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J U LY 2 0 0 6

J U LY 2 0 0 6. T H E J O I N T 1 4 T H A N N U A L P B F E A A N D 2 0 0 6 A N N U A L F E A T C O N F E R E N C E. S T R I C T L Y P R I V A T E A N D C O N F I D E N T I A L.

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J U LY 2 0 0 6

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  1. JULY2006 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE STRICTLYPRIVATEANDCONFIDENTIAL

  2. This presentation was prepared exclusively for the benefit and internal use of the JPMorgan client to whom it is directly addressed and delivered (including such client’s subsidiaries, the “Company”) in order to assist the Company in evaluating, on a preliminary basis, the feasibility of a possible transaction or transactions and does not carry any right of publication or disclosure, in whole or in part, to any other party. This presentation is for discussion purposes only and is incomplete without reference to, and should be viewed solely in conjunction with, the oral briefing provided by JPMorgan. Neither this presentation nor any of its contents may be used for any other purpose without the prior written consent of JPMorgan. The information in this presentation is based upon management forecasts and reflects prevailing conditions and our views as of this date, all of which are accordingly subject to change. In preparing this presentation, we have relied upon and assumed, without independent verification, the accuracy and completeness of all information available from public sources or which was provided to us by or on behalf of the Company or which was otherwise reviewed by us. In addition, our analyses are not and do not purport to be appraisals of the assets, stock, or business of the Company or any other entity. JPMorgan makes no representations as to the actual value which may be received in connection with a transaction nor the legal, tax or accounting effects of consummating a transaction. The information in this presentation does not take into account the effects of a possible transaction or transactions involving an actual or potential change of control, which may have significant valuation and other effects. JPMorgan's policies prohibit employees from offering, directly or indirectly, a favorable research rating or specific price target, or offering to change a rating or price target, to a subject company as consideration or inducement for the receipt of business or for compensation. JPMorgan also prohibits its research analysts from being compensated for involvement in investment banking transactions except to the extent that such participation is intended to benefit investors. JPMorgan is a marketing name for investment banking businesses of J.P. Morgan Chase & Co. and its subsidiaries worldwide. Securities, syndicated loan arranging, financial advisory and other investment banking activities for Asian clients are performed by certain of such subsidiaries in Asia and/or J.P. Morgan Securities Inc. and/or its banking affiliates. THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE

  3. Disclaimer: Asia Pacific in English New Derivatives Guideline for Insurance Co in Taiwan THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE

  4. Synthetic Portfolio Insurance (SPI) 1 1 Proxy Basket SPI 2 8 Credit Long Short SPI 3 15 Equity Default Swaps 4 24 Equity Based Collateralized Obligations (ECOs) 28 5 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE Low Equity Barrier Enhanced Notes (LEADs) 6 31 1

  5. Constant Proportion Portfolio Insurance (CPPI) • Investment is comprised of two parts—Risky asset + Risk Free Asset (Zero coupon bonds) • The higher the amount of risky assets in the portfolio, higher the potential returns over the principal amount. • This fraction of the risky asset in the Dynamic Basket is referred to as “Exposure” • The exposure is adjusted from time to time to maximize potential return and ensure principal protection Risky Asset Zero coupon bond Variableinvestment Dynamic Basket SYNTHETICPORTFOLIOINSURANCE(SPI) Investment inRisky Asset Investment inZero Bond CPPI rebalances between an investment in the Risky Asset and a zero­coupon bond to provide principal protection 2

  6. In order to guarantee a certain principal on maturity, we can invest an amount equal to the principal discounted by the risk free rate For Example, to ensure a return of $100 after 10 years, it is sufficient to invest in a risk free zero coupon bond trading at $60 if risk-free rate is 5.3% The remaining $40 can be invested in risky assets to generate additional returns (Cushion) This creates a portfolio of risk-less assets (Zero Coupon Bonds) and Risky assets and is referred to as the “Dynamic Basket” Cushion Assured principal value 100 Value of assets Bond Floor 60 Risk-less bonds Year 1 Year 2 Year 3 Year 4 Year 10 Time to maturity Constant Proportion Portfolio Insurance—an example Principal assurance through risk-less assets SYNTHETICPORTFOLIOINSURANCE(SPI) 3

