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Investment Bank Credit Report | Q4 2016 We produce a Quarterly Investment Bank Credit Report as part of our continual counterparty due diligence process. The Report includes summaries of the quarterly movements, for most of the main counterparties in the structured product issuance space, of their:

  

Share Prices Credit Default Swap Rates Credit Ratings

This information is for professional investors only and should not be presented to, or relied upon by, private investors.

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Contents Rating Agency Scales Credit Default Swaps Credit Ratings Overview Summary of Changes

3 4 5 6

Summary of Share Price, CDS and Credit Ratings Banco Bilbao Vizcaya Argentaria Banco Santander S.A. Bank of America Corporation Barclays Bank plc BNP Paribas Citigroup Inc. Commerzbank AG Credit Agricole S.A. Credit Suisse AG Danske Bank A/S Deutsche Bank AG Goldman Sachs International HSBC Holdings plc ING Groep N.V. Investec Bank plc

8 9 10 11 12 13 14 15 16 17 18 19 20 21 22

JPMorgan Chase & Co Lloyds Banking Group plc Macquarie Bank Ltd Morgan Stanley Natixis Nomura Bank International plc NORTHERN TRUST CORP Rabobank Royal Bank of Canada Santander UK plc Société Générale Standard Chartered plc The Royal Bank of Scotland plc UBS AG UniCredit Group Important Information

23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 2

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Rating agency scales Standard & Poor’s

Fitch

Investment Grade

AAA AA+, AA, AAA+, A, ABBB+, BBB, BBB-

Extremely strong capacity to meet financial commitments. Highest Rating. Very strong capacity to meet financial commitments. Strong capacity to meet financial commitments, but somewhat susceptible to adverse economic conditions and changes in circumstances. Adequate capacity to meet financial commitments, but more subject to adverse economic conditions.

Non-Investment Grade

BB+, BB, BBB+, B, BCCC+, CCC, CCCCC C CI R SD D

Less vulnerable in the near-term but faces major on-going uncertainties to adverse business, financial and economic conditions. More vulnerable to adverse business, financial and economic conditions but currently has the capacity to meet financial commitments. Currently vulnerable and dependent on favourable business, financial and economic conditions to meet financial commitments. Currently highly vulnerable. Currently highly vulnerable obligations and other defined circumstances. Past due on interest Under regulatory supervision due to its financial situation Has selectively defaulted on some obligations Payment default on financial commitments.

Investment Grade

AAA AA+, AA, AAA+, A, A-

Exceptionally strong capacity for payment of financial commitments. Highly unlikely to be adversely affected by foreseeable events. Very strong capacity for payment of financial commitments. Not significantly vulnerable to foreseeable events. Strong capacity for payment of financial commitments, but may be more vulnerable to adverse business or economic conditions. Adequate capacity for payment of financial commitments, but adverse business or economic conditions are more likely to impair this capacity.

BBB+, BBB, BBBNon-Investment Grade

Moody’s

BB+, BB, BBB+, B, BCCC+, CCC, CCCCC C D

Elevated vulnerability to default risk, particularly in the event of adverse changes in business or economic conditions. But business or financial flexibility exists which supports the servicing of financial commitments. Financial commitments currently being met. Capacity for continued payment vulnerable to deterioration in business and economic environment. Substantial credit risk. Default is a real possibility. Very high levels of credit risk. Default of some kind appears probable. Exceptionally high levels of credit risk. Default is imminent or inevitable, or the issuer is in standstill. Has defaulted on obligations and Fitch believes that it will generally default on most or all obligations

Investment Grade

Aaa Aa1, Aa2, Aa3 A1, A2, A3 Baa1, Baa2, Baa3

Judged to be of the highest quality, with minimal credit risk. Judged to be of high quality and are subject to very low credit risk. Considered upper-medium grade and are subject to low credit risk. Subject to moderate credit risk. They are considered medium grade and as such may possess certain speculative characteristics.

Non-Investment Grade

Ba1, Ba2, Ba3 B1, B2, B3 Caa1, Caa2, Caa3 Ca

Judged to be of the highest quality, with minimal credit risk. Judged to be of high quality and are subject to very low credit risk. Judged to be of poor standing and are subject to very high credit risk. Highly speculative and are likely in, or very near, default, but with some prospect of recovery of principal and interest. Lowest rated class of bonds and are typically in default, with little prospect for recovery of principal or interest.

C

Special WR P

Withdrawn Rating Provisional

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Credit default swaps ￭ Historically credit ratings have been used as the principal measure of the financial strength of an underlying issuer. However, over recent years Credit Default Swap (‘CDS’) rates have become an additional measure of the financial security of a company and are now often utilised alongside ratings produced by credit rating agencies. ￭ CDS rate levels are determined by the supply and demand of market participants and therefore do not rely on one single agency to determine a company’s credit worthiness. ￭ A CDS is basically an insurance contract - the buyer makes periodic payments to the seller and would receive a pay off in the event of failure in the underlying financial instrument/institution, effectively insuring against a debt default. ￭ CDS spreads allow investors to analyse how risky an institution’s debt is perceived to be by the market, a relevant factor when considering the credit strength of a counterparty. ￭ The CDS rates on the next page detail the % above London Interbank Offered Rate (‘LIBOR’) that buyers are willing to pay a seller in order to insure themselves against the likelihood of a credit default event of the underlying issuer. ￭ Companies with higher CDS spreads are considered riskier by the market, as they are considered more likely to default than those with a lower CDS spread, all other things being equal. ￭ Capital ratios are another measure of a bank's strength. These are used by regulatory authorities, with the most widely known being tier one capital ratio, which consists largely of shareholders' equity. It is the amount paid originally to purchase permanent capital (such as ordinary shares) of the bank and retained earnings (minus losses). It is the core measure of a bank's financial strength from a regulator's point of view. This ratio has been the subject of much review over recent years resulting in the Basel III Accord, requiring banks to maintain a minimum tier one capital ratio of 6%.

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Credit rating overview The banks referred to in this report include those that we currently have, or have previously had counterparty arrangements with, as well as, other banks that have or have had a presence in the structured products market. A rating outlook assesses the potential direction of a long-term credit rating over the intermediate term. End of Q4

Standard & Poor's BA NK

Long Term Local Currency

Moody's

Fitch Long Term Issuer Default

Outlook

Long Term Rating

Outlook

BBB+

STABLE

A3

STABLE

A-

STABLE

A-

STABLE

A3

STABLE

A-

STABLE

BBB+

STABLE

Baa1

STABLE

A

STABLE

BARCLAYS BANK PLC

A-

NEG

A1

NEG

A

STABLE

BNP PARIBAS

A

STABLE

A1

STABLE

A+

STABLE

BBB+

STABLE

Baa1

STABLE

A

STABLE

COMMERZBANK AG

BBB+ *+

-

A2

STABLE

BBB+

STABLE

CREDIT AGRICOLE SA

A

STABLE

A1

STABLE

A

POS

CREDIT SUISSE AG

A

STABLE

A1

STABLE

A

STABLE

BANCO BILBAO VIZCAYA ARGENTA BANCO SANTANDER SA BANK OF AMERICA CORP

CITIGROUP INC

DANSKE BANK A/S

Issuer Credit Rating

Rating

Outlook

A

STABLE

A1

POS

BBB+ *+

-

A3

STABLE

GOLDMAN SACHS INTERNATIONAL

A+

STABLE

A1

STABLE

A

STABLE

HSBC BANK PLC

AA-

NEG

Aa2

NEG

AA-

STABLE

ING GROEP NV

A-

STABLE

Baa1

STABLE

A+

STABLE

-

-

A2

STABLE

BBB

STABLE

A-

STABLE

A3

STABLE

A+

STABLE

BBB+

NEG

Baa1

STABLE

A+

STABLE

MACQUARIE BANK

A

NEG

A2

STABLE

A

STABLE

MORGAN STANLEY

BBB+

STABLE

A3

STABLE

A

STABLE

NATIXIS

A

STABLE

A2

STABLE

A

STABLE

NOMURA BANK INTERNATIONAL PL

A

NEG

-

-

-

-

NORTHERN TRUST CORP

A+

STABLE

A2

STABLE

AA-

STABLE

COOPERATIEVE RABOBANK UA

A+

STABLE

Aa2

NEG

AA-

STABLE

ROYAL BANK OF CANADA

AA-

NEG

Aa3

NEG

AA

NEG

SANTANDER UK PLC

A

NEG

Aa3

NEG

A

POS

SOCIETE GENERALE SA

A

STABLE

A2

STABLE

A

STABLE

STANDARD CHARTERED PLC

BBB+

STABLE

A1

NEG

A+

STABLE

ROYAL BANK OF SCOTLAND PLC/T

BBB+

STABLE

A3

POS

BBB+

STABLE

A+

STABLE

Aa3

STABLE

A+

STABLE

BBB-

STABLE

Baa1

STABLE

BBB+

NEG

DEUTSCHE BANK AG-REGISTERED

INVESTEC BANK PLC JPMORGAN CHASE & CO LLOYDS BANKING GROUP PLC

UBS AG-REG UNICREDIT SPA

 Please note that not every bank listed has a rating from each of the three ratings agencies.  * indicates that the credit rating agency has that company on watch. *+ indicates a possible upgrade, and *- a possible downgrade.

