For financial adviser use only. Not to be used with retail clients. Guide to Backtesting

For financial adviser use only. Not to be used with retail clients. Guide to Backtesting

Backtesting Backtesting can be a useful tool for advisers in order to evaluate the performance of a structured product in various market scenarios. Backtesting should be used as one of a suite of tools when choosing a suitable product for a client. The information provided in this factsheet is intended to demonstrate how our Structured Products would have performed historically, had they been available for investment. Particular emphasis has been placed on the scenarios in which clients would have either lost capital or received no return on their investment. In order to simulate past performance, our Structured Products have been tested as if they had started on every trading day between January 1984 and July 215. For Plans linked to the EURO STOXX 5 Index, testing begins from December. For reference, backtesting a 6 year Plan linked to the FTSE 1 between 1984 and 215 constitutes over 6,4 individual tests. It is important to bear in mind that the information contained within this factsheet is in no way an indication of future returns. This factsheet is an analysis of the following Plans: Investment Plans FTSE 1 Enhanced Kick-Out Plan FTSE 1 Enhanced Income Plan FTSE 1 Defensive Kick-Out Plan Dual Index Step Down Kick-Out Plan Deposit Plans FTSE 1 Kick-Out Deposit Plan FTSE 1 6 Year Defensive Deposit Plan FTSE 1 4 Year Deposit Plan Additional support tools For more information on our Plans including additional adviser support tools, please speak to your Investec Structured Products regional account manager or visit our website: www.investecstructuredproducts.com Additional tools available include maturity information, valuations, ISA information, Gary Dale s thought box blogs, adviser guides to structured products and our due diligence support pack. 3

Investment Plans FTSE 1 Enhanced Kick-Out Plan This product has a maximum term of 6 years, with the potential for maturity after years 1-6 if the FTSE 1 Index is greater than its starting level. Capital is at risk if the FTSE 1 Index halves during the product term. The table below shows the number of occasions on which this product would have matured at each potential maturity date. Where the product would have reached final maturity, the table shows how many times an investor would have experienced either a positive return, a return of capital with no additional return or a capital loss. Early Maturity in Year 1 4724 73.15% Early Maturity in Year 2 528 8.18% Early Maturity in Year 3 167 2.59% Early Maturity in Year 4 234 3.62% Early Maturity in Year 5 145 2.25% Final Maturity positive return 225 3.48% Final Maturity capital loss 56.87% Final Maturity 379 5.87% Total number of tests 6458 The chart below shows the start date of any instances where investment in the FTSE 1 Enhanced Kick-Out Plan would have resulted in either a capital loss or a return of capital with no additional return: Apr 1999 Sep 56 instances of capital loss FTSE 1 Index Starting Level Feb 1999 Feb 21 281 instances of Jan 27 Dec 27 98 instances of return of capital only 1984 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. 4

FTSE 1 Enhanced Income Plan This product has a term of 6 years and pays fixed monthly income payments, irrespective of the performance of the FTSE 1. Capital is at risk if the FTSE 1 halves during the product term and fails to recover at maturity. 6-month daily averaging is used to determine the final level of the FTSE 1. The table below shows the number of occasions on which an investor in this product would have lost capital. It is important to note that where a loss would have occurred, all fixed monthly income payments would have still been made. Capital Loss 56.87% Capital Return 642 99.13% Total number of tests 6458 The chart below shows the start date of any instances where investment in the FTSE 1 Enhanced Income Plan would have resulted in a capital loss: Apr 1999 Sep 56 instances of capital loss FTSE 1 Index Starting Level 1984 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. 5

FTSE 1 Defensive Kick-Out Plan This product has a maximum term of 6 years, with the potential for early maturity after years 3-5 if the FTSE 1 Index is greater than 9% of its starting level. Capital is at risk if the product runs to the final maturity date and the FTSE 1 Index is below 5% of its starting level. The table below shows the number of occasions on which this product would have matured at each potential maturity date. Where the product would have reached final maturity, the table shows how many times an investor would have experienced either a positive return, a return of capital with no additional return or a capital loss. Early Maturity in Year 3 5214 8.74% Early Maturity in Year 4 434 6.72% Early Maturity in Year 5 21 3.25% Final Maturity positive return 273 4.23% Final Maturity capital loss.% Final Maturity 327 5.6% Total number of tests 6458 The chart below shows the start date of any instances where investment in the FTSE 1 Defensive Kick-Out Plan would have resulted in either a capital loss or a return of capital with no additional return: FTSE 1 Index Starting Level Jul Sep 327 instances of 1984 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. 6