  7. Using crash size to define threshold for downside protection Principal protection under crash • The amount by which the risky asset can depreciate in one single day is also estimated and is referred to as the “Crash Size” • Suppose we assume a Crash Size of 15% • We will use Crash Size to increase the exposure to the proxy basket beyond the the initial cushion • Initial Portfolio(1) • With this estimate, we can invest (100—60)/(0.15)  $270 in risky assets • After Crash(2) • If a 15% crash occurs, then value of the risky asset reduced to $230 • The risky asset is sold off at this reduced market value and reinvested in riskless asset • Reallocated Dynamic Basket (3) • Investment in the riskless asset = 230—170 = $60 • This amount ensures principal guarantee at maturity Proxy Basket Risk-less Asset Initialinvestment Principalprotection 100% 15% Crash of proxy basket Risk-Free rate 60% Reallocation 0% Value of Dynamic Basket Reallocated Dynamic Basket At maturity (3) SYNTHETICPORTFOLIOINSURANCE(SPI) Negative Values indicate Leverage (170)% (1) (2) After crash Initial allocation 4

  8. Introduction to Synthetic Portfolio Insurance (SPI) • What if SPI? • Developed by JPMorgan as an OTC replication of the traditional Constant Proportion Portfolio Insurance (CPPI) strategy • In a standard CPPI structure, the investor buys units of a fund that is created and managed by the Asset Manager for the purpose of the CPPI structure • This arrangement gives rise to the following limitations • Equity exposure can fall to zero • Currency protection is not necessarily possible • The underlying funds value is not verifiable • In the JPMorgan SPI structure there is no fund vehicle involved and the investor buys a zero coupon bond plus a call option on the NAV of the notional portfolio which synthetically replicates an enhanced CPPI strategy SYNTHETICPORTFOLIOINSURANCE(SPI) 5

  9. SPI structural diagram Structural diagram: Investor invests 100% in SPI structure • Fund Investor Issuer • Funding JPM SPI basket • 100% • Allocation • ZC • Funding • 100% Instrument • SPI structure Payoff at maturity: Investor receives higher of 100% Principal invested and SPI Dynamic Basket Return SYNTHETICPORTFOLIOINSURANCE(SPI) • Max (SPI Dynamic Basket, 100%) • Max (SPI Dynamic Basket - 100%, 0) • SPI Dynamic Basket Investor Issuer JPM SPI basket • 100% Instrument • SPI structure 6

  10. Capital Protection • Participation in underlying while maintaining capital protection. Flexible Underlying • Risk-return optimised portfolio can be diversified across fund managers, investment strategies or asset classes Minimum Equity Exposure • Prevents the synthetic portfolio from becoming ‘cash-locked’ by setting a minimum proportion of assets that will be held in equity; This allows the portfolio to participate in a market rebound, without affecting the capital guarantee. No External Investment vehicle • No requirement to set up purpose built investment vehicle, hence very fast delivery of the product in the market Full Currency Protection • Standard CPPI structures can be offered with currency hedging overlays, but these do not offer the same transparency and efficiency as the full quanto protection that the JPMorgan SPI structure offers. Verifiable & Transparent Pay-off • Re-balancing of the portfolio can be tracked using market data, on a daily basis. JPMorgan will actively reallocate the notional portfolio according to a ‘Dynamic Allocation Strategy’ in line with the predefined principles. Thus SPI is not a ‘black-box’ fund unit product ISDA Documentation • The product is delivered in an efficient OTC format. Exposure may be delivered in Swap or option format or in combination with guaranteed cash-flows traded and confirmed as a regular OTC derivative using standard ISDA format Benefits of SPI SYNTHETICPORTFOLIOINSURANCE(SPI) 7

  11. Proxy Basket SPI Synthetic Portfolio Insurance (SPI) 1 1 2 8 Credit Long Short SPI 3 15 Equity Default Swaps 4 24 Equity Based Collateralized Obligations (ECOs) 28 5 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE Low Equity Barrier Enhanced Notes (LEADs) 6 32 8

  12. The Risky Asset in the Dynamic Basket is a basket of currencies referred to as the “Proxy Basket” The strategy synthetically replicates an asset which is constructed using currency pairs denominated vs. JPY The weights assigned to currency pairs in the asset are optimized based on historical data in a way that the movements of the currency pairs offset each other Assuming optimal offset the basket maintains the same value while earning a high carry based on the interest rate differential of the underlying currency pairs JPMorgan believes that there is a low probability of a significant mismatch in the offset of the currency pairs Basket ofcurrencies Offset JPY What is a Proxy Basket strategy? PROXYBASKETSPI 9

