BROCHURE

The European Structured Retail Product Market
2011 Review

by

Arete Consulting

Publication Date: April 2011

Report Code: EUMR11

© Arete Consulting Limited 2011

The European Structured Retail Product Market - 2011 Review
Brochure

Introduction to Arete Consulting

Arete Consulting Limited is a research firm based in London, New York and Hong Kong,
providing research and data services related to all aspects of structured products. The company
was founded in 2001 and our clients include hundreds of blue chip companies from around the
world including all of the major global financial services groups, financial regulators, stock
exchanges, index providers and professional services firms. In August 2010 Arete Consulting
became part of Euromoney Institutional Investor plc.

Arete

Consulting

also

owns

and

maintains

the

specialist

industry

website

StructuredRetailProducts.com. The site was launched in January 2003, and has become the
leading online information resource for the global retail structured products industry. With over
5,000 registered users and more than 2,000,000 product listings, the website is the primary
information source for a wide range of businesses involved in the manufacture and distribution of
structured investment products globally. The service is used by financial regulators, index
providers, investment banks, stock exchanges, retail banks, insurance companies, asset and
wealth managers, consultants, lawyers and other firms involved in the market.

The products covered by the databases include all forms of structured products across all
product wrappers i.e. funds, deposits, notes, bonds, certificates, pensions, life bonds, etc.

There are currently over 33 country databases covering markets in Europe, Asia-Pacific and the
Americas.

The website also provides access to a daily news service, including an archive of over 10,000
exclusive stories on the latest developments in the global markets from innovative new products
to tax or regulatory changes and people moves.

© Arete Consulting Limited 2011

Strictly Confidential
Page 2 of 36

The European Structured Retail Product Market - 2011 Review
Brochure

What’s in this Report?

Completely updated from the 2010 Review, the four-volume 2011 European Review provides
detailed information on the retail structured products markets across 18 European markets. The
report also includes survey evidence from key players across the region to provide detailed
forecasts for each market and rankings of the leading investment banks in each country in terms
of competitive pricing and product innovation. A comprehensive Management Summary
provides key insights into the overall trends across the region.

With unrivalled access to our database of over 2,000,000 retail structured products sold across
the region this report contains everything you need to know about the key trends and prospects
for the European structured retail products industry.

Highlights of the report include:

Insights into key trends across Europe and within each of country, including consensus
growth forecasts, investment bank rankings, recent product developments and
competitive environments

Detailed quantitative analysis our product databases containing over 2,000,000
individual retail structured products

Analysis and commentary on market sizes, growth trends and forecasts, distribution
channels, best selling products, wrappers, payoffs and underlyings

Updates on new regulatory and fiscal changes that have impacted the markets in each
country

© Arete Consulting Limited 2011

Strictly Confidential
Page 3 of 36

2011 Review Brochure Who should buy this report? The report provides invaluable market intelligence for anyone involved in the European retail structured products market including: Senior Management in Structured Products businesses Structured Products Salespeople Product Developers and structurers Retail Distributors Marketing Departments Market Research Departments Compliance and Legal Departments Consultancies Regulators Exchanges Some comments from previous purchasers include: “As an entity not having a local presence in some of these markets. It has proved very helpful for us when analysing new steps in our European structured products business. OECD © Arete Consulting Limited 2011 Strictly Confidential Page 4 of 36 .The European Structured Retail Product Market . To do this you need to know what is happening.” Rodrigo de Sebastian. There is plenty of detail depending on how deep you want to dig.” Dr Adrian Blundell-Wignall. by whom. It saves us a lot of time and gives us an ideal view of the markets. having a report that puts together all the information regarding what is being done in those markets (e. A good dependable daily service. who is the head provider. Global Head of Equity Derivatives. what the tendencies are etc) is very important to us. where issuance in Europe alone has passed the trillion dollar mark for retail clients. Santander Global Banking and Markets “At the OECD we look at all financial issues and risks. Deputy Director. We joined up with Structured Retail Products to keep abreast of what is happening in this new and complex area.g. Enterprise and Financial Affairs Directorate.

© Arete Consulting Limited 2011 Strictly Confidential Page 5 of 36 . As a market leader within structured products we find these reports extremely useful and a valuable source of information. service provider or regulator. as a product manufacturer.2011 Review Brochure "Comprehensive and insightful research reports covering timely developments. Managing Director.The European Structured Retail Product Market ." Philippe El-Asmar. Head of Investor Solutions. Barclays Capital If you are involved in the European retail structured products markets. trends and general market information within the Structured Products arena. this comprehensive and independent annual review is essential reading. distributor.

funds. underlyings. Slovakia.2011 Review Brochure Scope This report presents detailed information on markets for structured retail products across Europe. The Netherlands. Poland. Czech Republic. notes. foreign exchange. rates or indices. term.e. For the purposes of this report a structured product is defined as: “An investment product that provides a pre-defined return linked to one or more underlying financial prices. Although the term “structured product” is widely used in the financial community there is no single established definition. deposits. Germany. In addition the report covers products linked to any asset class i. mutual funds. In fact the term often means different things to different people. commodity. listed options and futures. Spain. etc. Sweden. Portugal. exchange traded funds and exchange traded notes.com. Belgium. Denmark. In other cases it uses a derivative-based investment strategy to provide the return. These contain details of over 2. Norway.000 retail structured products issued in 18 European countries since 1995.000. Nevertheless reference to these other products may be made in the report. payoffs. life assurance. etc. bonds. Ireland.The European Structured Retail Product Market . certificates. France. trends and forecasts for annual gross sales and issuance Product characteristics (wrappers. equity. The product can usually be broken down into a number of separate financial instruments.e. property. etc) Competitive environment including rankings of leading derivatives providers Distribution channels Fiscal and regulatory developments The research has been carried out in-house with the primary source being the extensive product databases of StructuredRetailProducts. where relevant. Italy.” We specifically exclude simple warrants. one of which is a derivative product. The countries covered are: Austria. Within the scope of the report are all product forms (wrappers) i. The report is organised geographically and for each country provides information on: The total assets invested. Finland. © Arete Consulting Limited 2011 Strictly Confidential Page 6 of 36 . and “delta one” products such as tracker funds. Switzerland and the UK.

The European Structured Retail Product Market . and so can be obtained only directly from product issuers. sales cannot be published on a product by product or issuer by issuer basis. further information has been obtained from the StructuredRetailProducts.com news service which contains over 10.000 news stories on structured products. this survey provided consensus forecasts of market growth as well as rankings of the leading derivatives providers. in each market. In some cases this is public information when for example the product is in the form of a mutual fund or a registered note.com amongst the major players in each of the countries in December 2010 and January 2011. Through its longstanding relationships with product providers in each market. StructuredRetailProducts. The report also includes responses from a survey carried out by StructuredRetailProducts.com is able to obtain accurate sales information even when this is not public. but only in aggregate form. © Arete Consulting Limited 2011 Strictly Confidential Page 7 of 36 . In addition to the product data. dating from 2001. In these cases however.2011 Review Brochure The databases contain sales figures for each product. for example with deposits or many life assurance products. in terms of competitive pricing and product innovation. In other cases sales information is not public. In addition to other information.

.................................................11 Norway .......... 8 1.....................................................................................10...................................................13 Portugal ....................................................1 Size and growth of the European market ................. 43 1................10................12 Poland ................................9 Italy . 72 1........ 6 Management summary .............................................................................................................................5 Finland ...................................................... 85 © Arete Consulting Limited 2011 Strictly Confidential Page 8 of 36 ....................... 29 1.................................................6 France ............................................1 Austria ..............................10......................................................................................................................................10................6 Payoffs .................................................. 39 1..........................................................................................................................................................................10...............................................3 Czech Republic ....................................................... 59 1...................................................................................................................................10...........................................................................10..............................................................5 Wrappers ...................The European Structured Retail Product Market .................................. 47 1..........................................................................................................................................................2 Belgium ............... 36 1............14 Slovakia .................................................................................................................... 54 1...........................................................................................10... 75 1............................................................................................. 21 1............10...............4 Competitive environment .............................. 81 1............................. 20 1.........8 Regulatory issues .............................................................10.. 52 1.....18 United Kingdom .....................7 Underlyings.......................15 Spain .......10......................................................................................9 Market outlook ......................................................................................................................... 23 1.................................................................................................................10.....................16 Sweden ............................................... 68 1...................................................... 8 1..............8 Ireland .......................................................... 16 1......................................................10.2011 Review Brochure CONTENTS (Volume I) Scope ..............................................................................................................10 The Netherlands .........................................................................................................3 External factors impacting market growth ..................................7 Germany ......... 41 1............4 Denmark ........................................................ 13 1.............. 65 1....................................................................................17 Switzerland ..................................10..................................................................2 Strategic trends ......................................... 79 1............ 28 1..................................................................................................................................................... 24 1. 17 1....... 62 1.....................................................................10............. 32 1.................10....................................... 29 1..........10.....10.................10 Country summaries .................................................................................

............................................................................. €bn ................Annual gross sales and assets invested in retail structured products ....................................................Annual gross sales and assets invested in retail structured products ........... 12 Table 1...................Annual gross sales and assets invested in retail structured products..............................26: Annual gross sales and assets invested in retail structured products ....7: Gross sales by wrapper group..............3: Assets invested and annual sales per capita..................... 21 Chart 1......................... 48 Table 1.22: Slovakia ............competitive pricing .... 66 Table 1....................... 69 Table 1.................Annual gross sales and assets invested in retail structured products ........................1: Outstanding assets 2009 & 2010..............12: Denmark ................. 55 Table 1. 64 Table 1..................17: Italy ....13: Finland ........2011 Review Brochure LIST OF TABLES (VOLUME I) Table 1........... 75 Table 1...... 24 Table 1....Annual gross sales and assets invested in retail structured products..... 30 Table 1......... 73 Table 1................ 2006 to 2010....... 36 Table 1......Annual gross sales and assets invested in retail structured products ..............5: Investment bank rankings . 2006 to 2010........2: Distribution of gross sales by wrapper....16: Ireland .......2: Annual gross sales 2009 & 2010. 42 Table 1............... 79 Table 1........................ 44 Table 1.... 40 Table 1......10: Belgium ....9: Austria ..................Annual gross sales and assets invested in retail structured products ..............................25: Switzerland .................................................. 2010.1: Monthly sales and issuance............................... 19 Table 1... 86 LIST OF CHARTS Chart 1.........Annual gross sales and assets invested in retail structured products ................... 82 Table 1.. 11 Table 1...21: Portugal ...Annual gross sales and assets invested in retail structured products .................Annual gross sales and assets invested in retail structured products ....................................11: Czech Republic .......................................................Annual gross sales and assets invested in retail structured products ........................................... 24 © Arete Consulting Limited 2011 Strictly Confidential Page 9 of 36 ..................................... 19 Table 1................................... 52 Table 1.......................... 2006 to 2010 ................................ 2006 to 2010 ...................... 33 Table 1.....Annual gross sales and assets invested in retail structured products ...... €bn.....................................................19: Norway ........8: Gross sales by asset class..................18: The Netherlands ..................................................23: Spain ..... 20 Table 1......... and 2011 forecast..... 2006 to 2010 ................................................ 10 Chart 1...14: France ..................................................... and 2011 forecast...........Annual gross sales and assets invested in retail structured products ....................24: Sweden .................................. 9 Table 1............ €bn .................................Annual gross sales and assets invested in retail structured products ....... Europe.... 2010.......Annual gross sales and assets invested in retail structured products............................Annual gross sales and assets invested in retail structured products .......................3: Distribution of gross sales by asset class...........20: Poland ............................. in euros ....................6: Investment bank rankings – innovative product ideas.......15: Germany . 18 Table 1.....The European Structured Retail Product Market .....4: Gross sales by distribution channel..................................Annual gross sales and assets invested in retail structured products ......... €bn...... 59 Table 1...........

