Plan (UK Four) Issue 17

Gain: 67% after six years Annualised return: 8.92% Income Plan Dura Capital 3 Year Conditional Income Kick Out Plan July 2022 Return: 12.6% after one year

FTSE 100 capital at risk autocalls with final observation dates Nov-Dec 2023 8000

7750

Gain: 24% after four years Annualised return: 5.51%

7500

SP-The Black Hole The worst performing structured product of 2023 Mariana - FTSE 3 Stock Dual Option Kick Out Plan July 2017 Returned 32.32% of original capital Annualised loss: -17.15%

7250

Covid crash

7000

6750

6500

03/11/2017

03/11/2018

03/11/2019

03/11/2020

03/11/2021

03/11/2022

03/11/2023

FTSE Strike

Observation 1

Obs 2

Obs 3

Obs 4

Final observation

6

7