  13. Proxy Basket construction Overview • JPMorgan believes a basket of foreign currency can be constructed to track the movement of JPY closely • JPMorgan has performed rigorous analysis to construct the appropriate combination of different currencies to give optimal yield and correlation to JPY appreciation/depreciation • The weightings are shown in the table on the right as an example of the Synthetic Asset Construction • The basket is optimized to grow at 5%¹ carry PROXYBASKETSPI ¹ Basket-Carry is 5.5%. An embedded fee of 50bp is charged to cover replication costs 10

  14. Proxy Basket correlated to JPY High correlation between JPY and basket Correlation JPY and Basket PROXYBASKETSPI Source: JPMorgan, as of 4/6/06 11

  15. Historical spot price of JPY and Basket equivalent spot Spot price of JPY and Basket Equivalent spot show very similar movements PROXYBASKETSPI Source: JPMorgan, as of 4/6/06 12

  16. Growth 8.1% (Realized at maturity) Carry5.0% Growth 3.0% 270% Initial leverage Growth of Proxy Basket Fee paid 2.0% Annual payout 5.4% 270% Initial leverage Guaranteed 1.0% payable quarterly Growth of Proxy Basket via SPI strategy Mechanics • The Proxy Basket grows at the rate of the carry of 5% (assuming there are no tracking errors) • Out of this growth 2% fee are paid to the client • The whole structure initially leverages through the CPPI payoff by 270% • Guaranteed payment of 1% per annum on the notional payable quarterly PROXYBASKETSPI 13

  17. Short portfolio Actively managed mezzanine CSO tranche Single Name Credits CDS A “Super Senior” CDS B Credit 1 CDS C Portfolio Credit 2 CDS X Credit 3 Mezzanine Credit 4 Credit... Long portfolio Long tranche Equity Credit Long-Short – Structure Overview Credit Long-Short Strategy • The credit long-short strategy will take exposure to (i) a long Junior Mezzanine CSO Tranche and (ii) a selected short portfolio of single name corporate credit derivatives PROXYBASKETSPI The strategy attempt to achieve a “delta neutral” state andmaintain a “convex” return profile, thus making returns relatively neutral to movements in credit spread 14

  18. Credit Long Short SPI Synthetic Portfolio Insurance (SPI) 1 1 Proxy Basket SPI 2 8 3 15 Equity Default Swaps 4 24 Equity Based Collateralized Obligations (ECOs) 28 5 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE Low Equity Barrier Enhanced Notes (LEADs) 6 31 15

  19. Credit Long-Short - Rationale Continued lack of apparent trend in credit spreads1 Idiosyncratic risk still high Correlation levels for tranched Junior Mezzanine at historical lows • Leveraged and M&A bids • Oil price and commodity price effects • Auto sector uncertainty Macro considerations Strategy • To achieve a convex return profile neutralising movements in credit spreads • Not take exposure to “first loss” Equity Tranches • Give short credit exposure to “bearish” names • Take Junior Mezzanine Tranche exposure to benefit from any correlation increases CREDITLONGSHORTSPI 1 Source: JPMorgan, Morgan Markets, M&G as of April 2006 16

  20. Illustrative Long Mezzanine tranche—Change in MTM1 Illustrative sensitivity to instantaneous spread change1 Illustrative short CDS Portfolio—Change in MTM1 Spread risk profile – An illustration • Leverage2 CREDITLONGSHORTSPI ¹ Spreads move on the 1st day ² Illustrative leverage used in order for the portfolio to remain in a delta neutral state; Tranche leverage of 2.5 times used; CDS portfolio leverage of 9 times the tranche notional used; The chart above shows hypothetical change in MTM (mark-to-market) of a chosen CSO tranche and Single name CDS portfolio and their combination in ”M&G Credit Fund” 17