A A-

STABLE *-

-

Bloomberg/Meteor Research Department 10 January 2017

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Summary of changes

Bloomberg/Meteor Research Department 10 January 2017

Standard & Poor's Barclays Bank plc Commerzbank AG

Moody's

Fitch

A2 NEG to A1 NEG BBB+ STABLE to BBB+ *POS

Danske Bank A/S

A2 STABLE to A1 POS

Deutsche Bank AG

BBB+ NEG to BBB+ *POS

A- STABLE to A- *NEG

Goldman Sachs International

A *POS to A+ STABLE

A POS to A STABLE

Macquarie Bank Ltd

A STABLE to A NEG

Nomura Bank International plc

A- NEG to A NEG

Rabobank Standard Chartered plc

Aa2 STABLE to Aa2 NEG A+ NEG to A+ STABLE

* On watch “Moody's Investors Service has today upgraded Barclays Plc's (Barclays) long-term issuer and senior unsecured debt ratings to Baa2 from Baa3 and the long-term deposit and senior unsecured debt ratings of the group's main operating company Barclays Bank PLC (Barclays Bank) to A1 from A2.” Source: “Moody's upgrades Barclays Plc's long-term ratings to Baa2 from Baa3; outlook negative” https://www.moodys.com/research/Moodys-upgrades-Barclays-Plcs-long-term-ratings-to-Baa2-from--PR_359230 “Moody's Investors Service, ("Moody's") has today upgraded Danske Bank A/S's long-term deposit ratings to A1 from A2, its long-term deposit note/ CD program rating to (P)A1 from (P)A2 and affirmed all other ratings. The rating agency also changed the outlook to positive from stable on Danske Bank A/S's long-term deposit ratings, long-term issuer rating and senior debt ratings.” Source: “Moody's affirms Danske Bank's ratings and upgrades long-term deposit ratings; outlook positive” https://www.moodys.com/research/Moodys-affirms-Danske-Banks-ratings-and-upgrades-long-term-deposit--PR_356267 “Moody's Investors Service today affirmed Rabobank's long-term deposit and senior unsecured debt ratings of Aa2. In addition, Moody's affirmed Rabobank's baseline credit assessment (BCA) and adjusted BCA of a2. However, Moody's revised the outlook on long-term deposit and senior unsecured debt ratings to negative from stable.” Source: “Moody's changes outlook on Rabobank to negative from stable; ratings affirmed” https://www.moodys.com/research/Moodys-changes-outlook-on-Rabobank-to-negative-from-stable-ratings--PR_358574

This summary page is not designed to be exhaustive of all changes in the past quarter. Check the rating agency websites and relevant financial institutional resources to ensure you have the latest information

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Individual bank summaries The following pages summarise the main credit indicators for the individual banks that we cover. This includes share price changes in the last quarter, CDS level changes in the last quarter and any credit rating revisions in the last quarter. We plot a bank’s share price against their 5 year CDS on senior debt in the relevant local currency where possible. For reference, we also include the Markit iTraxx Europe Senior Generic Financial 5Y CDS Index as a benchmark for European CDS rates. This is based on 25 equally weighted CDS rates on investment grade European entities. The list below shows the constituents as at 10 January 2017. We also plot bar charts, where possible, of the CDS rates from the last 2 quarters for comparison and include the 1, 3, 5 and 10 year tenor curves.

#N/A

Banco Bilbao Vizcaya Argentari

Commerzbank AG

Deutsche Bank AG

Lloyds Bank PLC

Swiss Reinsurance Co Ltd

Allianz SE

Banco Santander SA

Cooperatieve Rabobank UA

Hannover Rueck SE

Mediobanca SpA

Royal Bank of Scotland PLC/The

Assicurazioni Generali SpA

Barclays Bank PLC

Credit Agricole SA

HSBC Bank PLC

Muenchener Rueckversicherungs-

UBS AG

Aviva PLC

Bayerische Landesbank

Credit Suisse Group AG

ING Bank NV

Societe Generale SA

UniCredit SpA

AXA SA

BNP Paribas SA

Danske Bank A/S

Intesa Sanpaolo SpA

Standard Chartered Bank

Zurich Insurance Co Ltd

Bloomberg/Meteor Research Department 10 January 2017 7

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BBVA

Banco Bilbao Vizcaya Argentaria

5Y CDS

CDS Benchmark

12

600

10

500

8

400

6

300

4

200

2

100

0

0

Cr e dit Ra ting ( Mo o dy 's)

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

A29/05/14 STABLE 29/05/14 Bloomberg Ticker: bbva sm equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

12.1% 36,339 Bloomberg Ticker: bbva sm equity

CDS Level

31 Dec 2016

30 Jun 2016

31 Dec 2015

140 120 100 80 60 40 20

10Y CDS, 161.66

Date Outlook Effective

160

5Y CDS, 122.335

Ratings Outlook

3Y CDS, 85.39

Date Rating Effective

180

A3 17/06/15 STABLE 17/06/15 CDS Level (bps)

Long Term Rating

30 Jun 2015

Date Outlook Effective

1Y CDS, 48.23

Ratings Outlook

BBB+ 06/10/15 STABLE 06/10/15

31 Dec 2014

Date Rating Effective

10Y CDS, 170.875

Long Term Local Currency Issuer Credit Rating

31 Dec 2011

Cr e dit Ra ting ( S&P)

30 Jun 2014

Bloomberg Ticker: BBVA CDS EUR SR 5Y D14 Curncy

31 Dec 2013

Change on Quarter (%)

5Y CDS, 130.5

End of Q4

30 Jun 2013

130.5 122.335 -6.26%

End of Q3

31 Dec 2012

Bloomberg Ticker: bbva sm equity

Cr e dit D e fa ult Swa p ( 5Y)

3Y CDS, 91.62

Change on Quarter (%)

30 Jun 2012

End of Q4

1Y CDS, 51.395

5.382 6.414 19.18%

End of Q3

Share Price

Sh a r e Pr ice

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

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2

Date Rating Effective Ratings Outlook Date Outlook Effective

bva sm equity

A29/05/14 STABLE 29/05/14 Bloomberg Ticker: san sm equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

12.55% 64,742 Bloomberg Ticker: san sm equity

31 Dec 2015

31 Dec 2016

Long Term Issuer Default Rating

10Y CDS, 159.21

Cr e dit Ra ting ( Fitch )

30 Jun 2016

Date Outlook Effective

180 160

140 120 100 80 60 40 20

3Y CDS, 81.265

Ratings Outlook

1Y CDS, 43.115

Date Rating Effective

200

A3 17/06/15 STABLE 22/02/16 CDS Level (bps)

Long Term Rating

5Y CDS, 119.5

Cr e dit Ra ting ( Mo o dy 's)

30 Jun 2015

A06/10/15 STABLE 06/10/15

31 Dec 2014

Date Outlook Effective

31 Dec 2011

Ratings Outlook

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Date Rating Effective

100

1

Bloomberg Ticker: SANTAN CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

200

10Y CDS, 179.265

5Y D14 Curncy

3

31 Dec 2013

Change on Quarter (%)

300

4

5Y CDS, 134.835

End of Q4

5

30 Jun 2013

134.835 119.5 -11.37%

End of Q3

400

3Y CDS, 95.4

Cr e dit D e fa ult Swa p ( 5Y)

6

31 Dec 2012

Bloomberg Ticker: san sm equity

500

7

1Y CDS, 52.715

Change on Quarter (%)

600

30 Jun 2012

End of Q4

CDS Benchmark

8

Share Price

3.947 4.959 25.64%

End of Q3

5Y CDS

9

Sh a r e Pr ice

bva sm equity

bva sm equity

Banco Santander S.A.

