1. AHFM Structured Products Fund January 2014 This is a marketing communication and has not been prepared in accordance with legal requirements designed to promote independence of investment research and is not subject to any prohibition of dealing ahead of the dissemination of investment research. The information in this document is derived from sources believed to be reliable but which have not been independently verified. Any prices included within this communication are for indicative purposes only. Atlantic House Fund Management LLP 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 Atlantic House Fund Management LLP, 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. Atlantic House Fund Management LLP registered in England and Wales, Registered Office: One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC376604, FCA Reference: 586302.

2. Background 2 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Contents Why Launch? Can it work? Current Parameters Collateral Summary

3. Background 3 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Why Launch? Rationale Investors have consistently identified the need for a Collective Investment structured product solution to address the following: Ineligibility of direct securities such as institutional structures in Offshore Life Assurance Bonds Difficulty in including closed-end securities in Model Portfolio Services Managers not wanting to self-select individual securities AHFM Structured Product Fund Investment Objective To generate medium to long-term growth by investing in a diversified portfolio of structured investments and derivatives linked to underlying assets.

4. Background 4 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Capturing value? Description Premium FTSE* Premium FTSE/SPX* 6 year ATM put17.78%22.67% 6 year, 70% Eur KIP13.89%19.11% 6 year, 60% Eur KIP11.66%16.89% Surprised? * Based upon CLS pricing models as at 30 th December 2013

5. Background 5 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Defined returns – autocall backtest (UPDATE) AC Yr 2 Coupon = 2*12.29% AC Yr 1 Coupon = 1*12.29% AC Yr 1 Coupon = 1*10.53% AC Yr 2 Coupon = 2*10.34% AC Yr 1 Coupon = 1*9.95% AC Yr 1 Coupon = 1*10.17% AC Yr 1 Coupon = 1*10.34% AC Yr 1 Coupon = 1*9.36% AC Yr 6 Coupon = 6*8.58% AC Yr 1 Coupon = 1*9.56% AC Yr 1 Coupon = 1*9.56% AC Yr 3 Coupon = 3*12.25% AC Yr 2 Coupon = 2*8.60% These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance.

6. Background 6 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Cumulative performance (not mark-to-market!) Current bid price of JPM 481 FTSE/S&P Defensive Autocall is 103.96p (CLS secondary market reference #481 on 11-Sep-13 closing bid) Simulated Autocall portfolio outperformance over FTSE total return = 173.67% to date These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance.

7. Background 7 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Historical performance – one structure These figures represent simulated past performance, based upon the actual returns of the FTSE Price and Total Return Index. Past performance is not a reliable indicator of future performance.

8. Background 8 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Investment Guidelines Market Exposure Predominantly major global equity indices with a bias to the UK, in either single or multi index payoffs. At outset, only structures that provide for positive return, even in a down market will be included in the portfolio. Credit Exposure At outset, only issuers or counterparties with a credit rating of at least single A- will be included. Issuer or counterparty downgrades will trigger an Investment Committee review. 10% maximum exposure to any one single counterpart or issuer and subject to “5, 10, 40 rule”. No more than 5% of fund’s assets in any one single security.

9. 9 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Performance

10. 10 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Current Parameters Based upon the portfolio as at 31 st December 2013 Current Asset AllocationMarket Risk Summary of BarriersCredit Risk Average cover to lowest +ve return 33.26% Cover to lowest final return range 40.21% to 25.75% Average cover to capital protection 39.54% Cover to capital protection range 42.34% to 35.99%

11. 11 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Current Parameters Based upon invested portfolio as at 31 st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow. Intrinsic Value for certain market moves Market Move-20%-10%0%+10%+20% Intrinsic Value150.33%141.82%119.48% 119.48 GRY for certain market moves Market Move-20%-10%0%+10%+20% GRY7.33%7.53%7.01% Expected Change in Value Time/Market Move -20%-10%0%10%20% 3 month-16.47%-6.26%0.23%3.57%5.34% 1 year-11.89%-1.25%5.74%9.74%11.94% 2 year-4.83%5.96%13.05%17.13%19.35% 3 year4.17%15.24%21.95%25.52%27.41%

12. 12 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Greeks per Investment Based upon invested portfolio as at 31 st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow.

13. 13 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Intrinsic value for certain market moves Based upon invested portfolio as at 31 st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow.

14. 14 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 GRY for certain market moves Based upon invested portfolio as at 31 st December 2013 Note: Calculations do not consider credit spread movements of the issuers of the securities. The MTM of the securities and therefore the NAV of the fund will decrease as credit spreads widen and vice versa if spreads narrow.

15. 15 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Why buy a Gilt? Fund Investor CashReturn Market Cash Gilt Market Gilt flows - fixed Libor +4!! Market Libor +4!! SP payoff: Autocall, Digital, etc Market Sell CDS? Receive 100bps p.a?

16. Background 16 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Summary Continue to steadily invest Consider selling some existing investments – those with low GRY Won’t be a smooth 7% per annum – think autocall backtest Continue to buy low! Try and Sell high!

17. 17 Atlantic House, 72 New Bond Street. London W1S 1RR - Tel: 020 7043 0100 Authorised and Regulated by the Financial Conduct Authority Firm No. 586302 Disclaimer The information in this document is derived from sources believed to be reliable but which have not been independently verified. Atlantic House Fund Management 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 Atlantic House Fund Management, 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. Atlantic House Fund Management LLP registered in England and Wales, Registered Office : One Eleven Edmund Street, Birmingham, B3 2HJ. Registration Number: OC376604, FCA Reference: 586302