Institutional Structured Products

Institutional Structured ProductsMay 2013

Agenda

Catley Lakeman Securities

Institutional Structured Investments Composition

Institutional Structured Investments Examples – Accelerators / Supertrackers

Institutional Structured Investments Examples – Range Accruals

Institutional Structured Investments Examples – Defensive Autocalls

Why Use Structured Investments?

Appendix

2

CATLEY LAKEMAN SECURITIES

3


Founded July 2008

Team of 9

Combined investment sales experience – 42 years

Combined structured investment trading experience – 34 years

Combined structured investment specific experience – 54 years

STUART CHANDLER

Non-Executive Chairman

RUSSELL CATLEY(Partner)

ANDREW LAKEMAN(Partner)

NINA GILL

Sales Sales Sales & Research

T 020 7043 0101M 07977 917 238

T 020 7043 0102M 07812 527 172

T 020 7043 0104M 07974 990 280

TOM MAY(Partner)

CHRIS DAGG JONATHAN DAGG

Trading & Structuring Trading & Structuring Trading & Research

T 020 7043 0103M 07876 716 067

T 020 7043 0105M 07841 332 701

T 020 7043 0505M 07921 003 583

4

EDWARD SENIOR

Delta 1

T 020 3397 3156M 07971 958 585

FSA authorised securities and futures firm

Outsourced origination and distribution business, representing seven banks on a contractual

basis

Sell and support (ie in both the primary and secondary markets) private placement securitised

derivative investments to professional asset managers and institutions in the UK

5


Source: Bloomberg, data as at 01-May13

Royal

Bank o

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HSBC

JP M

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Credit

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Deutsc

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Citigro

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Mor

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Lloyd

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Nomur

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Comm

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Credit

Agr

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Soc G

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Banco

San

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r

0

100

200

300

400

500

600

700

Credit Spreads since June-2008 - Trading Ranges

Cre

dit

Def

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Sw

ap (

CD

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maximum 1360

current

INSTITUTIONAL STRUCTURED INVESTMENT COMPOSITION

6

A structured product is a defined-return investment based on the performance of an underlying asset

Factors to determine at the outset:

o Underlying asset – equity indices, commodities, interest rates, etc

o Payoff – depends on your investment view, the risk/ return profile, income vs growth

o Counterparty – mark-to-market considerations, diversification of issuers

WHAT ARE STRUCTURED PRODUCTS?

7

8

Estimation of 170% Barclays 5 year FTSE Accelerator Bond (Traded 1-March-2005)

Matured at 117p (estimate)

Share Price at Issue 100.00p

ZCB / Swap inc. funding pickup 74.61p

Aggregate Costs 1.49p

Amount to invest 23.9p

Price of 1 call option at March 2005 14.06p

Therefore with 23.9p, investor can buy 1.7x call options

→ 170% participation

CAPITAL PROTECTED STRUCTURES5 year in 2005

GBP1.00Zero-

couponBond/Swap

Option packageProvidingEconomic

Return

GBP1.00Investor’s

Cash

9

Indication of the same 5 year capital protected participation structure today, with an AA- rated issuer

Hence why these structures are not traded today in the current pricing environment





Price of 1 call option today 9.70p



CAPITAL PROTECTED STRUCTURES5 Year Today

GBP1.00Zero-

couponBond/Swap


Return

GBP1.00Investor’s

Cash

10

Indication of a 5 year structure today with soft capital protection at 60%, with an AA- rated issuer

These structures can be a good alternative to passive or quasi-passive long only funds

PARTIALLY CAPITAL PROTECTED STRUCTURES5 year Today

GBP1.00Zero-

couponBond/Swap


Return

GBP1.00Investor’s

Cash Sell 5yr European

Put Option on the FTSE Risk At 60%

Strike (‘Knock-In Put’)




Old amount to invest 6.72p

Sell put risk premium 14.93p

New Amount to invest 21.65p




GBP1.00Zero-

couponBond/Swap


Return

11

How would this have looked in 2005? Estimation of a 5 year structure with soft capital protection at

