SPR Autocall Review 2022 Update

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FTSE 100 Autocall Maturity Analysis The 1,250th FTSE only linked capital-at-risk autocall plan to mature did so in February 2021. 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 4 2 0

Annualised Returns (%)

2003

2006

2009

2012

2015

2018

2021

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.

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