For professional investors only

For professional investors only
Structured Products 2.0 February 2019

Contents Introduction to Dura Capital / Structured Products 03
Structured Products – Background and History Risks and Client Suitability How Dura Can Help Appendix

Supported by a team of +50 sales and administration staff
Introduction Dura Capital is an FCA regulated retail structured products business established in 2018, Founded by Catley Lakeman Securities (CLS). Catley Lakeman Securities are the largest provider of structured investments in the UK. Since 2008, they have executed over £9bn of securities including $1bn in their asset management division - Atlantic House Fund Management (AHFM) DIRECTORS Russell Catley Nick Johal Ben Fox Luke Reeves SENIOR MANAGEMENT Tom May Structuring Mike Newman COO Richard Jones Distribution Glenn Hamilton Distribution Supported by a team of +50 sales and administration staff

Investment Philosophy
Dura Capital’s investment philosophy is founded on the following principles: Transparency Competitive pricing Whole of market & diverse access to G-SIB bank issuers Robust Corporate Governance Market-leading customer service Ongoing adviser engagement and support

Structured Products – Brief Background
Now 1970s Early 2000s Jan 2018 The industry responded by enhancing education, transparency and governance.: 2011: FCA Thematic Review 1 2012: Retail Distribution Review 2015: FCA Thematic Review 2018: MiFID II & PRIIPs During the 1970s, institutional investors began to use new variations on traditional bonds to modify their risk exposures – structured products were born Structured products enjoyed strong growth in the number of issuers, types of products offered and assets raised The introduction of PRIIPs & MiFID II Product Governance legislation brings the rest of the asset management industry in line with the FCA’s Thematic Review 1990s Sep 2008 2015 Mar 2018 First retail-focused structured products appear in the UK market, typically linked to the FTSE 100 index The failure of Lehman Brothers during the global financial crisis (managing circa £100m out of £5.4bn UK structured products) raised for the first time the issue of default on structured product’s underlying investments The FCA’s Thematic Review acknowledged structured products as an important component of the financial services industry The review ensured providers have robust controls and corporate governance in place, alongside a product development process placing customers at the forefront of product design Dura Capital launches

FCA View “Structured products form an important component of the financial services industry. Products range from alternatives to cash deposits to complex investments referencing multiple financial assets or indices. This large and diverse market serves individual savers as well as sophisticated investors, corporates and financial institutions.” FCA Thematic review TR15/2 Source: FCA, 31 August 2016

Defined Return and Risk
What is a Structured Product? A market linked investment with clearly defined return and risk outcomes There are a range of differing structures that are likely to appeal to most people’s financial objectives: Defensive Growth Income Defined Return and Risk Moderate Growth Aggressive Growth Dura Capital | 7 lantic House, 72 New Bond Street, London, W1S 1RR  Regulated by The Financial Conduct Authority FRN:   

A Solution for Advisers
Challenges facing most Advisers today: Where to generate returns? Having to allocate c.60% to equities during market uncertainty Macro instability Pension Freedoms 6 -10% annual returns Up to 40% equity market protection Defensive equity option for your portfolio Long term savings via SIPP and SSAS What Dura can provide Source: MSCI as at 29/12/17 Dura Capital | 8

Where Structured Products Sit in Clients’ Portfolios
MSCI WMA Private Investor Balanced Index Mitigating Equity Risk Source: MSCI as at 29/12/17 Dura Capital | 9

Types of Structured Product?
Unlike traditional fund investments, structured products do not physically hold the underlying assets on which returns are based. Instead they offer exposure to the performance of an equity index or another asset class delivered at a defined date (the ‘maturity date’) There are many potential types/variations of structured products. Currently, Dura Capital focusses on the below: DEFINED RETURN AUTOCALLS INCOME Sit alongside: Equity income funds and absolute return funds Can be thought of as part of a Defensive Equity or Alternatives Allocation Sit alongside: Equity income funds Can be thought of as part of a Defensive Equity or Alternatives Allocation

