Wrappers and Counterparty Risk Apr 2009

Content Different types of wrapper Symphony / Platinum Gilt-backed products Partner banks Other Banks

Different types of wrapper UCITS / Non-UCITS Medium Term Note Listed Investment Company Deposit-linked

Symphony - Listed Investment Company Symphony is: Jersey Protected Cell Company Transferable security, not a Collective Investment Scheme Listed on CISX Each share class is a protected cell – ie, ring fenced from each other A ‘Nil Par Value’ company It is not a commercial paper conduit, nor does it use leverage CGML is appointed investment manager in similar way to UCITS structure Investment and Credit counterparty is Citi (unless clearly specified) and carries Citi’s main credit rating (S&P – A / Moody’s – A2) Part 1 prospectus generic, Part 2 prospectus specific to each issue All board members are non-exec. 3 from Mourant and Co Ltd, 1 independent Advised by Allen & Overy and Mourant. Audited by Ernst & Young LLP

Platinum - Listed Investment Company Platinum is: Guernsey Protected Cell Company Transferable security, not a Collective Investment Scheme Listed on CISX Each share class is a protected cell – ie, ring fenced from each other A ‘Nil Par Value’ company It is not a commercial paper conduit, nor does it use leverage Deutsche Bank is appointed investment manager in similar way to UCITS structure Investment and Credit counterparty is DB (unless clearly specified) and carries DB’s main credit rating (S&P – A+ / Moody’s – Aa1) Part 1 prospectus generic, Part 2 prospectus specific to each issue All 4 board members are non-exec. And independent Advised by Allen & Overy and Orzannes. Audited by Deloitte LLP

Gilt-backed products Cash flows at inception and through the life of a government bond backed structured product Investor 1 Preference share£100 Symphony Govt Bonds Yield Equity Payment £100Govt Bonds Citi ( as swap counterparty ) Market Flows during life Flows at inception

Gilt-backed products Cash flows at termination if Citi does not default Investor Symphony Citi ( as swap counterparty ) Flows at termination Govt Bond Proceeds + Equity Payment Govt Bonds Preference Share Redemption Value

Gilt-backed products Cash flows if Citi does default Investor Symphony Citi ( as swap counterparty ) Market Flows if Citi defaults Govt Bond Proceeds Govt Bonds Swap Recovery Value (if any ) Swap Recovery Value + Govt Bond Proceeds

Partner Banks Our Partner Banks are: Citi Rating A Good funding spreads Key vehicles; Symphony Structured Products (Jersey) Ltd; Allegro Investment Corporation Deutsche Bank Rating A+ Solid capital base, comparatively secure Key vehicles; X-Notes MTN; DB Platinum (Guernsey PCC) Nomura Rating A Good funding spreads Key vehicle; STAGs (Securities Taxed As Gains) exchangeable bonds (similar to Barclays Simple)

Other Bank Relationships We are currently in discussion (and can do trades with): HSBC Rating AA Solid Capital Base, popular counterparty Key vehicles; Exchangeable Warrant Programme; MTN Note Programme Credit Suisse Rating A Solid capital base, comparatively secure Key vehicles; Andrea Investment (Jersey) PCC Societe Generale Rating AA- Solid capital base. Strong links to its Government Key vehicle; Lyxor Funds (Lux), ESOL Notes, CODEIS (Lux)

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