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					Cumulative Gap Positions based on resilience outflows:                                                                                                                                                                                                                                                                                                                   08/01/10
                                                                                                                                                    0

                                                                                                                                      ILAS SOLO or BRANCH


   RETURN TO MAIN LRP >
                                                                                                                                                                                                                                                                                                87.00

MIS-MATCH GAPS                                                         <= 2 W             <= 1M            <= 3M             <=6M              <=1 YR             <= 2YRS            <= 5 YRS          >5 YRS    SURVIVAL DAYS - FROM NEXT BUSINESS DAY                                                          Contractual Gap Coverage

1: Wholesale Refinancing Gap no collateral (adjusted for shorts)                 0             0                    0             0                 0                    0                  0                0   -Wholesale survival days no collateral (GAP 1)                               >91         DAYS                                                 2 WEEKS   1 MONTH
                                                                   #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!
                                                                                                                                                                                                                                                                                                                 Highly Liquid Assets only (GAP 2)
2: Wholesale Refinancing Gap highly liquid collateral                            0             0                    0             0                 0                    0                  0                0   -Wholesale survival days using highly liquid collateral (GAP 2)              >91         DAYS   -Withdrawable (Gap 5)                         #DIV/0!    #DIV/0!
                                                                   #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!                                                                                                       -Withdrawable and off balance sheet (Gap 6)   #DIV/0!    #DIV/0!

3: Wholesale Refinancing Gap high quality collateral                             0             0                    0             0                 0                    0                  0                0   -Wholesale survival days using high quality collateral (GAP 3)               >91         DAYS   High Quality Assets only (GAP 3)
                                                                   #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!                                                                                                       -Withdrawable (Gap 5)                         #DIV/0!    #DIV/0!
                                                                                                                                                                                                                                                                                                                 -Withdrawable and off balance sheet (Gap 6)   #DIV/0!    #DIV/0!
4: Overall Refinancing Gap including all collateral                              0             0                    0             0                 0                    0                  0                0
                                                                   #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!       SOURCES OF FUNDING                                                                              All assets and customer inflows (GAP 4)
                                                                                                                                                                                                                                                                                                                 -Withdrawable (Gap 5)                         #DIV/0!    #DIV/0!
5: Overall Refinancing Gap plus withdrawable stress                              0             0                    0             0                 0                    0                  0                0   WHOLESALE                                                                  #DIV/0!              -Withdrawable and off balance sheet (Gap 6)   #DIV/0!    #DIV/0!
                                                                   #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!
                                                                                                                                                                                                                 CUSTOMER                                                                   #DIV/0!
6: Overall Refinancing Gap plus withdrawable stress                              0             0                    0             0                 0                    0                  0                0
   and off-balance sheet stress                                    #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!       CAPITAL                                                                    #DIV/0!

7: Impact of Downgrade Triggers (2 notches long term)                            0             0                    0             0                 0                    0                  0                0                                                                                 #DIV/0!
                                                                   #DIV/0!           #DIV/0!          #DIV/0!           #DIV/0!           #DIV/0!            #DIV/0!              #DIV/0!          #DIV/0!



ANALYSIS OF EMR ASSETS AND LIABILITIES                                                                                                                                                                                                                         Repo Highly Liquid Securities                     Structural Funding Ratios

