SP Supplementary Document

Headline Data - FTSE only Products Headline Data - con�nued...

Headline Data - FTSE only Products

2728 2542 181 5 3.82

Number of Maturi�es

Number Generated Posi�ve Returns

Number Returned Capital Only

Number Lost Capital

Averge Dura�on / Term (Years)

All Products Upper Quar�le Lower Quar�le Average Annualised Returns - FTSE only Products 6.25% 10.16% 2.26%

Loss Analysis

Of the 3,895 retail structured product maturi�es that occurred over the decade, 60 gave rise to a loss.

All of the five FTSE 100 Index linked plans to mature with a loss commenced prior to the financial crisis. One, a mul�-counterparty contract, suffered a loss of 3.77% as a result of the failure of Lehman Brothers, three others matured with smaller losses arising from a mid-term restructuring by the provider, Legal & General, to protect against what they saw as an increasing risk of counterparty default following the collapse of Lehman Brothers. Only one suffered a loss as a result of market movements which saw its American (intra-term) barrier breached at the height of the financial crisis and at the end of the term, the FTSE 100 was s�ll 8.39% below the ini�al index level, an equivalent loss arose. As is now the case with all new plans, u�lising a European (end of term) barrier would have meant this investment returned capital with no loss. Seven of the other loss making plans were linked to an alterna�ve, single index; the Euro Stoxx 50, or Nikkei 225 and again, all commenced prior to the financial crisis. As with the one FTSE 100 linked loss making plan, if these plans had incorporated European capital protec�on barriers no losses would have arisen. Twenty two loss making plans were linked to more than one market index, with all but four commencing prior to the financial crisis. The remaining four, which commenced in 2011, were linked to Emerging Market or Oil indices. Such contracts are now extremely rare in the UK retail space. Nine nega�ve maturi�es were share linked plans and the remaining seventeen were linked to baskets of com- modi�es. The only Lowes ’Preferred’ Plans that commenced a�er the financial crisis and ul�mately matured with losses, were three commodi�es linked plans were the maximum loss was capped at 5% from outset. The average annualised loss of all nega�ve maturi�es was -5.57% and for Lowes ‘Preferred’ plans this was -3.42%.