Lowes Autocall Review 2022 Update

FTSE 100 Autocall Maturity Analysis

The 1,250th FTSE only linked capital-at-risk autocall plan to mature did so in February 2022. Augere FTSE 100 Super Defensive Kick Out Plan Issue 3 successfully matured after three-and-a-half years, returning investors’ original capital in full in addition to a gain of 19.81% - or an annualised return of 5.29%. For context, the FTSE 100 Index fell by 1.7% over the same investment term. UK retail FTSE 100 linked, capital-at-risk, autocallable structured product maturities 18

16

14

12

10

8

6

Annualised Returns (%)

4

2

0

2003

2006

2009

2011

2014

2017

2020

As can be seen, there is a gap in product maturities coinciding with the coronavirus pandemic and resultant market correction. However, this is certainly a case of ‘Don’t Mind the Gap’. The nature of autocall plans means that missing an opportunity to mature early is far from a bad thing. The cumulating effect of the coupons means that the longer the market takes to recover, provided it does recover sufficiently to trigger a maturity on, or before the final maturity date, the greater the return. Eight of the 1,250 maturities returned no gain. These commenced prior to the financial crisis and the FTSE 100 Index did not recover prior to their final maturity dates but the capital protection barriers remained in-tact. These eight products had maximum durations of five, or six years and had this been seven, or eight years, as is more common today all but one would have matured positively, on or before the seventh anniversary.

Overview of the FTSE autocall maturity data

All 1,250

Last 1,000

Number maturing at a gain Number maturing at a loss Number returning capital only Mean annualised return Lowest annualised return

1,242

1,000

Nil*

Nil Nil

8

7.88% 0.00% 4.66% 16.2%

7.6%

4.66% 4.66%

Lowest annualised return (where a gain was achieved)

Highest annualised return

16%

Shortest term Longest term Average term

6 months

6 months

6 years 2 years

4 years 2 years

All but 8 (99.36%) of the first 1,250 maturing FTSE linked capital-at-risk autocall products successfully matured with a gain for investors – the remaining 0.64% (eight plans) returned investors’ original capital in full, but with no further gain. The 1,250 plans matured with an average annualised return of 7.88%, across an average term of two years. Worthy of note, no maturing FTSE only capital-at-risk autocall has failed to realise a gain since April 2013. All of the last 1,000 of these products to mature did so with a gain, achieving an average annualised return of 7.6% across an average investment term of two years. *As previously discussed, four FTSE 100 linked autocalls failed in 2008 and as such, never reached maturity as these utilised Lehman Brothers as counterparty.

8