1. Autocallables in Context of Market Conditions end Q1 2011

2. (1)Recap from previous Autocall piece (2)Do Autocalls look attractive? Rates Vols Secondary Market (3)Long-term Autocall trends (4)Summary of Autocall structures traded

3. (1) Recap from previous Autocall piece Pricing of autocalls should be taken in context of rates Expected life of most autocalls – take prevailing 2-Year Swap Rate Sensitivity of Coupon to rates Volatility – Are VIX and 12M implied Vol relevant measures to Autocalls? Yields of Other Asset Classes and Macro Correlations

4. (2) Do Autocalls look attractive? Volumes of Autocalls Performance: Absolute and Relative Absolute Return Funds Investor mark-to-market experience Two broad investor types: - around 8% and low autocall barriers - those looking for 10% plus

5. (2)...Rates Recap from last Autocall analysis excellent absolute and relative performance

6. (2)...Volatility Recap from last Autocall analysis excellent absolute and relative performance

7. (2)...Secondary Market Recap from last Autocall analysis excellent absolute and relative performance

8. (3) Long-term Autocall trends Recap from last Autocall analysis excellent absolute and relative performance

9. (4) Summary of Autocall structures traded Recap from last Autocall analysis excellent absolute and relative performance

10. Any Questions?