........ 54 2.2.................... 23 1..................................................................... 26 1.....................3 Term .......... 66 © Arete Consulting Limited 2011 Strictly Confidential Page 10 of 36 ..................................................2....................... 17 1...........2 Total number of products launched .......................... 24 1........................................................................................1................. 55 2.......6 Wrappers ........................................................................1 Total volume of gross sales .............................. 49 1.......2 Continuous products ........ 50 2 Belgium ........................... 23 Products ..............................................................................1............................................................................................................................................................1 Market size and scope...........5 Payoffs ...................................................................................................................................1........... 62 2............................................................3 Major derivatives counterparties .........................................1.............................................................................................................................................1 Total number of product providers................. 17 1.........3.... 29 1....................................... 64 2...............................2 1..................... 40 1.................................................................................1............................ 57 2.................2......................................... 60 2........................ 47 1..............................................1 Gross sales volume ................................2 Capital protection .....................................................2.............................................................................2................................... 61 2....................................................2 Major product providers and their market share .................................2011 Review Brochure CONTENTS (VOLUME II) 1 Austria .................................................................................................................................................2.............................................................................. 19 1..................................................1.............................7 Best selling products ..........................1..............................................5..........3 Competitive landscape .....................................................................................................................................................................1............ 56 2......... 14 1...The European Structured Retail Product Market .....................2.............................................................2.................................................1 Summary of key regulatory developments .............1....................... 35 1.......................................................................................................................................................................4 Underlyings...................3 Term .....................................................1.......................................................................................................................................................................................... 25 1....................................................................................................... 47 1.....1 Tranche products ........................................4 Distribution and marketing ........................1 Tranche and leverage products ............................2.2 Summary of fiscal regime............1..5.............................................................................1..............................................................2 Total number of products launched ........................................1 Types of product .........................1.3..1.......................... 18 1........................................................... 49 1..............1 Size and scope of the market ..........................................................1 Product types ..................................4 Underlyings.................... 51 2............................................................................................5 Fiscal and regulatory regime ...............1.................2 Continuous products .....2 Products ....... 42 1.........3................2........ 42 1.........................2.........................3 Leverage products ..............................1...................................................................................................... 28 1...................................................... 54 2.............3 Average tranche sizes ..........................2 Capital protection ............................ 58 2....... 54 2........ 44 1...................1................... 38 1..................3 Average tranche sizes .................

.....................................................2......................................................................................4 Distribution............................................. 118 3........1 Total number of product providers.....2.......................................................................................... 98 3....................1...................................................................4.....................................................................2.........................3................................................ 83 2.....................................................3 Term ............................................................... 116 3....................................................................................... 81 2.............................. 91 2............ 125 3............................................................................................................................1..........................................1...................3 Competitive landscape ........... 101 3.................................... 89 2...........................................2 Total number of products launched .................................................... 121 3...... 92 Czech Republic ...... 124 3.....................................1 Types of product .The European Structured Retail Product Market ........................................................................................ 96 3....1.................. 89 2...........1 Total number of product providers.........3 Competitive landscape ................2 Capital protection ...............................................3 Major derivatives providers ..............................................................3.....................................2............................... 102 3........ 77 2................................... 93 3.......5 Payoffs ...........2 Continuous products .................................... 100 3..............1 3......................2........ 96 Distribution channels .............................................................................................................................3.........................................................................................................1 Summary of key regulatory developments ........................................................................2 Summary of fiscal regime....................................... 113 3.................................................................................... 73 2........................ 119 3...........................................2.....................5 Payoffs ......................2...3 Major derivatives providers ..7 Best selling products ..................................................................5 4 Tranche products ............................2............................... 103 3.............................................5................................................................................................3.....1...........................................................................................................................................................2 Major product providers and their market share .................3 Average tranche sizes ..................................1 Summary of key regulatory developments ....................................................................................4 3 Fiscal and regulatory regime ........................................................................ 125 Fiscal and regulatory regime ...... 126 3.................. 79 2................................. 109 3.....................................1.....................4..1...............................................................................................................................4........... 127 © Arete Consulting Limited 2011 Strictly Confidential Page 11 of 36 .............................2....3.......................................................................................................... 91 2.............................. 81 2...........................................................3........................1.............................2 3..............7 Best selling products .....................4 Underlyings............. 126 Denmark ..........1 Total volume of gross sales .........3........................6 Wrappers .................5................................2 Major product providers and their market share .......................... 105 3.................................2 Summary of fiscal regime...............................................4 Distribution and marketing ..................................................................................2................................................................................................................................... 96 3......................... 99 Products ..............................1 3.............................1 Size and scope of the market ............................................................................................................................................ 97 3.....2011 Review Brochure 2...... 126 3.......6 Wrappers ...................

............ 154 5 Finland .............3 Leverage products ..........................................................................1 Gross sales volume....................2.. 146 4..................................................................................5 Fiscal and regulatory regime ...............................................................................................................................................................1.....................................................................1 Types of product ..3..........7 Best selling products .........................................................................................1..........1..............................2..................................................................................................5...3 Term .......................................................................................................... 158 5............1.....2 Capital protection ...3......................4 Distribution and marketing ................................................................... 129 4......1................. 163 5............................2 Products .... 161 5......... 135 4........................... 163 5.......................................................................3 Major derivatives counterparties ..........................................1 Summary of key regulatory developments ........................... 132 4.......................................................................................3...............................................................................2 Capital protection ................................The European Structured Retail Product Market ..........................1............................ 159 5.................................5 Payoffs ..........................................................................................................2 Continuous products ....................................................................................2 Products .....................................1 Size and scope of the market ........ 141 4........... 174 5...........................2...2...........6 Wrappers ...................................1 Size and scope of the market ............................................................................ 164 5................................................... 167 5.................. 143 4...........3 Competitive landscape ...... 152 4....................3 Competitive landscape .......................................................................................................................1.....................................4 Underlyings.......................................2011 Review Brochure 4............................................ 158 5...........2 Major product providers and their market share ................. 177 5. 129 4.. 156 5.............................................................................5 Payoffs ..2.............................2...............1........ 146 4....................................2 Total number of products launched ............................................. 132 4....................... 133 4....................................................................................................1.... 152 4................................................................... 130 4............................................................................... 144 4.1 Tranche products ..............................................1 Total volume of gross sales ..................2.................................................................................................................... 136 4. 162 5...............1 Types of product ...........1 Total number of product providers............3 Term ......................................1.... 158 5..................................... 181 © Arete Consulting Limited 2011 Strictly Confidential Page 12 of 36 ....................................................2.........................................................................................................2 Summary of fiscal regime...................................................................2.........................................2................................................................................................................3.............................................. 151 4..............7 Best-selling products .....................4 Underlyings.......................................... 149 4.............. 161 5...............6 Wrappers .................................................................................... 166 5............................................................................... 132 4....................................................1....5...................................................................................................... 181 5.........................................................2.3 Average tranche sizes ..2........2....................... 151 4...........................1 Total number of product providers..............................2 Total number of products launched ......................................................................................................................................................................1..............................................................................2................................................ 179 5.....................................3 Average tranche sizes .........................................

.................. 195 6...................................................4 Distribution and marketing .............................................................................................................. 195 6..........................7 Best selling products ........................................................................................... 193 6.................................2..............................................................................................The European Structured Retail Product Market ...................4 Distribution and marketing .......................3..................................6 Wrappers ......................................................................... 185 5.............................3 Average tranche sizes ..2 Summary of fiscal regime............... 219 6...........4...2. 197 6......... 225 6.. 224 6......................................................3................. 229 6...............................3.............5 Fiscal and regulatory regime ...............................................................1..... 198 6.......................................................................................1 Distribution channels ..........................................................................................1 Product types ...............................................................................................1. 211 6.........................................................................................5. 189 6................................................1 Total number of product providers.................................................................3..............................................1.................................................. 214 6.................4 Leverage products ....... 216 6.....3 Third party involvement .........................4............................ 188 6 France ...........................1.....5.................................................3 Competitive landscape ..........1 Summary of key regulatory developments ............................................................................................................................................................2 Major product providers and their market shares .5 Fiscal and regulatory regime ...................................................................................1............................................................2....................................................................................4 Underlyings............................................ 192 6.........................3 Flow products .2 Fees and omissions ........................................1 Gross sales volumes ............................................................................. 229 6... 203 6.............................................................................................. 183 5.............................................................1........................................1.......1 Tranche products ..................................4 Major derivatives providers ................ 186 5..........................3 Major derivatives counterparties .... 192 6................................................. 225 6...1......1.............. 199 6...............................1........3 Marketing ................2.....4.......................................................................................................................................2011 Review Brochure 5. 205 6................2 Major product providers and their market share ................................................................................... 186 5.............................. 222 6.1 Summary of key regulatory developments ......................................................... 185 5.........................................................................................3...........................2....................................................................................................................1 Market size and scope............. 217 6............................................................ 201 6... 232 © Arete Consulting Limited 2011 Strictly Confidential Page 13 of 36 ................................ 228 6.................................................................................................................................. 227 6........................ 200 6..2 Continuous products ......................................2 Summary of fiscal regime...................2.........5 Payoffs .................................................................................................................................................................. 208 6................................................................2 Total number of products launched ......3.................................2 Capital protection ............5.2 Products .... 193 6......................3 Term ..............................................................2.......................................................5.......

