Investment Bank Credit Report Q4 2017

Investment Bank Credit Report Q4 217 We produce a Quarterly Investment Bank Credit Report as part of our continual counterparty due diligence process. The Report includes summaries of the quarterly movements, for most of the main counterparties in the structured product issuance space, of their: s Credit Default Swap Rates Credit Ratings This information is for professional investors only and should not be presented to, or relied upon by, private investors. 1

Contents Rating Agency Scales 3 Credit Default Swaps 4 Credit Ratings Overview 5 Summary of Changes 6 Summary of, CDS and Credit Ratings Banco Bilbao Vizcaya Argentaria 8 JPMorgan Chase & Co 23 Banco Santander S.A. 9 Lloyds Banking Group plc 24 Bank of America Corporation 1 Macquarie Bank Ltd 25 Barclays Bank plc 11 Morgan Stanley 26 BNP Paribas 12 Natixis 27 Citigroup Inc. 13 Nomura Bank International plc 28 Commerzbank AG 14 NORTHERN TRUST CORP 29 Credit Agricole S.A. 15 Rabobank 3 Credit Suisse AG 16 Royal Bank of Canada 31 Danske Bank A/S 17 Santander UK plc 32 Deutsche Bank AG 18 Société Générale 33 Goldman Sachs International 19 Standard Chartered plc 34 HSBC Holdings plc 2 The Royal Bank of Scotland plc 35 ING Groep N.V. 21 UBS AG 36 Investec Bank plc 22 UniCredit Group 37 Important Information 38 2

Rating agency scales Standard & Poor s Investment Grade AAA Extremely strong capacity to meet financial commitments. Highest Rating. AA+, AA, AA- Very strong capacity to meet financial commitments. A+, A, A- Strong capacity to meet financial commitments, but somewhat susceptible to adverse economic conditions and changes in circumstances. BBB+, BBB, BBB- Adequate capacity to meet financial commitments, but more subject to adverse economic conditions. Non-Investment Grade BB+, BB, BB- Less vulnerable in the near-term but faces major on-going uncertainties to adverse business, financial and economic conditions. B+, B, B- More vulnerable to adverse business, financial and economic conditions but currently has the capacity to meet financial commitments. CCC+, CCC, CCC- Currently vulnerable and dependent on favourable business, financial and economic conditions to meet financial commitments. CC Currently highly vulnerable. C Currently highly vulnerable obligations and other defined circumstances. CI Past due on interest R Under regulatory supervision due to its financial situation SD Has selectively defaulted on some obligations D Payment default on financial commitments. Fitch Investment Grade AAA Exceptionally strong capacity for payment of financial commitments. Highly unlikely to be adversely affected by foreseeable events. AA+, AA, AA- Very strong capacity for payment of financial commitments. Not significantly vulnerable to foreseeable events. A+, A, A- Strong capacity for payment of financial commitments, but may be more vulnerable to adverse business or economic conditions. BBB+, BBB, BBB- Adequate capacity for payment of financial commitments, but adverse business or economic conditions are more likely to impair this capacity. Non-Investment Grade BB+, BB, BB- Elevated vulnerability to default risk, particularly in the event of adverse changes in business or economic conditions. But business or financial flexibility exists which supports the servicing of financial commitments. B+, B, B- Financial commitments currently being met. Capacity for continued payment vulnerable to deterioration in business and economic environment. CCC+, CCC, CCC- Substantial credit risk. Default is a real possibility. CC Very high levels of credit risk. Default of some kind appears probable. C Exceptionally high levels of credit risk. Default is imminent or inevitable, or the issuer is in standstill. D Has defaulted on obligations and Fitch believes that it will generally default on most or all obligations Moody s Investment Grade Aaa Judged to be of the highest quality, with minimal credit risk. Aa1, Aa2, Aa3 Judged to be of high quality and are subject to very low credit risk. A1, A2, A3 Considered upper-medium grade and are subject to low credit risk. Baa1, Baa2, Baa3 Subject to moderate credit risk. They are considered medium grade and as such may possess certain speculative characteristics. Non-Investment Grade Ba1, Ba2, Ba3 Judged to be of the highest quality, with minimal credit risk. B1, B2, B3 Judged to be of high quality and are subject to very low credit risk. Caa1, Caa2, Caa3 Judged to be of poor standing and are subject to very high credit risk. Ca Highly speculative and are likely in, or very near, default, but with some prospect of recovery of principal and interest. C Lowest rated class of bonds and are typically in default, with little prospect for recovery of principal or interest. Special WR Withdrawn Rating P Provisional 3

Credit default swaps Historically credit ratings have been used as the principal measure of the financial strength of an underlying issuer. However, over recent years Credit Default Swap ( CDS ) rates have become an additional measure of the financial security of a company and are now often utilised alongside ratings produced by credit rating agencies. CDS rate levels are determined by the supply and demand of market participants and therefore do not rely on one single agency to determine a company s credit worthiness. A CDS is basically an insurance contract - the buyer makes periodic payments to the seller and would receive a pay off in the event of failure in the underlying financial instrument/institution, effectively insuring against a debt default. CDS spreads allow investors to analyse how risky an institution s debt is perceived to be by the market, a relevant factor when considering the credit strength of a counterparty. Companies with higher CDS spreads are considered riskier by the market, as they are considered more likely to default than those with a lower CDS spread, all other things being equal. ratios are another measure of a bank's strength. These are used by regulatory authorities, with the most widely known being tier one capital ratio, which consists largely of shareholders' equity. It is the amount paid originally to purchase permanent capital (such as ordinary shares) of the bank and retained earnings (minus losses). It is the core measure of a bank's financial strength from a regulator's point of view. This ratio has been the subject of much review over recent years resulting in the Basel III Accord, requiring banks to maintain a minimum tier one capital ratio of 6%. 4