CDS Level

Banco Santander S.A.

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

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Bank of America Corporation

5Y CDS

CDS Benchmark

25

450

Sh a r e Pr ice

Cr e dit Ra ting ( Mo o dy 's)

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

san sm equity

A 15/12/11 STABLE 19/05/15 Bloomberg Ticker: bac us equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

11.3% 187,254 Bloomberg Ticker: bac us equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

100 80 60 40 20

10Y CDS, 116.265

Date Outlook Effective

120

5Y CDS, 74.64

Ratings Outlook

3Y CDS, 47.995

Date Rating Effective

140

Baa1 28/05/15 STABLE 28/05/15 CDS Level (bps)

Long Term Rating

1Y CDS, 27.74

Date Outlook Effective

BBB+ 02/12/15 STABLE 02/12/15

31 Dec 2014

Ratings Outlook

31 Dec 2011

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Long Term Local Currency Issuer Credit Rating

CDS Level

50

Bloomberg Ticker: BOFA CDS USD SR 5Y D14 Curncy

10Y CDS, 127

5Y D14 Curncy

100

5

31 Dec 2013

Change on Quarter (%)

150

5Y CDS, 84.5

End of Q4

200

10

30 Jun 2013

84.5 74.64 -11.67%

End of Q3

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

3Y CDS, 57

Bloomberg Ticker: bac us equity

300

15

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 31

End of Q4

400

20 Share Price

15.65 22.1 41.21%

End of Q3

san sm equity

san sm equity

Bank of America Corporation

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

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Date Outlook Effective Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective bac us equity

A 15/12/11 STABLE 15/12/11 Bloomberg Ticker: 8376923Z LN equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)* bac us equity

14.7% 39,872 Bloomberg Ticker: barc ln equity

31 Dec 2016

30 Jun 2016

120 100 80 60 40 20

10Y CDS, 114.92

Ratings Outlook

140

A1 12/12/16 NEG 12/12/16 CDS Level (bps)

Date Rating Effective

0

A09/06/15 NEG 07/07/16

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

0

5Y CDS, 80.18

Date Outlook Effective

50

31 Dec 2015

Ratings Outlook

50

3Y CDS, 56.665

Date Rating Effective

100

1Y CDS, 35.795

Long Term Local Currency Issuer Credit Rating

100

31 Dec 2011

Cr e dit Ra ting ( S&P)

150

30 Jun 2015

Bloomberg Ticker: BACR CDS EUR SR 5Y D14 Curncy

150

30 Jun 2014

Change on Quarter (%)

5Y D14 Curncy

200

31 Dec 2013

End of Q4

200

10Y CDS, 129.17

101.5 80.18 -21.00%

End of Q3

250

30 Jun 2013

Cr e dit D e fa ult Swa p ( 5Y)

250

5Y CDS, 101.5

Bloomberg Ticker: barc ln equity

300

31 Dec 2012

bac us equity

300

3Y CDS, 71.33

Change on Quarter (%)

350

30 Jun 2012

End of Q4

CDS Benchmark

350

1Y CDS, 42.77

167.8 223.45 33.16%

End of Q3

Share Price

Sh a r e Pr ice

5Y CDS

CDS Level

Barclays Bank plc

31 Dec 2014

Barclays Bank plc

0 Q3 2016

Q4 2016

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Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

23Z LN equity

A+ 15/12/11 STABLE 15/12/11 Bloomberg Ticker: bnp fp equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

12.2% 66,091 Bloomberg Ticker: bnp fp equity

CDS Level

31 Dec 2016

100 80 60 40 20

10Y CDS, 119.93

Date Outlook Effective

120

5Y CDS, 85.5

Ratings Outlook

0

140

A1 04/04/14 STABLE 28/05/15 CDS Level (bps)

Date Rating Effective

0 30 Jun 2016

A 11/03/16 STABLE 11/03/16

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

50

31 Dec 2015

Date Outlook Effective

10

3Y CDS, 61.46

Ratings Outlook

100

30 Jun 2015

Date Rating Effective

20

1Y CDS, 38.155

Long Term Local Currency Issuer Credit Rating

150

31 Dec 2011

Cr e dit Ra ting ( S&P)

30

30 Jun 2014

Bloomberg Ticker: BNP CDS EUR SR 5Y D14 Curncy

200

10Y CDS, 110.55

Change on Quarter (%)

5Y D14 Curncy

40

31 Dec 2013

End of Q4

250

5Y CDS, 77.5

77.5 85.5 10.32%

End of Q3

50

30 Jun 2013

Cr e dit D e fa ult Swa p ( 5Y)

300

31 Dec 2012

Bloomberg Ticker: bnp fp equity

60

3Y CDS, 53.35

Change on Quarter (%)

CDS Benchmark

350

30 Jun 2012

End of Q4

5Y CDS

70

1Y CDS, 32.77

45.77 60.55 32.29%

End of Q3

Share Price

Sh a r e Pr ice

barc ln equity

barc ln equity

BNP Paribas

31 Dec 2014

BNP Paribas

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

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Date Outlook Effective Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective bnp fp equity

A 15/12/11 STABLE 15/12/11 Bloomberg Ticker: c us equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)* bnp fp equity

13.49% 141,023 Bloomberg Ticker: c us equity

31 Dec 2016

120 100 80 60 40 20

10Y CDS, 118

Ratings Outlook

140

Baa1 28/05/15 STABLE 28/05/15 CDS Level (bps)

Date Rating Effective

0 30 Jun 2016

BBB+ 02/12/15 STABLE 02/12/15

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

0

5Y CDS, 75.21

Date Outlook Effective

50

31 Dec 2015

Ratings Outlook

10

3Y CDS, 51

Date Rating Effective

100

1Y CDS, 34

Long Term Local Currency Issuer Credit Rating

20

31 Dec 2011

Cr e dit Ra ting ( S&P)

150

30 Jun 2015

Bloomberg Ticker: CINC CDS USD SR 5Y D14 Curncy

30

30 Jun 2014

Change on Quarter (%)

5Y D14 Curncy

200

10Y CDS, 127

End of Q4

40

31 Dec 2013

84.5 75.21 -10.99%

End of Q3

250

5Y CDS, 84.5

Cr e dit D e fa ult Swa p ( 5Y)

50

30 Jun 2013

Bloomberg Ticker: c us equity

300

31 Dec 2012

bnp fp equity

60

3Y CDS, 57

Change on Quarter (%)

350

30 Jun 2012

End of Q4

CDS Benchmark

70

1Y CDS, 30

47.23 59.43 25.83%

End of Q3

Share Price

Sh a r e Pr ice

5Y CDS

CDS Level

Citigroup Inc.

31 Dec 2014

Citigroup Inc.