                                                                        Assets                           Liabilities
                                                                                                                                                                                                                                                               Repo High Quality Securities                      Customer Advance / Customer Deposits          #DIV/0!
Reporting Currency                                                        GBP                                  GBP                                                                                                                                             Repo Other Assets
Units                                                                   1,000                               1,000                                                                                                                                                                                                CEBS Funding Ratio
                                                                                                                                                                                              0%
                                                                                                                                                                                            0%0%
                                                                                                                                                                                                                                                               Primary Issuance
                                                                                                                                                                                             00%
                                                                                                                                                                                             0%
                                                                                                                                                                                            0%
                                                                                                                                                                                            0%%
                                                                                                                                                                                              0%
                                                                                                                                                                                              0%
Cash & Central Bank Reserves & deposits                                      -                                                                                                                                                                                 Structured Issuance                               -As defined                                   #DIV/0!
Own Account Securities                                                       -                                                                                                                                                                                 Covered Bonds
Reverse / Repo                                                               -                                  -                                                                                                                                                                                                -As defined excluding contingencies           #DIV/0!
Loans & Deposits with UK Credit Institutions                                 -                                  -
                                                                                                                                                                                                                                                               Asset Backed Securities
Loans & Deposits with Non-UK Credit Institutions                             -                                  -                                                                                                                                              Group                                             -As defined but using 25% contingencies       #DIV/0!
Loans & Deposits with Group                                                  -                                  -
                                                                                                                                                                                                                                                               Unsecured Credit Institution
Government & Central Bank Unsecured Deposits                                                                    -                                                                                                                                                                                                Turner Review
Non-bank financial Deposits                                                                                     -                                                                                                                                              Unsecured Non-bank Financial
Professional non-financial                                                                                      -                                                                                                                                              Unsecured Governments & Central Banks             Core Funding Ratio                            #DIV/0!
Primary Issuance                                                                                                -
Structured Issuance                                                                                             -                                                                                                                                              Unsecured Other Wholesale                         FRBNY
Covered Bonds                                                                                                   -                                                                                                                                              Conditional Liabilities
Loans & Deposits with all enterprises (Corporate Banking)                    -                                  -                                                                                                                                                                                                Net Stable Funding                            #DIV/0!
                                                                                                                                                                                                                                                               Customers - Large Enterprises
Loans & Deposits Individuals (Retail Banking)                                -                                  -
Asset Back Securities                                                        -                                  -                                                                                                                                              Customers - SME's
Conditional Liabilities                                                                                         -                                                                                                                                              Customers - Individuals                           BCBS
Free client cash                                                                                                -
Dated Capital                                                                                                   -                                                                                                                                              Client Free Cash                                  Net Stable Funding                            #DIV/0!
Non-dated Capital                                                                                               -                                                                                                                                              Net Derivatives Margin                            One month liquidity coverage ratio narrow     #DIV/0!
Derivatives cash margin given/received                                       -                                  -                                                                                                                                                                                                One month liquidity coverage ratio wide       #DIV/0!
Net Derivatives collateral margin given                                      -                                                                                                                                                                                 Dated Capital
FX for material currencies                                                   -                                  -                                                                                                                                              Non-dated Capital
                                                                                                                                                                                                                                                               FX for material currencies
                                                                             -                                  -

Off Balance Sheet Commitments                                                -                                  -


                                                                                                                                      LIQUIDITY BUFFER SURPLUS / (DEFICIT) MONITORING

Key Asset/Liability Ratios                                                                                                                                                                                           TWO WEEK             TWO WEEK                       THREE MONTH     THREE MONTH
                                                                                                                                                                                                                     LOW POINT            HIGH POINT                       LOW POINT       HIGH POINT
Customer Advance / Customer Deposits                               #DIV/0!
                                                                                                                                                        ILG Surplus / (Deficit)                                               0                     0                               0                 0
Term Funding                                                       #DIV/0!
                                                                                                                                                        Date Low / High                                               1/11/2010             1/11/2010                        1/11/2010      1/11/2010
Withdrawable Funding                                               #DIV/0!
                                                                                                                                                        Composition at each point
Off Balance Sheet Commitments / Total Liabilities                  #DIV/0!
                                                                                                                                                        Liquidity Buffer                                                      0                     0                               0                 0
Customer Advances / Total Assets                                   #DIV/0!                                                                              Wholesale Requirement if a deficit                                    0                     0                               0                 0

Securitisation / Total Liabilities                                 #DIV/0!                                                                              Retail ILG                                                            0                     0                               0                 0
                                                                                                                                                        Off-Balance Sheet ILG                                                 0                     0                               0                 0
Wholesale Funding / Total Liabilities                              #DIV/0!                                                                              Intra-day                                                             0                     0                               0                 0
                                                                                                                                                        Downgrade ILG                                                         0                     0                               0                 0
                                                                                                                                                        Other ILG Add-ons                                                     0                     0                               0                 0
                                                                                                                                                        Impact of Multiplier                                                  0                     0                               0                 0