Credit rating overview The banks referred to in this report include those that we currently have, or have previously had counterparty arrangements with, as well as, other banks that have or have had a presence in the structured products market. A rating outlook assesses the potential direction of a long-term credit rating over the intermediate term. End of Q4 BANK Long Term Local Currency Issuer Credit Rating Standard & Poor's Moody's Fitch Outlook Outlook Long Term Issuer Default BANCO BILBAO VIZCAYA ARGENTA BBB+ POS Baa1 A- BANCO SANTANDER SA A- A3 A- BANK OF AMERICA CORP A- A3 A BARCLAYS BANK PLC A A1 NEG A *+ - BNP PARIBAS A Aa3 A+ CITIGROUP INC BBB+ - - A COMMERZBANK AG A- NEG Baa1 POS BBB+ CREDIT AGRICOLE SA A POS A1 A+ CREDIT SUISSE AG A A1 A DANSKE BANK A/S A A1 A DEUTSCHE BANK AG-REGISTERED A- NEG Baa2 BBB+ GOLDMAN SACHS INTERNATIONAL A+ A1 A HSBC BANK PLC AA- Aa3 NEG AA- ING GROEP NV A- - - A+ INVESTEC BANK PLC - - - - BBB+ JPMORGAN CHASE & CO A- A3 A+ LLOYDS BANKING GROUP PLC BBB+ - - A+ MACQUARIE BANK A NEG - - A MORGAN STANLEY BBB+ A3 A NATIXIS A POS A2 POS A POS NOMURA BANK INTERNATIONAL PL A NEG - - - - NORTHERN TRUST CORP A+ A2 AA- COOPERATIEVE RABOBANK UA A+ POS Aa2 NEG AA- ROYAL BANK OF CANADA AA- NEG A1 NEG AA SANTANDER UK PLC A Aa3 A *+ - SOCIETE GENERALE SA A - - A STANDARD CHARTERED PLC BBB+ - - A+ NEG ROYAL BANK OF SCOTLAND PLC/T BBB+ - - BBB+ UBS AG-REG A+ A1 AA- UNICREDIT SPA BBB - - BBB Rating Outlook Please note that not every bank listed has a rating from each of the three ratings agencies. Bloomberg/Meteor Research Department 1 January 218 * indicates that the credit rating agency has that company on watch. *+ indicates a possible upgrade, and *- a possible downgrade. As of 1 June 217, Moody s ceased to display their Long Term Rating for banks. Not all banks listed above have been given an. 5

Summary of changes Bloomberg/Meteor Research Department 1 January 218 Standard & Poor's Moody's Fitch Bank of America Corporation BBB+ to A- Baa1 POS to A3 Barclays Bank plc A- NEG to A Commerzbank AG Baa1 to Baa1 POS Credit Agricole S.A. A to A POS HSBC Bank PLC AA- NEG to AA- Lloyds Banking Group plc BBB+ NEG to BBB+ Natixis A to A POS A to A POS Royal Bank of Canada AA NEG to AA Santander UK plc A NEG to A A to A *+ - Standard Chartered plc A+ to A+ NEG UNICREDIT SPA BBB- to BBB S&P Global Ratings said today that it has affirmed the ratings and revised mostly to stable, and in some specific cases to positive, most of the mainly negative outlooks on various large and diversified U.K. banks... Source: Various U.K. Bank Ratings Affirmed; Outlooks Revised To Stable Or Positive On Balance Sheet Strengths, But Risks Remain https://www.home.barclays/content/dam/barclayspublic/docs/investorrelations/debtinvestors/creditratings/2171115_s%26p_uk_banks_outlook_action.pdf Following BPCE's strong improvement in capitalization and additional loss-absorbing capacity (ALAC), we expect management will continue building up capital and tap the senior nonpreferred market to strengthen its total loss-absorbing capacity well above regulatory requirements. Source: French Bank BPCE Outlook Revised To Positive On The Balance Sheet s Strengthening Trend;' https://www.groupebpce.fr/content/download/15255/27885/version/9/file/analyse%2du%22%2octobre%2217.pdf This summary page is not designed to be exhaustive of all changes in the past quarter. Check the rating agency websites and relevant financial institutional resources to ensure you have the latest information 6

Individual bank summaries The following pages summarise the main credit indicators for the individual banks that we cover. This includes share price changes in the last quarter, CDS level changes in the last quarter and any credit rating revisions in the last quarter. We plot a bank s share price against their 5 year CDS on senior debt in the relevant local currency where possible. For reference, we also include the Markit itraxx Europe Senior Generic Financial 5Y CDS Index as a benchmark for European CDS rates. This is based on 25 equally weighted CDS rates on investment grade European entities. The list below shows the constituents as at 1 January 218. We also plot bar charts, where possible, of the CDS rates from the last 2 quarters for comparison and include the 1, 3, 5 and 1 year tenor curves. Aegon NV Banco Bilbao Vizcaya Argentari Cooperatieve Rabobank UA Hannover Rueck SE Mediobanca SpA Swiss Reinsurance Co Ltd Allianz SE Banco Santander SA Credit Agricole SA HSBC Bank PLC Muenchener Rueckversicherungs- Royal Bank of Scotland PLC/The Assicurazioni Generali SpA Barclays Bank PLC Credit Suisse Group AG ING Bank NV Prudential PLC UBS AG Aviva PLC BNP Paribas SA Danske Bank A/S Intesa Sanpaolo SpA Societe Generale SA UniCredit SpA AXA SA Commerzbank AG Deutsche Bank AG Lloyds Bank PLC Standard Chartered Bank Zurich Insurance Co Ltd Bloomberg/Meteor Research Department 1 January 218 7