60%, AA- rated issuer


PARTIALLY CAPITAL PROTECTED STRUCTURES5 year in 2005

GBP1.00Zero-

couponBond/Swap


Return

GBP1.00Investor’s







Old amount to invest 24.72p


New Amount to invest 28.76p

Price of 1 call option at March 2005 14.60p



GBP1.00Zero-

couponBond/Swap


Return

12

How would this have looked in 2005? Estimation of a 6 year structure today with soft capital

protection at 60%


PARTIALLY CAPITAL PROTECTED STRUCTURES6 year Today

GBP1.00Zero-

couponBond/Swap


Return

GBP1.00Investor’s












GBP1.00Zero-

couponBond/Swap


Return

INSTITUTIONAL STRUCTURED INVESTMENT CATEGORIES

1. Accelerators / Supertrackers

2. Range Accruals

3. Defensive Autocalls

13

CATEGORIES OF STRUCTURED INVESTMENTS

14

USE TYPE EXAMPLE SITS ALONGSIDE

Gearing / Participation Uncapped Accelerator / Supertracker Large cap / core long only funds and ETFs

Synthetics Range Accrual ZDPs

Autocalls Defensive Autocall Equity income finds and absolute return funds

Yield Enhancement

Defined Return

Selling Volatilty



2. Range Accruals


15

Acclerators / Supertrackers

16


Gearing / Participation Uncapped Accelerator / Supertracker Large cap / core long only funds and ETFs

• Seen by many as a cost-effective ETF replacement

• Given 90% of respondents to the 2012 questionnaire were bullish, it is likely we will

see more of these structures over the next year

• Not usually held for more than 1 to 2 years

Construction

17

• HSBC 5.5 year Fixed Rate Bond

• Yielding roughly 3.3% per annum at time of issue

• Remove coupons

• Present Value of coupon stream over 5.5 years: 17p

• Left with an HSBC zero coupon bond worth 83p

• Incorporate ‘soft protection’

• 60% soft protection on S&P 500 at maturity

• Sell knock-in put: 12.5p

• Incorporate upside

• 100 – 83 + 12.5 = 29.5p to spend

• 1 S&P call option is 16.5p; 29.5 / 16.5 = 1.79 call options

HSBC 5.5 year Fixed Rate Bond

Remove Coupons

Incorporate ‘soft protection’

Incorporate upside

All data as at time of issuance (Feb-11)

Eg: HSBC 340 US Supertracker (179%)

18

HSBC 340 US Supertracker (179%)

Strike: 16-Feb-11

Counterparty: HSBC

Currency: USD Denominated

Underlying: S&P 500 (1336.32 points)

Maximum Term: 6 years

Platform: EIS (subject to CGT under current tax rules)

Upside: 179% participation (final year averaging)

Downside (60% European Knock-In Put):

if at maturity the S&P has fallen by more than 40% of the initial level (below 801.79 points) at maturity, the structure will redeem paying the original capital minus 1% for every 1% the Index has fallen below the initial level

Mark-to-Market

19Source: Bloomberg, data to 1-May-13

Feb-11 May-11 Sep-11 Dec-11 Mar-12 Jun-12 Oct-12 Jan-13 Apr-1375%

85%

95%

105%

115%

125%

135%

S&P 500 Index Performance [Price]

US Supertracker Performance

Total return of index = 123.04% (dividend reinvestment assuming Net of Corporate Tax rate 20%)

Structure performance to date: 27.25%

S&P TR performance to date: 23.04%

Structure annualised volatility: 21.31%

S&P annualised volatility: 18.67%

Performance

20

• Since launch performance: 29.35% versus 18.20% sector average in the below list of funds

Source: Bloomberg, Financial Express, data to 1-May-13

USD Denominated Performance (TR) Bloomberg Ticker1 month

(2-Apr-13)3 month

(30-Jan-13)1 year

(27-Apr-12)Since Launch (16-

Feb-11)

HSBC US Supertracker Series 2 / 3 / 4 B3Z2023 3.45% 12.56% 22.49% 29.35%

HSBC 476 US Supertracker Series 5 B92SVS9 2.73% N / A N / A N / A

UBS US Equity Investment Funds UBSUEAA LN 2.67% 5.44% 11.92% 14.96%

JPM US Equity Income HLIEX US Equity 2.34% 7.59% 17.14% 32.80%

S&P 500 SPX 1.84% 6.82% 15.93% 24.21%

ISHARES S&P 500 SACC LN 1.79% 6.62% 15.85% 23.72%

Schroder QEP US Core Fund SCHRAMA LN Equity 1.16% 4.64% 13.53% 21.55%

Legg Mason Funds US Equity LMUSEAA LN 1.06% 3.20% 11.58% 9.41%

JPMorgan American Investment Trust JAM LN 1.05% 5.15% 12.04% 17.08%

Findlay Park American Fund FINDLPI ID 0.51% 4.86% 17.80% 22.87%

Neptune Investment Funds US Opps CFNUSAA LN 0.31% 2.33% 10.24% 8.19%

M&G Investment Funds American MGAMDAA LN -0.03% 2.83% 13.01% 11.78%

Threadneedle Investment Funds American Select TDNASGA LN -0.20% 1.64% 7.91% 18.47%