How A Structured Product Works
Credit Suisse FTSE 100 Defensive Autocall Plan 20 (7.25%) Start Date 30 January 2019, FTSE 100 strike: 60% capital at risk barrier No call in year 1 Autocall observation Return of % Autocall observation Return of % Autocall observation Return of % Autocall observation Return of % Autocall observation Return of % Autocall continues to 6th anniversary Autocall continues to 5th anniversary Autocall continues to 4th anniversary Autocall continues to 3rd anniversary No call, continues to 2nd anniversary Capital protection barrier triggered Capital eroded on a 1-for-1 basis 1st anniversary 2nd anniversary 3rd anniversary 4th anniversary 5th anniversary 7th anniversary 100% 65% 0% Capital loss Capital protected 100p Capital redeemed FTSE: 95% FTSE: 90% FTSE: 75% FTSE: 60% FTSE: Autocall observation Return of % 85% FTSE: Autocall continues to 7th anniversary 6th anniversary Dura Capital | 11

Probability How many times since the inception of the FTSE 100 has an Autocall with 40% protection seen erosion of capital? Dura Capital | 12 lantic House, 72 New Bond Street, London, W1S 1RR  Regulated by The Financial Conduct Authority FRN:   

Historical Barrier Results* Model Implied Probability of Autocall**
Credit Suisse FTSE 100 Defensive Autocall Plan 16 Historical Barrier Results* Model Implied Probability of Autocall** Yr 1 No call Yr 2 autocall barrier 100% 75.74% 40.04% Yr 3 autocall barrier 100% 5.89% 8.11% Yr 4 autocall barrier 95% 4.81% 8.06% Yr 5 autocall barrier 90% 4.99% 6.49% Yr 6 autocall barrier 85% 6.34% 5.42% Yr 7 autocall barrier 75% 2.22% 5.21% No call but no loss barrier 65% 0.00% 7.12% Capital loss 19.55% Source: Catley Lakeman Securities *Historical barrier results using the observable daily close of the FTSE 100 price return every day from 01/01/84, calculating the frequency of autocall at each anniversary. This is not a guide to future performance, just a summation of historical market levels over a long-term rolling period. **Implied probability of maturities of the autocall calculated using equity derivative pricing models. Dura Capital | 13 lantic House, 72 New Bond Street, London, W1S 1RR  Regulated by The Financial Conduct Authority FRN:   

Structured Product Risks
Market Risk: capital repayment depends on the performance of the underlying equity index or asset class, the future performance of which cannot be guaranteed Time Horizon: Whilst an investor might be happy with the capital erosion prospects at maturity, the reference index/indices may fall throughout the life of the structured product and might fall by more than the investor expects Issuer Default Risk: If the issuer of the structured product fails or becomes insolvent, investors could lose some or all of their investment Inflation Risk: The real value of your return will be reduced Exit Risk: The secondary market price of a structured product will depend on many factors including, but not limited to, the value and volatility of the underlying index, interest rates, dividend rates, time remaining to maturity and the creditworthiness of the issuer. Prior to maturity, the price may be less than the amount the holder invested or could have received on maturity of the investment Tax Risk: The tax treatment of structured products can be complex may change during the term of an investor’s investment. Investors should seek their own professional tax advice The risks outlined above are not intended to be a complete list of all risks associated with investing in structured products. Any investment in structured products should only be made having read and reviewed all the relevant product literature, including the risk warnings outlined therein.

Credit Risk Dura Capital aims to offer our whole of market access to G-SIB bank issuers and is in negotiation with a number of issuers, some of which are new to the UK retail market or have not issued product to the UK retail market for some time. Bank CDS levels today Source: Bloomberg

Pricing & Liquidity The majority of structured products reference a global equity index - which will have a large futures market and liquid underlying components S&P 500 futures volumes are USD169.1bn daily Trading in the top ten traded UK stocks is over 20% of FTSE 100 futures volume EuroStoxx 50 futures volumes are EUR26.7bn daily FTSE 100 futures volumes are GBP6.4bn daily Source: Bloomberg Weekly average data, as at 02/10/2017. Equity Structured Investment option pricing and liquidity is based on the futures market.