BBVA Banco Bilbao Vizcaya Argentaria 5Y CDS CDS Benchmark End of Q3 7.561 End of Q4 7.112 12 1 4 35 3 Change on Quarter (%) -5.94% Bloomberg Ticker: bbva sm equity End of Q3 63.35 End of Q4 59.315 Change on Quarter (%) -6.3% Bloomberg Ticker: BBVA CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating BBB+ Date Rating Effective 6/1/15 POS Date Outlook Effective 3/4/17 8 6 4 2 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 25 2 15 1 5 Baa1 12 Date Rating Effective 17/6/15 1 Date Outlook Effective 17/6/15 Long Term Issuer Default Rating A- Date Rating Effective 29/5/14 Date Outlook Effective 29/5/14 Bloomberg Ticker: bbva sm equity Tier One Ratio 12.1% Market Cap (GBP millions)* 42,699 Bloomberg Ticker: bbva sm equity (bps) 8 6 4 2 1Y CDS, 14.85 3Y CDS, 4.485 5Y CDS, 63.35 1Y CDS, 96.695 1Y CDS, 14.65 3Y CDS, 39 5Y CDS, 59.315 Q3 217 Q4 217 1Y CDS, 92.635 8

Banco Santander S.A. Banco Santander S.A. 5Y CDS CDS Benchmark End of Q3 5.97 8 7 35 3 End of Q4 5.479 Change on Quarter (%) -7.25% Bloomberg Ticker: san sm equity End of Q3 53.1 End of Q4 5.615 Change on Quarter (%) -4.52% 6 5 4 3 2 25 2 15 1 Bloomberg Ticker: SANTAN CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A- Date Rating Effective 6/1/15 Date Outlook Effective 9/6/17 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5 A3 9 Date Rating Effective 17/6/15 8 Date Outlook Effective 22/2/16 Long Term Issuer Default Rating A- Date Rating Effective 29/5/14 Date Outlook Effective 29/5/14 Bloomberg Ticker: san sm equity Tier One Ratio 12.53% Market Cap (GBP millions)* 81,28 Bloomberg Ticker: san sm equity (bps) 7 6 5 4 3 2 1 1Y CDS, 11.14 3Y CDS, 31.58 5Y CDS, 53.1 1Y CDS, 83.895 1Y CDS, 13.35 3Y CDS, 28.365 5Y CDS, 5.615 Q3 217 Q4 217 1Y CDS, 85.42 9

Bank of America Corporation Bank of America Corporation 5Y CDS CDS Benchmark 3 25 End of Q3 25.34 End of Q4 29.52 25 2 Change on Quarter (%) 16.5% Bloomberg Ticker: bac us equity End of Q3 49 End of Q4 47.64 2 15 1 15 1 Change on Quarter (%) -2.78% Bloomberg Ticker: BOFA CDS USD SR 5Y D14 Curncy 5 5 Long Term Local Currency Issuer Credit Rating A- Date Rating Effective 22/11/17 Date Outlook Effective 22/11/17 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A3 1 Date Rating Effective 6/12/17 9 Date Outlook Effective 6/12/17 Long Term Issuer Default Rating A Date Rating Effective 15/12/11 Date Outlook Effective 19/5/15 Bloomberg Ticker: bac us equity Tier One Ratio 13.6% Market Cap (GBP millions)* 234,631 Bloomberg Ticker: bac us equity (bps) 8 7 6 5 4 3 2 1 1Y CDS, 17.16 3Y CDS, 29.92 5Y CDS, 49 1Y CDS, 88.75 1Y CDS, 16.86 3Y CDS, 28.86 5Y CDS, 47.64 Q3 217 Q4 217 1Y CDS, 83.835 1

Barclays Bank plc Barclays Bank plc 5Y CDS CDS Benchmark 3 25 End of Q3 193.35 End of Q4 23.1 25 2 Change on Quarter (%) 5.4% Bloomberg Ticker: barc ln equity End of Q3 4.92 End of Q4 46.85 2 15 1 15 1 Change on Quarter (%) 12.62% Bloomberg Ticker: BARCLAY CDS EUR SR 5Y D14 Corp 5 5 Long Term Local Currency Issuer Credit Rating A Date Rating Effective 17/1/17 Date Outlook Effective 15/11/17 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A1 8 Date Rating Effective 12/12/16 NEG Date Outlook Effective 12/12/16 7 6 Long Term Issuer Default Rating A *+ Date Rating Effective 28/9/17 - Date Outlook Effective - Bloomberg Ticker: 8376923Z LN equity Tier One Ratio 15.6% Market Cap (GBP millions)* 34,471 Bloomberg Ticker: barc ln equity (bps) 5 4 3 2 1 1Y CDS, 1.125 3Y CDS, 27.165 5Y CDS, 4.92 1Y CDS, 63.68 1Y CDS, 17.7 3Y CDS, 32.5 5Y CDS, 46.85 Q3 217 Q4 217 1Y CDS, 72.16 11

BNP Paribas BNP Paribas 5Y CDS CDS Benchmark End of Q3 68.25 End of Q4 62.25 8 7 6 25 2 Change on Quarter (%) -8.79% Bloomberg Ticker: bnp fp equity End of Q3 36.6 End of Q4 35.82 Change on Quarter (%) -.67% Bloomberg Ticker: BNP CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A Date Rating Effective 11/3/16 Date Outlook Effective 11/3/16 5 4 3 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 15 1 5 Aa3 7 Date Rating Effective 27/9/17 6 Date Outlook Effective 27/9/17 Long Term Issuer Default Rating A+ Date Rating Effective 15/12/11 Date Outlook Effective 15/12/11 Bloomberg Ticker: bnp fp equity Tier One Ratio 12.9% Market Cap (GBP millions)* 71,61 Bloomberg Ticker: bnp fp equity (bps) 5 4 3 2 1 1Y CDS, 1.185 3Y CDS, 23.49 5Y CDS, 36.6 1Y CDS, 66.51 1Y CDS, 14.65 3Y CDS, 23.22 5Y CDS, 35.82 Q3 217 Q4 217 1Y CDS, 61.92 12