Brown Advisory US Equity Growth Fund BRAUSEB ID -1.53% 2.19% 5.27% 13.38%

Source: Bloomberg,

Financial Express, data to 2-May-2013



2. Range Accruals


21

Appendix:

22

HSBC 340 US Supertracker (179%)

Strike: 16-Feb-11

Counterparty: HSBC

Currency: USD Denominated

Underlying: S&P 500 (1336.32 points)



Upside: 179% participation (final year averaging)


if at maturity the S&P has fallen by more than 40% of the initial level (below 801.79 points) at maturity, the structure will redeem paying the original capital minus 1% for every 1% the Index has fallen below the initial level

Range Accruals

23

• The other success story over the last year, beyond autocalls

• With the backdrop of falling rates, falling vol and tightening credit, in most cases

these structures have outperformed the market


Yield Enhancement Defined Return Selling Volatilty

Synthetics Range Accrual ZDPs

RESULTING STRUCTUREMANAGER CONSIDERATIONS & DECISIONSHOW TO GET

HIGHER YIELD

Yield : circa 3.00%

Construction (‘Synthetics’)

This slide shows the evolution of a live trade.

HSBC 6y Fixed Rate Bond

*All pricing as at circa early Oct-12

Yield : circa 5.00%

Yield : circa 6.85%

Yield : circa 7.00%

Put capital risk

Put coupon at risk

(via lower barrier)

Put coupon at risk

(add upper barrier)

Which underlying should the structure be linked to? FTSE

At what level should the lower barrier be?

Coupon paid annually as long as the FTSE is over 3500 points.

To what extent is the manager prepared to put capital at risk?

Soft protection at maturity at 3500 points.

At what level should the upper barrier be?

7% annual, accrued daily for every day the FTSE closes within the

range of 3500 to 7500 points.

Any additional considerations?

In this instance the investors wanted semi-annual income, so the

structure pas up to 3.5% semi-annually.

HSBC 6y FTSE Reverse Convertible

HSBC 6y FTSE Digital

HSBC 440 6y FTSE Range Accrual

24

HSBC 6y FTSE Reverse Convertible (5.00%)

25*All pricing as at circa early Nov-12

3000

3500

4000

4500

5000

5500

6000

6500

7000

7500

8000

8500

+0 years +1 year +2 years +3 years +4 years +5 years +6 years

FT

SE

100

Strike: 5800 points

5.0% coupon paid regardless of what the FTSE has done

5.0% coupon paid regardless of what the

FTSE has done


5.0% coupon paid regardless of whatthe FTSE has done



0%

2%

4%

6%

8%


Co

up

on

P

aym

en

ts

Soft Protection at Maturity: 3500 points

Coupon: 5.0%

HSBC Bond Coupon: 3.0%

HSBC 6y FTSE Digital (6.85%)


3000

3500

4000

4500

5000

5500

6000

6500

7000

7500

8000

8500


FT

SE

100

Strike: 5800 points

6.85% coupon paid as FTSE is above the

lower barrier at the end of the year



no coupon paid as FTSE has fallen

below the lower barrier at the end of the year







0%

2%

4%

6%

8%


Co

up

on

P

aym

en

ts

Lower Barrier: 3500 points


Potential Coupon: 6.85%


HSBC 440 FTSE Daily Range Accrual (7.0%)


3000

3500

4000

4500

5000

5500

6000

6500

7000

7500

8000

8500


FT

SE

100

Upper Barrier: 7500 points

Strike: 5800 points

7% coupon paid as FTSE stayed

between barriers for whole year

1.75% coupon paid as FTSE exceeded theupper barrier for 75% of

the year

3% coupon paid as FTSE fell below the lower barrier for 50% of

the year

2.3% coupon paid as FTSE fell below thelower barrier for 33% of

the year

7% coupon paid as S&P 500 stayed


7% coupon paid as FTSE stayed


0%

2%

4%

6%

8%


Co

up

on

P

aym

en

ts

Lower Barrier: 3500 points


Potential Coupon: 7%


28Source: Data as at 29-Jan-13

Eg: HSBC 363 FTSE Daily Range Accrual (8.0%)