.................................17: Top ten providers by core market issuance..............................................The European Structured Retail Product Market ....... 37 Table 1............ 43 Table 1................................................... 86 Table 2.......................................... 2006 to 2010 .................... 2008 to 2010 .....................................................10: Top ten payoffs by issuance..................................... 99 Table 3......................... 57 Table 2.7: Gross sales and issuance by asset class in 2010 ..................................................................15: Market share and sales of top ten Belgian provider groups................................................................................................................................................4 : Investment in continuous products in the Czech market................. 2008 to 2010....1: Annual gross sales and assets invested in retail structured products ................ 88 Table 3................................. 14 Table 1........... 106 Table 3...5: Gross sales and issuance by term....................................................................................................... 2008 to 2010 ............................... 74 Table 2............................................ 65 Table 2.................16: Top ten providers by issuance............... 32 Table 1............. 2010 ............................... 2008 to 2010 ....11: Top ten core market payoffs by issuance....... 2008 to 2010 .............................8: Top ten underlyings by issuance.................... 51 Table 2.....5: Distribution of sales and issuance by asset type.........................................2: Average tranche sizes... 34 Table 1......................... 104 Table 3.................. 56 Table 2............................................................. 2010 ...... 93 Table 3.........4: Austrian continuous non-leverage products launched................ 72 Table 2.... 79 Table 2............................... 75 Table 2.............................................................. 32 Table 1........7: Top ten underlyings based on gross sales................................6: Distribution of sales and issuance for core market by asset type.......................................12: Top ten payoffs by issuance............ 82 Table 2.........................16: Top ten provider groups by issuance.............................14: Provider groups in the Belgian market................. 2008 to 2010 ......................................................... 2008 to 2010 ..........1: Annual gross sales and assets invested in retail structured products .................................... 23 Table 1.............................................................. 97 Table 3.......................2: Average tranche size................... 99 Table 3......................... 23 Table 1........... 84 Table 2.. 71 Table 2........................ 2008 to 2010 ......... 2008 to 2010 .............................. 2009 and 2010 .......................................................... 2008 to 2010 ............... 57 Table 2...................................... 2008 to 2010 .....................................1: Annual gross sales and assets invested in retail structured products ...3 : Outstanding invested in Belgian continuous products .........................13: Ten best selling products in Belgium........7: Top ten underlyings based on gross sales..5: Continuous products available at the end of 2010...................15: Top ten provider groups by market share and gross sales................ 2010.............................................. 33 Table 1...........................................2011 Review Brochure LIST OF TABLES (VOLUME II) Table 1..........12: Top ten payoffs by gross sales................... 37 Table 1...............8: Top ten underlyings by gross sales.......10: Underlyings used in Belgian leverage products............................................ 73 Table 2........... 2010 ...........................................................9: Leverage products by asset class and type............................. 36 Table 1..............................................................6: Distribution of sales and issuance by term in 2010 ..................... 2008 to 2010 ......................................................................................................................14: Provider groups involved in Austrian market............ 47 Table 2........................... 2010 .. 2008 to 2010 ................ 107 © Arete Consulting Limited 2011 Strictly Confidential Page 14 of 36 ....17: Leveraged product issuance in Belgium................................... 2008 to 2010 ....................... 2008 to 2010 ..................................... 2010 ...3: Average tranche sizes..... 2008 to 2010 ....................................................... 2006 to 2010 ............ 2008 to 2010 ............................3 : Outstanding invested in continuous non-leverage products ..4 : Continuous Belgian products open for investment at year-end 2010. 69 Table 2........ 2010................................ 40 Table 1...................................................................................... 2008 to 2010 ...........13: Top ten best selling products in Austria..........................8: Top ten underlyings by issuance..............................................11: Top ten payoffs based on gross sales.................. 2006 to 2010...................... 2010 ......... 2006 to 2010 ............... 98 Table 3........................ 2010................. 69 Table 2............9: Top ten core market underlyings by issuance. 45 Table 1..... 46 Table 1.......................... 34 Table 1............................................ 23 Table 1.............................2: Gross sales of Czech tranche-based products.............6: Sales and issuance by asset class in 2010 ..............

.................................. 150 Table 5................ 2006 to 2010 ................................................7: Distribution of sales by term................ 2008 to 2010 . 2008 to 2010 ... 2006 to 2010....2: Average tranche sizes........ 2008 to 2010 ....... 2006 to 2010 ..1: Annual gross sales and assets invested in retail structured products.... 175 Table 5....The European Structured Retail Product Market .............12: Market share and gross sales of top ten provider groups......... 195 Table 6.......................................8: Distribution of gross sales and issuance by asset category........... 139 Table 4. 2010 .....9: Top ten underlyings based on gross sales..........11: Ten best selling products in Finland.................................................................................. 2010......................... 2009 to 2010 . 2010.......................................................... 189 Table 6.......8: Top ten payoffs by gross sales. 144 Table 4................. 2008 to 2010 ..............1: Annual gross sales and assets invested in retail structured products ................. 132 Table 4............4: Continuous products available at the end of 2010 .............................................................................................. 116 Table 3............................................ 207 © Arete Consulting Limited 2011 Strictly Confidential Page 15 of 36 .........................................7: Top ten underlyings based on gross sales....14: Top ten providers based on issuance level..................................12: Ten best selling products in the Czech Republic..........................9: Top ten underlyings based on issuance........... 171 Table 5............................................ 138 Table 4........... 141 Table 4........ 184 Table 6.......... 2006 to 2010....... 2006 to 2010 .........................9: Top ten payoffs by issuance.................... 2008 to 2010 .............................4: Distribution of sales and issuance by term. 2010 ........ 128 Table 4..................................................13: Market share and gross sales of top ten providers.......................... 2008 to 2010 ..............2: Average tranche sizes.. 169 Table 5............................................................................... 142 Table 4......................................................................10: Top ten payoffs by issuance..... 167 Table 5............................................ 2008 to 2010 .......... 2008 to 2010 ........................ 161 Table 5............................ 196 Table 6................... 121 Table 3............... 170 Table 5...........8: Top ten underlyings based on issuance.14: Top ten provider groups based on sales..4: French continuous product launches. 161 Table 5....................12: Provider groups involved in Finnish market........................... 206 Table 6........................................................ 156 Table 5......................................................................... 2010 ................................... alphabetically.......10: Ten best selling products in Denmark......................................... 2008 to 2010 ............................................................ 2010 ...... 179 Table 5..................................5: Discontinued French continuous products.....13: Top ten provider groups by issuance.......................3 : Outstanding invested in French continuous products.......5: Distribution of sales and issuance by asset class....6: Top ten underlyings based on gross sales.........................13: List of provider groups in the Czech Republic in 2010 ................ 2009 and 2010 .................2: Annual gross sales......... 196 Table 6......................................2011 Review Brochure Table 3.................. 176 Table 5............................................................................6: Distribution of issuance by term....................................................................................... 2008 to 2010 ....15: Market share and gross sales of top ten providers........................................................ 130 Table 4..............10: Top ten payoffs by gross sales......................... 123 Table 4.....................3 : Investment in Finnish continuous products. 196 Table 6............................ 2008 to 2010 ........................................... 2010 ................................. 2008 to 2010 ....... 2006 to 2010..................... 147 Table 4........... 2008 to 2010 ........................... 2008 to 2010 .......................................................................... 2008 to 2010...........................................11: Provider groups in Danish market................................................................. 2008 to 2010 .......... 2008 to 2010 ..................... 2008 to 2010............... 2008 to 2010 ................................................................3: Average tranche sizes................. 161 Table 5...................7: Top ten underlyings by issuance..............................................................16: Top ten providers of Czech products by issuance........................................... 119 Table 3.. 136 Table 4............................................................ 184 Table 5....................9: Top ten payoffs by gross sales............11: Top ten payoffs by issuance.......1: Annual gross sales and assets invested in retail structured products . €bn ...................... 2008 to 2010 ..................................................................................... 149 Table 4......... 110 Table 3............................................5: Distribution of sales and issuance by term......................... 108 Table 3........ 2010 ............................................. 122 Table 3................... 2010 ...6: Distribution of sales and issuance by asset class...................... €m. 204 Table 6......................... 138 Table 4.... 2008 to 2010 ............................................ 204 Table 6............................................. 182 Table 5.. 112 Table 3.. €m ....................... €m ............ 2008 to 2010 ...

..... 98 Chart 3.................................................................................. 2006 to 2010 .......................7: Distribution of issuance and sales by product type........ 209 Table 6.......... 2008 to 2010 ..................... 2006 to 2010 ................................................................... 22 Chart 1......................................... 27 Chart 1....... 67 Chart 2................13: Ten best selling products in France............. 20 Chart 1.2: Issuance of tranche products... 2006 to 2010 ........................................................The European Structured Retail Product Market .......... 60 Chart 2................................. 2006 to 2010 .... 2006-2010............................................................9: Distribution of issuance and sales by term............................................ 2006 to 2010....... 30 Chart 1..................................................8: Distribution of issuance and sales by wrapper.............................................................. CZKm ......... 21 Chart 1............................................ 2008 to 2010 ............ 2006 to 2010 .............................................13: Distribution of issuance and sales by distribution channel................11: Distribution of issuance and sales by wrapper.............................. 82 Chart 2.......................................................................... 2010 ........................... 2006 to 2010 .... 219 Table 6..........11: Top ten payoffs by sales. 2010 .............. 55 Chart 2...... 18 Chart 1...............12: Distribution of issuance and sales by wrapper...............5: Capital protection levels by issuance and sales................. 2006 to 2010 .....................7: Distribution of issuance and sales by asset class....................................... 208 Table 6... 97 Chart 3. 2010 ..................... 2006 to 2010....... 25 Chart 1... 56 Chart 2......................... 214 Table 6................................................3: Monthly product issuance and gross sales in Czech Republic.............10: Top 10 underlyings by issuance... 18 Chart 1....... 114 © Arete Consulting Limited 2011 Strictly Confidential Page 16 of 36 ... 2008 to 2010...... 2006 to 2010 ..................................... 2006 to 2010 ................4: Distribution of issuance and sales by product type................. 2010 .................7: Distribution of issuance and sales by product type................... 22 Chart 1........................ 60 Chart 2.................................. 2006 to 2010. 2010 ... 2006 to 2010 ................ 29 Chart 1..................................... 90 Chart 3..............1: Gross sales of tranche products............... 59 Chart 2... 102 Chart 3......... 2006 to 2010 ......................... 2006 to 2010 .............4: Issuance of leverage products............................. 96 Chart 3.....1: Gross sales of tranche-based products......2: Issuance of tranche-based products... 2010........................ 2008 to 2010 ......................................................................................................................8: Distribution of issuance and sales by capital protection............... 105 Chart 3.......... 2006 to 2010 .......6: Monthly product issuance and corresponding sales for core market................11: Distribution of core market issuance and sales by asset class.........9: Distribution of issuance and sales by term..................3: Issuance of tranche and leverage products....... 2006 to 2010 .................................4: Issuance of retail structured products across entire market..................................16: Top providers of French products based on issuance....13: Number of provider groups involved in the Austrian market..................................5: Monthly product sales and issuance across entire market.. €m ............................................................1: Gross annual sales of retail structured products....................................................6: Monthly leveraged product activity...............5: Status of leverage products as at January 2011 by year of launch ....................................................................2: Breakdown of gross annual sales.... 55 Chart 2............12: Number of provider groups in the Belgian market.................12: Top ten payoffs by issuance. 210 Table 6........................2011 Review Brochure Table 6................... 2008 to 2010 ............................... 101 Chart 3.... 43 Chart 2.............................. 218 Table 6.. 28 Chart 1............................................... 2006 to 2010 ........... 221 LIST OF CHARTS (VOLUME II) Chart 1................................................................ 2006 to 2010 ............................. 61 Chart 2............................... 103 Chart 3.10: Distribution of issuance and sales by asset class... 2006 to 2010 . 2006 to 2010...................... 78 Chart 2........................................................14: Provider groups involved in the French market.... 2006 to 2010....... 2006 to 2010 ... 2006 to 2010 ...................... 2006 to 2010 ........... 2006 to 2010 ..........15: Market share and sales of top ten providers..................................................... 2006 to 2010.... 64 Chart 2..... 63 Chart 2......................3: Monthly sales and issuance.............................10: Distribution of issuance and sales by asset class.................. 39 Chart 1...............6: Distribution of issuance and sales by term...................................................8: Distribution of issuances and sales by capital protection................. 2008 to 2010 ........