Citigroup Inc. Citigroup Inc. 5Y CDS CDS Benchmark End of Q3 72.74 End of Q4 74.41 8 7 6 25 2 Change on Quarter (%) 2.3% Bloomberg Ticker: c us equity End of Q3 51 End of Q4 48.295 Change on Quarter (%) -5.3% Bloomberg Ticker: CINC CDS USD SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating BBB+ Date Rating Effective 2/12/15 Date Outlook Effective 2/12/15 5 4 3 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 15 1 5-1 Date Rating Effective - 9 - Date Outlook Effective - Long Term Issuer Default Rating A Date Rating Effective 15/12/11 Date Outlook Effective 15/12/11 Bloomberg Ticker: c us equity Tier One Ratio 15.84% Market Cap (GBP millions)* 146,937 Bloomberg Ticker: c us equity (bps) 8 7 6 5 4 3 2 1 1Y CDS, 18.8 3Y CDS, 31 5Y CDS, 51 1Y CDS, 9.84 1Y CDS, 16.36 3Y CDS, 3.275 5Y CDS, 48.295 Q3 217 Q4 217 1Y CDS, 84.61 13

Commerzbank AG Commerzbank AG 5Y CDS CDS Benchmark End of Q3 11.51 End of Q4 12.55 16 14 12 25 2 Change on Quarter (%) 8.64% Bloomberg Ticker: cbk gy equity End of Q3 7.635 End of Q4 72.63 Change on Quarter (%) 2.82% Bloomberg Ticker: CMZB CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A- Date Rating Effective 28/3/17 NEG Date Outlook Effective 28/3/17 1 8 6 4 2 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 15 1 5 Baa1 12 Date Rating Effective 19/6/15 POS 1 Date Outlook Effective 12/12/17 Long Term Issuer Default Rating BBB+ Date Rating Effective 7/3/16 Date Outlook Effective 7/3/16 Bloomberg Ticker: cbk gy equity Tier One Ratio 13.9% Market Cap (GBP millions)* 13,969 Bloomberg Ticker: cbk gy equity (bps) 8 6 4 2 1Y CDS, 15.29 3Y CDS, 47.135 5Y CDS, 7.635 1Y CDS, 17.53 1Y CDS, 21.81 3Y CDS, 49.28 5Y CDS, 72.63 Q3 217 Q4 217 1Y CDS, 111.39 14

Credit Agricole S.A. Credit Agricole S.A. 5Y CDS CDS Benchmark End of Q3 15.38 End of Q4 13.8 18 16 14 25 2 Change on Quarter (%) -1.27% Bloomberg Ticker: aca fp equity End of Q3 33.115 End of Q4 32.58 12 1 8 6 15 1 Change on Quarter (%) -1.62% Bloomberg Ticker: LCL SA CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A Date Rating Effective 23/1/12 POS Date Outlook Effective 25/1/17 4 2 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5 A1 7 Date Rating Effective 19/7/16 6 Date Outlook Effective 19/7/16 Long Term Issuer Default Rating A+ Date Rating Effective 23/5/17 Date Outlook Effective 23/5/17 Bloomberg Ticker: aca fp equity Tier One Ratio 15.1% Market Cap (GBP millions)* 37,46 Bloomberg Ticker: aca fp equity (bps) 5 4 3 2 1 1Y CDS, 7.485 3Y CDS, 2.855 5Y CDS, 33.115 1Y CDS, 64.355 1Y CDS, 1.935 3Y CDS, 21.7 5Y CDS, 32.58 Q3 217 Q4 217 1Y CDS, 58.595 15

Credit Suisse AG Credit Suisse AG 5Y CDS CDS Benchmark End of Q3 15.8 End of Q4 17.85 Change on Quarter (%) 12.97% Bloomberg Ticker: cs us equity End of Q3 67.37 35 3 25 2 15 25 2 15 1 End of Q4 68.595 Change on Quarter (%) 1.82% Bloomberg Ticker: CRDSUI CDS EUR SR 5Y D14 Curncy 1 5 5 Long Term Local Currency Issuer Credit Rating A Date Rating Effective 2/7/13 Date Outlook Effective 9/6/15 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A1 12 Date Rating Effective 13/12/16 1 Date Outlook Effective 13/12/16 Long Term Issuer Default Rating A Date Rating Effective 15/12/11 Date Outlook Effective 24/5/16 Bloomberg Ticker: svbzk sw equity Tier One Ratio 18% Market Cap (GBP millions)* 34,235 Bloomberg Ticker: cs us equity (bps) 8 6 4 2 1Y CDS, 14.245 3Y CDS, 42.765 5Y CDS, 67.37 1Y CDS, 98.99 1Y CDS, 18.2 3Y CDS, 45.25 5Y CDS, 68.595 Q3 217 Q4 217 1Y CDS, 15.95 16

Danske Bank A/S Danske Bank A/S 5Y CDS CDS Benchmark 3 25 End of Q3 251.8 End of Q4 241.6 25 2 Change on Quarter (%) -4.5% Bloomberg Ticker: danske dc equity End of Q3 29.63 End of Q4 33.43 2 15 1 15 1 Change on Quarter (%) 12.82% Bloomberg Ticker: DANBNK CDS EUR SR 5Y D14 Curncy 5 5 Long Term Local Currency Issuer Credit Rating A Date Rating Effective 29/4/14 Date Outlook Effective 13/7/15 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A1 7 Date Rating Effective 16/8/17 6 Date Outlook Effective 16/8/17 Long Term Issuer Default Rating A Date Rating Effective 14/12/11 Date Outlook Effective 5/6/13 Bloomberg Ticker: danske dc equity Tier One Ratio 19.1% Market Cap (GBP millions)* 26,956 Bloomberg Ticker: danske dc equity (bps) 5 4 3 2 1 1Y CDS, 5.425 3Y CDS, 15.625 5Y CDS, 29.63 1Y CDS, 53.345 1Y CDS, 12.545 3Y CDS, 22.715 5Y CDS, 33.43 Q3 217 Q4 217 1Y CDS, 58.515 17