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

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Cr e dit Ra ting ( Mo o dy 's)

Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

er: c us equity

BBB+ 07/03/16 STABLE 07/03/16 Bloomberg Ticker: cbk gy equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

13.8% 8,227 Bloomberg Ticker: cbk gy equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

120 100 80 60 40 20

10Y CDS, 153.29

Cr e dit Ra ting ( Fitch )

140

5Y CDS, 117.5

Date Outlook Effective

160

3Y CDS, 83.305

Ratings Outlook

1Y CDS, 48.73

Date Rating Effective

180

A2 26/01/16 STABLE 25/01/16 CDS Level (bps)

Long Term Rating

31 Dec 2014

BBB+ *+ 15/12/16 -

10Y CDS, 168.385

Date Outlook Effective

0 30 Jun 2014

0 31 Dec 2011

Ratings Outlook

50

2

Cr e dit Ra ting ( S&P) Date Rating Effective

100

4

Bloomberg Ticker: CMZB CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

150

6

31 Dec 2013

Change on Quarter (%)

5Y D14 Curncy

8

5Y CDS, 131.5

End of Q4

200

30 Jun 2013

131.5 117.5 -10.65%

End of Q3

10

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

12

3Y CDS, 95.985

Bloomberg Ticker: cbk gy equity

300

14

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 62.555

End of Q4

CDS Benchmark

16

Share Price

5.738 7.246 26.28%

End of Q3

5Y CDS

18

Sh a r e Pr ice

er: c us equity

er: c us equity

Commerzbank AG

CDS Level

Commerzbank AG

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

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Cr e dit Ra ting ( Mo o dy 's)

Ratings Outlook Date Outlook Effective Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective cbk gy equity

A 17/07/13 POS 23/06/15

Tier One Capital Ratio Market Cap (GBP millions)*

60 40 20

13.7% 29,964 Bloomberg Ticker: aca fp equity

31 Dec 2016

80

Bloomberg Ticker: aca fp equity

Ca pita l

cbk gy equity

100

10Y CDS, 107.7

Date Rating Effective

120

A1 19/07/16 STABLE 19/07/16 CDS Level (bps)

Long Term Rating

30 Jun 2016

Date Outlook Effective

A 23/01/12 STABLE 02/12/15

5Y CDS, 73.5

Ratings Outlook

0 31 Dec 2015

Date Rating Effective

0

3Y CDS, 49.67

Long Term Local Currency Issuer Credit Rating

50

31 Dec 2011

Cr e dit Ra ting ( S&P)

100

2

30 Jun 2015

Bloomberg Ticker: LCL SA CDS EUR SR 5Y D14 Curncy

150

4

1Y CDS, 23.925

5Y D14 Curncy

200

6

30 Jun 2014

Change on Quarter (%)

250

8

10Y CDS, 110.6

End of Q4

300

10

31 Dec 2013

75.5 73.5 -2.65%

End of Q3

350

5Y CDS, 75.5

Cr e dit D e fa ult Swa p ( 5Y)

12

30 Jun 2013

Bloomberg Ticker: aca fp equity

400

31 Dec 2012

cbk gy equity

14

3Y CDS, 49.065

Change on Quarter (%)

450

30 Jun 2012

End of Q4

CDS Benchmark

16

1Y CDS, 25.065

8.778 11.78 34.20%

End of Q3

Share Price

Sh a r e Pr ice

5Y CDS

CDS Level

Credit Agricole S.A.

31 Dec 2014

Credit Agricole S.A.

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

15

Innovative Solutions. Immaculate Service.

Sh a r e Pr ice

Date Rating Effective Ratings Outlook Date Outlook Effective

: aca fp equity

A 15/12/11 STABLE 24/05/16 Bloomberg Ticker: svbzk sw equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

18% 26,809 Bloomberg Ticker: cs us equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

120 100 80 60 40 20

10Y CDS, 144.5

Long Term Issuer Default Rating

140

5Y CDS, 117.5

Cr e dit Ra ting ( Fitch )

160

3Y CDS, 90.825

Date Outlook Effective

180

1Y CDS, 60

Ratings Outlook

0

200

A1 11/01/16 STABLE 13/12/16 CDS Level (bps)

Date Rating Effective

0 31 Dec 2014

A 02/07/13 STABLE 09/06/15

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

50

30 Jun 2014

Date Outlook Effective

5

10Y CDS, 178.585

Ratings Outlook

100

31 Dec 2011

Cr e dit Ra ting ( S&P) Date Rating Effective

150

15 10

Bloomberg Ticker: CRDSUI CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

200

20

31 Dec 2013

Change on Quarter (%)

5Y D14 Curncy

250

25

5Y CDS, 142.5

End of Q4

30

30 Jun 2013

142.5 117.5 -17.54%

End of Q3

300

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

35

3Y CDS, 113.695

Bloomberg Ticker: cs us equity

CDS Benchmark

350

30 Jun 2012

Change on Quarter (%)

5Y CDS

40

1Y CDS, 82.115

End of Q4

Share Price

13.14 14.31 8.90%

End of Q3

: aca fp equity

: aca fp equity

Credit Suisse AG

CDS Level

Credit Suisse AG

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

16

Innovative Solutions. Immaculate Service. 5Y CDS

CDS Benchmark

250

400

Sh a r e Pr ice

Bloomberg Ticker: DANBNK CDS EUR SR 5Y D14 Curncy

Cr e dit Ra ting ( Mo o dy 's)

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

vbzk sw equity

A 14/12/11 STABLE 05/06/13

Tier One Capital Ratio Market Cap (GBP millions)*

Bloomberg Ticker: danske dc equity

31 Dec 2016

30 Jun 2016

60 40 20

18.5% 25,138

31 Dec 2015

80

Bloomberg Ticker: danske dc equity

Ca pita l

30 Jun 2015

100

10Y CDS, 93.965

Date Outlook Effective

5Y CDS, 63

Ratings Outlook

3Y CDS, 38.975

Date Rating Effective

120

A1 12/10/16 POS 12/10/16 CDS Level (bps)

Long Term Rating

1Y CDS, 21.76

Date Outlook Effective

A 29/04/14 STABLE 13/07/15

31 Dec 2014

Ratings Outlook

31 Dec 2011

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Long Term Local Currency Issuer Credit Rating

50

31 Dec 2013

5Y D14 Curncy

100

50

10Y CDS, 98.69

Change on Quarter (%)

30 Jun 2013

End of Q4

150

5Y CDS, 66.5

66.5 63 -5.26%

End of Q3

200 100

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

150

3Y CDS, 39.7

Bloomberg Ticker: danske dc equity

300

30 Jun 2012

Change on Quarter (%)

1Y CDS, 20.35

End of Q4

350

200 Share Price

193.4 214.2 10.75%

End of Q3

r: cs us equity

r: cs us equity

Danske Bank A/S

CDS Level

Danske Bank A/S

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

17

Innovative Solutions. Immaculate Service.

Cr e dit Ra ting ( Mo o dy 's)

Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

nske dc equity

A- *03/11/16 Bloomberg Ticker: dbk gy equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

14.7% 21,095 Bloomberg Ticker: dbk gy equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

150 100 50

10Y CDS, 173.15

Cr e dit Ra ting ( Fitch )

200

5Y CDS, 163

Date Outlook Effective

3Y CDS, 132.16

Ratings Outlook

1Y CDS, 92.935

Date Rating Effective

250

A3 23/05/16 STABLE 23/05/16 CDS Level (bps)

Long Term Rating

31 Dec 2014

BBB+ *+ 15/12/16 -

10Y CDS, 216

Date Outlook Effective

0 30 Jun 2014

0 31 Dec 2011

Ratings Outlook

50

5

Cr e dit Ra ting ( S&P) Date Rating Effective

100

10

Bloomberg Ticker: DB CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

150

15

31 Dec 2013

Change on Quarter (%)

5Y D14 Curncy

20

5Y CDS, 224.01

End of Q4

200

30 Jun 2013

224.01 163 -27.24%

End of Q3

25

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

30

3Y CDS, 223.155

Bloomberg Ticker: dbk gy equity

300

35

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 221.65

End of Q4

CDS Benchmark

40

Share Price

11.57 17.25 49.09%

End of Q3

5Y CDS

45

Sh a r e Pr ice

nske dc equity

nske dc equity

Deutsche Bank AG

CDS Level

Deutsche Bank AG

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

18

Innovative Solutions. Immaculate Service.