Structured Products & Client Suitability
Dura Capital has commissioned independent investor research both as part of our target market governance framework and also because of our commitment to grow the structured product market Key points from the investor survey include: 90% of retail investors understood an Autocall’s features and risks (when framed properly, in this case via a short animation) >40% Identified an investment need which can be met by an Autocall: Growth Income & Growth ~70% Conversion rate of investment need to potential demand Only 4% Of investors surveyed currently hold structured products Source: The Wisdom Council, Catley Lakeman (WANDA) as at 21/03/2018.

Ways To Access Dura Structured Products
Tax Treatment: CGT Pensions: SIPP & SSAS Savings (including ISAs) Individually, jointly or on behalf of a child under 18 Company & Trustee Investments “Duty of Care” Via Platforms - Numerous approved providers Anyone not approved, Dura are happy to chase on your behalf

Dealing Procedure & Timetable
Signed TOB Offer Open: 10th Dec 2018 Offer Close: 25th Jan 2019 Investment Start Date: 30th Jan 2019 FVC issue Independent DD: Product Literature available: Support and portal training available Adviser applications and processing all online

How Dura Can Help You Nationwide CPD accredited seminars
Financial planning cases Focused 1-1 meetings Provide supporting literature Ongoing support Facilitate platform agreements Adviser portal training Provide suitability paragraphs

Online Adviser Portal Online Application process
Access to investment history Live product pricing Full breakdown of Adviser fees

Current Open Plans Citi FTSE 100/S&P 500 Quarterly Income Autocall Plan 22 Potential return of 1.95% per quarter if the index closes equal to or above 75% of its Initial index level Linked to the FTSE 100 / S&P 500 60% capital at risk barrier 75% income barrier 10 year term Annual autocall barriers: Non-call / 105% / 105% / 105% / 105% / 105% / 105% / 105% / 105% / Maturity Offer closes: 6th February 2019 Credit Suisse FTSE 100 Defensive Autocall Plan 23 Potential return of 8.50% p.a. from year 2 onward Linked to the FTSE 100 60% capital at risk barrier 8 year term Annual autocall barriers: Non-call / 100% / 100% / 100% / 95% / 90% / 85% / 75% Offer closes: 22nd February 2019 Citi FTSE 100 Autocall Plan 24 Potential return of 12.40% p.a. from year 1 onward Linked to the FTSE 100 65% capital at risk barrier 7 year term Annual autocall barriers: 100% / 100% / 100% / 100% / 100% / 100% / 100% Offer closes: 22nd February 2019

Summary Transparency Competitive pricing Innovative product issuance Whole of market & diverse access to G-SIB bank issuers Market-leading customer service Roadshow Programme (CPD accredited), Professional connections. For further information on our current range of structured products, please contact Farida Nurbhai: Phone: Website:

Appendix

FTSE Defensive Autocall
What is a Structured Product? A structured product is legally a bond issued by a bank … 6 Year 1.62% Corporate Bond Issuer A+ Issuer Status Senior unsecured Term 6 Years Clearing CREST Issue Price 100 Coupon 1.62% FTSE Defensive Autocall Issuer A+ Issuer Status Senior unsecured Term Maximum 6 Years Clearing CREST Issue Price 100 Return Linked to FTSE 100 … but with equity-linked risk and return

Why do Banks Issue ? Raise short term and medium-term funding for the bank and smooth redemption profile Leverage off existing equity derivatives businesses Profit (or Loss) derived from hedging activities Dura Capital | 26

Liquidity & Secondary Market
Whilst they are designed to be held to maturity, in normal market conditions a secondary market (though no guaranteed) is normally available A structured products secondary market price is the theoretical net asset value of the product and its components. The price will be influenced by: The performance of the referenced equity index or asset class Dividend yield Implied volatility Market correlation (where relevant) Interest rates The issuing counterparty’s funding requirements Dura Capital will provide daily pricing, details of which can be found on the website:

Autocall barrier 65% with lower coupon vs. 75% with higher coupon
The majority of ‘defensive’ Autocalls in the retail market have Autocall barriers set at 65% of the index’ starting value The typical Autocall barrier in the institutional market tends to be at 75% of the index’ starting value (with a higher coupon offered vs. a 65% capital barrier) Why? Probability of returns Example – FTSE Year Autocall Year 75% Final Barrier 65% Final Barrier Coupon 7.25% 6.25% Historical Barrier Results Forward-Looking Scenarios Called Year % barrier 72.53% 44.92% Called Year % barrier 11.58% 12.26% Called Year % barrier 4.70% 8.61% Called Year % barrier 2.70% 4.02% Called Year % barrier 3.17% 3.89% Called Year % barrier 4.17% 3.31% Matured Year 7 1.15% 5.87% Capital Returned 0.00% 9.22% 6.66% Capital Eroded 10.47% Source: Catley Lakeman Securities. Based on 7 year FTSE 100 Autocall with barriers years 1-7 of 100/100/95/95/90/85/75 or 65 being launched each day since 1 January *Historical barrier results using the observable daily close of the FTSE 100 price return every day from 01/01/84, calculating the frequency of autocall at each anniversary. This is not a guide to future performance, just a summation of historical market levels over a long-term rolling period. **Implied probability of maturities of the autocall calculated using equity derivative pricing models.

Paths of the three Autocalls is similar
Autocall with first call opportunity Year 1 vs. Year 2 Depends on the forward of the underlying index on whether this feature will improve or worsen terms Often it will worsen terms An Issuer option, not an Investor option Helps Issuers who have steep funding curves Terms: Index: FTSE 100/EuroStoxx 50 Currency: GBP Tenor: 7 years Autocall 1: 100/100/95/95/90/85/75 Autocall 2: NC/100/95/95/90/85/75 Autocall 3: NC/100/95/95/90/85/65 Issuer: Citi EKIP: 65% at maturity Paths of the three Autocalls is similar

Paths of the three Autocalls is similar
Dual index vs. single index Advisers have historically tended to avoid dual index structured products as they are perceived as being more complex vs. single index products Whilst the probability of capital loss can increase with dual index products, for clients with a suitable risk appetite the uptick in the coupon offered can be considerable Below models a new FTSE, FTSE/S&P and FTSE/EuroStoxx being launched every day between 1987 and The paths of the three Autocalls is similar Common Autocall Terms: 7 year term to maturity Autocall barriers: 100/100/95/90/85/80/75 Conditional capital protection: 65% Paths of the three Autocalls is similar Source: Catley Lakeman Securities, as at 10/04/2018. Past performance is not a guide to future return.

Structured Products – Today
Annual Sales averaging >£750m p.a. since 2008 >£2bn in clients assets >450 structured products issued since 2017 Retail Structured Products – The UK Market today Where Dura Capital See Opportunity The structured product retail market has shrunk in recent years, whilst the institutional market has grown significantly – thematic reviews, RDR, PRIIPs, MIFID and industry inertia have lead to this trend Since the mid 2000s the retail market has not progressed in terms of issuers, product design or product access Dura Capital sees an opportunity to provide advisers and their clients with clear, good value products, providing investors with defined return investments and compelling probability of returns Source: SRP Europe Awards Report 2017.

