Autocallables in Context of Market Conditions

end Q1 2011

(1) Recap from previous Autocall piece

(2) Do Autocalls look attractive?

Rates

Vols

Secondary Market

(3) Long-term Autocall trends

(4) Summary of Autocall structures traded

(1) Recap from previous Autocall piece

•Pricing of autocalls should be taken in context of rates

•Expected life of most autocalls – take prevailing 2-Year Swap Rate

•Sensitivity of Coupon to rates

•Volatility – Are VIX and 12M implied Vol relevant measures to Autocalls?

•Yields of Other Asset Classes and Macro Correlations

(2) Do Autocalls look attractive?

•Volumes of Autocalls

•Performance: Absolute and Relative

•Absolute Return Funds

•Investor mark-to-market experience

•Two broad investor types:

- around 8% and low autocall barriers

- those looking for 10% plus

(2)...RatesRecap from last Autocall analysisexcellent absolute and relative performance

(2)...VolatilityRecap from last Autocall analysisexcellent absolute and relative performance

(2)...Secondary MarketRecap from last Autocall analysisexcellent absolute and relative performance

(3) Long-term Autocall trendsRecap from last Autocall analysisexcellent absolute and relative performance

(4) Summary of Autocall structures tradedRecap from last Autocall analysisexcellent absolute and relative performance

Any Questions?