Supplementary Data & Loss Analysis

S TRUCTURED P RODUCT R EVIEW OF THE D ECADE 2010-2019 S UPPLEMENTARY D ATA & L OSS A NALYSIS

The review itself, which can be accessed from Lowes.co.uk/SPdecade provides a holis�c and in-depth analysis of the evolu�on and performance of the UK retail structured products sector, covering the second decade of the current century. The following data tables provide further detail to the figures published in the review.

P RODUCEDBY

All data, as in the full review, is sourced from the StructuredProductReview.com database.

The content of this sector review has been wri�en and prepared by Lowes Financial Management Ltd. The purpose of this document is purely to provide general informa�on that may be of interest to investors, interme - diaries and those reviewing the sector. No liability is accepted for the accuracy or completeness of any informa - �on and opinion contained in this review, which may be subject to upda�ng and amending. Investments of this nature carry risks to your capital. Past performance is not a guide to future performance. Please do not reproduce this document without our permission. Lowes Financial Management Ltd, authorised and regulated by the Financial Conduct Authority (FCA register number 114650, www.fca.org.uk/register).

Macro analysis for the 2010-19 decade

• 4,444 – structured products issued. • 3,895 products matured.

• 2,467 maturi�es were capital at risk plans • 60 (1.54%) of all maturi�es returned a loss • 3 years, 9 months average investment dura�on

• 7.84% - average annualised return from capital at risk products • 3.64% - average annualised return from deposit-based products • 5.56% - average annualised return from income plans

Headline Data

Number Lost Capital

Headline Data - All Products

3895 3468 367 60 3.75

Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Averge Dura�on / Term (Years) Number Lost Capital

Average Annualised Returns

All Products Upper Quar�le Lower Quar�le

6.27% 10.85% 1.14%

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%.

Analysis and Annualised Performance

By Product Type

Headline Data Structured Product Maturi�es Capital at Risk

Capital ‘Protected’

Structured Deposits

2467 2354 57 56 3.10

602 446 152 4 5.27

826 668 158 0 4.58

Number of Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Average Annualised Returns

7.84% 11.84% 3.86%

3.46% 7.52% -0.02%

3.64% 6.67% 0.17%

All Products Upper Quar�le Lower Quar�le

FTSE 100 Index Only

Capital at Risk

Capital ‘Protected’

Structured Deposits

Structured Product Maturi�es

639 572 67 0 4.36

446 358 84 4 5.19

1643 1612 30 1 3.24

Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Average Annualised Returns

3.86% 7.57% 0.18%

4.15% 6.72% 1.03%

7.78% 11.13% 4.99%

All Products Upper Quar�le Lower Quar�le

Non-FTSE 100 Index

Structured Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Capital at Risk

Capital ‘Protected’

Structured Deposits

824 742 27 55 2.83

156 88 68 0 5.48

187 96 91 0 5.35

Average Annualised Returns

7.95% 12.98% 1.69%

2.32% 6.95% 0.00%

1.89% 6.00% 0.00%

All Products Upper Quar�le Lower Quar�le

Analysis and Annualised Performance by Product Shape - Growth Products

All Growth Plans

Capital at Risk

Structured Product Maturi�es

Capital ‘Protected’

Structured Deposits

609 470 139 0 4.83

Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years) Number of Maturi�es Number Generated Posi�ve Returns

497 452 26 19 4.95

590

440 146 4 5.28

Average Annualised Returns

7.59% 12.62% 1.70%

3.49% 7.50% -0.02%

3.30% 6.64% 0.02%

All Products Upper Quar�le Lower Quar�le

FTSE 100 Index Only Growth Plans

Structured Product Maturi�es Number Generated Posi�ve Returns Number of Maturi�es Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Capital at Risk

Capital ‘Protected’

Structured Deposits

442 356 82 4 5.18

447

435 413 21 1 4.89

383 64 0 4.62

Average Annualised Returns

8.28% 12.83% 3.44%

All Products Upper Quar�le Lower Quar�le

3.88% 7.59% 0.20%

3.83% 6.81% 0.47%

Non -FTSE 100 Growth Plans

Structured Product Maturi�es

Capital at Risk

Capital ‘Protected’

Structured Deposits

62 39 5

148 84 64 0 5.55

162 87 75 0 5.39

Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years) Number of Maturi�es Number Generated Posi�ve Returns

18 5.38

Average Annualised Returns

1.83% 5.58% 0.00%

2.32% 6.85% 0.00%

2.79% 9.19% -3.61%

All Products Upper Quar�le Lower Quar�le

Analysis and Annualised Performance by Product Shape - Autocalls / Kick-out Products

All Autocalls

Structured Product Maturi�es

Capital at Risk

Capital ‘Protected’

Structured Deposits

9

114 104 10 0 2.67

1567 1511 31 25 2.11

Number Generated Posi�ve Returns Number of Maturi�es Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

3 6 0 4.44

Average Annualised Returns

4.88% 7.29% 2.32%

All Products Upper Quar�le Lower Quar�le

8.41% 12.09% 4.88%

2.02% 8.83% 0.00%

FTSE 100 Index Only Autocalls

Capital at Risk

Capital ‘Protected’

Structured Deposits

Structured Product Maturi�es Number Generated Posi�ve Returns Number of Maturi�es Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

932 923 9 0 1.99

2 0 2 0 6.00

101 98 3 0 2.48

Average Annualised Returns

All Products Upper Quar�le Lower Quar�le

0.00% - -

5.02% 6.98% 3.18%

8.05% 10.69% 5.99%

Average Annualised Returns

Non-FTSE 100 Index Autocalls

Structured Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Capital at Risk

Capital ‘Protected’

Structured Deposits

635 588

7 3 4 0 3.99

13 6 7 0 4.16

22 25 2.27

Average Annualised Returns

8.93% 13.59% 3.48%

2.59% - -

All Products Upper Quar�le Lower Quar�le

3.78% 9.04% 0.00%

Analysis and Annualised Performance by Product Shape - Income Products

All Income Plans

Structured Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Capital at Risk

Capital ‘Protected’

Structured Deposits

7

406 393 1 12 4.70

144 126 18 0 5.26

6 1 0 5.57

Average Annualised Returns

3.36% 5.65% 0.41%

5.90% 7.40% 3.85%

1.97% 3.72% 0.25%

All Products Upper Quar�le Lower Quar�le

FTSE 100 Index Only Income Plans

Structured Product Maturi�es

Capital at Risk

Structured Deposits

Capital ‘Protected’

Number of Maturi�es

125 116 9 0 5.12

278 277 1 0 4.87

5

Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

5 0

0 5.60

Average Annualised Returns

All Products Upper Quar�le Lower Quar�le

2.49% - -

3.73% 5.68% 0.90%

6.03% 7.05% 5.02%

Non-FTSE 100 Index Income Plans

Structured Product Maturi�es Number of Maturi�es Number Generated Posi�ve Returns Number Returned Capital Only Number Lost Capital Averge Dura�on / Term (Years)

Capital at Risk

Capital ‘Protected’

Structured Deposits

19 10

128 116 0 12 4.34

2 1 1 0 5.49

9 0 6.17

Average Annualised Returns

0.89% 2.78% 0.00%

All Products Upper Quar�le Lower Quar�le

5.62% 7.88% 1.30%

0.65% - -

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