  21. Credit Long-Short – A case study • M&G is the trading name of M&G Investment Management Limited , a wholly owned subsidiary of Prudential plc. M&G has over €2371 billion assets under management and employs over 1481 investment professionals • M&G Credit Fund SPI Notes will provide investors with principal protected exposure to the M&G Credit Fund (“The Fund”) • The Fund will take exposure to (i) a long Junior Mezzanine CSO tranche referencing a portfolio of primarily investment grade corporates and (ii) a selected short portfolio of single name corporate credit derivatives • M&G will attempt to maintain a convex return profile for The Fund, thus making returns relatively neutral to movements in credit spread whilst focusing on idiosyncratic default risk • The Notes returns will be determined by The Fund’s performance in addition to leverage which will be provided through the application of Synthetic Portfolio Insurance (“SPI”) technology Prudential M&G Credit SPI overview CREDITLONGSHORTSPI Principal protection¹ Credit Fund Actively managed junior mezzanine CSO tranche Short portfolio M&G Credit Fund SPI Notes¹ CDS A CDS B SPI (Synthetic Portfolio Insurance) CDS C CDS X Long tranche ¹Principal protection provided by AAA rated collateral 18

  22. Illustrative Fund return profile • The net asset value (“NAV”) of The Fund will reflect the mark-to-market of the combination of the long junior mezzanine and short CDS portfolio • Returns on The Fund will representa combination of carry and mark-to-market changes • M&G will manage The Fund within preset limits6 Fund return assumptions (preliminary strategy) Hypothetical Fund Return computation2 (1Y) • Underlying portfolios • Long Junior Mezzanine: 10Y WAS = 93bp • CDS portfolio: 10Y WAS = 87bp • Tranches • Long mezzanine attachment = 3.5—5.5% Tranche returns (1Y) • Long Junior Mezzanine3 • CDS Portfolio return3 • Operational Costs1 Gross Fund return1 (A + B+C)13.0% Annual Portfolio Management Fee (1.5)% • Collateral Spread/yield5 4.1 % • Net Fund return 15.6% • Leverage • Carry • 1 year return • x • = • 39.0 % • x • 2.5 • 15.7% • = • (22.5)% • x • (22.5) • 1.0% • = • (3.5)% Illustrative calculation of Carry • Long Junior Mezzanine Tranche3 • Delta slide (10Y to 9Y)4 = 4.7% • Premium4 = 11.0% Hypothetical carry = 15.7% • CDS Portfolio3 • Delta slide (10Y to 9Y) 4 = 0.20% • Premium4 = 0.80% Hypothetical carry = 1.00% CREDITLONGSHORTSPI Note: The above analysis shows hypothetical returns based on certain assumptions. 1 Includes a Delta adjusted execution cost of 2% of the WAS and a 1% administrative cost charged by the swap counterparty 2 These return results are based on a hypothetical leverage of 2.5 times within The Fund 3 Implied spreads (as of valuation date March 31, 2006) for a delta hedged 3.5%-5.5% 10Y tranche were used; CDS Portfolio leverage of (22.5) required to maintain delta neutral state 4 Delta slide represents the change in Mark to Market value as a result of the decrease in the time to maturity; Premium represents the Spread received/paid for selling/buying protection 5 Assumed to be the 10 year EUR swap rate as of April 2006 6 JPMorgan monitors the level of leverage allowed within The Fund by running several scenarios on a daily basis. The process allows the Fund to maximise the exposure to equivalent of a 30% crash size. More detail on the scenarios applied can be given upon request 19

  23. Hypothetical Fund Return—200bp single name spread tweak on Day 11 Hypothetical Fund Return—200bp single name spread after one year12 • CF MTM change (%) • CF MTM change (%) • 13.0% • (0.02%) • 11.0% • (1.0%) • Spreads as % of current spreads • Spreads as % of current spreads Illustrative Fund sensitivity—Single name spread widening CREDITLONGSHORTSPI Illustrative tranche leverage of 2.5 times used; 1 This is achieved using an average name in the portfolio 2 Graphically represents the MTM effect of a spread increase of 200bp for an average name in the portfolio of the long Junior Mezzanine tranche at the end of the 1st year of trading; The return for the 1st year does not include Management costs 0f 1.5% and Collateral returns Note: The charts above shows hypothetical changes in MTM (mark-to-market) of the NAV of The Fund. Performances can vary significantly depending on the assumptions taken. 20