Deutsche Bank AG Deutsche Bank AG 5Y CDS CDS Benchmark End of Q3 14.63 End of Q4 15.875 Change on Quarter (%) 8.51% Bloomberg Ticker: dbk gy equity End of Q3 81.475 35 3 25 2 15 25 2 15 1 End of Q4 89 Change on Quarter (%) 9.24% Bloomberg Ticker: DB CDS EUR SR 5Y D14 Curncy 1 5 5 Long Term Local Currency Issuer Credit Rating A- Date Rating Effective 28/3/17 NEG Date Outlook Effective 28/3/17 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 Baa2 16 Date Rating Effective 23/5/16 Date Outlook Effective 6/3/17 14 12 Long Term Issuer Default Rating BBB+ Date Rating Effective 28/9/17 Date Outlook Effective 28/9/17 Bloomberg Ticker: dbk gy equity Tier One Ratio 15.6% Market Cap (GBP millions)* 27,531 Bloomberg Ticker: dbk gy equity (bps) 1 8 6 4 2 1Y CDS, 21.65 3Y CDS, 56.895 5Y CDS, 81.475 1Y CDS, 119.56 1Y CDS, 34.91 3Y CDS, 59.275 5Y CDS, 89 Q3 217 Q4 217 1Y CDS, 134.65 18

Goldman Sachs International Goldman Sachs International 5Y CDS CDS Benchmark 3 25 End of Q3 237.19 End of Q4 254.76 25 2 Change on Quarter (%) 7.41% Bloomberg Ticker: gs us equity End of Q3 65.55 End of Q4 62.615 2 15 1 15 1 Change on Quarter (%) -4.41% Bloomberg Ticker: GS CDS USD SR 5Y D14 Curncy 5 5 Long Term Local Currency Issuer Credit Rating A+ Date Rating Effective 16/12/16 Date Outlook Effective 16/12/16 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A1 12 Date Rating Effective 28/5/15 1 Date Outlook Effective 28/5/15 Long Term Issuer Default Rating A Date Rating Effective 24/1/13 Date Outlook Effective 13/12/16 Bloomberg Ticker: 1671Z LN Equity Tier One Ratio 15% Market Cap (GBP millions)* 73,99 Bloomberg Ticker: gs us equity (bps) 8 6 4 2 1Y CDS, 27.75 3Y CDS, 36.245 5Y CDS, 65.55 1Y CDS, 19.67 1Y CDS, 2.9 3Y CDS, 38.935 5Y CDS, 62.615 Q3 217 Q4 217 1Y CDS, 1.72 19

HSBC Holdings plc HSBC Bank PLC 5Y CDS CDS Benchmark End of Q3 737.1 End of Q4 766.9 8 7 6 25 2 Change on Quarter (%) 4.4% Bloomberg Ticker: hsba ln equity End of Q3 28.35 End of Q4 25.7 Change on Quarter (%) -8.33% Bloomberg Ticker: HSBC BK CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating AA- Date Rating Effective 9/6/15 Date Outlook Effective 15/11/17 5 4 3 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 15 1 5 Aa3 6 Date Rating Effective 27/9/17 NEG 5 Date Outlook Effective 27/9/17 Long Term Issuer Default Rating AA- Date Rating Effective 7/12/12 Date Outlook Effective 7/12/12 Bloomberg Ticker: mid ln equity Tier One Ratio 16.1% Market Cap (GBP millions)* 153,145 Bloomberg Ticker: hsba ln equity (bps) 4 3 2 1 1Y CDS, 6.99 3Y CDS, 16.78 5Y CDS, 28.35 1Y CDS, 5.395 1Y CDS, 7.965 3Y CDS, 15.62 5Y CDS, 25.7 Q3 217 Q4 217 1Y CDS, 49.45 2

ING Groep N.V. ING Groep N.V. 5Y CDS CDS Benchmark End of Q3 15.6 End of Q4 15.325 18 16 14 25 2 Change on Quarter (%) -1.76% Bloomberg Ticker: inga na equity End of Q3 29.545 End of Q4 47.29 12 1 8 6 15 1 Change on Quarter (%) 6.6% Bloomberg Ticker: ING BANK NV CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A- Date Rating Effective 2/12/13 Date Outlook Effective 8/6/15 4 2 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-8 Date Rating Effective - - Date Outlook Effective - 7 6 Long Term Issuer Default Rating A+ Date Rating Effective 14/4/16 Date Outlook Effective 14/4/16 Bloomberg Ticker: inga na equity Tier One Ratio 16.34% Market Cap (GBP millions)* 54,627 Bloomberg Ticker: inga na equity (bps) 5 4 3 2 1 1Y CDS, 7.21 3Y CDS, 18.12 5Y CDS, 29.545 1Y CDS, 54.95 1Y CDS, 19.26 3Y CDS, 33.765 5Y CDS, 47.29 Q3 217 Q4 217 1Y CDS, 72.45 21

Investec Bank plc Investec Bank plc 5Y CDS CDS Benchmark End of Q3 545 End of Q4 535 Change on Quarter (%) -1.83% Bloomberg Ticker: invp ln equity End of Q3-7 6 5 4 3 25 2 15 1 End of Q4 - Change on Quarter (%) - 2 1 5 Long Term Local Currency Issuer Credit Rating - Date Rating Effective - - Date Outlook Effective - Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 - Date Rating Effective - - Date Outlook Effective - Long Term Issuer Default Rating BBB+ Date Rating Effective 7/9/17 Date Outlook Effective 7/9/17 Bloomberg Ticker: 4429z ln equity Tier One Ratio 11.5% Market Cap (GBP millions)* 5,214 Bloomberg Ticker: invp ln equity 22