Goldman Sachs International

5Y CDS

CDS Benchmark

300

400

Sh a r e Pr ice

Bloomberg Ticker: GS CDS USD SR 5Y D14 Curncy

Cr e dit Ra ting ( Mo o dy 's)

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

dbk gy equity

A 24/01/13 STABLE 13/12/16 Bloomberg Ticker: 1671Z LN Equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

13.5% 83,323 Bloomberg Ticker: gs us equity

CDS Level

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

140 120 100 80 60 40 20

10Y CDS, 138

Date Outlook Effective

160

5Y CDS, 90.5

Ratings Outlook

3Y CDS, 60

Date Rating Effective

180

A1 28/05/15 STABLE 28/05/15 CDS Level (bps)

Long Term Rating

1Y CDS, 36.83

Date Outlook Effective

A+ 16/12/16 STABLE 16/12/16

31 Dec 2014

Ratings Outlook

31 Dec 2011

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Long Term Local Currency Issuer Credit Rating

50

31 Dec 2013

5Y D14 Curncy

100 50

10Y CDS, 154.055

Change on Quarter (%)

150

100

30 Jun 2013

End of Q4

200

5Y CDS, 102.49

102.49 90.5 -11.70%

End of Q3

150

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

3Y CDS, 71

Bloomberg Ticker: gs us equity

300 200

30 Jun 2012

Change on Quarter (%)

1Y CDS, 43

End of Q4

350

250

Share Price

161.27 239.45 48.48%

End of Q3

dbk gy equity

dbk gy equity

Goldman Sachs International

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

19

Innovative Solutions. Immaculate Service.

Cr e dit Ra ting ( Mo o dy 's)

Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

671Z LN Equity

AA07/12/12 STABLE 07/12/12

Tier One Capital Ratio Market Cap (GBP millions)*

40 20

13.9% 133,021 Bloomberg Ticker: hsba ln equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

60

Bloomberg Ticker: mid ln equity

Ca pita l

30 Jun 2015

80

10Y CDS, 101.84

Cr e dit Ra ting ( Fitch )

100

5Y CDS, 67.5

Date Outlook Effective

3Y CDS, 44.685

Ratings Outlook

1Y CDS, 22.46

Date Rating Effective

120

Aa2 28/05/15 NEG 28/06/16 CDS Level (bps)

Long Term Rating

31 Dec 2014

AA09/06/15 NEG 07/07/16

31 Dec 2013

Date Outlook Effective

0 30 Jun 2014

0 31 Dec 2011

Ratings Outlook

50

100

Cr e dit Ra ting ( S&P) Date Rating Effective

100

200

Bloomberg Ticker: HSBC BK CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

150

300

10Y CDS, 114.08

Change on Quarter (%)

5Y D14 Curncy

400

30 Jun 2013

End of Q4

200

5Y CDS, 77.5

77.5 67.5 -12.90%

End of Q3

500

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

600

3Y CDS, 51.04

Bloomberg Ticker: hsba ln equity

300

700

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 27.99

End of Q4

CDS Benchmark

800

Share Price

578.7 656.9 13.51%

End of Q3

5Y CDS

900

Sh a r e Pr ice

r: gs us equity

r: gs us equity

HSBC Bank PLC

CDS Level

HSBC Holdings plc

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

20

Innovative Solutions. Immaculate Service. ING Groep N.V.

Cr e dit Ra ting ( Mo o dy 's)

Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective mid ln equity

hsba ln equity

A+ 14/04/16 STABLE 14/04/16

Tier One Capital Ratio Market Cap (GBP millions)*

40 20

14.5% 46,226 Bloomberg Ticker: inga na equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

60

Bloomberg Ticker: inga na equity

Ca pita l

30 Jun 2015

80

10Y CDS, 99.23

Cr e dit Ra ting ( Fitch )

100

5Y CDS, 67.12

Date Outlook Effective

3Y CDS, 48.535

Ratings Outlook

1Y CDS, 29.55

Date Rating Effective

120

Baa1 28/05/15 STABLE 28/05/15 CDS Level (bps)

Long Term Rating

31 Dec 2014

A02/12/13 STABLE 08/06/15

10Y CDS, 100.69

Date Outlook Effective

31 Dec 2011

Ratings Outlook

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Date Rating Effective

50

2

Bloomberg Ticker: ING BANK NV CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

100

4

31 Dec 2013

Change on Quarter (%)

150

6

5Y CDS, 70.97

End of Q4

8

30 Jun 2013

70.97 67.12 -5.42%

End of Q3

200

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

10

3Y CDS, 49.83

Bloomberg Ticker: inga na equity

250

12

30 Jun 2012

Change on Quarter (%)

300

14

1Y CDS, 30.93

End of Q4

350

16

Share Price

10.99 13.37 21.66%

End of Q3

5Y D14 Curncy

CDS Benchmark

18

Sh a r e Pr ice

hsba ln equity

5Y CDS

CDS Level

ING Groep N.V.

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

21

Innovative Solutions. Immaculate Service. Investec Bank plc

471 536 13.80%

End of Q3 End of Q4 Change on Quarter (%)

Bloomberg Ticker: invp ln equity

Cr e dit D e fa ult Swa p ( 5Y)

-

End of Q3 End of Q4 Change on Quarter (%)

5Y D14 Curncy

500

250

400

200

300

150

200

100

100

50

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

31 Dec 2014

30 Jun 2014

31 Dec 2013

30 Jun 2013

-

0

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating Date Rating Effective Ratings Outlook Date Outlook Effective

A2 02/02/16 STABLE 02/02/16

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

nga na equity

nga na equity

300

31 Dec 2012

Date Outlook Effective

600

30 Jun 2012

Long Term Local Currency Issuer Credit Rating Ratings Outlook

350

0

Cr e dit Ra ting ( S&P) Date Rating Effective

CDS Benchmark

700

31 Dec 2011

nga na equity

Share Price

Sh a r e Pr ice

5Y CDS

CDS Level

Investec Bank plc

BBB 27/10/15 STABLE 27/10/15 Bloomberg Ticker: 4429z ln equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

10.7% 5,208 Bloomberg Ticker: invp ln equity

22

Innovative Solutions. Immaculate Service.

Date Rating Effective Ratings Outlook Date Outlook Effective

429z ln equity

A+ 10/10/12 STABLE 10/10/12

40

Bloomberg Ticker: jpm us equity

20

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

13.5% 253,410 Bloomberg Ticker: jpm us equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

60

10Y CDS, 105

Long Term Issuer Default Rating

80

5Y CDS, 63.555

Cr e dit Ra ting ( Fitch )

100

3Y CDS, 44

Date Outlook Effective

120

A3 14/11/13 STABLE 14/11/13

1Y CDS, 34

Ratings Outlook

31 Dec 2014

A02/12/15 STABLE 02/12/15

CDS Level (bps)

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

50

31 Dec 2013

Date Outlook Effective

100

31 Dec 2011

Ratings Outlook

30 10

Cr e dit Ra ting ( S&P) Date Rating Effective

150

20

Bloomberg Ticker: JPMCC CDS USD SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

40

10Y CDS, 109.54

Change on Quarter (%)

200

50

30 Jun 2013

End of Q4

60

5Y CDS, 67.5

67.5 63.555 -5.84%

End of Q3

250

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

70

3Y CDS, 45.5

Bloomberg Ticker: jpm us equity

300

80

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 27

End of Q4

CDS Benchmark

90

Share Price

66.59 86.29 29.58%

End of Q3

5Y CDS

100

Sh a r e Pr ice

invp ln equity

invp ln equity

JPMorgan Chase & Co

CDS Level

JPMorgan Chase & Co

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

23

Innovative Solutions. Immaculate Service.

Sh a r e Pr ice

Date Rating Effective Ratings Outlook Date Outlook Effective

jpm us equity

A+ 19/05/15 STABLE 19/05/15 Bloomberg Ticker: lloy ln equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

16.4% 47,360 Bloomberg Ticker: lloy ln equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

31 Dec 2014

80 60 40 20

10Y CDS, 95.2

Long Term Issuer Default Rating

100

5Y CDS, 67.5

Cr e dit Ra ting ( Fitch )

3Y CDS, 47.125

Date Outlook Effective

120

1Y CDS, 32.5

Ratings Outlook

0

140

Baa1 01/07/16 STABLE 28/06/16 CDS Level (bps)

Date Rating Effective

0

BBB+ 09/06/15 NEG 07/07/16

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

50

30 Jun 2014

Date Outlook Effective

10 31 Dec 2011

Ratings Outlook

100

20

Cr e dit Ra ting ( S&P) Date Rating Effective

150

30

Bloomberg Ticker: LLOY CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

200

40

31 Dec 2013

5Y D14 Curncy

50

10Y CDS, 121.105

Change on Quarter (%)

250

30 Jun 2013

End of Q4

60

5Y CDS, 88.17

88.17 67.5 -23.44%

End of Q3

300

70

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

350

3Y CDS, 53.92

Bloomberg Ticker: lloy ln equity

400

90

30 Jun 2012

Change on Quarter (%)

CDS Benchmark

100

1Y CDS, 32.335

End of Q4

5Y CDS

80 Share Price

54.55 62.51 14.59%

End of Q3

jpm us equity

jpm us equity

Lloyds Banking Group plc

CDS Level

Lloyds Banking Group plc

0 Q3 2016

Q4 2016

24

Innovative Solutions. Immaculate Service.