  24. Illustrative Fund sensitivity—Correlation spike Hypothetical CF MTM change v Correlation and spread tweak1 • Hypothetical scenarios have been devised to replicate a potential distortion in the correlation market Scenario mechanics • Defining the “15% Correlation tweak” example • The correlation level for the lower attachment point is shifted to 85% of the current value • The correlation level for the Upper attachment point is shifted to 115% of the current value • Defining the “-15% Correlation tweak” example • The correlation level for the lower attachment point is shifted to 115% of the current value • The correlation level for the Upper attachment point is shifted to 85% of the current value • Spread levels for the entire portfolio are proportionately shifted to generate the convex return structure CREDITLONGSHORTSPI • Spreads as % of current spreads ¹ The MTM effects are consistent with a Gross Fund return where the Tranche leverage is 2.5 Note: The charts above shows hypothetical changes in MTM (mark-to-market) of the NAV of The Fund. Performances can vary significantly depending on the assumptions taken. 21

  25. Illustrative 10yr SPI Coupon format sensitivity Hypothetical IRRs—USD Notes Hypothetical IRRs—EUR Notes USD Note IRRs for given fund return EUR Note IRRs for given fund return CREDITLONGSHORTSPI 1 Hypothetical Fund returns on an annual basis, assumed to be constant through the life of the trade. 2 Hypothetical IRR for SPI Notes. Gross IRR before considering 1% Principal protection fee; Net IRR after considering 1% Principal protection fee. Quanto adjustment are included in the calculation of both Gross and Net Note IRRs. Performances can vary significantly depending on the assumptions taken. 22

  26. Equity Default Swaps: How does it work? Credit Default Swaps Equity Default Swaps Risk Risk Reference entity Reference stock Fee/premium Fee/premium Protectionbuyer Protectionbuyer Protection seller Protection seller Contingent payment on Default (losses) Contingent payment on Equity Default Event • A credit default swap is essentially a guarantee whereby the protection buyer transfers the risk that the reference entity will be subject to a credit default event • In return for the protection, the buyer pays a protection fee to the seller (in a similar manner to an insurance premium or guarantee fee) • On a credit default event, the buyer delivers a portfolio of obligations of the reference entity, and receives par (or settles a net cash amount) • A credit default event is defined as one of the following: bankruptcy, failure to pay, restructuring • It is market practice to agree on a physical delivery of a reference security • An equity default swap is a contract whereby the protection buyer transfers the risk that a reference stock will be subject to an equity default event • In return for protection, the protection buyer pays a per annum fee to the protection seller • On an equity default event, the protection seller pays a recovery value to the protection buyer. the swap is settled and there are no further cashflows • An equity default event occurs if the closing price of the reference stock is at or below 30% of its value at inception • It is market practice to fix the recovery value at 50% of the notional amount CREDITLONGSHORTSPI 23

  27. Equity Default Swaps Synthetic Portfolio Insurance (SPI) 1 1 Proxy Basket SPI 2 8 Credit Long Short SPI 15 3 4 24 Equity Based Collateralized Obligations (ECOs) 28 5 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE Low Equity Barrier Enhanced Notes (LEADs) 31 6 24

  28. Swissair [Bloomberg: SRN VX] Inception at 354 (3 May 1999) Bankruptcy filed 2 October 2001 Barrier (354 x 0.30) = 106.2 Equity default event at 104.5 (23 April 2001) Equity Default Swaps: How does it work? Credit default event and equity default event • The equity default event is very transparent, as it is based on the closing share price of the reference name and whether it is at or below 30% of the share price at EDS inception • Similar to ‘traditional’ credit derivatives, where the occurrence of a credit default event will trigger a payment from the protection seller to the protection buyer • For traditional credit derivatives, the credit default event is normally defined as the occurrence of either: • Bankruptcy • Failure to pay • Restructuring • Due to the complexity of definition, it is sometimes difficult to determine whether a credit default event has occurred or not EQUITYDEFAULTSWAPS 25

  29. Equity Default Swaps: How does It Work? EDS Cashflows—No Equity Default Event EDS Cashflows—Equity Default Event EDS SpreadAccrued up to the Equity Default Date Protection seller receives Protection Seller receives 3 m 6 m 9 m 1 Y 2 Y 3 Y 4 Y 5 Y 3 m 6 m 9 m 1 Y 2 Y 3 Y 4 Y 5 Y Protection Seller pays Protection seller pays EQUITYDEFAULTSWAPS Equity Default Event 1-Recovery Value=50% EDS Spread: Paid quarterly in arrears EDS of 500bp p.a. 125bp per quarter 26