JPMorgan Chase & Co JPMorgan Chase & Co 5Y CDS CDS Benchmark 12 25 End of Q3 95.51 End of Q4 16.94 1 2 Change on Quarter (%) 11.97% Bloomberg Ticker: jpm us equity End of Q3 45.13 End of Q4 45.18 8 6 4 15 1 Change on Quarter (%).11% Bloomberg Ticker: JPMCC CDS USD SR 5Y D14 Curncy 2 5 Long Term Local Currency Issuer Credit Rating A- Date Rating Effective 2/12/15 Date Outlook Effective 2/12/15 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A3 9 Date Rating Effective 14/11/13 8 Date Outlook Effective 14/11/13 Long Term Issuer Default Rating A+ Date Rating Effective 1/1/12 Date Outlook Effective 1/1/12 Bloomberg Ticker: jpm us equity Tier One Ratio 14.2% Market Cap (GBP millions)* 281,148 Bloomberg Ticker: jpm us equity (bps) 7 6 5 4 3 2 1 1Y CDS, 17.16 3Y CDS, 27 5Y CDS, 45.13 1Y CDS, 84.84 1Y CDS, 17.32 3Y CDS, 27.175 5Y CDS, 45.18 Q3 217 Q4 217 1Y CDS, 8.99 23

Lloyds Banking Group plc Lloyds Banking Group plc 5Y CDS CDS Benchmark End of Q3 67.73 End of Q4 68.6 9 8 7 25 2 Change on Quarter (%).49% Bloomberg Ticker: lloy ln equity End of Q3 37.51 End of Q4 35.89 6 5 4 3 15 1 Change on Quarter (%) -4.32% Bloomberg Ticker: LLOY CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating BBB+ Date Rating Effective 9/6/15 Date Outlook Effective 15/11/17 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-7 Date Rating Effective - - 6 Date Outlook Effective - Long Term Issuer Default Rating A+ Date Rating Effective 19/5/15 Date Outlook Effective 19/5/15 Bloomberg Ticker: lloy ln equity Tier One Ratio 17% Market Cap (GBP millions)* 49,395 Bloomberg Ticker: lloy ln equity (bps) 5 4 3 2 1 1Y CDS, 11.335 3Y CDS, 24.83 5Y CDS, 37.51 1Y CDS, 61.285 1Y CDS, 8.55 3Y CDS, 21.67 5Y CDS, 35.89 Q3 217 Q4 217 1Y CDS, 63.215 24

Macquarie Bank Ltd Macquarie Bank Ltd 5Y CDS CDS Benchmark End of Q3 9.92 End of Q4 99.63 Change on Quarter (%) 9.58% Bloomberg Ticker: mqg au equity End of Q3 74.6 1 9 8 7 6 5 4 25 2 15 1 End of Q4 66.25 Change on Quarter (%) -11.19% Bloomberg Ticker: MBL CDS USD SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A Date Rating Effective 15/11/94 NEG Date Outlook Effective 3/1/16 3 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-12 Date Rating Effective - - 1 Date Outlook Effective - Long Term Issuer Default Rating A Date Rating Effective 12/3/12 Date Outlook Effective 12/3/12 Bloomberg Ticker: 2292186Z AU equity Tier One Ratio 13.3% Market Cap (GBP millions)* 2,74 Bloomberg Ticker: mqg au equity (bps) 8 6 4 2 1Y CDS, 6.785 3Y CDS, 34.58 5Y CDS, 74.6 1Y CDS, 112.37 1Y CDS, 5.7 3Y CDS, 29.48 5Y CDS, 66.25 Q3 217 Q4 217 1Y CDS, 15.9 25

Morgan Stanley Morgan Stanley 5Y CDS CDS Benchmark 6 25 End of Q3 48.17 End of Q4 52.47 5 2 Change on Quarter (%) 8.93% Bloomberg Ticker: ms us equity End of Q3 61.6 End of Q4 56.86 4 3 2 15 1 Change on Quarter (%) -6.88% Bloomberg Ticker: MS CDS USD SR 5Y D14 Curncy 1 5 Long Term Local Currency Issuer Credit Rating BBB+ Date Rating Effective 2/12/15 Date Outlook Effective 2/12/15 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A3 12 Date Rating Effective 28/5/15 1 Date Outlook Effective 28/5/15 Long Term Issuer Default Rating A Date Rating Effective 15/12/11 Date Outlook Effective 15/12/11 Bloomberg Ticker: ms us equity Tier One Ratio 19% Market Cap (GBP millions)* 71,54 Bloomberg Ticker: ms us equity (bps) 8 6 4 2 1Y CDS, 21.71 3Y CDS, 4.11 5Y CDS, 61.6 1Y CDS, 99.515 1Y CDS, 18.675 3Y CDS, 36.75 5Y CDS, 56.86 Q3 217 Q4 217 1Y CDS, 95.175 26

Natixis Natixis 5Y CDS CDS Benchmark End of Q3 6.77 End of Q4 6.596 8 7 6 25 2 Change on Quarter (%) -2.57% Bloomberg Ticker: kn fp equity End of Q3 41.19 End of Q4 37.4 Change on Quarter (%) -9.2% Bloomberg Ticker: KNFP CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A Date Rating Effective 23/1/12 POS Date Outlook Effective 2/1/17 5 4 3 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 15 1 5 A2 8 Date Rating Effective 15/6/12 POS Date Outlook Effective 26/7/17 7 6 Long Term Issuer Default Rating A Date Rating Effective 17/7/13 POS Date Outlook Effective 18/12/17 Bloomberg Ticker: kn fp equity Tier One Ratio 12.3% Market Cap (GBP millions)* 19,274 Bloomberg Ticker: kn fp equity (bps) 5 4 3 2 1 1Y CDS, 15.345 3Y CDS, 28.53 5Y CDS, 41.19 1Y CDS, 65.65 1Y CDS, 15.685 3Y CDS, 26.475 5Y CDS, 37.4 Q3 217 Q4 217 1Y CDS, 68.32 27