.. 2006 to 2010 ...................................8: Distribution of issuance and sales by asset class................. 2006 to 2010 .. 2006 to 2010 .....................................................The European Structured Retail Product Market ...9: Distribution of issuance and sales by wrapper..........................6: Issuance and sales by capital protection adjusted for issue price.................................11: Distribution of issuance and sales of MTNs by note issuer.................2: Issuance of tranche-based products........................... 2010 ............................... 194 Chart 6........ 119 Chart 3............. 178 Chart 5...............................................................................................11: Distribution of issuance and sales by distribution channel.. 130 Chart 4.......................5: Distribution of issuance and sales by capital protection level............ 2006 to 2010..................9: Number of provider groups in Czech market...7: Distribution of gross sales by term.... 2006 to 2010 ........9: Number of provider groups in the French market..............3: Monthly sales and issuance...................................................... 2006 to 2010 ...... 2006 to 2010 ................................... 2006 to 2010... 2006 to 2010 .................................................3: Monthly product sales and issuance in Denmark....8: Distribution of issuance and sales by wrapper. 2006 to 2010 ....... 137 Chart 4......... 2006 to 2010 ..... 2006 to 2010 ........................ 133 Chart 4.......... 2006 to 2010 .................4: Distribution of gross sales and issuance by product type.. 217 Chart 6......2010 ..... 2010 .....................11: Distribution of issuance and sales by distribution channel...... 202 Chart 6................................................10: Breakdown of issuance and sales by distribution channel. 2006 to 2010 ........................... 2006 to 2010 .................... 147 Chart 4.... 186 Chart 6.............................................................. 193 Chart 6......................................................................................................... 165 Chart 5......................... 2006 to 2010 ...... adjusted for issue price.......1: Gross sales and issuance of tranche products.................................................................10: Distribution of FCP issuance and sales by asset manager....... 2006 to 2010 ..........10: Number of provider groups in the Danish market.................................. 2006 to 2010................ 226 © Arete Consulting Limited 2011 Strictly Confidential Page 17 of 36 ......3: Monthly issuance and sales....12: Breakdown of issuance and sales by distribution channel.......................................................6: Distribution of issuance and sales by capital protection.................................5: Distribution of issuance and sales by capital protection.................... 168 Chart 5...............................................4: Distribution of issuance and sales by product type.................... 2006 to 2010 ..................4: Distribution of gross sales by product type.6: Distribution of gross sales and issuance by term.1: Annual gross sales.............................. 163 Chart 5...........2: Issuance of tranche products... 2006 to 2010 ......... 2006 to 2010 ... 2006 to 2010 . 143 Chart 4........................................... 131 Chart 4...... 160 Chart 5................. 135 Chart 4............. 135 Chart 4.............................................. 203 Chart 6............................................. 2006 to 2010 ...... 194 Chart 6..... 200 Chart 6...... 164 Chart 5... 2010............5: Distribution of issuance and sales by capital protection.................... 2006 to 2010 ..........1: Annual gross sales..... 205 Chart 6..................... 224 Chart 6............................. 160 Chart 5...2: Number of products issued..... 2006 to 2010 ......... 2006 to 2010........... 2006 to 2010 ............ 152 Chart 5..............................................................................8: Distribution of issuance and sales by asset class.................................. 159 Chart 5..............................................7: Distribution of gross sales and issuance by asset class.. 2006 to 2010 ..........................................7: Distribution of issuance and sales by term.....................10: Number of provider groups involved in the Finnish market.......... 223 Chart 6...... 212 Chart 6........... 2006 to 2010 ...................9: Distribution of issuance and sales by wrapper..... DKKm .......................................... 182 Chart 5........ 134 Chart 4.....2011 Review Brochure Chart 3........................... 2006 to 2010 ....................... 2006 to 2010...................... 125 Chart 4. 131 Chart 4............. 2006 to 2010 ......... €m ........ 2006............................................ 166 Chart 5...........

......................................2......... 19 1..................................................................................................1............................................................... 18 1.................................................................................................................3 Average tranche sizes ......1 Product categories .................................1........................................2 2........... 19 1........................................................ 52 1........................4 Secondary markets ..........................................2................... 54 1..............3 Continuous products .................. 62 1.... 60 1........................................................................2 Continuous products ....................1 Summary of key regulatory developments .............................................................................. 25 1.....................2 Summary of fiscal regime...............................................................8 Best selling products . 33 1......... 47 1...4 Term ................... 50 1.................................................... 23 1..........................1..................................... 69 2.....................................................5 Fiscal and regulatory regime ....1 Types of product ...............................................................................................................................................................1............... 70 Products ..........................................................................................................2 Average tranche sizes ...... 60 1...................................................................................................5 Underlyings........................ 26 1..............2 Products ..................................................................................1............................................................................................. 51 1.........................................................1 Size and scope of the market ................................................................................................. 73 2..............................3 Major derivatives counterparties ...............1.........................1 Size and scope of the market ..................... 60 1..................... 43 1.................2......................................... 70 2...............1........................................2.................................3.............................................................................................................. 68 2.......................................................................................1 Total volume of gross sales ...... 72 2...................7 Wrappers ................................................2011 Review Brochure CONTENTS (VOLUME III) 1 Germany ...........2 Capital protection ..... 75 © Arete Consulting Limited 2011 Strictly Confidential Page 18 of 36 ..........1......................... 20 1........1.............. 24 1...1.2 Total number of products launched .....................................................................2.1........................................................................................................................................1 Total volume of gross sales . 35 1.......2...........................................................................2.................................................................................................1 Tranche products ...........6 Payoffs ...... 28 1............................1 Tranche and leverage products ..........................................................................1..........1...........................5.................................. 64 2 Ireland ......5.......................... 67 2.........................................................2 Total number of products launched ..3..................2.. 67 2......................................................................................................................1 Total number of product providers............3 Competitive landscape .......................................................................................... 65 2..3 Capital protection .................................4 Distribution and marketing ...........2 Major product providers and their market share .....................................................................................................................................................................................................................................The European Structured Retail Product Market ..........................1......3........................ 31 1................................................................................................................................ 14 1.......................2...................................................2.........................................1......................................3.......... 62 1............2 Types of product ...............

.............................................. 117 3......................................................................2 Capital protection ......3......................7 Best selling products .........................1 Annual gross sales ...2011 Review Brochure 2.......3 Major derivatives counterparties ..... 135 3..................3 Term ............................................................................................3.........................................3 Average tranche sizes .........................The European Structured Retail Product Market ......... 86 2................... 105 3.....................................1..................4 Distribution ....................................................................................................... 106 3..............1 Summary of key regulatory developments .......... 100 3....................................................1.................. 95 Italy.................................1 Summary of key regulatory developments ...........................................................................2......5...............................2. 94 2..... 93 2......................................................................................4 Distribution channels.....1...................................... 76 2...2 Major product providers and their market share ................................................................................................111 3.............................5......................................... 109 3.......................3 Competitive landscape ........... 101 3...................3..............3....................................................................................1.......................1 Total number of product providers. 137 © Arete Consulting Limited 2011 Strictly Confidential Page 19 of 36 ...............................................................5 Payoffs ........................................................ 104 3.......................................................................... 88 2....5.................................................5 Payoffs .....................................................................................................................................3 Major derivatives providers .............................2.......................................................................................... 127 3....... 90 2........................................... 94 3 2.....................2 Major product providers and their market shares ................................................................4 Underlyings............5 Fiscal and regulatory regime ................... 107 3............................................ 103 3.....................2.....................................................1..................3 Competitive landscape ................................................................... 106 3....................6 Wrappers ............................................................................................................................................................................2................................. 100 3.....................................................................1.................................................2 Total number of products launched ........3 Term .................................................2 Summary of fiscal regime.....................1 Market size and scope..................... 125 3.......................................... 125 3.....................................5 Fiscal and regulatory regime ..............1 Total number of product providers...............1...................................................................................4 Underlyings.................................................2................................................................ 88 2.......................... 96 3.........2................................................................................. 92 2..........................................................................................1......2 Summary of fiscal regime...............................3 Leverage products .....................................................................5.......................... 78 2........................1............................................................................................................2.............................................................................2............2 Products .............................2.......................................................2 Continuous products ................................................................1 Product types ........................ 133 3........3...................................... 123 3.....................................................1 Tranche products .... 84 2.......................................................................................................... 133 3.................6 Product wrappers........... 100 3..... 120 3.. 135 3............................................................................................2..........................................................................................................3................

............................................................................................................................................................5.....1.....................................................................4 Distribution and marketing .............2 Products ................................ 183 5......................................................................... 166 4...................2.............4 Continuous products ............................................................................................2................... 139 4.......1 Tranche products .......................................3....... 149 4..................................................................................1....2....................................... 168 4........... 168 4................................................... 181 5.......................................................1..........................................1........................1 Market size and scope..................................................2....3 Major derivatives providers .......................................1..................... 173 4..........................6 Wrappers ........1.....3...............................................................2 Leverage products .......................1...............................5 Payoffs .............................1................................1 Summary of key regulatory developments ................................................................................................................2 Summary of fiscal regime................................................................................. 186 5....1...2 Major product providers and their market share ................................................. 144 4...........7 Best selling products ........ 175 5 Norway .................................................... 151 4..........2 Continuous products ................................................................................................ 182 Products ................................................................................. 146 4................................................... 190 © Arete Consulting Limited 2011 Strictly Confidential Page 20 of 36 ........................................................................... 152 4.............................................................................................................. 179 5.............................. 179 5..............................................................................................1...2 Capital protection .................................. 174 4... 143 4......................................................................................2 Total number of products launched ..................... 185 5........................................................ 146 4......1 Total volume of gross sales .....................2 Total number of products launched .............................................................................................. 143 4.........................3 Term .........1 Types of product .......................................................1 Total number of product providers............2 Capital protection .......................................................................................................................... 150 4...............2................................. 176 5... 183 5........................................................1................ 169 4.................1.................................................................................1....................5 Fiscal and regulatory regime ... 182 5.................................2011 Review Brochure 4 The Netherlands .....4 Underlyings.......................................... 157 4.2...... 162 4..................................................................................................................................3 Competitive landscape ........... 172 4................................................................... 164 4.............................................................1........1 Total volume of gross sales ........... 155 4........................................................1..................................................................................1 Size and scope of the market ......................................................................................................2...............4 Underlyings..........................................................2............3...........2..The European Structured Retail Product Market .........1.......................2.........1................................. 180 5.....3 Average tranche sizes ................................... 174 4.......5......................................................................................................1.................................................................2 5..........................................................................................................................................................................................5 Payoffs .............................................................................................3 Average tranche sizes ................................. 154 4.........3 Flow products ................ 142 4...... 178 5.......................................................................1 Product types ................2..3 Term .......................................2.....1 Tranche products ....................