HSBC 363 FTSE Daily Range Accrual (8.0%)

Strike: 9-Jan-11

Counterparty: HSBC

Currency: GBP Denominated

Underlying: FTSE 100 (5460.38 points)



Upside:8% annual coupon accrued daily, for every day the FTSE closes between 55% and 150% of the initial level ( 3003.21 to 8190.57 points)


if at maturity the FTSE has fallen by more than 45% of the initial level (below 3003.21 points) , the structure will redeem paying the original capital minus 1% for every 1% the Index has fallen below the initial level

29

Mark-to-Market

Source: Bloomberg, data as at 01-May-13

Nov-11 Feb-12 Jun-12 Sep-12 Dec-12 Apr-1375.00%

85.00%

95.00%

105.00%

115.00%

125.00%

135.00%

FTSE 100 Index Performance [Price]

HSBC 363 Performance

Total return of index = 124.28% (dividend reinvestment assuming Net of Corporate Tax rate 20%)

Structure performance to date: 24.89%

FTSE TR performance to date: 24.28%


FTSE 100 annualised volatility: 14.32%

30

CS 425 FTSE Quarterly Range Income

Credit Suisse 425 FTE Quarterly Range Income (2.25%) Note

Strike: 13-Sep-12

Counterparty: Credit Suisse


Underlying: FTSE 100 (5819 points)


Platform: Note (subject to income tax under current tax rules)

Upside: 2.25% quarterly coupon paid out quarterly, so long as the FTSE remains between 3500 and 7500 points for the entire quarter.

Downside (3500 points European Knock-In Put):

if at maturity the FTSE has fallen below 3500 points at maturity, the structure will redeem paying the original capital minus 1% for every 1% the Index has fallen below the initial level



2. Range Accruals


31

Defensive Autocalls

32

• Performance of Defensive Autocallables is predictable and defined

• Bull market: Underperform

• Bear market: Likely to outperform

• “Flattish” market: Outperform significantly

• Autocall Backtest Analysis – illustrating where outperformance tends to occur


Yield Enhancement Defined Return Selling Volatilty

Autocalls Defensive Autocall Equity income finds and absolute return funds

33

Payoff Example

Level of Index 1st anniversary 2nd anniversary 3rd anniversary 4th anniversary 5th anniversary

100%

60%

0%

6th anniversary

Autocall observation coupon of 32%




Autocall continues to 2nd anniversary

Autocall continues to 3rd anniversary

Autocall continues to 4th anniversary



Capital protection barrier triggered

Ca

pit

al

Pro

tec

ted

Ca

pit

al

Lo

ss



100%95%

90%85%

80%75%

Autocall redeems at 100p

34

Eg: HSBC 260 FTSE Defensive Autocall (10%)

HSBC 260 FTSE Defensive Autocall (10%) EIS

Strike: 7-Oct-10

Counterparty: HSBC


Underlying: FTSE 100 (5662.13 points)



Upside: Defensive autocall, 10% snowballing annual coupon

Autocall Barriers:

Year 1: 100% barrier 110% payoffYear 2: 100% barrier 120% payoffYear 3: 100% barrier 130% payoffYear 4: 95% barrier 140% payoffYear 5: 90% barrier 150% payoffYear 6: 85% barrier 160% payoff

Downside (50% American Knock-In Put):

should the structure not autocall on any of the 6 anniversaries, and the FTSE has fallen by more than 50% at any close over the life, the structure will redeem paying the original capital minus 1% for every 1% the Index had fallen below strike level

35

Payoff

Unless the capital protection has previously been breached

Level of FTSE 1st anniversary 2nd anniversary 3rd anniversary 4th anniversary 5th anniversary

100%

50%

0%

6th anniversary

100%






Autocall continues to 3rd anniversary




Capital protection barrier triggered

Ca

pit

al

Pro

tec

ted

Ca

pit

al

Lo

ss



100% 100% 100%95%

90%85%

Autocall redeems at 100p*


Capital protection barrier

Autocall continues to 3rdanniversary








36

Oct-10 Feb-11 May-11 Aug-11 Dec-11 Mar-12 Jun-12 Sep-12

-15

-10

-5

0

5

10

15

20

25FTSE 100 Total Return

HSBC 260 FTSE DefensiveAnnualised Volatility over the life of the trade: HSBC 260: 14.51% FTSE 100: 19.93%