Nomura Bank International Nomura Bank International plc 5Y CDS CDS Benchmark End of Q3 63 End of Q4 665.1 9 8 7 25 2 Change on Quarter (%) 5.57% Bloomberg Ticker: 864 jt equity End of Q3 41.6 End of Q4 42.15 6 5 4 3 15 1 Change on Quarter (%) 2.33% Bloomberg Ticker: NOMURAH CDS JPY SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A Date Rating Effective 17/11/16 NEG Date Outlook Effective 17/11/16 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-7 Date Rating Effective - - 6 Date Outlook Effective - Long Term Issuer Default Rating - Date Rating Effective - - Date Outlook Effective - Bloomberg Ticker: 146481Z LN Equity Tier One Ratio 19.2% Market Cap (GBP millions)* 17,184 Bloomberg Ticker: 864 jt equity (bps) 5 4 3 2 1 1Y CDS, 12.25 3Y CDS, 24.575 5Y CDS, 41.6 1Y CDS, 61.95 1Y CDS, 12.725 3Y CDS, 24.715 5Y CDS, 42.15 Q3 217 Q4 217 1Y CDS, 61.53 28

NORTHERN TRUST CORP NORTHERN TRUST CORP 5Y CDS CDS Benchmark 12 25 End of Q3 91.93 End of Q4 99.89 1 2 Change on Quarter (%) 8.66% Bloomberg Ticker: ntrs us equity End of Q3 - End of Q4-8 6 4 15 1 Change on Quarter (%) - 2 5 Long Term Local Currency Issuer Credit Rating A+ Date Rating Effective 6/12/11 Date Outlook Effective 6/12/11 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A2 Date Rating Effective 14/11/13 Date Outlook Effective 14/5/15 Long Term Issuer Default Rating AA- Date Rating Effective 28/4/9 Date Outlook Effective 29/9/1 Bloomberg Ticker: ntrs us equity Tier One Ratio 13.7% Market Cap (GBP millions)* 17,475 Bloomberg Ticker: ntrs us equity 29

Rabobank Rabobank 5Y CDS CDS Benchmark End of Q3 - End of Q4 - Change on Quarter (%) - End of Q3 29.69 1.9.8.7.6.5.4 25 2 15 1 End of Q4 27.375 Change on Quarter (%) -7.8% Bloomberg Ticker: RABOBK CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A+ Date Rating Effective 4/11/14 POS Date Outlook Effective 15/9/17.3.2.1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5 Aa2 6 Date Rating Effective 28/5/15 NEG 5 Date Outlook Effective 24/11/16 Long Term Issuer Default Rating AA- Date Rating Effective 21/11/13 Date Outlook Effective 9/6/15 Bloomberg Ticker: rabo na equity Tier One Ratio 17.6% Market Cap (GBP millions)* - Bloomberg Ticker: rabo na equity (bps) 4 3 2 1 1Y CDS, 7.88 3Y CDS, 19.25 5Y CDS, 29.69 1Y CDS, 53.35 1Y CDS, 8.935 3Y CDS, 17.3 5Y CDS, 27.375 Q3 217 Q4 217 1Y CDS, 44.395 3

Royal Bank of Canada Royal Bank of Canada 5Y CDS CDS Benchmark 12 25 End of Q3 96.54 End of Q4 12.65 1 2 Change on Quarter (%) 6.33% Bloomberg Ticker: ry cn equity End of Q3 - End of Q4-8 6 4 15 1 Change on Quarter (%) - 2 5 Long Term Local Currency Issuer Credit Rating AA- Date Rating Effective 15/11/94 NEG Date Outlook Effective 6/6/16 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A1 Date Rating Effective 1/5/17 NEG Date Outlook Effective 1/5/17 Long Term Issuer Default Rating AA Date Rating Effective 18/7/5 Date Outlook Effective 27/1/17 Bloomberg Ticker: rbc ln equity Tier One Ratio 12.3% Market Cap (GBP millions)* 9,163 Bloomberg Ticker: ry cn equity 31

Santander UK plc Santander UK plc 5Y CDS CDS Benchmark End of Q3 5.97 End of Q4 5.479 8 7 6 25 2 Change on Quarter (%) -7.25% Bloomberg Ticker: san sm equity End of Q3 49.1 End of Q4 47.25 Change on Quarter (%) -4.23% Bloomberg Ticker: SANTUK CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating A Date Rating Effective 9/6/15 Date Outlook Effective 15/11/17 5 4 3 2 1 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 15 1 5 Aa3 8 Date Rating Effective 21/12/16 Date Outlook Effective 2/8/17 7 6 Long Term Issuer Default Rating A *+ Date Rating Effective 9/1/17 - Date Outlook Effective - Bloomberg Ticker: anl ln equity Tier One Ratio 12.53% Market Cap (GBP millions)* 81,28 Bloomberg Ticker: san sm equity (bps) 5 4 3 2 1 1Y CDS, 2.5 3Y CDS, 35.52 5Y CDS, 49.1 1Y CDS, 69.56 1Y CDS, 19.7 3Y CDS, 33.75 5Y CDS, 47.25 Q3 217 Q4 217 1Y CDS, 72.75 32

Société Générale Societe Generale 5Y CDS CDS Benchmark 6 25 End of Q3 49.535 End of Q4 43.5 5 2 Change on Quarter (%) -13.9% Bloomberg Ticker: gle fp equity End of Q3 37.24 End of Q4 37.5 4 3 2 15 1 Change on Quarter (%).7% Bloomberg Ticker: SOCGEN CDS EUR SR 5Y D14 Curncy 1 5 Long Term Local Currency Issuer Credit Rating A Date Rating Effective 23/1/12 Date Outlook Effective 2/12/15 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217-8 Date Rating Effective - - Date Outlook Effective - 7 6 Long Term Issuer Default Rating A Date Rating Effective 17/7/13 Date Outlook Effective 19/5/15 Bloomberg Ticker: gle fp equity Tier One Ratio 14.5% Market Cap (GBP millions)* 32,37 Bloomberg Ticker: gle fp equity (bps) 5 4 3 2 1 1Y CDS, 11.26 3Y CDS, 22.84 5Y CDS, 37.24 1Y CDS, 68.685 1Y CDS, 1 3Y CDS, 23.45 5Y CDS, 37.5 Q3 217 Q4 217 1Y CDS, 63.765 33