.............................................................................2 Capital protection ....................................................................3..........................................4 Distribution and marketing ...........................2 6...............................................................................................................2.............................. 215 6............................................................... 194 5. 212 Products ...... 192 5.....2 Summary of fiscal regime....................6............................. 196 5.................................................................................... 236 6..2 Summary of fiscal regime. 239 © Arete Consulting Limited 2011 Strictly Confidential Page 21 of 36 .............................................................................. 227 6.............4 Major derivatives providers ................................................................................1 Size and scope of the market ....................1............................................................................................................. 212 6.................................................................................6 Wrappers .............. 204 6 Poland ....1 Tranche products ..........................3.... 225 6.........................................3 Average tranche sizes ......................................................2011 Review Brochure 5...................................................1 Summary of key regulatory developments ............................................. 219 6......................................................................................... 196 5.......................6 Wrappers ....2..................................................................................................2........1...................................1.......... 211 6................................................... 203 5...3.......................2 Major product providers and their market share ..............3 Major derivatives providers ........ 224 6.......................4 Underlyings................................................................................................2.................7 Best selling products ..........................................................................................................................................6.......................................................3 Term ...........................................1..............................1 Summary of key regulatory developments ...............................................................1....... 232 6...................................1 Total number of product providers.....................................3 Competitive landscape ..................................... 214 6....................................1..........................................................5 Fiscal and regulatory regime .............................. 236 6....2........................................................................ 230 6................................................1.3............................................ 214 6.............. 217 6..........................2..................................... 201 5........................................................................................................................5................................................... 229 6.............................1 Types of product ...1 Total number of product providers.... 206 6................................................................................. 203 5............................................................ 209 6.........................................................................................................................2 Total number of products launched .....5 Distribution and marketing .........The European Structured Retail Product Market .6 Fiscal and regulatory regime ................................................................ 238 6............ 201 5....................................2..............................3 Competitive landscape ...........................2.......................... 209 6..............................7 Best selling products .......3..........................................................................................................5.............1.................2 Continuous products ..............................2 Major product providers and their market share .............................................................. 197 5............................................1 Total volume of gross sales .................... 238 6.......... 209 6..................................................................2.5 Payoffs ..............

............... €m ............................................. 2008 to 2010 . 53 Table 1......3 : Continuous products available in the Irish market.................................8: Top 10 Underlyings by issuance........................... 104 Table 3... 103 Table 3........................3 : Outstanding invested in continuous non-leverage products ............... 2010 ........................... 2008 to 2010 ...................11: Top ten underlyings based on gross sales.... 97 Table 3...................................................................................................... 23 Table 1..............5: Continuous non-leverage products closed in 2010...... 82 Table 2.................................4: Continuous Irish products at year end 2010 ................................... 40 Table 1............................... 2008 to 2010 .................22: Main providers’ issuance by wrapper type. €m ........... 2008 to 2010... 2008 to 2010................. 2008 to 2010 .............14: Top ten core market underlyings by sales................................... 2010 .... 2008 to 2010 ......... 71 Table 2.......18: Ten best selling products in Germany.......... 2010 ...................7: Alternative names for bonus and multi-bonus certificates ..17: Top ten core market payoffs by issuance................. 90 Table 2................................................... 27 Table 1......4: Continuous non-leverage product launches........................................................ 35 Table 1..........24: Top ten core market provider groups by market share.......14: Top ten providers based on issuance levels.......2: Average tranche sizes............................................... 2008 to 2010 .................................... 42 Table 1....................................2011 Review Brochure LIST OF TABLES (VOLUME III) Table 1........ 80 Table 2.................... €bn ........... alphabetically....10: Core market sales and issuance by asset class.... 24 Table 1........................ 2009 and 2010 ...........3 : Outstanding invested in continuous products in Italy..... 84 Table 2..........1: Annual gross sales and assets invested in retail structured products .................................................. 2008 to 2010 .......11: Provider groups involved in Irish market................................... 2006 to 2010 ....10: Top ten payoffs by issuance................................................... 2010 ............................................................................................................1: Annual gross sales and assets invested in retail structured products.. 2008 to 2010 .... 2010 ........................23: Ten most active core market providers.................... 70 Table 2....................... 2006 to 2010 ........................2: Average tranche sizes........... 71 Table 2............. 25 Table 1..........6: Distribution of sales and issuance by asset class....... 2010 ....... 55 Table 1.............................................................. 2008 to 2010 ............................. 90 Table 2...........................12: Top ten underlyings by issuance..The European Structured Retail Product Market ..19: Provider groups involved in German market..4: Continuous Italian products open for investment............................................................. 24 Table 1......................................................................................................................................................... 27 Table 1..... 50 Table 1........................................... 2010 ................................................8: Core market sales and issuance by term...........................20: Top ten provider groups by market share.......................12: Top ten provider groups by sales................. 44 Table 1................. 57 Table 1.................................................. 2008 to 2010................... 81 Table 2.......... 2009 and 2010 ............................ 38 Table 1................ 91 Table 3................................................................................ 58 Table 2...... 2008 to 2010 ...................................................................................................................... 65 Table 2......... 40 Table 1.9: Top ten payoffs by gross sales.................16: Top ten payoffs by issuance..........13: Top ten core market underlyings by issuance..................... 2010 .............. 2008 to 2010 ................................................................ 105 © Arete Consulting Limited 2011 Strictly Confidential Page 22 of 36 .....6: Alternative names for express certificates ................ 2006 to 2010.................5: Distribution of sales and issuance by term...................................... 2008 to 2010 ................................ 2008 to 2010 .................. 89 Table 2....7: Top ten underlyings by gross sales.....................................................................1: Annual gross sales and assets invested in retail structured products ...13: Market share and gross sales of top ten providers.............. 2008 to 2010 ................................................21: Top ten providers by issuance......... 77 Table 2......................................................15: Top ten payoffs by gross sales......................................... 39 Table 1............................................. 2010 ...................................................................................... 85 Table 2............ 45 Table 1................. 14 Table 1............................................................. 2008 to 2010 ........................ 41 Table 1..................................................9: Entire market sales and issuance by asset class........................................2: Average tranche sizes....... 2010 ..................... 56 Table 1....................................... 2008 to 2010 .......... 46 Table 1.. 57 Table 1.......

..................................................7: Top ten underlyings based on gross sales..................... 188 Table 5.....................................7: Top ten underlyings by gross sales............................... 168 Table 4......................................................... 131 Table 3...................16: Top ten providers based on issuance level........................................... 2008 to 2010 ... 2008 to 2010....6: Distribution of sales and issuance by asset class.......... 2008 to 2010 .............2: Average tranche sizes........................ 2006 to 2010.......................................The European Structured Retail Product Market ..............................................14: Top ten best selling products in Italy.............. 146 Table 4.. 160 Table 4..........................15: Market share and sales of top ten provider groups............ 2010 ........................ 177 Table 5..... 2008 to 2010 ...........................................5: Distribution of sales and issuance by term..................................................... 2010 ............................................................... 2008 to 2010 ..........9: Top ten underlyings by issuance............................................................... 2010 ...21: Market share of top non-callable product providers..................18: Ten most active providers............................... 119 Table 3.......... 161 Table 4........................... 2008 to 2010 .............5: Gross sales and issuance by term.........................................4: Continuous products available in Norway at the end of 2010 .............12: Top ten payoffs by gross sales..................................................................17: Market share of the top ten providers of Italian products.......13: Top ten payoffs by issuance........ 2010 ....................................................................... 113 Table 3..................................................... 114 Table 3............................................ 170 Table 4.....17: Leveraged product issuance in the Netherlands.............3 : Continuous products available at year-end 2009 and 2010 ...................9: Breakdown of Dutch leverage products by asset class........................12: Top ten payoffs by issuance................................... 2008 to 2010....................................5: Distribution of sales and issuance by term..... 2008 to 2010 ...........................4: Continuous products available at year-end 2010 .............................. 2010 ................................. 2006 to 2010 ........................... 158 Table 4............................. 2010 ... 2008 to 2010 ...... 150 Table 4........................................................ 133 Table 4....................... 2008 to 2010 ................................... 117 Table 3........... 127 Table 3........................................... 2008 to 2010 .............................................1: Annual gross sales and assets invested in retail structured products ....................... 126 Table 3..... 2008 to 2010 ......................11: Top ten payoffs by gross sales.......2: Gross sales of tranche products...... 189 © Arete Consulting Limited 2011 Strictly Confidential Page 23 of 36 ................................11: Ten most used underlyings for leveraged products...................................................... 181 Table 5..................6: Distribution of gross sales and issuance by asset class.............. 2008 to 2010 ....................3: Average tranche sizes........ 2010 ...................................... 130 Table 3.................20: Ten most active providers of callable products... 159 Table 4.............................................. 2008 to 2010 ............... 114 Table 3............. 129 Table 3................. 166 Table 4.. 2008 to 2010 ................. 129 Table 3............. 188 Table 5............. 116 Table 3.... 163 Table 4...... 2006 to 2010 .............. 2010 ........ 2010 ...........8: Top ten underlyings by issuance..... 2010 .........................1: Annual gross sales and assets invested in retail structured products ..............22: Ten most active providers of non-callable products........................... 2008 to 2010................................................................................................................. 2008 to 2010 .10: Popular underlyings for Dutch leverage products........................................................2011 Review Brochure Table 3............................. 132 Table 3.............................................................................................16: List of provider groups involved in the callable market............................................ 172 Table 5......6: Distribution of sales and issuance by asset class........................... 163 Table 4..... 2008 to 2010... 110 Table 3........................................................................... 123 Table 3..... 182 Table 5........ 2008 to 2010 ..10: Leverage products by asset class............14: Provider groups involved in the Dutch market....................................................... 2008 to 2010 . 150 Table 4........................................................................................................... 2008 to 2010............. 2010 ... 186 Table 5.......... 2008 to 2010 ....................................................... 179 Table 5.......8: Top ten underlyings based on gross sales............13: Top ten best selling products in the Netherlands.................... 139 Table 4.................... 171 Table 4..... 115 Table 3................ 118 Table 3..........................................19: Market share of top providers of callable products................................. 2010 ............... 126 Table 3............................................ 2010 ...... 156 Table 4........ 2010 ....................8: Top ten underlyings by issuance........ 161 Table 4.......15: List of provider groups involved in the non-callable market......23: Leveraged product issuance in Italy...............7: Breakdown of the interest rate asset class by type.........................