Financial Planning - Example 1
Background: Harry, 50 and Sue, 53 are married with two teenage children They are both in full time work in the legal profession They both have £500k each in their SIPPs, savings of £1m in investment portfolios, no mortgage and moderate attitude to risk They are looking to consolidate gains they have made, whilst staying fully in the market Growth example Solution: Their financial adviser suggests maintaining a diversified and balanced approach Suggests reallocating from more traditional OEIC funds and harvesting gains from equity bucket, by selling 10% weighting in equity bucket and allocating to 2 structured products They each allocate £50k from their SIPP and £100k from their investment portfolios into a FTSE 100 flat autocall, with a 9% annual coupon, 60% capital at risk barrier & a dual FTSE 100 & EuroStoxx 50, with a 9% annual coupon, 65% capital at risk barrier Expectation: They realise they are giving up potential upside to markets, but given the value of their pensions and savings they would be delighted with a 6% annual, compound return after fees

Background: A private engineering company based in the South West England. The company has a turnover of £20m, £5m in profits and £5m in cash Cash reserves are sitting in a zero interest bearing bank account The company directors would like to retain £2m in cash and invest £3m with medium to longer term outlook and a balanced attitude to risk Growth example Solution: Their financial adviser suggests a portfolio of 40% bonds, 20% equities, 20% commercial property and 20% structured products. They are targeting 5-6% annual returns net of fees. They invest £600k into 4 structured products, £150k each. This is in the form of single and dual index products, with different counterparties. They range in returns from 7-10% per annum, with at least, 60% capital at risk barrier. Expectation: They realise they are giving up risk free returns in cash, but the company directors have explicitly asked to take greater risk to generate returns

Background: Jack and Isobel both aged 72, retired doctors. They are both in good health and have 2 children and 3 grandchildren. They both have £750k each in their SIPPs, £1m in ISA’s, £500k in general investment account, no mortgage and moderate attitude to risk. Their investment portfolio including the SIPP’s is around £3m. They have an in possession trust in place for their children established 7 years ago. They are looking for an income of around £100k per annum c.3% yield net. Income example Solution: Their financial adviser suggests maintaining a diversified and balanced approach with a focus on income. The adviser invests in a combination of multi-asset portfolios and suggests a 10% weighting to structured products in two products. They each allocate £75k from their SIPP, 100k from the ISA’s and £50k. With an explicit requirement for income they invest in 2 ‘Income Autocall’ products. This provides 1.25% income per quarter. It has a 60% barrier and a can auto-call from year 2 if the product s above 105%. Expectation: With a 6% annual income this product is perfectly suited to their risk/return profile in the context of an overall, diversified asset allocation mix. They understand the risks and whilst the plan is not designed to provide capital growth, it does provide almost twice the income requirements they need, with some capital protection built in.

Structured Products - Accelerator
Example: FTSE 100 Accelerator (249%) EIS Terms Payoff Pricing Date September 2017 Issuer Assuming A+ issuer Ratings Currency GBP Term 6 years Upside 249% of any increase in the level of index from its initial strike level The potential return is uncapped Conditional capital protection: 65% EKIP If at maturity the index closes: below 65% of its initial level = 1p capital lost for every 1% fall in the index Type EIS – CGT wrapper (under current rules) Eligibility Direct investments, ISAs, SIPP, SSAS, most trusts (not offshore bonds)

Forward Looking Scenario Analysis
How Does an Accelerator Behave? Forward Looking Scenario Analysis Underlying (% move from launch* level) -40% -30% -20% -15% -10% -5% 0% 5% 10% 15% 20% Months into the life Estimated structured mid-price (% of issue price) 3 51.33% 62.33% 74.35% 80.80% 87.35% 93.87% 100.88% 106.48% 112.48% 118.68% 125.14% 11 53.08% 64.25% 75.90% 81.92% 88.58% 95.12% 101.94% 107.91% 114.10% 120.43% 126.98% 23 55.88% 67.48% 79.23% 85.02% 91.33% 97.91% 104.62% 110.27% 116.63% 123.20% 130.24% 35 59.26% 70.60% 81.93% 87.60% 93.37% 99.48% 105.97% 112.05% 118.52% 125.60% 133.14% 47 62.47% 74.60% 85.09% 89.82% 94.85% 100.44% 106.63% 112.68% 119.85% 127.71% 136.12% 59 66.51% 79.95% 89.24% 93.24% 97.18% 101.68% 107.28% 113.64% 121.52% 130.63% 140.72% 71 65.88% 89.72% 99.47% 99.90% 99.92% 101.64% 111.12% 123.44% 135.83% 148.21% Assumes credit, interest rate and implied volatility curves remain unchanged. Path dependence – assumes structure has not previously Autocalled. *Scenario analysis performed as of 22nd September 2017 launch. Sensitivities at Launch (“Greeks”) Delta 1.28% Vega 0.90% Rho 0.18% Definitions: Delta - the change in value of the security for a 1% change in the underlying. Vega - the change in value of the security for a 1% change in the implied volatility. Rho - the change in value of the security for a 0.1% change in interest rates. Please note: these sensitivities are valid as at close of business on strike date and can materially change with market movements (including but not limited to market spot movements and the passage of time).