  30. Equity based collateralised obligations—ECOs • Investor Sells equity protection on an ECO tranche referencing a number of equities • JPM risk-manages through entering into a number of Equity Default Swaps in the market to offset • Losses are allocated bottom-up as per tranche seniority i.e. First Loss to Mezzanine to Senior tranche • The events observed are Equity Default Events The mechanics of ECO JPMorgan Tranched risk Equity Default Risk Super-senior SPV Stock 1 Stock 2 Stock 3 ECOs Stock ... Mezzanine Stock n-2 Stock n-1 First loss risk Stock n EQUITYDEFAULTSWAPS 27

  31. Equity Based Collateralized Obligations (ECOs) Synthetic Portfolio Insurance (SPI) 1 1 Proxy Basket SPI 2 8 Credit Long Short SPI 15 3 Equity Default Swaps 4 24 28 5 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE Low Equity Barrier Enhanced Notes (LEADs) 31 6 28

  32. Senior Tranche Mezzanine ECO First Loss Tranche Capital Redemption at Maturity 100% 80% 60% 40% 20% Number of Defaults 1 2 3 4 5 6 7 8 9 10 or more ECO—impacts of defaults on coupon and capital redemption Mechanisms of ECO’s 100% Assumptions: • Maturity: 5 years • Portfolio: Globally Diversified Basket • Quarterly Coupons • EDS portfolio of e.g. 100 names • Recovery rate assumed to be 50% • This example is for illustrative purposes only and does not reflect real pricing 10% 5% 0% Coupon paid quarterly as a % of the headline coupon 10080% 60% EQUITYBASEDCOLLATERALIZEDOBLIGATIONS(ECOS) 40% 20% Number of Defaults 29

  33. Comparison of CDOs and ECOs Comparison of ECOs v. CDOs EQUITYBASEDCOLLATERALIZEDOBLIGATIONS(ECOS) 30

  34. Low Equity Barrier Enhanced Notes (LEADs) Synthetic Portfolio Insurance (SPI) 1 1 Proxy Basket SPI 8 2 Credit Long Short SPI 15 3 Equity Default Swaps 4 24 Equity Based Collateralized Obligations (ECOs) 5 28 THEJOINT14THANNUALPBFEAAND2006ANNUALFEATCONFERENCE 6 31 31

  35. First to default basket: • N to default basket (N = 2) A F A F E E B B D D C C Protection Seller receives Protection Seller receives 3m 6m 9m 1Y 2 Y 3 Y 4 Y 5 Y 3m 6m 9m 1Y 2 Y 3 Y 4 Y 5 Y Protection Seller pays Protection Seller pays 1-Recovery Value=50% EDS Spread Accrued up to the Equity Default Date EDS Spread Accrued up to the Equity Default Date 1-Recovery Value=50% The concept of First-to-default First-to-default swap N to default swap The First to default out of the basket causes the swap to terminate, and the protection seller pays: (1-Recovery Rate) * Notional Amount The N default out of the basket causes the swap to terminate, and the protection seller pays: (1-Recovery Rate) * Notional Amount • 1) Stock C defaults: swap terminates2) Stock D defaults: no impact3) Stock E defaults: no impact • 1) Stock C defaults: no impact2) Stock D defaults: no impact3) Stock E defaults: swap terminates LOWEQUITYBARRIERENHANCEDNOTES(LEADS) • NB: this structure is often referred to as a “First-to-Default Swap” even though it is technically an “N to default swap” 32

  36. Equity Event 1 100% Notional re-paid at Maturity +Final Coupon Equity Event 2 Note buyer receives 6m 1Y 2 Y 3 Y 4 Y 5 Y 100% Notional paid on Start Date Note buyer pays Low Equity Barrier Enhanced Notes - LEADs LEADs Indicative Terms • First-to-default Equity swaps can be structured in a capital protected format • A LEADs (Low Equity Barrier Enhanced Notes) is a capital protected note, where the coupon depends on the number of Equity Default Events during the life of the note • At each coupon payment date, the number of Equity Default Events that have occurred so far is calculated • After an initial threshold, the coupon will be reduced for every additional Equity Default Event in accordance to a specified schedule • An Equity Default Event is triggered, if at any date, one of the underlying shares is trading below 30% of it’s level at inception • Maturity: 5 years • Coupon: X% subject to EDE paid semi-annually • Principal protection: 100% LOWEQUITYBARRIERENHANCEDNOTES(LEADS) 33

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