Date Rating Effective Ratings Outlook Date Outlook Effective

: lloy ln equity

A 12/03/12 STABLE 12/03/12 Bloomberg Ticker: 2292186Z AU equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

11.8% 18,044 Bloomberg Ticker: mqg au equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

100 80 60 40 20

10Y CDS, 134.185

Long Term Issuer Default Rating

120

5Y CDS, 93.955

Cr e dit Ra ting ( Fitch )

140

3Y CDS, 45.18

Date Outlook Effective

160

A2 16/03/12 STABLE 03/06/13

1Y CDS, 9.335

Ratings Outlook

31 Dec 2014

A 15/11/94 NEG 30/10/16

CDS Level (bps)

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

50

31 Dec 2013

Date Outlook Effective

100

31 Dec 2011

Ratings Outlook

30 10

Cr e dit Ra ting ( S&P) Date Rating Effective

150

20

Bloomberg Ticker: MBL CDS USD SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

40

10Y CDS, 139.05

Change on Quarter (%)

5Y D14 Curncy

200

50

30 Jun 2013

End of Q4

60

5Y CDS, 100.175

100.175 93.955 -6.21%

End of Q3

250

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

70

3Y CDS, 47.145

Bloomberg Ticker: mqg au equity

300

80

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 9.74

End of Q4

CDS Benchmark

90

Share Price

81.94 87.12 6.32%

End of Q3

5Y CDS

100

Sh a r e Pr ice

: lloy ln equity

: lloy ln equity

Macquarie Bank Ltd

CDS Level

Macquarie Bank Ltd

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

25

Innovative Solutions. Immaculate Service.

Date Outlook Effective Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

86Z AU equity

A 15/12/11 STABLE 15/12/11 Bloomberg Ticker: ms us equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

17.4% 65,731 Bloomberg Ticker: ms us equity

CDS Level

31 Dec 2016

140 120 100 80 60 40 20

10Y CDS, 129

Ratings Outlook

160

A3 28/05/15 STABLE 28/05/15 CDS Level (bps)

Date Rating Effective

30 Jun 2016

BBB+ 02/12/15 STABLE 02/12/15

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

0

5Y CDS, 85.5

Date Outlook Effective

50

0 31 Dec 2015

Ratings Outlook

5

3Y CDS, 59

Date Rating Effective

100

1Y CDS, 34

Long Term Local Currency Issuer Credit Rating

150

10

31 Dec 2011

Cr e dit Ra ting ( S&P)

200

15

30 Jun 2015

Bloomberg Ticker: MS CDS USD SR 5Y D14 Curncy

250

20

30 Jun 2014

5Y D14 Curncy

300

25

10Y CDS, 138.5

Change on Quarter (%)

30

31 Dec 2013

End of Q4

350

5Y CDS, 95.5

95.5 85.5 -10.47%

End of Q3

400

35

30 Jun 2013

Cr e dit D e fa ult Swa p ( 5Y)

450

40

31 Dec 2012

Bloomberg Ticker: ms us equity

500

3Y CDS, 66

Change on Quarter (%)

CDS Benchmark

45

30 Jun 2012

End of Q4

5Y CDS

50

1Y CDS, 36

32.06 42.25 31.78%

End of Q3

Share Price

Sh a r e Pr ice

mqg au equity

mqg au equity

Morgan Stanley

31 Dec 2014

Morgan Stanley

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

26

Innovative Solutions. Immaculate Service. Natixis

Ratings Outlook Date Outlook Effective

A 17/07/13 STABLE 17/07/13 Bloomberg Ticker: kn fp equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

12.1% 14,950 Bloomberg Ticker: kn fp equity

31 Dec 2015

30 Jun 2015

31 Dec 2016

Long Term Issuer Default Rating

10Y CDS, 117.27

Cr e dit Ra ting ( Fitch )

30 Jun 2016

Date Outlook Effective

120 100 80 60 40 20

3Y CDS, 52.115

Ratings Outlook

1Y CDS, 25.21

Date Rating Effective

140

A2 15/06/12 STABLE 17/03/15 CDS Level (bps)

Long Term Rating

5Y CDS, 80.03

Cr e dit Ra ting ( Mo o dy 's)

31 Dec 2014

A 23/01/12 STABLE 02/12/15

10Y CDS, 108.15

Date Outlook Effective

0 30 Jun 2014

0 31 Dec 2011

Ratings Outlook

50

1

Cr e dit Ra ting ( S&P) Date Rating Effective

100

2

Bloomberg Ticker: KNFP CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

150

3

31 Dec 2013

Change on Quarter (%)

4

5Y CDS, 74.2

End of Q4

: ms us equity

: ms us equity

74.2 80.03 7.86%

End of Q3

200

30 Jun 2013

Cr e dit D e fa ult Swa p ( 5Y)

5

3Y CDS, 45.685

Bloomberg Ticker: kn fp equity

31 Dec 2012

: ms us equity

250

6

1Y CDS, 17.585

Change on Quarter (%)

300

7

30 Jun 2012

End of Q4

350

8

Share Price

4.149 5.36 29.19%

End of Q3

Date Rating Effective

CDS Benchmark

9

Sh a r e Pr ice

5Y D14 Curncy

5Y CDS

CDS Level

Natixis

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

27

Innovative Solutions. Immaculate Service.

Nomura Bank International

5Y CDS

CDS Benchmark

1200

400

Sh a r e Pr ice

Bloomberg Ticker: NOMURAH CDS JPY SR 5Y D14 Curncy

Cr e dit Ra ting ( Mo o dy 's)

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

r: kn fp equity

-

Tier One Capital Ratio Market Cap (GBP millions)*

Bloomberg Ticker: 8604 jt equity

CDS Level

31 Dec 2016

30 Jun 2016

60 40 20

16.1% 18,633

31 Dec 2015

80

Bloomberg Ticker: 146481Z LN Equity

Ca pita l

30 Jun 2015

100

10Y CDS, 81.675

Date Outlook Effective

5Y CDS, 51.435

Ratings Outlook

3Y CDS, 26.715

Date Rating Effective

120

CDS Level (bps)

Long Term Rating

1Y CDS, 7.37

Date Outlook Effective

A 17/11/16 NEG 17/11/16

31 Dec 2014

Ratings Outlook

31 Dec 2011

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Long Term Local Currency Issuer Credit Rating

50

31 Dec 2013

5Y D14 Curncy

100 200

10Y CDS, 95.44

Change on Quarter (%)

150

400

30 Jun 2013

End of Q4

200

5Y CDS, 66.755

66.755 51.435 -22.95%

End of Q3

600

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

3Y CDS, 39.82

Bloomberg Ticker: 8604 jt equity

300 800

30 Jun 2012

Change on Quarter (%)

1Y CDS, 19.075

End of Q4

350

1000

Share Price

446.1 689.1 54.47%

End of Q3

r: kn fp equity

r: kn fp equity

Nomura Bank International plc

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

28

Innovative Solutions. Immaculate Service. NORTHERN TRUST CORP

Change on Quarter (%)

Bloomberg Ticker: ntrs us equity

Cr e dit D e fa ult Swa p ( 5Y)

-

End of Q3 End of Q4 Change on Quarter (%)