Structured Products – Digital Synthetic
Example: FTSE 100 Digital Synthetic (42%) EIS Terms Payoff Pricing Date April 2018 Issuer Assuming A+ issuer Ratings Currency GBP Term 7 years Upside 42% if at maturity the index closes at or above 60% of its initial level Conditional capital protection: 65% EKIP If at maturity the index closes: below 60% of its initial level = 1p capital lost for every 1% fall in the index Type EIS – CGT wrapper (under current rules) Eligibility Direct investments, ISAs, SIPP, SSAS, most trusts (not offshore bonds)

Forward Looking Scenario Analysis
How Does a Digital Synthetic Behave? Forward Looking Scenario Analysis Underlying (% move from launch* level) -40% -30% -20% -15% -10% -5% 0% 5% 10% 15% 20% Months into the life Estimated structured mid-price (% of issue price) 3 62.46% 74.55% 84.76% 89.14% 93.25% 97.21% 100.42% 102.90% 105.48% 107.43% 109.22% 11 65.77% 77.76% 88.30% 92.80% 97.00% 100.74% 104.15% 106.64% 109.23% 111.23% 113.48% 23 69.92% 83.42% 94.63% 99.02% 103.53% 107.14% 110.92% 113.70% 115.86% 117.75% 119.72% 35 74.57% 89.25% 101.66% 106.88% 111.44% 115.12% 118.42% 120.87% 122.81% 124.64% 125.67% 47 79.79% 96.09% 109.00% 113.89% 118.41% 122.14% 125.06% 127.15% 128.62% 129.84% 130.94% 59 85.17% 103.49% 117.07% 121.87% 126.15% 129.44% 131.71% 133.15% 134.39% 135.37% 135.90% 71 92.70% 112.67% 126.02% 130.86% 134.34% 136.46% 137.96% 138.80% 139.18% 139.43% 139.71% 83 98.58% 133.52% 141.86% 141.90% Assumes credit, interest rate and implied volatility curves remain unchanged. Path dependence – assumes structure has not previously Autocalled. *Scenario analysis performed as of 9th April 2017 launch. Sensitivities at Launch (“Greeks”) Delta 0.59% Vega -1.61% Rho -0.26% Definitions: Delta - the change in value of the security for a 1% change in the underlying. Vega - the change in value of the security for a 1% change in the implied volatility. Rho - the change in value of the security for a 0.1% change in interest rates. Please note: these sensitivities are valid as at close of business on strike date and can materially change with market movements (including but not limited to market spot movements and the passage of time).

Service Providers $1.8 trillion $32.2 trillion
Dura has partnered with Outsourced Professional Administration Ltd (“OPAL”) to provide comprehensive administration services to advisers and their clients. Online application processing Automated AML/KYC checks Online valuations and statements Electronic maturity process Intermediary and customer self help tools Dura has partnered with Bank of New York Mellon to provide custody services for its products. $1.8 trillion Assets under management $32.2 trillion Assets under custody and/or administration

Important Information
Issued by Dura Capital Limited, registered in England and Wales, Registered Office: One Eleven, Edmund Street, Birmingham, United Kingdom, B3 2HJ. Registration Number: , authorised and regulated by the Financial Conduct Authority (FCA). 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. Dura Capital Limited 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 Dura Capital Limited, 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.

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