............................ 2008 to 2010 ..................6: Distribution of sales and issuance by term..................... 2006 to 2010 ......... 2008 to 2010 .................. core market...13: Top ten provider groups by sales...........1: Sales of structured products across entire market........... 2009 and 2010 ........................................................ 52 Chart 2..1: Annual gross sales (2006 to 2010)......................................... alphabetically..........................................................15: Top ten provider groups by issuance.... 2008 to 2010 ...................................................... 2008 to 2010.....10: Top payoffs based on issuance................................... 2006-2010 ... 2010 ....... 2008 to 2010 ...........7: Distribution of sales and issuance by asset class........................... 228 Table 6....12: Distribution of issuance and sales by asset class.............. 2008 to 2010 ........................... 2006 to 2010 ...................16: Number of provider groups involved in the German market......12: Ten best selling products in Poland............................ 2008 to 2010 ....... 206 Table 6.................................................. 32 Chart 1................................ 20 Chart 1.................. 23 Chart 1...........5: Monthly product issuance for German core market.......14: Market share and gross sales of top ten provider groups...................... 2006 to 2010 ..............4 : Investment in continuous products in the Polish market.............7: Distribution of core market issuance and sales by product type............. 30 Chart 1....... 2006 to 2010 ............................ 2008 to 2010 ..... 2008 to 2010 ....3: Average tranche sizes......11: Top ten payoffs by issuance.............10: Distribution of issuance and sales by term.................. 2006 to 2010 ................. 21 Chart 1... 48 Chart 1................... 198 Table 5................................11: Ten best selling products in Norway..14: Top ten provider groups based on sales..................................... 221 Table 6......... 218 Table 6.......9: Top payoffs based on gross sales.............................................................................................................................. 198 Table 6....... 2010............................... 2006 to 2010 ........................................2: Gross sales of Polish tranche products.................................. 2006 to 2010................... 2010 .............16: Top ten provider groups by issuance.15: Market share and gross sales of top ten provider groups....................................................................................... 191 Table 5..................... 37 Chart 1.10: Top ten payoffs by gross sales........... 21 Chart 1..6: Distribution of issuance and sales by product type.......... 2008 to 2010 ..................................2: Issuance of tranche-based and leverage products..........8: Distribution of issuance and sales by capital protection............................. 36 Chart 1.13: Provider groups in the Polish market........................................................... 220 Table 6..... 2006 to 2010 ................ 2006 to 2010 ................................................................................................................. 213 Table 6........... 2010 .. 2006 to 2010 ..2011 Review Brochure Table 5.......................13: Distribution of core market issuance and sales by asset class.................................................................5: Continuous products available........................... 2010 .......15: Distribution of core market issuance and sales by wrapper................. 2006 to 2010 .................................................... 194 Table 5..................................................................................9: Top ten underlyings based on issuance..............4: Monthly product issuance in Germany........11: Distribution of core market issuance and sales by term...................... 196 Table 5..................... 33 Chart 1................................. 22 Chart 1... 49 Chart 1......1: Annual gross sales and assets invested in retail structured products .............................. 224 Table 6............................................ 232 Table 6..... 2008 to 2010 ....................... 68 © Arete Consulting Limited 2011 Strictly Confidential Page 24 of 36 . 223 Table 6..................................................12: Active provider groups........ 232 Table 6............... 198 Table 5.... 212 Table 6........................8: Top ten underlyings by gross sales........................................ 2006 to 2010 ....... 29 Chart 1.......................................................9: Issuance and sales by capital protection. 2006 to 2010......... 2006-2010 .................. 31 Chart 1.............................................14: Distribution of issuance and sales by wrapper.................................................................................... 230 Table 6...................... 2010 ....................................... 213 Table 6................... 2006 to 2010 ...................... 2008 to 2010 ....The European Structured Retail Product Market . 225 Table 6. 233 LIST OF CHARTS (VOLUME III) Chart 1................................... 210 Table 6.............................. 2008 to 2010.......... alphabetically..... end 2010 .... 2008 to 2010 ............. 34 Chart 1............................ 192 Table 5.............3: Breakdown of issuance of structured products...............................

...........9: Distribution of issuance and sales by term.7: Distribution of issuance and sales by product type............... 2006 to 2010 ....................... 2006 to 2010 ..................1: Gross sales of Italian tranche products. 2006 to 2010.5: Distribution of issuance and sales by capital protection level (2006 to 2010) ... 181 Chart 5............. 73 Chart 2. 202 Chart 6....................................... 2010..................................10: Breakdown of issuance and sales by distribution channel.................. 2006 to 2010 ..................................................The European Structured Retail Product Market .............................. Italy....................................................... 2006 to 2010........... 2006 to 2010........................................... 2006 to 2010..........2: Issuance of tranche-based products.................................................... 2006 to 2010 ....................... 168 Chart 4....... 102 Chart 3...........................................................3: Monthly sales and issuance of Dutch tranche products............................... 148 Chart 4... 158 Chart 4...................................... 187 Chart 5.....................8: Distribution of sales by capital protection level...................... 2010 .......1: Gross annual sales of Dutch tranche products..................................... 147 Chart 4......... 2006 to 2010 ........................................ 2006 to 2010........ 87 Chart 2................................................ 165 Chart 4... 2006 to 2010 ............ 2010.............................. 101 Chart 3... 103 Chart 3.....3: Monthly product issuance in Ireland.......................8: Distribution of issuance and sales by wrapper......6: Monthly leverage products activity............................6: Distribution of issuance and sales by capital protection................................................ 143 Chart 4.................1: Gross sales of tranche products.9: Provider groups involved in the Irish market............... 2006 to 2010 ............ 70 Chart 2.... 102 Chart 3............8: Distribution of issuance and gross sales by wrapper..............9: Issuance and sales of non-callables by asset class.2: Issuance of Dutch tranche-based products........................................................................ 2006 to 2010 .................................. 125 Chart 4...................................................................... 77 Chart 2......... 145 Chart 4.. 148 Chart 4................................................. 2006 to 2010 ............................ 2009 and 2010 ..................................... 106 Chart 3....................... 2006 to 2010 .... 2006 to 2010 ................ 2006 to 2010 ....................................................... 2006 to 2010 ..........2011 Review Brochure Chart 2...... 89 Chart 2............................................................ 2006 to 2010 .......2: Issuance of tranche-based products.................................... 2010...................................... 2006 to 2010 ........... 152 Chart 4...................... 183 Chart 5.......7: Distribution of issuance and gross sales by asset class.. 210 © Arete Consulting Limited 2011 Strictly Confidential Page 25 of 36 .... 2006 to 2010 ................ 155 Chart 4...............8: Distribution of issuance and sales by asset class...................... 145 Chart 4........ 121 Chart 3...............3: Monthly issuance of non-callable products...... 109 Chart 3....................11: Number of provider groups in the Italian market.......................................................... 2006 to 2010 .......................... 112 Chart 3............... 2006 to 2010..................................... 2006 to 2010 ............................................ 185 Chart 5...13: Distribution of issuance and sales by distribution channel..... 78 Chart 2.....................7: Distribution of issuance and sales by asset class................... 2006 to 2010 ....... 2006 to 2010............................... 180 Chart 5................... 179 Chart 5..... 156 Chart 4....1: Gross sales of Polish tranche products..... 2006 to 2010 .... 108 Chart 3.........5: Status of leverage products at January 2011 by year of launch ........2: Issuance of tranche products..5: Distribution of issuance and sales by product type.................................... 184 Chart 5..........................................................4: Distribution of issuance and sales by product type...............................................................................9: Number of provider groups............................. 2006 to 2010 .........................4: Monthly callable product issuance............................... 196 Chart 5..................................................................6: Distribution of issuance and gross sales by term.................................................10: Breakdown of issuance and sales by distribution channel.................5: Distribution of issuance and sales by capital protection.......................................... 2006 to 2010. 75 Chart 2....... 2006 to 2010 ........................................................................4: Issuance of leverage products... 93 Chart 3.....................10: Distribution of issuance and sales by asset class. 2006 to 2010 ...... 2006 to 2010 ............ 193 Chart 5..6: Distribution of issuance and sales by term........................10: Distribution of gross sales by wrapper............11: Distribution of issuance and sales by wrapper. 69 Chart 2............................. 173 Chart 5.........................................3: Monthly sales and issuance of tranche products......... 2006 to 2010 ..........12: Number of provider groups in the Dutch market............ Italy....................7: Distribution of Issuance and Sales by Term...4: Distribution of issuance and gross sales by product type (2006 to 2010) .................. 112 Chart 3....... 2006 to 2010 ............................................... 2010.... 2006 to 2010 .......................

. 17 1.............. 40 1............................. 44 1......................................................... 36 1.............10: Breakdown of issuance and sales by distribution channel.............................................. 20 1...............................1 Summary of key regulatory developments .......................6 Wrappers ..................... 18 1........... 216 Chart 6.........................................................2 Products ...........2..................................................4.......................................................................................4............................................................ 2006 to 2010 ....................................................................................3..... 17 Fiscal and regulatory regime .............................................................................................................................................................1..................................................................................................................................3 Competitive landscape ....................... 48 2........ 2006 to 2010 ....................... 47 Slovakia ..........6: Distribution of issuance and sales by term......1..... 21 1................................................................................................................................................... 214 Chart 6......................3 Leverage products ..................................................2: Monthly products sales and issuance....... 217 Chart 6...................................................... 17 1....................................................................................................................................................................................................................................3 Average tranche sizes ...2.............................................. 211 Chart 6..........1 Size and scope of the market ............................................. 2006 to 2010 .............................................................................................2011 Review Brochure Chart 6.... 44 1. 38 1........................................................1.........................2..7 Best selling products .................................................1 1...1 Total volume of gross sales ............................ 219 Chart 6..............4: Distribution of issuance and sales by product type....................3 Major derivatives providers ..........1 Total number of product providers........................................................................................................ 46 1...................................................................2 Total number of products launched .................1...............................................3..............................................................................................................2 Major product providers and their market shares ........................................4 Distribution.........................................3 Term ........... 24 1................................................ 40 1.................................. 2006 to 2010 .............4 Underlyings..............................................5: Distribution of issuance and sales by capital protection.......................3.................2 Summary of fiscal regime.......................................1................................................................... 42 1........................8: Distribution of issuance and sales by wrapper.................. 2006 to 2010 ......................................................1..................................... 226 Chart 6..............2............. 25 1.............. 2006 to 2010 ...............................................................................................3: Issuance of tranche products..............3................ Poland.................................9: Number of provider groups in the Polish market......... 51 © Arete Consulting Limited 2011 Strictly Confidential Page 26 of 36 ..2 Flow products ......2.................7: Distribution of issuance and sales by asset class............................2 Capital protection ...................5 Payoffs ............................................2.......................................................... 45 1................................. 22 1...........................................................The European Structured Retail Product Market ... 2006 to 2010 ....................1................................ 14 1.............................1 Product types .......... 27 1............................................................................. 210 Chart 6.... 20 1............. 230 Chart 6..............................1................4 2 Tranche products ..... 237 CONTENTS (VOLUME IV) 1 Portugal ................................1 Market size and scope...... 33 1......................................1... 2010 .... 2006 to 2010.......2. 22 1.........................