Outperformance over the Underlying: 9.77%

Total return of index = +10.23% (dividend reinvestment assuming Net of Corporate Tax rate 20%)

Mark-to-Market

Structure outperformance to date: 9.77%


FTSE 100 annualised volatility: 19.93%

Source: A selection of popular UK funds, all rated AAA/AA by Citywire 37

• Called in Year 2 (8th October 2012), with the FTSE at 5841.74 points

• Over the two years since launch, the structure doubled the return of the market with less volatility

Period Range: 7-Oct-10 to 8-Oct-12

Total Return Performance 360 Day Volatility

Structure (HSBC 260 Def Ac) 20.00% 14.51%

BlackRock UK Special Situations 16.70% 19.92%

Threadneedle UK Equity Income 15.79% 17.49%

Underlying (FTSE 100) 10.23% 19.93%

M&G Recovery 11.14% 22.56%

Standard Life Investment GARS 7.62% 4.72%

Jupiter Absolute Return 4.51% 5.51%

Performance

COST AND LIQUIDITY

38

Cost/Fee structure of Institutional Structured Investmentso Costs typically between 0.5% to 2.0%

How liquid are Institutional Structured Investments?

Can I buy and sell them?

o Full Intra-day secondary market liquidity

o Institutional structured investment s will price intra-day

o Liquidity has existed on every single trading day for the entirety of the Institutional Market (i.e. over the last ten years, encompassing the Financial Crisis)

o Liquidity exists at the level of the underlying they are referenced to.

o For example, examine the liquidity of S&P 500 or FTSE 100 futures.o Consider for example volume traded on S&P 500 futures – current average for the last

weeks trading is $128.4Bil per day * *Source: JP Morgan Global Equity Derivatives & Delta One Strategy 6th May 2013

Cost and Liquidity of Institutional Structured Investments

39

WHY USE INSTITUTIONAL STRUCTURED INVESTMENTS?

40

Why use Structured Investments in a portfolio?

o They can be tailored to an investors’ specific requirements

o They offer an investor access to a wide variety of underlyings (equities, indices, interest rates, inflation, commodities etc)

o They can be structured via a variety of different outcomes at maturity, that are generally very simple to understand

o They tend to do ‘exactly what it says on the tin’- both the returns and the risks are easily definable

o As are the costs

o They should be used as an active investment, which is facilitated by a liquid secondary market (they have proved to be almost the most liquid asset you can hold) that CLS services

Why Use Institutional Structured Investments?

41

42

APPENDIX

TYPES OF STRUCTURED INVESTMENTS

CAPPED

UNCAPPED

ACCESS TO A PARTICULAR UNDERLYING

PARTICIPATION

SELLING VOLATILITY

DEFINED RETURN

YIELD ENHANCEMENT

AUTOCALLS

SYNTHETICS

INCOME Sit alongside: Income funds

Sit alongside: ZDPs

Sit alongside: Equity income funds and absolute return funds

Sit alongside: Large cap / core long only funds and ETFs

Sit alongside: Other vehicles accessing the same underlying asset

AcceleratorsSupertrackers Call Spreads

Usually participation in the form of an Accelerator, (but not always)

Autocalls Defensive Autocalls Worst-Of Autocalls

Synthetic ZerosDigitalsRange TradesRange Accruals

Reverse Convertibles DigitalsRange Trades High Income Range AccrualsInflation Plus

43

Defensive Autocall terms HSBC

6 year maximum term

GBP denominated

FTSE underlying

8% annual snowballing coupon

5% falling barriers

(100/ 95/ 90/ 85/ 80/ 75 as a

percentage of strike)

Soft protection at 60% at maturity

(European Knock-In Put)

TWO COMMON PAYOFFSDefensive Autocall

44

Alternatives for higher yield Move autocall barriers

Move soft protection level

Different Counterparty

Flat Autocalls

Worst- Ofs

Phoenix

Start Date: Investor invests 100p

Start Date + 1 year: Is FTSE above 100% Structure terminates and

of Start Level? pays back 108p

Start Date + 2 years: Is FTSE above 95% Structure terminates and










Is FTSE above 60% Structure terminates and


Structure terminates and investor loses 1% for

every 1% the FTSE has fallen from start to end date

YES

YES

YES

YES

YES

YES

YES

NO

NO

NO

NO

NO

NO

NO

Range Trade terms HSBC

6 year term

GBP denominated

FTSE underlying

8.5% paid out coupon

Range: 3500-7500 points,

annually observed

Soft protection at 3500 (60%)

at maturity

(European Knock-In Put)

