Core capital ratios (tier 1 ratings) of SSPA members

Data as of March 21, 2011 Issuer (issue vehicle) Bank Julius Br & Co. Ltd. Bank Julius Br & Co. Ltd. Guernsey Branch Barclays Bank PLC Bank Sarasin & Co. Ltd. Bank Sarasin (CI) Ltd Bank Vontobel AG Vontobel Financial Products Ltd. Banque Cantonale Vaudoise Banque Cantonale Vaudoise, Guernsey Branch Clariden Leu AG Clariden Leu Ltd., Nassau Branch Commerzbank Credit Suisse Guernsey Branch Credit Suisse London Branch Credit Suisse Nassau Branch Credit Suisse International Deutsche Bank AG Deutsche Bank AG, London Branch Deutsche Bank AG, Zuerich Branch Domicile Zurich Guernsey London Basel Guernsey Zurich Dubai Lausanne Guernsey Zurich Nassau Frankfurt Guernsey London Nassau London Frankfurt London Zurich Relationship to rated company with core capital ratio (tier 1 ratings) same legal entity Bank Julius Br & Co. Ltd. branch, same legal entity subsidiary same legal entity Bank Sarasin & Co. Ltd. subsidiary same legal entity subsidiary same legal entity Banque Cantonale Vaudoise branch, same legal entity same legal entity Clariden Leu2) branch, same legal entity same legal entity branch, same legal entity branch, same legal entity branch, same legal entity same legal entity same legal entity branch, same legal entity branch, same legal entity Deutsche Bank AG
12.3 H2 2010 IFRS 23.9 H2 2010 US-GAAP 18 H1 2010 Swiss GAAP FER 15.3 H2 2010 IFRS 23.8 H2 2010 IFRS

Company with core capital ratio (tier 1 ratings)

Core capital ratio (tier 1 in %)

Closing date

Accounting standards

Barclays PLC

13.5

H2 2010

IFRS

Bank Vontobel AG1) Vontobel Holding AG

21.8

H2 2010

IFRS IFRS

Commerzbank

11.2

Q3 2010

IFRS

Credit Suisse2)

17.2

H2 2010

US-GAAP

Credit Suisse International2)

US-GAAP

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Core capital ratios (tier 1 ratings) of SSPA members

Data as of March 21, 2011 Issuer (issue vehicle) EFG Financial Products AG EFG Financial Products (Guernsey) Ltd. Goldman Sachs International Macquarie Structured Products (Europe) GmbH Merrill Lynch Capital Markets AG Merrill Lynch International & Co. Netherlands Antilles Merrill Lynch SA Morgan Stanley & Co. Inc. Morgan Stanley & Co. International Plc. Morgan Stanley B.V. Sal. Oppenheim jr. & Cie. KGaA SGA Socit Gnrale Acceptance N.V. Socit Gnrale Effekten GmbH The Royal Bank of Scotland N.V., London Branch UBS AG UBS AG, Jersey Branch UBS AG, London Branch UniCredit Bank AG Zrcher Kantonalbank Zrcher Kantonalbank Finance (Guernsey) Ltd Domicile Zurich Guernsey London Frankfurt Zurich Curaao Relationship to rated company with core capital ratio (tier 1 ratings) subsidiary EFG International AG subsidiary subsidiary Tochtergesellschaft subsidiary subsidiary Bank of America Corporation
11.24 H2 2010 US-GAAP 14 H2 2010 IFRS

Company with core capital ratio (tier 1 ratings)

Core capital ratio (tier 1 in %)

Closing date

Accounting standards

Goldman Sachs Group, Inc. Macquarie Bank Limited

15.2 11.5

H1 2010 H1 2010

US-GAAP IFRS

Luxembourg subsidiary Wilmington London Amsterdam Cologne Curaao Frankfurt London Zurich Jersey London Mnchen Zurich Guernsey same legal entity subsidiary subsidiary same legal entity subsidiary Socit Gnrale subsidiary branch, same legal entity same legal entity branch, same legal entity branch, same legal entity same legal entity same legal entity Zrcher Kantonalbank subsidiary
14.1 H2 2010 RRV-EBK 10.6 H2 2010 IFRS

Morgan Stanley & Co. Inc.

16

H2 2010

US-GAAP

Sal. Oppenheim jr. & Cie.

8.7

H2 2008

IFRS

The Royal Bank of Scotland N.V.

12.5

Q3 2010

IFRS

UBS AG

17.7

H2 2010

IFRS

UniCredit Bank AG

16

Q3 2010

IFRS

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Core capital ratios (tier 1 ratings) of SSPA members

Data as of March 21, 2011 Issuer (issue vehicle) Key: Issuer (issue vehicle) Domicile Relationship to rated company with core capital ratio (tier 1 rating) Company with core capital ratio (tier 1 rating) Core capital ratio (tier 1 in %) Closing date Accounting standard Q H 1) 2) Sources: Important: Domicile Relationship to rated company with core capital ratio (tier 1 ratings) Company with core capital ratio (tier 1 ratings) Core capital ratio (tier 1 in %) Closing date Accounting standards

Issuer of a structured product. Issuers (issue vehicle's) legal domicile. Nature of legal relationship to the parent company. Listed only if the issuer or issue vehicle is other than the parent company. - Branch: Legally the same as the parent company. - Subsidiary: Independent legal entity (in which the parent company has a majority stake) in the country/judicial district concerned. Business for which a core capital ratio is available. The tier 1 core capital ratio (according to Basel II) is the ratio of core capital and risk-weighted credit amounts. The core capital is made up of the share capital, disclosed reserves and profit carried forward. Equity requirements according to Basel II require a minimum tier 1 rating of 4%. Publication date / Issuers calculation of core capital ratio. This refers to the end of the respective reporting period. The accounting standard indicates which regulations the companys accounts adhere to. The main accounting standards are IFRS (International Financial Reporting Standards), US-GAAP (United States Generally Accepted Accounting Principles), Swiss GAAP FER and RRV-EBK. Core capital ratio not published. quarter half-year Bank Vontobel AG is a 100% subsidiary of Vontobel Holding AG. Clariden Leu, Credit Suisse and Credit Suisse International are 100% subsidiaries of Credit Suisse Group AG. Issuers Please note that the core capital ratio (tier 1 ratings) is only one of several criteria influencing the choice of a structured product. The information below should not be considered investment advice, nor does it constitute an offer or recommendation to buy or sell a product or take the place of a person-to-person consultation. Rather than investing in a single product, we recommend diversification. This prevents a single product in an investment portfolio from gaining too much weight, and in cases of default having too great an effect on the portfolios overall value. Core capital ratio information is provided by issuer. The SSPA and the issuers listed are in no way responsible for the completeness or accuracy of the information. No special verification procedures were performed.

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