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1,500 FTSE CaR Autocall Maturities - 19/10/2022

Max Darer, Lowes Financial Management

The 1,250th FTSE 100 only linked capital-at-risk autocall plan to mature in the UK retail space did so in February 2022; collectively these plans earned a handsome average annualised return of 7.9% over an average term of 2 years. Subsequently we published the Structured Product Autocall Review 2022, in which we assessed maturity performance of the 1,250 plans, product issuance and sector development. To read the review in full, please click here.

October 2022 saw another milestone in the sub-sector; the 1,500th FTSE 100 only capital-at-risk autocall maturity was Dura Capital Citi FTSE 100 Defensive Autocall Plan 12, which successfully matured after four years, returning investors original capital in full plus a gain of 27% - or an annualized return of 6.15%. For context the FTSE 100 fell 4.47% over that same investment term.

UK Retail FTSE 100 linked capital-at-risk maturity performance. Data sourced from
All 1,500 Last 1,000
Number maturing at a gain 1,492 1,000
Number maturing at a loss Nil Nil
Number maturing capital only 8 Nil
Mean annualised return 7.75% 7.35%
Lowest annualised return 0% 4.35%
Lowest annualised return (where a gain was achieved) 4.35% 4.35%
Highest annualised return 16.2% 14.5%
Shortest term (years) 0.5 0.5
Longest term (years) 6 5
Average term (years) 2.17 2.39

The first UK retail FTSE linked capital-at-risk autocall matured back in 2004 and since then there have been a further 1,499 with all but 8 of these maturing successfully with a gain for investors. The remaining eight plans (½%) matured in 2011 – 2013, returning investors’ original capital in full, but with no gain or loss. Collectively the 1,500 maturing plans earned an average annualised return of 7.75% over an average term of 2.17 years, with upper and lower quartile returns of 10.36% and 5.72% respectively.

The current range of offers of FTSE linked autocalls have benefited from interest rate rise expectations, coupled with higher market volatility. Coupons for ‘at the money’ contracts – those where the index needs to be above the initial level - are currently mostly above 9%, and for the 10:10 Plan which is linked to the FTSE CSDI (a 99% correlated synthetic iteration of the FTSE 100 Index) the latest issue offers 11% for each year held.

Even without the impressive past performance it is easy to see why these clearly defined, bank-based contracts have become so popular with advisers and their clients. With the introduction of Consumer Duty, we would expect to see more advisers recommending these valuable solutions as part of their client propositions.

Full details of all FTSE 100 and FTSE CSDI linked capital-at-risk autocall plans currently available in the UK retail space can be found here.

Structured investments put capital at risk.

Past performance is not a guide to the future.

Disclosure of interests: Lowes has provided input into the concept, development, promotion and distribution of the 10:10. Lowes has a commercial interest in these investments as a result of its involvement. Where Lowes is involved in advice on these investments to retail clients, it will not receive benefit of any fees for its involvement, other than those fees payable by the client to Lowes.
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