TWO COMMON PAYOFFSRange Trade

45

Alternatives for higher yield Narrower range

Move soft protection level

Different Counterparty

Less yield Memory feature

Range Accrual

Start Date: Investor invests 100p

Start Date + 1 year: Is FTSE between Investor receives 8.5p coupon

3500 and 7500? Investor receives no coupon

Start Date + 2 years: Is FTSE between Investor receives 8.5p coupon










Is FTSE above Structure terminates and pays

3500 (60%)? 100p

Structure terminates and investor loses 1% for

every 1% the FTSE has fallen from start to end date

YES

NO

YES

NO

YES

NO

YES

NO

YES

NO

YES

NO

YES

NO

Appendix: Market Colour Data

46

Rates, Credit and Volatility

Sterling Interest Rates

Grinding lower, 10% autocall coupon equates to 15% in 2007 (ceteris paribus)

Source: Bloomberg (01-May-2013)

Nov-07 Feb-08 Jun-08 Oct-08 Feb-09 Jun-09 Oct-09 Feb-10 Jun-10 Oct-10 Feb-11 Jun-11 Oct-11 Feb-12 Jun-12 Oct-12 Feb-13

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

5 year currently 0.91%!

2 year currently 0.58%!

GBP Swap Rates

Sw

ap R

ate

(%)


47


Credit

Clients continue to chase quality

Source: Bloomberg (01-May-2013)

Royal

Bank o

f Can

ada

HSBC

JP M

orga

nUBS

Rabob

ank

Credit

Suis

se

Deutsc

he B

ank

Citigro

up BoA

Goldm

an

Barcla

ys ING

Mor

gan S

tanley BNP

Lloyd

s TSB

Nomur

aRBS

Comm

erzb

ank

Credit

Agr

icole

Soc G

en

Banco

San

tande

r

0

100

200

300

400

500

600

700

Credit Spreads since June-2008 - Trading Ranges

Cre

dit

Def

ault

Sw

ap (

CD

S)

leve

ls [

bas

is p

oin

ts o

ver

LIB

OR

per

an

nu

m]

high

low

maximum 1360

current


48


Volatility in a bit more detail

Source: Catley Lakeman, JP Morgan Derivatives and Delta One Strategy, Bloomberg (01-May-2013)

Feb-07

May-07

Aug-07

Nov-07

Feb-08

May-08

Aug-08

Nov-08

Feb-09

May-09

Aug-09

Nov-09

Feb-10

May-10

Aug-10

Oct-10

Jan-11

Apr-11

Jul-11

Oct-11

Jan-12

Apr-12

Jul-12

Oct-12

Jan-13

Apr-13

10.00%

15.00%

20.00%

25.00%

30.00%

35.00%

40.00%

0.00

5.00

10.00

15.00

20.00Knock-in Put Price (5 year)

Knock-in Put Price (2 year)

Imp

lied

Vo

latil

ity

Kn

oc

k-i

n P

ut

Pri

ce

(%

)

The information in this document is derived from sources believed to be reliable but which have not been independently verified. Catley Lakeman Securities makes no

guarantee of its accuracy and completeness and is not responsible for errors of transmission of factual or analytical data, nor is it liable for damages arising out of any

person’s reliance upon this information. All charts and graphs are from publicly available sources or proprietary data. The opinions in this document constitute the

present judgment of Catley Lakeman Securities, which is subject to change without notice. This document is neither an offer to sell, purchase or subscribe for any

investment nor a solicitation of such an offer. This document is intended for the use of institutional and professional customers and is not intended for the use of

private customers. This document is not intended for distribution in the United States of America or to US persons. This document is intended to be distributed in its

entirety. No consideration has been given to the particular investment objectives, financial situation or particular needs of any recipient.

Catley Lakeman Securities is a LLP registered in England and Wales, Registered Office : One Eleven Edmund Street, Birmingham, B3 2HJ. Registration

Number: OC336585, FSA Reference: 484826

DISCLAIMER

49

Institutional Structured Products

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