....... 69 2.............3 Major derivatives providers .............................................................1 Total number of product providers.......... 105 © Arete Consulting Limited 2011 Strictly Confidential Page 27 of 36 ...........................................1........... 68 2...............................1................................................ 65 2...........1 Total volume of gross sales ............................................................2 2........................2...........................................4 Underlyings........................................6 Wrappers ..................................................................... 53 Products ...................................................2..... 60 2........................ 53 2.......1..........................3 Average tranche sizes .......................................2 Capital protection ..1..............2 Capital protection ................................................1..................................................2 Total number of products launched ..3 Continuous products .......................3 Term ......2 Summary of fiscal regime.......... 76 Spain ....................................1.......................................................................... 66 2.2.....................1 Product types ..................... 75 2............................................................................................................2 Continuous products ........................1 Core tranche products ........................ 87 3......................... 75 3 2....................................................................................... 98 3........................1...............................................................................................................................3...............................................................1 Summary of key regulatory developments ..............2......................................1 Types of product .....................................................................................4 Underlying .....3 Competitive landscape ....... 89 3............................................ 74 2.............5 Payoffs ................................................................... 81 3.................................1..............................2.....1 Total volume of gross sales .......................................7 Best selling products ....................... 71 2........................................2...2 Major product providers and their market share ...................................................................................................................3 Average tranche sizes ........4 Leverage products .......................................The European Structured Retail Product Market ........................... 91 3............................................1................. 52 2..............................2. 51 2......................................................3...........................................2............ 74 2...6 Wrappers ......................3......................................1 Market size and scope...................................2..5......................................................5 Fiscal and regulatory regime ............2..................................................................................................... 83 3.............................................................................................................................................................................................................. 77 3.....................................................................1............................2011 Review Brochure 2.................................1..................................................... 93 3.................................1............. 101 3..........5 Payoffs ...............................2 Products .................................2 Total number of products launched ........................................................1.............................7 Best selling products .................................................................................................................................1.....................1.............. 69 2...1.............................................................................................................. 81 3...............5................................................................ 55 2......... 51 2.....................................................1.................................................................1 Tranche products ................. 85 3.......................4 Distribution ...............................................2................................................... 82 3..................2 Flow products ........................................................................................................................................2.......................................................... 56 2..........................3 Term .................................................................................................................1........... 57 2............................................................... 85 3....... 58 2.................................................................. 81 3................................................................ 87 3...........................................................2.......................................... 83 3.....2.......

.....................................................3...................................................................................................................................1......................... 133 4.........................................................................................................2 Total number of products launched ........2 Capital protection ...............................................1 Total volume of gross sales ..................................................................5.... 117 3.......................................1......................................................................................................... 125 4..................... 149 4......................1 Tranche and leverage products .......3 Term ......................................................................................................................5... 126 4..... 147 4.........5 Fiscal and regulatory regime ............................2 Total number of products launched ...........1 Total number of product providers.......4 Underlyings.2 Major product providers and their market share .......................1 Summary of key regulatory developments ..............................................2 Summary of fiscal regime.. 155 4..............................................3 Competitive landscape ..........................................................1 Summary of key regulatory developments ...........4 Distribution and marketing .............................................................................................................................................................4......................................... 157 5................................................................................................... 143 4..........3........3...................................... 126 4........................5 Fiscal and regulatory regime ................................................................................... 161 5........................................................................3......3 Major derivatives providers ............................................................................................................................................1 Total number of product providers...... 162 © Arete Consulting Limited 2011 Strictly Confidential Page 28 of 36 ..........................................................1.......................................................................................................................................................................................................................... 152 4.. 160 5.........3 Major derivatives counterparties ............. 117 3...........................................................3....2.... 140 4.......................3....................................4 Distribution and marketing .............................................2 Marketing ....................... 120 3............... 117 3..........................................................................3 Competitive landscape .................. 121 4 Sweden ................................................................................................................................................ 153 4.......................5...........3 Average tranche sizes .............1..............................................1 Distribution channels ... 109 3.........................................................................1 Size and scope of the market ............ 129 4............................................2..........1................................................................................... 112 3...........2..................................................... 128 4.......2 Major product providers and their market share ...7 Best selling products .......... 135 4........................................................................................................ 161 5..................................... 119 3...............................2............................................................................................................................... 154 5 4.................................................2.........................6 Wrappers ................2................2 Products .............................................................................. 128 4....................................... 130 4................................The European Structured Retail Product Market .................................................. 148 4................................2 Summary of fiscal regime.. 123 4.....................................................2...........1......1................. 108 3................................................... 156 Switzerland .........................1 Size and scope of the market .............. 120 3..........1..........................................................1 Types of product ...................................2011 Review Brochure 3..1 Total gross sales volume ............................................................................5...................................................... 145 4..........................................5 Payoffs ..4......

...................................................................... 165 Products ........................................ 192 5.........................4 Term ........ 167 5.............................................................6 Wrappers ............................3. 243 6...................................................................1 Product categories ................................... 184 5............................................2..................................1..................................................................................................................... 186 5..................1............ 194 5.... 194 5...........................................5 Payoffs .2 Types of product .......................................... 203 6............................................1....................................................................................... 192 5.........1...........................................................3.5 Underlyings........ 212 6.................... 233 6.................................... 203 6................2.........................3 5......................................................................3 Capital protection ...................... 211 6................................................................2 Average tranche sizes ..................................................3 Major derivatives providers ............................ 239 6............................1.... 223 6.................................................................3 Competitive landscape ................1................ 172 5.........................................................................................................................3...................................................2.............................................1.........................................2 5.2 Summary of fiscal regime.........................................................................7 Wrappers ..............3...........................3 Term ......5.............4 Typical margins ................................................................................................. 207 6.....................2............................. 170 5.................................... 189 5....................1...................2 Major product providers and their market shares .....................1.................................1 Product types ..........1 Total number of product providers.............5...............................2...........2 Continuous products .........................................................................3 Average tranche sizes ............................... 235 6.........5 Fiscal and regulatory regime ...........................................3................................................................................................................................. 169 5............................1.................................................................................2011 Review Brochure 5........................ 186 5...................................................... 205 6.......... 217 6.................The European Structured Retail Product Market ................ 168 5.........................................1 Gross sales volume .................................................................................................... 200 6..............................3.................................. 165 Continuous products .............................................................................. 235 6.......................................... 228 6..................................4 Underlyings....2.......................4 Distribution and marketing .2 Capital protection ............................................................2........... 243 © Arete Consulting Limited 2011 Strictly Confidential Page 29 of 36 ............................................................................................................................................... 174 5.................2............................................................... 180 5...1 Total number of product providers.......................... 215 6..........................3 Secondary markets .............................................................................................................................2 Total number of products launched ......................................2.............2...........................1 Summary of key regulatory developments ................................2............................. 198 6 United Kingdom ..............................................1 Market size and scope..........................................................................................................7 Best selling products ................3....................2............... 207 Products ........................3 Competitive landscape ................................................................2 6...6 Payoffs ........................................................................................................2............... 210 6...........................................................1 Tranche products .......................................................................................................................2........................2 Major product providers and their market share ............................................... 203 6............................................1..........................................

4 Distribution and marketing .................................... 254 Glossary of structured products terms ....................................................................................... 244 6..............2 Commissions to distributors ......................................4......................................................................................................................................... 249 6..........2011 Review Brochure 6.....2 Summary of fiscal regime....................... 251 6...........1 Summary of key regulatory developments ..................... 244 6...................The European Structured Retail Product Market ....................3 Marketing .... 249 6.......5................................................................................................................... 257 © Arete Consulting Limited 2011 Strictly Confidential Page 30 of 36 ....... 250 6..........................4................................................5....................5 Fiscal and regulatory regime ................................................................................4...............................................1 Distribution channels .....................................................................................

............................................................................................................................................................. 2006 to 2010............... 54 Table 2............................ 99 Table 3...3: Gross sales and issuance by term......... 2008 to 2010 .................11: Ten best selling products in Portugal.................................................. 71 Table 2........ 97 Table 3.........15: Leveraged product issuance in Portugal..................................9: Top ten payoffs by gross sales..........12: Ten best selling products in Spain................... 2008 to 2010............... 91 Table 3....... 62 Table 2...............................................12: Provider groups involved in the Slovakian market in 2010 ..... 2008 to 2010 ................................................................ €bn ...........6: Top ten underlyings by issuance........................ 2008 to 2010 ..................... 109 © Arete Consulting Limited 2011 Strictly Confidential Page 31 of 36 .............14: Activity levels of provider groups............ 2009 to 2010 ... 49 Table 2..................4: Continuous Spanish products available at year end 2010 ........... 38 Table 1.................. 83 Table 3................................................10: Top ten payoffs by issuance..................................... 106 Table 3............................................................................. 43 Table 1......................... 14 Table 1......1: Annual gross sales and assets invested in retail structured products. 2010 ...........7: Top 10 Underlyings by gross sales... 54 Table 2...........5: Distribution of issuance by term.. 71 Table 2...................................................................................... 2008 to 2010 ......................................................... 2006 to 2010................................................................. 29 Table 1......... €bn . 2010 ...........................................................................................9: Top ten underlyings by issuance.............13: Market share and gross sales of top five provider groups.................................. 85 Table 3....2: Average tranche sizes.....................................................6: Distribution of sales and issuance by asset class in 2010 ..................................... 26 Table 1........ 2010 ..................................................................................5: Distribution of sales and issuance by term in 2010 ..................................................... 2008 to 2010 ............................................ 32 Table 1.. 33 Table 1... 77 Table 3.......4: Continuous products available at end-2010 ..................................... 2006 to 2010 ......................11: Top five best selling products in Slovakia.................................................... 2006 to 2010 ........... 2010 ......................... 2008 to 2010 .........2011 Review Brochure LIST OF TABLES (VOLUME IV) Table 1...... 35 Table 1............. 2010 ....................................13: List of provider groups involved in the Spanish market.......................................................................................................................4: Distribution of gross sales and issuance by asset class........................... 29 Table 1....... 65 Table 2..8: Top ten underlyings by gross sales........ 2008 to 2010.................................................................... 92 Table 3.14: Top ten providers by issuance............... 2009 ........................................................10: Top ten payoffs by gross sales.... 96 Table 3.......... 66 Table 2...............8: Top ten underlyings by issuance............................................................................................... 44 Table 2......................... 2008 to 2010 ................ 2008 to 2010 .......................................2: Average tranche sizes.. 2008 to 2010..........1: Annual gross sales and assets invested in retail structured products..................................................... €m ... 72 Table 3....... 31 Table 1..........7: Leverage products by asset class....................... 63 Table 2... 20 Table 1.8: Selection of underlyings used by leveraged products............................9: Top ten payoffs by gross sales. 2008 to 2010 .......... 85 Table 3..............2: Average tranche sizes...13: Market share and gross sales of top ten providers......... 2008 to 2010. 2009 to 2010...................7: Sales and issuance by asset class..3 : Outstanding invested in continuous structured products................ 33 Table 1...................................... 2008 to 2010 ..................................................................................................................... €m ........ 2009 and 2010 ................................ 60 Table 2..5: Top ten underlyings by gross sales. 94 Table 3...................12: List of provider groups involved in Portuguese Market..................11: Top ten payoffs by issuance.................................................................................................... 2008 to 2010.......................................... 41 Table 1...... 2008 to 2010 ...........3 : Outstanding invested in continuous products at year end 2009 and 2010 ................................. 100 Table 3....................................................................... 53 Table 2.................. 2006 to 2010...... 2008 to 2010 ............................ 42 Table 1..............................10: Top ten payoffs by issuance.....................................................................................The European Structured Retail Product Market ............ 2008 to 2010 ............. 68 Table 2.................................................. 64 Table 2.6: Distribution of sales by term..1: Annual gross sales and assets invested in retail structured products ... 2008 to 2010 ..

