Credit Derivatives - Approved Jurisdictions

This will confirm our conversation today regarding which European
jurisdictions are approved for trading credit derivatives: the U.K., Sweden,
Norway, Finland and Switzerland.

The European jurisdictions which are not approved to trade credit derivatives
include: France, Germany, Gibraltar, Ireland, Italy, Scotland, Spain, and
The Netherlands. For banks incorporated in a non-approved jurisdiction, it
may be possible for them to trade out of a branch located in an approved
jurisdiction (i.e. U.S. and U.K. branches). This would have to be
determined on a case by case basis.

Per our conversation, Canada is also not an approved jurisdiction for credit
derivatives.

Please let me know if there are any changes to this list.