Dual Index Step Down Kick-Out Plan This product has a maximum term of 6 years, with the potential for early maturity after years 2-5 or a positive return in year 6 if both the FTSE 1 Index and the EURO STOXX 5 Index are greater than a Kick-Out level that reduces each year. The Kick-Out levels are a percentage of each index s starting level: 1% in Year 2, 95% in Year 3, 9% in Year 4, 85% in Year 5 and 8% in Year 6. Capital is at risk if the product runs to the final maturity date and either the FTSE 1 Index or the EURO STOXX 5 Index falls by more than 5% at any point during the term, and either index finishes lower than 8% of its starting level. The table below shows the number of occasions on which this product would have matured at each potential maturity date. Where the product would have reached final maturity, the table shows how many times an investor would have experienced either a positive return, a return of capital with no additional return or a capital loss. Early Maturity in Year 2 382 67.23% Early Maturity in Year 3 333 5.86% Early Maturity in Year 4 253 4.45% Early Maturity in Year 5 129 2.27% Final Maturity positive return 388 6.83% Final Maturity Capital Loss 76 12.43% Final Maturity 53.93% Total Number of Tests 5682 The chart below shows the start date of any instances where investment in the Dual Index Step Down Kick-Out Plan would have resulted in a capital loss: FTSE 1/EURO STOXX 5 Index Starting Level Apr 1999 Nov 262 instances of capital loss Feb 1999 Jun 1999 36 instances of return of capital only Jan 26 Feb 28 444 instances of capital loss Jun 26 Jul 26 17 instances of return of capital only 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index EURO STOXX 5 Index Source of Index Data: Bloomberg. 7

Deposit Plans FTSE 1 Kick-Out Deposit Plan This product has a maximum term of 6 years, with the potential for maturity after years 3-6 if the FTSE 1 Index is greater than its starting level. This product does not put capital at risk. The table below shows the number of occasions on which this product would have matured at each potential maturity date. Where the product would have reached final maturity, the table shows how many times an investor would have experienced a positive return or a return of capital with no additional return. Early Maturity in Year 3 4678 72.44% Early Maturity in Year 4 35 4.72% Early Maturity in Year 5 319 4.94% Final Maturity positive return 231 3.58% Final Maturity 925 14.32% Total number of tests 6458 The chart below shows the start date of any instances where investment in the FTSE 1 Kick-Out Deposit Plan would have only resulted in a return of capital with no additional return: FTSE 1 Index Starting Level Mar Feb 21 677 instances of Mar 26 Dec 27 248 instances of 1984 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. 8

FTSE 1 6 Year Defensive Deposit Plan This product has a term of 6 years. At maturity, if the FTSE 1 Index is greater than 9% of its starting level, this product pays a fixed coupon. If the FTSE 1 is below 9% of its starting level, this product returns capital with no additional return. The table below shows the number of occasions on which an investment in this product would have resulted in either a positive return, or a return of capital with no additional return. Positive Return 5661 87.66% Return of Capital Only 797 12.34% Total number of tests 6458 The chart below shows the start date of any instances where investment in the FTSE 1 6 Year Deposit Plan would have only resulted in a return of capital, with no additional return: FTSE 1 Index Starting Level Mar 1997 Sept 797 instances of 1984 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index Source of Index Data: Bloomberg. 9

Deposit Plans FTSE 1 4 Year Deposit Plan This product has a term of 4 years. At maturity, if the FTSE 1 is greater than its starting level, this product pays a fixed coupon. If the FTSE 1 is below its starting level, this product returns capital with no additional return. The table below shows the number of occasions on which an investment in this product would have resulted in either a positive return, or a return of capital with no additional return. Positive Return 5119 73.52% Return of Capital Only 1844 26.48% Total number of tests 6963 The chart below shows the start date of any instances where investment in the FTSE 1 4 Year Deposit Plan would have only resulted in a return of capital, with no additional return: FTSE 1 Index Starting Level Oct 1997 Sept 21 946 instances of Nov 24 Aug 28 898 instances of 1984 199 22 24 26 28 21 212 214 Final for backtesting FTSE 1 Index Source of FTSE 1 Index Data: Bloomberg. 1

For more information visit www.investecstructuredproducts.com For technical help call 27 597 465 Follow us @garydaleisp Investec Structured Products The Plans referred to herein are not sponsored, endorsed, or promoted by the index providers, and the index providers bear no liability with respect to any such Plans or any index on which such Plans are based. The prospectus and relevant Plan brochure contains a more detailed description of the limited relationship the index providers have with the license and any related products. Investec Structured Products is a trading name of Investec Bank plc. Investec Bank plc (Reg. no. 48964) is authorised by the Prudential Regulation Authority and regulated by the Financial Conduct Authority and the Prudential Regulation Authority and a member of the London Stock Exchange. Registered at 2 Gresham Street, London EC2V 7QP. 317487/TAL715