........................................................... 141 Table 4...................18: Ten most active provider groups........... 2008 to 2010 ...............................10: Top ten best selling products in Sweden........... 2008 to 2010 ..........................................16: Top ten provider groups by sales.................. 2008 to 2010 . 2008 to 2010 ..................................................... 150 Table 4........................15: Market share and gross sales of top ten providers........................14: Swiss market provider groups.................... 137 Table 4......7: Breakdown of sales and issuance of the core market by asset class.....................................17: Market share of top ten providers.... 2010 .... SEKm .............................................. 187 Table 5........ 145 Table 4................... 165 Table 5......4: Distribution of sales and issuance by term...................... 142 Table 4.......................... 2006 to 2010 ...... 201 Table 6...................................................................... 2008 to 2010 .....................3: Average tranche sizes.......8: Top ten payoffs based on gross sales.12: Top ten payoffs by issuance............................................. 2006 to 2010 ................................................. alphabetically.10: Top ten core market underlyings by issuance.....................................................9: Top ten payoffs by issuance.......2: Average tranche sizes............. 175 Table 5...... 2008 to 2010 .......................................................................................................................................................................17: Top ten providers in the core market by issuance................ 219 Table 6............... 2008 to 2010........ 2008 to 2010 ........................ 208 Table 6............................................................ 2008 to 2010 ..... 134 Table 4............................................................. 113 Table 3....... 2010 ........ 2008 to 2010 ..................................... 151 Table 5...................................8: Top ten payoffs by gross sales................ 183 Table 5....................................8: Top ten underlyings by gross sales....................... 2008 to 2010 .................. 114 Table 4........................ 2008 to 2010 ............... 113 Table 3......................................... 2008 to 2010 ...................................... 207 Table 6..........................3 : Outstanding invested in UK continuous products .................................................................................. 2010 ................... 2008 to 2010 ............. 165 Table 5..11: Top ten payoffs by gross sales.......... 190 Table 5..... 181 Table 5.................................. 2008 to 2010 ............................7: Top ten underlyings by issuance................. 2006 to 2010..................................... 221 Table 6.. 176 Table 5...........The European Structured Retail Product Market .4: Swiss continuous products available at year end................................2: Average tranche sizes..............................................7: Top ten underlyings by issuance............................................ 2010 ................................ 2008 to 2010 ................... 2010.................. 136 Table 4.5: Distribution of sales and issuance by asset class........1: Annual gross sales and assets invested in retail structured products .................. 2006 to 2010................. 2010 ................... 191 Table 6................... 182 Table 5.................... 138 Table 4.......... 222 Table 6.........................2011 Review Brochure Table 3.......................... 207 Table 6........................ 173 Table 5..........11: List of provider groups involved in Swedish market.....................9: Top ten underlyings by issuance.............16: Top ten providers by issuance...13: Top ten providers based on issuance................................................................ 2008 to 2010 .........................................................6: Top ten underlyings by gross sales................ 224 Table 6........... 2010 ...............................................................5: Sales and issuance by asset class.......... 110 Table 3.................... 189 Table 5..... 2008 to 2010 .14: List of newly-formed provider groups following restructuring............................................13: Top ten core market payoffs by issuance..........6: Top ten underlyings based on gross sales............................................. 2010 ...............................................4: Continuous UK products launched in 2010 ....................................... 2010 ............. 157 Table 5.............. 178 Table 5.............. 177 Table 5.................................. 2008 to 2010 ........... 179 Table 5............................................... 2008 to 2010 ....................................................................... 123 Table 4.......... 126 Table 4....................3 : Outstanding invested in continuous products at year end 2009 and 2010 ...2: Annual gross sales...... 148 Table 4............6: Breakdown of sales and issuance by asset class................................. 2008 to 2010.....1: Annual gross sales and assets invested in retail structured products ..............9: Top ten payoffs by issuance............................... 128 Table 4................................................................... 225 © Arete Consulting Limited 2011 Strictly Confidential Page 32 of 36 .................................. 112 Table 3..............12: Market share and gross sales of top ten providers...... 2008 to 2010 .. 2008 to 2010 ...15: Issuance and sales by provider type.....................5: Core market sales and issuance by term............1: Annual gross sales and assets invested in retail structured products ................................................................ 2008 to 2010 .......................... 166 Table 5........................................................................................................................................

41 Chart 1......................... 131 Chart 4...........................8: Distribution of issuance and sales by wrapper................................................................ 18 Chart 1.......................4: Distribution of issuance and sales by product type........................ 2006 to 2010 ................................................................ 2006 to 2010 ....................... 2006 to 2010 . 2006 to 2010 .. 2010.9: Provider groups in Slovakian market........... 2006 to 2010 .8: Distribution of issuance and sales by wrapper.... 2006 to 2010 ......... SEKm ......................... 2006 to 2010 ................................. 2006 to 2010 .... 2008 to 2010 ........ 19 Chart 1............ 51 Chart 2.............3: Monthly product issuance in Spain.......... 2006 to 2010....................2011 Review Brochure Table 6........ 23 Chart 1............................1: Gross sales of tranche products.... 70 Chart 3..................................................1: Gross sales of Slovakian tranche products.............. 83 Chart 3.......2: Issuance of tranche-based products..... 57 Chart 2...... 236 Table 6........... 132 © Arete Consulting Limited 2011 Strictly Confidential Page 33 of 36 .................................... 67 Chart 2... 2006 to 2010 ...3: Monthly product issuance and gross sales in Slovakia............................... 126 Chart 4.............................................................................................. 2006 to 2010 ...... 2006 to 2010........ 89 Chart 3..... 2008 to 2010 ....... 2006 to 2010 ..................................................................................................................1: Gross annual sales of Portuguese tranche products. 2010 ......... 61 Chart 2.............................. 91 Chart 3.................. 2006 to 2010 ................1: Annual gross sales............... 93 Chart 3.......... 2010 ..........4: Distribution of issuance and sales by product type....... 2006 to 2010....... 239 Table 6............................10: Breakdown of issuance and sales by distribution channel...................... 37 Chart 1..........The European Structured Retail Product Market ................3: Monthly product issuance and sales in Sweden............................7: Distribution of issuance and sales by asset class....................... 127 Chart 4........... 2006 to 2010 ............ 2010 .................... 82 Chart 3...............................2: Issuance of tranche products.................................. 2006 to 2010 ........... 2006 to 2010 .......... 2008 to 2010 ........... 2006 to 2010.................14: Top ten providers of UK products based on issuance................. 129 Chart 4..........3: Portuguese monthly sales and product issuance............................. 241 LIST OF CHARTS (VOLUME IV) Chart 1..........................9: Number of provider groups in the Spanish market...............................6: Distribution of issuance and sales by term....................... 81 Chart 3....4: Distribution of issuance and sales by product type..................................................................... 2006 to 2010 .......10: Distribution of issuance and sales by distribution channel....................10: Ten best selling products in the UK....................9: Number of provider groups in the Portuguese market......................................... 2006 to 2010 .....................5: Distribution of issuance and sales by capital protection level............. 2006 to 2010 .............. 109 Chart 3......... 102 Chart 3.......................12: Top ten provider groups of UK products based on sales........ adjusted for issue price............................... 2006 to 2010....2: Issuance levels of retail structured products........................................ 2006 to 2010 .............. 45 Chart 2....................... 52 Chart 2...................................................... 26 Chart 1.... 25 Chart 1................................................................... 19 Chart 1........................ alphabetically ......... 240 Table 6......... 2006 to 2010 ............................................... 2006 to 2010.............................................6: Distribution of issuance and sales by term...... 127 Chart 4...............2: Issuance of Portuguese tranche-based products............... 2006 to 2010 ..................... 56 Chart 2.............................8: Distribution of issuance and sales by wrapper.........4: Distribution of issuance and sales by product type............................. 118 Chart 4......... 88 Chart 3.............. 2010 .6: Distribution of issuance and sales by capital protection.......................11: List of provider groups in UK market....................7: Distribution of issuance and sales by asset class..........................7: Distribution of issuance and sales by asset class..................... 2006 to 2010 .... 2006 to 2010 .6: Distribution of issuance and sales by term.......................................................... 233 Table 6.. 59 Chart 2........................................................................................5: Distribution of issuance and sales by capital protection...........5: Distribution of issuance and sales by capital protection............ 2006 to 2010 .13: Market share and gross sales of top ten UK providers....5: Distribution of issuance and sales by capital protection................................................................. 28 Chart 1.................................................... 2006 to 2010 . 53 Chart 2..

..10: Core market issuance and sales by distribution channel.............12: Breakdown of issuance and sales by distribution channel...................................................... 2006 to 2010 .. 192 Chart 6......4: Distribution of issuance and sales by product type. 2006 to 2010 ............9: UK issuance and sales split by Isa status.2: Issuance of tranche products.7: Distribution of issuance and sales by asset class...... 2006 to 2010 .......................6: Distribution of issuance and sales by term................ 135 Chart 4...................3: Monthly issuance and sales for core market in Switzerland.......................7: Distribution of issuance and sales by asset class............................ 2006 to 2010 .....11: Distribution of issuance and sales by distribution channel...............4: Distribution of issuances and sales by product type...................................................11: Number of provider groups involved in the UK market..... 2006 to 2010......................................................................... 2006 to 2010 ... 2006 to 2010 ...........10: UK issuance and sales by pension status............. 204 Chart 6.......... 216 Chart 6................................. 2006 to 2010 ............................................... 2006 to 2010 .................................. 2006 to 2010...................... 2006 to 2010 ....... 174 Chart 5........... 2006 to 2010 ............5: Distribution of issuance and sales by capital protection.....10: Number of provider groups in the Swedish market.................... 231 Chart 6....... 2006 to 2010 .................................... 2006 to 2010 ..The European Structured Retail Product Market ................ 211 Chart 6............... 2006 to 2010 ...........3: Monthly sales and issuance..................................... 2006 to 2010 ..................... 236 Chart 6................................................ 134 Chart 4.............7: Distribution of issuance and sales by term..9: Number of provider groups........ 2006 to 2010................1: Gross sales of tranche products............... 2009 and 2010.............. 2006 to 2010 ................................1: Annual gross sales..................8: Distribution of issuance and sales by asset class................... 206 Chart 6................... 2010 .......................................... 148 Chart 4................. 144 Chart 4...6: Distribution of issuance and gross sales by term...................................................................................... 2006 to 2010 .............9: Distribution of issuance and sales by wrapper............................................................. 2006 to 2010 ... 171 Chart 5................5: Distribution of issuance and sales by capital protection...................................... 172 Chart 5........ 229 Chart 6........... 232 Chart 6................... 245 © Arete Consulting Limited 2011 Strictly Confidential Page 34 of 36 ..........8: Distribution of issuance and sales by wrapper........................ 162 Chart 5.......... 205 Chart 6.................. 218 Chart 6......... 213 Chart 6................. 169 Chart 5...2011 Review Brochure Chart 4............... 153 Chart 5....................... Swiss market........................................................................ 187 Chart 5.........................................8: Distribution of issuance and sales by wrapper.......... 2006 to 2010 ........................................... 2006 to 2010 .............................................................................. 2006 to 2010 ........ 2006 to 2010... 2006 to 2010 ....... 163 Chart 5......................... 185 Chart 5.........2: Issuance of tranche products......................................................... 164 Chart 5.

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