FTSE 100 Index - Historical Analysis

This information is for financial advisers only and should not be presented to, or relied upon by, private investors

We have simulated the frequency of barrier breaches had the relevant barrier levels been available continuously between 31 December 1986 and 4 May 2018. This provides 6,411 potential 6-year products. 31 December 1986 has been used as it is the first date on which data is available for all of the FTSE 100, S&P 500, EURO STOXX 50 and NIKKEI 225 indices. This provides a more unbiased sample if cross-index comparisons are to be made. It should be recognised that the following results are specific to data representing a wide range of economic conditions. There are no indications to show that these particular conditions would recur.

Historical analysis of European and American barriers for a 6 year FTSE 100 only investment. Barrier Barrier Level % Breached Average % loss Largest % loss European 50% 0.00% 0.00% 0.00% American 50% 0.87% -15.58% -27.41% European 60% 0.00% 0.00% 0.00% American 60% 17.49% -10.83% -30.01%

Note: Percentages are rounded to two decimal places.

Historically, both 50% and 60% European barriers on the FTSE 100 Index would not have caused capital loss over a 6 year duration. Although the maximum loss was higher for a 60% American barrier, investors would have experienced a higher average percentage loss of capital with a 50% American, compared to a 60% American.

Simulated performance is not a reliable indicator of future performance and should not be used to assess the future returns or risks associated with this Plan.

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EURO STOXX 50 Index - Historical Analysis

We have simulated the frequency of barrier breaches had the relevant barrier levels been available continuously between 31 December 1986 and 4 May 2018. This provides 6,544 potential 6-year products. 31 December 1986 has been used as it is the first date on which data is available for all of the FTSE 100, S&P 500, EURO STOXX 50 and NIKKEI 225 indices. This provides a more unbiased sample if cross-index comparisons are to be made. It should be recognised that the following results are specific to data representing a wide range of economic conditions. There are no indications to show that these particular conditions would recur.

Historical analysis of European and American barriers for a 6 year EURO STOXX 50 only investment. Barrier Barrier Level % Breached Average % loss Largest % loss European 50% 0.00% 0.00% 0.00% American 50% 16.29% -26.05% -43.92% European 60% 0.93% -41.35% -43.92% American 60% 25.26% -23.04% -43.92%

Note: Percentages are rounded to two decimal places.

Historically, 50% European barriers on the EURO STOXX 50 Index would have not have lost capital over a 6 year duration. Products with a 60% European barrier were breached fewer times than products with both 50% and 60% American barriers. Although the average percentage of loss was higher for a product with a 60% European barrier, investors would have experienced the same level of maximum loss for a 60% European, 50% American and 60% American barriers.

Simulated performance is not a reliable indicator of future performance and should not be used to assess the future returns or risks associated with this Plan.

S&P 500 Index - Historical Analysis

We have simulated the frequency of barrier breaches had the relevant barrier levels been available continuously between 31 December 1986 and 4 May 2018. This provides 6,390 potential 6-year products. 31 December 1986 has been used as it is the first date on which data is available for all of the FTSE 100, S&P 500, EURO STOXX 50 and NIKKEI 225 indices. This provides a more unbiased sample if cross-index comparisons are to be made. It should be recognised that the following results are specific to data representing a wide range of economic conditions. There are no indications to show that these particular conditions would recur.

Historical analysis of European and American barriers for a 6 year S&P 500 only investment. Barrier Barrier Level % Breached Average % loss Largest % loss European 50% 0.00% 0.00% 0.00% American 50% 0.22% -1.17% -3.10% European 60% 0.00% 0.00% 0.00% American 60% 8.34% -8.52% -18.27%

Note: Percentages are rounded to two decimal places.

Historically, both 50% and 60% European barriers on the S&P 500 index would have not have lost capital over a 6 year duration. The analysis demonstrates that a 50% American barrier was breached fewer times than a 60% American barrier. The maximum loss and average percentage of loss was higher for a 60% American barrier compared to a product with a 50% American barrier.

Simulated performance is not a reliable indicator of future performance and should not be used to assess the future returns or risks associated with this Plan.

NIKKEI 225 Index - Historical Analysis

We have simulated the frequency of barrier breaches had the relevant barrier levels been available continuously between 31 December 1986 and 4 May 2018. This provides 6,235 potential 6-year products. 31 December 1986 has been used as it is the first date on which data is available for all of the FTSE 100, S&P 500, EURO STOXX 50 and NIKKEI 225 indices. This provides a more unbiased sample if cross-index comparisons are to be made. It should be recognised that the following results are specific to data representing a wide range of economic conditions. There are no indications to show that these particular conditions would recur.

Historical analysis of European and American barriers for a 6 year NIKKEI 225 only investment. Barrier Barrier Level % Breached Average % loss Largest % loss European 50% 6.46% -54.44% -60.77% American 50% 31.39% -37.02% -60.77% European 60% 16.65% -48.79% -60.77% American 60% 52.98% -29.72% -60.77%

Note: Percentages are rounded to two decimal places.

NIKKEI 225 is the most volatile of the indices analysed with all barriers demonstrating breaches. Although they were breached on fewer occasions, products with European barriers had a higher average percentage of loss. The maximum loss across all barriers analysed was the same.

Simulated performance is not a reliable indicator of future performance and should not be used to assess the future returns or risks associated with this Plan.