5Y D14 Curncy

60

200

50 40

150

30

100

20

50

10 31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

31 Dec 2014

30 Jun 2014

31 Dec 2013

30 Jun 2013

A+ 06/12/11 STABLE 06/12/11

0 31 Dec 2012

Date Outlook Effective

250

30 Jun 2012

Long Term Local Currency Issuer Credit Rating Ratings Outlook

70

0

Cr e dit Ra ting ( S&P) Date Rating Effective

300

80

31 Dec 2011

8604 jt equity

350

90

Share Price

67.99 89.05 30.98%

End of Q4

CDS Benchmark

100

Sh a r e Pr ice End of Q3

5Y CDS

CDS Level

NORTHERN TRUST CORP

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating Date Rating Effective Ratings Outlook Date Outlook Effective

A2 14/11/13 STABLE 14/05/15

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

481Z LN Equity

AA28/04/09 STABLE 29/09/10 Bloomberg Ticker: ntrs us equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)* 8604 jt equity

12.5% 16,566 Bloomberg Ticker: ntrs us equity

*Converted from quoted currency based on prevailing exchange rate as of source date

29

Innovative Solutions. Immaculate Service. Rabobank

Date Outlook Effective

40

Bloomberg Ticker: rabo na equity

20

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

16.4% Bloomberg Ticker: rabo na equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

31 Dec 2014

30 Jun 2014

31 Dec 2011 60

10Y CDS, 92.745

Ratings Outlook

AA21/11/13 STABLE 09/06/15

80

5Y CDS, 64.15

Date Rating Effective

100

3Y CDS, 40.23

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating

120

Aa2 28/05/15 NEG 24/11/16

1Y CDS, 27.91

Date Outlook Effective

0

10Y CDS, 97.06

Ratings Outlook

ntrs us equity

ntrs us equity

A+ 04/11/14 STABLE 02/12/15

CDS Level (bps)

Date Rating Effective

50

0

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

100

0.1

Cr e dit Ra ting ( S&P)

Date Outlook Effective

0.3 0.2

Bloomberg Ticker: RABOBK CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

150

31 Dec 2013

Change on Quarter (%)

0.4

30 Jun 2013

End of Q4

200

0.5

5Y CDS, 67.5

67.5 64.15 -4.96%

End of Q3

0.6

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

3Y CDS, 48.41

ntrs us equity

0.7

30 Jun 2012

Change on Quarter (%)

300

0.8

1Y CDS, 22.905

End of Q4

350

0.9

Share Price

-

End of Q3

Ratings Outlook

CDS Benchmark

1

Sh a r e Pr ice

Date Rating Effective

5Y CDS

CDS Level

Rabobank

0 Q3 2016

Q4 2016

30

Innovative Solutions. Immaculate Service. Royal Bank of Canada

Change on Quarter (%)

Bloomberg Ticker: ry cn equity

Cr e dit D e fa ult Swa p ( 5Y)

-

End of Q3 End of Q4 Change on Quarter (%)

5Y D14 Curncy

60

200

50 40

150

30

100

20

50

10 31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

31 Dec 2014

30 Jun 2014

31 Dec 2013

30 Jun 2013

31 Dec 2012

AA15/11/94 NEG 06/06/16

0

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating Date Rating Effective Ratings Outlook Date Outlook Effective

Aa3 21/06/12 NEG 11/06/14

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

abo na equity

abo na equity

250

30 Jun 2012

Date Outlook Effective

70

31 Dec 2011

Long Term Local Currency Issuer Credit Rating Ratings Outlook

300

80

0

Cr e dit Ra ting ( S&P) Date Rating Effective

350

90

Share Price

81.26 90.87 11.83%

End of Q4

CDS Benchmark

100

Sh a r e Pr ice End of Q3

5Y CDS

CDS Level

Royal Bank of Canada

AA 18/07/05 NEG 25/01/16 Bloomberg Ticker: rbc ln equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

12.3% 85,493 Bloomberg Ticker: ry cn equity

*Converted from quoted currency based on prevailing exchange rate as of source date

31

Innovative Solutions. Immaculate Service.

Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

: rbc ln equity

A 11/06/12 POS 15/07/15 Bloomberg Ticker: anl ln equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

12.55% 64,742 Bloomberg Ticker: san sm equity

31 Dec 2016

Cr e dit Ra ting ( Fitch )

10Y CDS, 109.035

Date Outlook Effective

30 Jun 2016

Ratings Outlook

CDS Level

140

Aa3 13/04/16 NEG 21/12/16

120

CDS Level (bps)

Date Rating Effective

5Y CDS, 81.765

A 09/06/15 NEG 07/07/16

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

0 31 Dec 2015

Date Outlook Effective

0

100 80 60 40 20

3Y CDS, 60.605

Ratings Outlook

50

30 Jun 2015

Date Rating Effective

1

1Y CDS, 47.525

Long Term Local Currency Issuer Credit Rating

100

31 Dec 2011

Cr e dit Ra ting ( S&P)

2

30 Jun 2014

Bloomberg Ticker: SANTUK CDS EUR SR 5Y D14 Curncy

150

3

10Y CDS, 120.395

Change on Quarter (%)

200

4

31 Dec 2013

End of Q4

250

5

5Y CDS, 90.01

90.01 81.765 -9.16%

End of Q3

300

6

30 Jun 2013

Cr e dit D e fa ult Swa p ( 5Y)

350

7

3Y CDS, 68.2

Bloomberg Ticker: san sm equity

400

31 Dec 2012

Change on Quarter (%)

CDS Benchmark

8

1Y CDS, 44.88

End of Q4

5Y CDS

9

30 Jun 2012

3.947 4.959 25.64%

End of Q3

Share Price

Sh a r e Pr ice

r: ry cn equity

r: ry cn equity

Santander UK plc

31 Dec 2014

Santander UK plc

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

32

Innovative Solutions. Immaculate Service. 5Y CDS

CDS Benchmark

60

450

Sh a r e Pr ice

Bloomberg Ticker: SOCGEN CDS EUR SR 5Y D14 Curncy

Cr e dit Ra ting ( Mo o dy 's)

Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

: anl ln equity

A 17/07/13 STABLE 19/05/15

Tier One Capital Ratio Market Cap (GBP millions)*

60 40 20

13.5% 32,605 Bloomberg Ticker: gle fp equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

80

Bloomberg Ticker: gle fp equity

Ca pita l

30 Jun 2015

100

10Y CDS, 113.725

Date Outlook Effective

5Y CDS, 84.5

Ratings Outlook

3Y CDS, 59.66

Date Rating Effective

120

A2 21/06/12 STABLE 17/03/15 CDS Level (bps)

Long Term Rating

1Y CDS, 35.48

Date Outlook Effective

A 23/01/12 STABLE 02/12/15

31 Dec 2014

Ratings Outlook

31 Dec 2011

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( S&P) Long Term Local Currency Issuer Credit Rating

50

10Y CDS, 111.515

5Y D14 Curncy

100

10

31 Dec 2013

Change on Quarter (%)

150

5Y CDS, 77.5

End of Q4

200

20

30 Jun 2013

77.5 84.5 9.03%

End of Q3

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

250

30

3Y CDS, 52.625

Bloomberg Ticker: gle fp equity

300

30 Jun 2012

Change on Quarter (%)

350

40

1Y CDS, 28.195

End of Q4

400

50

Share Price

30.78 46.745 51.87%

End of Q3

san sm equity

san sm equity

Societe Generale

CDS Level

Société Générale

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

33

Innovative Solutions. Immaculate Service.

Date Rating Effective Ratings Outlook Date Outlook Effective

: gle fp equity

A+ 05/11/15 STABLE 14/10/16 Bloomberg Ticker: stan ln equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

14.1% 23,129 Bloomberg Ticker: stan ln equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

120 100 80 60 40 20

10Y CDS, 151.285

Long Term Issuer Default Rating

140

5Y CDS, 115.84

Cr e dit Ra ting ( Fitch )

160

3Y CDS, 81.95

Date Outlook Effective

180

A1 07/03/16 NEG 07/03/16

1Y CDS, 51.225

Ratings Outlook

31 Dec 2014

BBB+ 31/03/16 STABLE 31/03/16

CDS Level (bps)

Date Rating Effective

0 30 Jun 2014

0

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

50

31 Dec 2013

Date Outlook Effective

100

31 Dec 2011

Ratings Outlook

600 200

Cr e dit Ra ting ( S&P) Date Rating Effective

150

400

Bloomberg Ticker: STANLN BK CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

800

10Y CDS, 155.585

Change on Quarter (%)

5Y D14 Curncy

200

1000

30 Jun 2013

End of Q4

1200

5Y CDS, 119.5

119.5 115.84 -3.06%

End of Q3

250

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

1400

3Y CDS, 84

Bloomberg Ticker: stan ln equity

300

1600

30 Jun 2012

Change on Quarter (%)

350

1Y CDS, 53.345

End of Q4

CDS Benchmark

1800

Share Price

628.3 663.6 5.62%

End of Q3

5Y CDS

2000

Sh a r e Pr ice

: gle fp equity

: gle fp equity

Standard Chartered plc

CDS Level

Standard Chartered plc

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

34

Innovative Solutions. Immaculate Service.

Cr e dit Ra ting ( Mo o dy 's)

Ratings Outlook Date Outlook Effective Cr e dit Ra ting ( Fitch ) Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

stan ln equity

BBB+ 19/05/15 STABLE 19/05/15 Bloomberg Ticker: 2783Z LN equity

Ca pita l Tier One Capital Ratio Market Cap (GBP millions)*

19.1% 26,839 Bloomberg Ticker: rbs ln equity

CDS Level

31 Dec 2016

160 140 120 100 80 60 40 20

10Y CDS, 144.695

Date Rating Effective

180

A3 28/05/15 POS 14/12/15 CDS Level (bps)

Long Term Rating

30 Jun 2016

BBB+ 09/06/15 STABLE 07/07/16

5Y CDS, 113.5

Date Outlook Effective

0 31 Dec 2015

Ratings Outlook

0

3Y CDS, 91.51

Date Rating Effective

50

1Y CDS, 70.535

Long Term Local Currency Issuer Credit Rating

50

31 Dec 2011

Cr e dit Ra ting ( S&P)

100

30 Jun 2015

Bloomberg Ticker: RBSPLC CDS EUR SR 5Y D14 Curncy

100

30 Jun 2014

5Y D14 Curncy

150

150

31 Dec 2013

Change on Quarter (%)

200

200

10Y CDS, 171.045

End of Q4

250

250

30 Jun 2013

136.5 113.5 -16.85%

End of Q3

300

300

5Y CDS, 136.5

Cr e dit D e fa ult Swa p ( 5Y)

350

350

31 Dec 2012

Bloomberg Ticker: rbs ln equity

400

3Y CDS, 109.26

Change on Quarter (%)

CDS Benchmark

400

30 Jun 2012

End of Q4

5Y CDS

450

1Y CDS, 85.115

178.8 224.6 25.62%

End of Q3

Share Price

Sh a r e Pr ice

stan ln equity

stan ln equity

The Royal Bank of Scotland plc

31 Dec 2014

The Royal Bank of Scotland

0 Q3 2016

Q4 2016

35

Innovative Solutions. Immaculate Service.

UBS AG

UBS AG

CDS Benchmark

25

350

Sh a r e Pr ice

Bloomberg Ticker: UBS CDS EUR SR 5Y D14 Curncy

Cr e dit Ra ting ( Mo o dy 's)

Long Term Issuer Default Rating Date Rating Effective Ratings Outlook Date Outlook Effective

783Z LN equity

A+ 14/06/16 STABLE 14/06/16

Tier One Capital Ratio Market Cap (GBP millions)*

40 20

21% 51,862 Bloomberg Ticker: ubsg vx equity

31 Dec 2016

30 Jun 2016

31 Dec 2015

30 Jun 2015

60

Bloomberg Ticker: ubs ln equity

Ca pita l

31 Dec 2014

80

10Y CDS, 91.38

Cr e dit Ra ting ( Fitch )

100

5Y CDS, 61.5

Date Outlook Effective

3Y CDS, 42.73

Ratings Outlook

1Y CDS, 24.085

Date Rating Effective

120

Aa3 11/01/16 STABLE 11/01/16 CDS Level (bps)

Long Term Rating

30 Jun 2014

Date Outlook Effective

A+ 06/06/16 STABLE 06/06/16

10Y CDS, 107.36

Ratings Outlook

0 31 Dec 2011

Date Rating Effective

50

0

Cr e dit Ra ting ( S&P) Long Term Local Currency Issuer Credit Rating

CDS Level

100

5

31 Dec 2013

Change on Quarter (%)

5Y D14 Curncy

150

5Y CDS, 76.83

End of Q4

10

30 Jun 2013

76.83 61.5 -19.95%

End of Q3

200

31 Dec 2012

Cr e dit D e fa ult Swa p ( 5Y)

15

3Y CDS, 57.37

Bloomberg Ticker: ubsg vx equity

250

30 Jun 2012

Change on Quarter (%)

1Y CDS, 38.315

End of Q4

300

20 Share Price

13.23 15.95 20.56%

End of Q3

: rbs ln equity

: rbs ln equity

5Y CDS

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

36

Innovative Solutions. Immaculate Service. UNICREDIT SPA

Sh a r e Pr ice

Date Outlook Effective ubs ln equity

ubsg vx equity

Tier One Capital Ratio Market Cap (GBP millions)*

300 200 100

11.64% 14,228 Bloomberg Ticker: ucg im equity

31 Dec 2015

400

Bloomberg Ticker: ucg im equity

Ca pita l

31 Dec 2016

Ratings Outlook

BBB+ 18/03/13 NEG 24/03/16

10Y CDS, 400.085

Date Rating Effective

30 Jun 2016

Long Term Issuer Default Rating

5Y CDS, 175

Cr e dit Ra ting ( Fitch )

500

3Y CDS, 127.23

Date Outlook Effective

1Y CDS, 83.695

Ratings Outlook

600

Baa1 22/06/15 STABLE 22/06/15 CDS Level (bps)

Date Rating Effective

0 30 Jun 2015

BBB18/12/14 STABLE 18/12/14

Cr e dit Ra ting ( Mo o dy 's) Long Term Rating

0 31 Dec 2014

Date Outlook Effective

100

30 Jun 2014

Ratings Outlook

1

31 Dec 2011

Cr e dit Ra ting ( S&P) Date Rating Effective

200

2

Bloomberg Ticker: UCGIM CDS EUR SR 5Y D14 Curncy

Long Term Local Currency Issuer Credit Rating

300

3

10Y CDS, 481.6

Change on Quarter (%)

5Y D14 Curncy

400

4

31 Dec 2013

End of Q4

500

5

5Y CDS, 189

189 175 -7.41%

End of Q3

6

30 Jun 2013

Cr e dit D e fa ult Swa p ( 5Y)

600

3Y CDS, 142.97

Bloomberg Ticker: ucg im equity

7

31 Dec 2012

ubsg vx equity

700

1Y CDS, 99.59

Change on Quarter (%)

CDS Benchmark

8

30 Jun 2012

End of Q4

Share Price

2.072 2.734 31.95%

End of Q3

5Y CDS

CDS Level

UNICREDIT SPA

0 Q3 2016

Q4 2016

*Converted from quoted currency based on prevailing exchange rate as of source date

37

Innovative Solutions. Immaculate Service.

Important Information This information has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any investment offered by Meteor Asset Management. The information is based on or derived from information generally available to the public from sources believed to be reliable. No representation or warranty can be given with respect to the accuracy or completeness of the information. We do not undertake to update this information. Meteor Asset Management Limited and its affiliates disclaim any and all liability relating to this information, including without limitation any express or implied representations or warranties for statements contained in, and omissions from, this information. Additional information is available on request. Meteor Asset Management Limited does not give investment, tax, accounting and legal or regulatory advice and investors should consult with their professional advisors.

Approved and issued by Meteor Asset Management Limited. Meteor Asset Management is authorised and regulated by the Financial Services Authority, FCA Number 459325. Financial Services Authority: 25 The North Colonnade, Canary Wharf, London E14 5HS.

Meteor Asset Management Limited 55 King William Street London EC4R 9AD Tel +44 (0)20 7904 1010 Fax +44 (0)20 7283 1355 Email [email protected] Web www.meteoram.com

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