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 RiskBank CDS

Bank Timestamp CDS (current) CDS (31-Dec-2010)BNP 07/09/11 248 113Banco Santander 07/09/11 313 248BoA 07/09/11 316 181Barclays 07/09/11 249 121Citigroup 07/09/11 222 149Commerzbank 07/09/11 272 145Credit Agricole07/09/11 252 165Credit Suisse 07/09/11 187 100Deutsche Bank 07/09/11 189 105Goldman 07/09/11 222 126HSBC 07/09/11 120 85ING 07/09/11 202 147JP Morgan 07/09/11 123 86Lloyds TSB 07/09/11 324 204Morgan Stanley 07/09/11 301 171Nomura 07/09/11 261 120Rabobank 07/09/11 106 82RBS 07/09/11 337 214Soc Gen 07/09/11 336 159UBS 07/09/11 195 100

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 31/07/2011

• 62 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%)FTSE5 year maximum term.DownsideSoft protection at 60%, EuropeanUpsideAutocallable 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 termFinal defensive barrier 75%Soft protection at 60% (European)Launched on Tuesday 13th 2011.

HSBC FTSE Defensive Autocall (8%)6 year maximum termFinal 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 YearsIssued at 99.75%Struck on 21st Feb with FTSE at 6014.80 and Jan 11 RPI fix of 229Issue date / settlement 7th March

Upside:Coupon paying 2.74% plus any increase in Year On Year RPICoupon is therefore floored at minimum of 2.74% should YoY inflation be negative.

Downside:Capital Protection linked to the FTSE 100At 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 YearsIssue date / settlement 9th March

Upside:180% participation in the upside of the FX hedged Benchmark Index

Downside:142.86% downside participation from 70% of the initial index level

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

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 1st 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 149.13% 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: 484826