SPR Autocall Review 2022 Update

StructuredProductReview. com

Overview of the FTSE autocall maturity data

All 1,250 Last 1,000

1,242

1,000

Number maturing at a gain

Nil*

Nil

Number maturing at a loss

8

Nil

Number returning capital only

7.9% 7.6%

Mean annualised return

0.00% 4.66%

Lowest annualised return

4.66% 4.66%

Lowest annualised return (where a gain was achieved)

16.2% 16%

Highest annualised return

6 months

6 months

Shortest term

6 years

4 years

Longest term

2 years

2 years

Average term

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 7.9%, 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.

9