An Update on Catley Lakeman Securities and Private Placement Structured Products September 2011

Who are Catley Lakeman? Founded July 2008 Team of 7 people FSA authorised securities and futures firm Outsourced origination and distribution business that sells and supports Private Placement securitised derivative investments to professional asset managers and institutions in the UK Represent seven banks on a contractual basis Citigroup Nomura HSBC JP Morgan Credit Suisse UBS Rabobank

Team Russell Catley - Sales Andrew Lakeman - Sales Tom May – Trading and Structuring Jonathan Dagg – Research, Trading and Structuring Chris Dagg – Trading and Rate Structuring Nina Gill - Sales Stuart Chandler – Non-Executive Chairman Combined investment sales experience – 44 years Combined structured product trading experience – 20 years Combined structured product specific experience – 36 years

Client Base All major Discretionary firms Small to Medium-sized institutions Multi-Asset Fund managers Larger Family Offices Multimanagers and Specialist Fund Managers

Evolution of Structured Investments Market 10 years, Merrills, Citi, BarCap …………………………………. Radical volatility in equity markets 2008 / 2009, with rate falls Directionless yet volatile equity markets in 2010 with historically low rates Volatility settling from historic highs, but still above long-term average Rates started to rise across the curve back-end 2010, but off again 2011….. Equity Bulls and Bond Bears 2011 Source: Catley Lakeman Securities End of Year Client Survey 2010

Credit Risk Bank CDS BankTimestampCDS (current)CDS (31-Dec-2010) BNP07/09/ Banco Santander07/09/ BoA07/09/ Barclays07/09/ Citigroup07/09/ Commerzbank07/09/ Credit Agricole07/09/ Credit Suisse07/09/ Deutsche Bank07/09/ Goldman07/09/ HSBC07/09/ ING07/09/ JP Morgan07/09/ Lloyds TSB07/09/ Morgan Stanley07/09/ Nomura07/09/ Rabobank07/09/ RBS07/09/ Soc Gen07/09/ UBS07/09/ Credit Default Swap (CDS) levels relate to basis points over LIBOR per annum [Current as at 07 September 2011]

Evolution of Business Business has become much more client-led Bespoke and Lead-order trades Inevitable consequence of directionless markets Corresponded with lower platform costs – EIS v PCC / MTN for tax sheltered Trade sizes and regularity has changed 98 new securities originated and traded in FY to 31/07/ new securities originated and traded 2011 to date 204 new securities traded since 01/08/08 Origination average size at trade GBP8.2mm Originated and issued since 1 August 2008 Over GBP1.75bn primary market notional Traded over GBP500mm secondary market

Evolution of Business Addition of specialist rates trader Ability to discuss strategic rate, currency and credit trades In detailed conversation with CIO/Head of Fixed Income with major discretionary firms Securitised and OTC hedging solutions tradable Improvement in ability to execute Robust trading desk – 3 full time Improved website and technological capability Client Portfolio has been rolled out

Website - Portfolio pages

Client Communication...

Client Survey Results - Equities Source: Catley Lakeman Securities End of Quarter Client Survey 1Q 2011

Client Survey Results – Government Bonds Source: Catley Lakeman Securities End of Quarter Client Survey 1Q 2011

Client Survey Results - Credit Source: Catley Lakeman Securities End of Quarter Client Survey 1Q 2011

Meeting Risk Return Expectations - Autocallables SG Aggressive Auto-Call (17.3%) FTSE 5 year maximum term. Downside Soft protection at 60%, European Upside Autocallable after 3, 4 or 5 years if the FTSE is above 120% of its initial level (currently ~ 7200) Autocall Coupon = 17.3% p.a. so following payouts: Year 3: 151.9% Year 4: 169.2% Year 5: 186.5% Credit Suisse FTSE Defensive Autocall (10.5%) 6 year maximum term Final defensive barrier 75% Soft protection at 60% (European) Launched on Tuesday 13th HSBC FTSE Defensive Autocall (8%) 6 year maximum term Final defensive barrier 70% Soft protection at 60% (European) Launched on Wednesday 18th May 2011.

Meeting Risk Return Expectations - Inflation Linked SG 295 Inflation Plus Income Notes SG Issued medium term note (taxed as income) 6 Years Issued at 99.75% Struck on 21st Feb with FTSE at and Jan 11 RPI fix of 229 Issue date / settlement 7th March Upside: Coupon paying 2.74% plus any increase in Year On Year RPI Coupon is therefore floored at minimum of 2.74% should YoY inflation be negative. Downside: Capital Protection linked to the FTSE 100 At maturity, capital is at risk only if the FTSE 100 level is less than 50% if the start level. Capital at risk on a 1:1 basis in this case.

Meeting Risk Return Expectations - Nikkei Hedged Supertracker Nomura Nikkei Accelerator (180%) This is the first trade to utilise the alternative to the GBP quanto on Japanese Equities. This structure is linked to the FX hedged Nikkei Index that has been created to mitigate much of the currency risk inherent in Sterling investors in Japanese Equity. For an explanation of how the Benchmark index works in terms of the currency hedge, please see the note attached to the product detail page or call as always. Nomura Excluded Index Security (EIS) 6 Years Issue date / settlement 9th March Upside: 180% participation in the upside of the FX hedged Benchmark Index Downside: % downside participation from 70% of the initial index level

Why is the market for institutional Structured Products booming in the discretionary market?

Autocall research back to 1990 shows exceptional outperformance over equities (Actual product from 2004, simulated from Bloomberg 1990 – 2004) FTSE Autocall bought and “rolled” from 1 st January 1990 – Outperformed the FTSE Total Return Index by 60.83% to April 2011 FTSE Defensive Autocall bought and “rolled” on the same basis from January 1990 – Outperformed the FTSE Total Return Index by % to April 2011

Who is buying them and what are they buying? All major discretionary firms Family Offices Multi-asset Fund Managers Small institutions and pension schemes Charities

Who is buying them and what are they buying? Payoffs (Approx. Returns) Autocallables (10 – 14% pa) Defensive Autocallables (8 – 12% pa) Range Trades (8 – 11% pa) Synthetic Zeros (6 – 10% pa) Supertrackers (150 – 220% pcn) Call Spreads (Variable) Underlyings Equity Index RPI-linked Commodities Currencies Stock Baskets – less common

2012 and Beyond Core business should continue to evolve Ambition to expand “upstream” as suits our technical capabilities Clients are absolutely key to our evolution Complaints, improvements, suggestions…….. Always welcome and in fact essential! Thank you again for business to date We are passionate about investment and about creating investment solutions that work

Disclaimer: The information in this document is derived from sources believed to be reliable but which have not been independently verified. Catley Lakeman Securities makes no guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any person’s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the present judgment of Catley Lakeman Securities, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient. Catley Lakeman Securities is a LLP registered in England and Wales, Registered Office : One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC336585, FSA Reference: