1 Asian Income Plus Strategy Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005 (1) Return figures are calculated as a % change over the period, include income distributed by Strategy and assume no reinvestment over life. (N.B. The % coupon paid on a Note linked to Strategy is not the same as the % income distributed by Strategy, as a Note’s coupon is among other things a function of allocation to Strategy). Yield is based on value of Strategy as of beginning of period. (2) Percentage change of each currency holdings within Strategy versus USD over the past month, using currency weightings as of end of month. (3) Breakdown as of beginning of month using live weights and prevailing exchange rates and showing the exposure of Strategy holdings to the currencies listed. (4) Top two holdings from each country as of last rebalancing. (5) Price performance showing sector returns as measured in the stocks’ respective local currencies over the past month, using live weights as of beginning of month. (6) Breakdown as of beginning of month using live weights reflecting the relative value of each stock/sector as of that time in percentage of the value of the total Strategy holdings. MoM means month on month change. All figures are calculated using month end data unless otherwise stated. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

2 Asian Income Plus Note 1 Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005Maturity Date: 11 th March 2011ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 25%, an “up-leverage” event will occur; a fall of the Gap measure below 15% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

3 Asian Income Plus Note 2 Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 28 th February 2005Maturity Date: 11 th March 2011ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 25%, an “up-leverage” event will occur; a fall of the Gap measure below 15% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

4 Asian Income Plus Note 4 Performance (Strategy II, USD) Update as of: 31 st Aug 2007 Strike Date: 4 th April 2005 Maturity Date: 15 th April 2011ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 25%, an “up-leverage” event will occur; a fall of the Gap measure below 15% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

5 Asian Income Plus Strategy Performance (Strategy III, USD) Update as of: 31st Aug 2007 Strike Date: 28 th February 2005 (1) Return figures are calculated as a % change over the period, include income distributed by Strategy and assume no reinvestment over life. (N.B. The % coupon paid on a Note linked to Strategy is not the same as the % income distributed by Strategy, as a Note’s coupon is among other things a function of allocation to Strategy). Yield is based on value of Strategy as of beginning of period. (2) Percentage change of each currency holdings within Strategy versus USD over the past month, using currency weightings as of end of month. (3) Breakdown as of beginning of month using live weights and prevailing exchange rates and showing the exposure of Strategy holdings to the currencies listed. (4) Top two holdings from each country as of last rebalancing. (5) Price performance showing sector returns as measured in the stocks’ respective local currencies over the past month, using live weights as of beginning of month. (6) Breakdown as of beginning of month using live weights reflecting the relative value of each stock/sector as of that time in percentage of the value of the total Strategy holdings. MoM means month on month change. All figures are calculated using month end data unless otherwise stated. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

6 Asian Income Plus Note 3 Performance (Strategy III, USD) Update as of: 31st Aug 2007 Strike Date: 28 th February 2005Maturity Date: 11 th March 2011ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 25%, an “up-leverage” event will occur; a fall of the Gap measure below 15% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

7 Asian Income Plus Strategy Performance (Strategy III, AUD) Update as of: 31st Aug 2007 Strike Date: 26 th July 2005 (1) Return figures are calculated as a % change over the period, include income distributed by Strategy and assume no reinvestment over life. (N.B. The % coupon paid on a Note linked to Strategy is not the same as the % income distributed by Strategy, as a Note’s coupon is among other things a function of allocation to Strategy). Yield is based on value of Strategy as of beginning of period. (2) Percentage change of each currency holdings within Strategy versus AUD over the past month, using currency weightings as of end of month. (3) Breakdown as of beginning of month using live weights and prevailing exchange rates and showing the exposure of Strategy holdings to the currencies listed. (4) Top two holdings from each country as of last rebalancing. (5) Price performance showing sector returns as measured in the stocks’ respective local currencies over the past month, using live weights as of beginning of month. (6) Breakdown as of beginning of month using live weights reflecting the relative value of each stock/sector as of that time in percentage of the value of the total Strategy holdings. MoM means month on month change. All figures are calculated using month end data unless otherwise stated. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

8 Asian Income Plus Note 6 Performance (Strategy III, AUD) Update as of: 31st Aug 2007 Strike Date: 26 th July 2005Maturity Date: 2 nd August 2011ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the AUD amount paid to date per AUD 10 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

9 Asian Income Plus Strategy Performance (Pacific Real Estate Strategy, USD) Update as of: 31st Aug 2007 Strike Date: 6 th June 2005 (1) Return figures are calculated as a % change over the period, include income distributed by Strategy and assume no reinvestment over life. (N.B. The % coupon paid on a Note linked to Strategy is not the same as the % income distributed by Strategy, as a Note’s coupon is among other things a function of allocation to Strategy). Yield is based on value of Strategy as of beginning of period. (2) Percentage change of each currency holdings within Strategy versus USD over the past month, using currency weightings as of end of month. (3) Breakdown as of beginning of month using live weights and prevailing exchange rates and showing the exposure of Strategy holdings to the currencies listed. (4) Top two holdings from each country as of last rebalancing. (5) Price performance showing sector returns as measured in the stocks’ respective local currencies over the past month, using live weights as of beginning of month. (6) Breakdown as of beginning of month using live weights reflecting the relative value of each stock/sector as of that time in percentage of the value of the total Strategy holdings. MoM means month on month change. All figures are calculated using month end data unless otherwise stated. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

10 Asian Income Plus Note 5 Performance (Pacific Real Estate Strategy, USD) Update as of 31st Aug 2007 Strike Date: 6 th June 2005Maturity Date: 15 th June 2011ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

11 Asian Income Plus Note 8 Performance (Pacific Real Estate Strategy, USD) Update as of: 31st Aug 2007 Strike Date: 13 th April 2006Maturity Date: 19 th March 2012ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

12 Asian Income Plus Strategy Performance (China Strategy, USD) Update as of: 31st Aug 2007 Strike Date: 1 st November 2006 (1) Return figures are calculated as a % change over the period, include income distributed by Strategy and assume no reinvestment over life. (N.B. The % coupon paid on a Note linked to Strategy is not the same as the % income distributed by Strategy, as a Note’s coupon is among other things a function of allocation to Strategy). Yield is based on value of Strategy as of beginning of period. (2) Percentage change of each currency holdings within Strategy versus USD over the past month, using currency weightings as of end of month. (3) Breakdown as of beginning of month using live weights and prevailing exchange rates and showing the exposure of Strategy holdings to the currencies listed. (4) Top two holdings from each country as of last rebalancing. (5) Price performance showing sector returns as measured in the stocks’ respective local currencies over the past month, using live weights as of beginning of month. (6) Breakdown as of beginning of month using live weights reflecting the relative value of each stock/sector as of that time in percentage of the value of the total Strategy holdings. MoM means month on month change. All figures are calculated using month end data unless otherwise stated. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

13 Asian Income Plus Note 10 Performance (China Strategy, USD) Update as of: 31st Aug 2007 Strike Date: 1 st November 2006Maturity Date: 14 th May 2010ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

14 Asian Income Plus Note 11 Performance (China Strategy, USD) Update as of: 31st Aug 2007 Strike Date: 1 st November 2006Maturity Date: 14 th May 2010ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

15 Asian Income Plus Note 12 Performance (China Strategy, USD) Update as of: 31st Aug 2007 Strike Date: 16 th November 2006Maturity Date: 1 st June 2010ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

16 Vietnam Tracker Notes - Series 1 (USD) Update as of: 31st Aug 2007 Strike Date: 3 rd March 2007Maturity Date: 16 th March 2010ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

17 Vietnam Tracker Notes - Series 2 (USD) Update as of: 31st Aug 2007 Strike Date: 22 nd March 2007Maturity Date: 16 th March 2010ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

18 Vietnam Tracker Notes - Series 3 (USD) Update as of: 31st Aug 2007 Strike Date: 27 th March 2007Maturity Date: 16 th March 2010ISIN: XS (i) Price as of respective month end as % of initial investment (ii) Price return and total return since Strike Date are calculated as a % change in price versus the Note Value at the beginning of the reference period and exclude any upfront fee but are net of all other fees. Total return figures include coupons paid and assume no reinvestment over life. (iii) Note Yield is calculated as the total coupon declared per Note during the period as a % of the value at the beginning of the period. % figures are not annualised. (iv) This is the USD amount paid to date per USD 10,000 denomination. (v) Strategy and CI monthly change are estimates and are calculated using beginning and end of month bid prices and allocations to Strategy. (vi) If the Gap measure rises above 18%, an “up-leverage” event will occur; a fall of the Gap measure below 12% would lead to “de-leverage” event. MoM means month on month change. Figures are calculated using month end data. Charts are based on month end data. Source: Bloomberg (exchange rates) and Citigroup Global Markets Limited

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