1. Wrappers & Counterparty Risk - Gilt-backed Symphony Shares - Structure at Issue - Cash flows positive scenario - Cash flows negative scenario Jan 2009

2. Investor Citi ( as swap counterparty ) Symphony Market £100Govt Bonds £1001 Preference share Govt Bonds Yield Equity Payment Flows at inception Flows during life Flows at inception and during life

3. Investor Citi ( as swap counterparty ) Symphony Preference Share Redemption Govt Bonds Govt Bond Proceeds + Equity Payment Flows at termination Flows at termination (if Citi doesn’t default)

4. Investor Citi ( as swap counterparty ) Symphony Market Govt Bond Proceeds Swap Recovery Value + Govt Bond Proceeds Swap Recovery Value (if any) Flows if Citi defaults Govt Bonds