Standard Chartered plc Standard Chartered plc 5Y CDS CDS Benchmark End of Q3 741.6 End of Q4 78.1 18 16 14 25 2 Change on Quarter (%) 5.19% Bloomberg Ticker: stan ln equity End of Q3 4.495 End of Q4 43.25 12 1 8 6 15 1 Change on Quarter (%) 6.25% Bloomberg Ticker: STANLN BK CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating BBB+ Date Rating Effective 31/3/16 Date Outlook Effective 31/3/16 4 2 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-7 Date Rating Effective - - 6 Date Outlook Effective - Long Term Issuer Default Rating A+ Date Rating Effective 5/11/15 NEG Date Outlook Effective 11/1/17 Bloomberg Ticker: stan ln equity Tier One Ratio 15.7% Market Cap (GBP millions)* 26,29 Bloomberg Ticker: stan ln equity (bps) 5 4 3 2 1 1Y CDS, 11.35 3Y CDS, 25.35 5Y CDS, 4.495 1Y CDS, 62.665 1Y CDS, 1.7 3Y CDS, 25.67 5Y CDS, 43.25 Q3 217 Q4 217 1Y CDS, 66.23 34

The Royal Bank of Scotland The Royal Bank of Scotland plc 5Y CDS CDS Benchmark End of Q3 268.3 End of Q4 278 45 4 35 25 2 Change on Quarter (%) 3.62% Bloomberg Ticker: rbs ln equity End of Q3 47.475 End of Q4 51.4 3 25 2 15 15 1 Change on Quarter (%) 8.27% Bloomberg Ticker: RBSPLC CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating BBB+ Date Rating Effective 9/6/15 Date Outlook Effective 15/11/17 1 5 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-9 Date Rating Effective - - Date Outlook Effective - Long Term Issuer Default Rating BBB+ Date Rating Effective 19/5/15 Date Outlook Effective 19/5/15 Bloomberg Ticker: 2783Z LN equity Tier One Ratio 17.7% Market Cap (GBP millions)* 33,596 Bloomberg Ticker: rbs ln equity (bps) 8 7 6 5 4 3 2 1 1Y CDS, 15.44 3Y CDS, 33.64 5Y CDS, 47.475 1Y CDS, 71.375 1Y CDS, 15.93 3Y CDS, 35.675 5Y CDS, 51.4 Q3 217 Q4 217 1Y CDS, 77.885 35

UBS AG UBS AG 5Y CDS CDS Benchmark 25 25 End of Q3 16.55 End of Q4 17.94 2 2 Change on Quarter (%) 8.4% Bloomberg Ticker: ubsg sw equity End of Q3 27.32 15 1 15 1 End of Q4 22.77 Change on Quarter (%) -16.65% Bloomberg Ticker: UBS AG CDS EUR SR 5Y D14 Corp 5 5 Long Term Local Currency Issuer Credit Rating A+ Date Rating Effective 6/6/16 Date Outlook Effective 6/6/16 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 A1 6 Date Rating Effective 11/1/16 5 Date Outlook Effective 11/1/16 Long Term Issuer Default Rating AA- Date Rating Effective 28/9/17 Date Outlook Effective 28/9/17 Bloomberg Ticker: ubs ln equity Tier One Ratio 19.7% Market Cap (GBP millions)* 53,828 Bloomberg Ticker: ubsg sw equity (bps) 4 3 2 1 1Y CDS, 6.87 3Y CDS, 16.16 5Y CDS, 27.32 1Y CDS, 48.995 1Y CDS, 6 3Y CDS, 13.17 5Y CDS, 22.77 Q3 217 Q4 217 1Y CDS, 37.54 36

UNICREDIT SPA UNICREDIT SPA 5Y CDS CDS Benchmark End of Q3 18.2 End of Q4 15.58 Change on Quarter (%) -13.54% 35 3 25 45 4 35 3 Bloomberg Ticker: ucg im equity End of Q3 91.26 End of Q4 78.925 Change on Quarter (%) -13.52% 2 15 1 25 2 15 1 Bloomberg Ticker: UCGIM CDS EUR SR 5Y D14 Curncy Long Term Local Currency Issuer Credit Rating BBB Date Rating Effective 31/1/17 Date Outlook Effective 31/1/17 5 Dec 212 Jun 213 Dec 213 Jun 214 Dec 214 Jun 215 Dec 215 Jun 216 Dec 216 Jun 217 5-35 Date Rating Effective - - 3 Date Outlook Effective - Long Term Issuer Default Rating BBB Date Rating Effective 27/4/17 Date Outlook Effective 27/4/17 Bloomberg Ticker: ucg im equity Tier One Ratio 9.4% Market Cap (GBP millions)* 32,318 Bloomberg Ticker: ucg im equity (bps) 25 2 15 1 5 1Y CDS, 3.985 3Y CDS, 63.2 5Y CDS, 91.26 1Y CDS, 324.27 1Y CDS, 15.65 3Y CDS, 48.68 5Y CDS, 78.925 Q3 217 Q4 217 1Y CDS, 286.995 37

Important Information This information has been prepared solely for information purposes and is not an offer to buy or sell or a solicitation of an offer to buy or sell any investment offered by Meteor Asset Management. The information is based on or derived from information generally available to the public from sources believed to be reliable. No representation or warranty can be given with respect to the accuracy or completeness of the information. We do not undertake to update this information. Meteor Asset Management Limited and its affiliates disclaim any and all liability relating to this information, including without limitation any express or implied representations or warranties for statements contained in, and omissions from, this information. Additional information is available on request. Meteor Asset Management Limited does not give investment, tax, accounting and legal or regulatory advice and investors should consult with their professional advisors. Approved and issued by Meteor Asset Management Limited. Meteor Asset Management is authorised and regulated by the Financial Services Authority, FCA Number 459325. Financial Services Authority: 25 The North Colonnade, Canary Wharf, London E14 5HS. Meteor Asset Management Limited 55 King William Street London EC4R 9AD Tel +44 ()2 794 11 Fax +44 ()2 7283 1355 Email info@meteoram.com Web www.meteoram.com 38