                                                                                                                                                                                                                              0                     0                               0                 0
CHART GAP ANALYSIS                                                                                 CUMULATIVE DAILY FLOWS
                                                1: Wholesale Cash Flow Gap no collateral


                             100%                                                                                                                                                                                                                                                                            Wholesale Survival Period


                             80%                                                                                                                                     1.00
                                                                                                                                                                     0.90




                                                                                                                                Net Cash & Collateral Gap
                             60%                                                                                                                                     0.80
                                                                                                                                                                     0.70
                             40%                                                                                                                                     0.60
                                                                                                                                                                                                                                                                                                                                                                                                                                              1: Daily Cash flow after shorts for Chart Only
                                                                                                                                                                     0.50
                                                                                                                                                                                                                                                                                                                                                                                                                                              1: Cum Cash Flow (adjusted for shorts)
                             20%                                                                                                                                     0.40
                                                                                                                                                                     0.30
                               0%                                                                                                                                    0.20
                                         <= 2      <= 1M <= 3M <=6M            <=1       <=     <= 5                                                                 0.10
                                          W                                    YR       2YRS    YRS                                                                    -
                                                                                                                                                                         1/11/2010         1/18/2010       1/25/2010        2/1/2010          2/8/2010            2/15/2010       2/22/2010         3/1/2010          3/8/2010          3/15/2010        3/22/2010          3/29/2010         4/5/2010         4/12/2010
                                                                                                                                                                                                                                                                                                  Time Line


                                        2: Wholesale Refinancing Gap highly liquid collateral

                                                                                                                                                                                                                                                                                              Wholesale and Highly Liquid Asset Survival Period
                             100%

                              80%                                                                                                                                1




                                                                                                                      Net Cash & Collateral Gap
                                                                                                                                                                 1
                              60%                                                                                                                                1
                                                                                                                                                                 1
                              40%                                                                                                                                1
                                                                                                                                                                                                                                                                                                                                                                                                                                           2: Daily Flow Cash & Collateral For Chart Only
                                                                                                                                                                 1
                                                                                                                                                                                                                                                                                                                                                                                                                                           2: Cum Cash Flow & Highly Liquid Collateral
                              20%                                                                                                                                0
                                                                                                                                                                 0
                               0%                                                                                                                                0
                                                                                                                                                                 0
                                         <= 2      <= 1M <= 3M <=6M            <=1       <=     <= 5
                                          W                                    YR       2YRS    YRS                                                              0
                                                                                                                                                                 1/11/2010             1/18/2010       1/25/2010       2/1/2010           2/8/2010          2/15/2010         2/22/2010         3/1/2010          3/8/2010          3/15/2010        3/22/2010         3/29/2010           4/5/2010        4/12/2010
                                                                                                                                                                                                                                                                                              Time Line


                                      3: Wholesale Refinancing Gap high quality collateral

                                                                                                                                                                                                                                                                                               Wholesale and High Quality Asset Survival Period
                             100%
                                                                                                                                                                     1
                              80%
                                                                                                                                     Net Cash & Collateral Gap




                                                                                                                                                                     1
                                                                                                                                                                     1
                              60%
                                                                                                                                                                     1
                                                                                                                                                                     1
                              40%                                                                                                                                                                                                                                                                                                                                                                                                          3: Daily Flow Cash & Collateral For Chart Only
                                                                                                                                                                     1
                                                                                                                                                                     0                                                                                                                                                                                                                                                                     3: Cum Cash Flow & High Quality Collateral
                              20%
                                                                                                                                                                     0
                                                                                                                                                                     0
                               0%
                                                                                                                                                                     0
                                         <= 2      <= 1M <= 3M <=6M             <=1      <=     <= 5                                                                 0
                                          W                                     YR      2YRS    YRS
                                                                                                                                                                     1/11/2010          1/18/2010       1/25/2010       2/1/2010           2/8/2010             2/15/2010       2/22/2010         3/1/2010          3/8/2010          3/15/2010         3/22/2010          3/29/2010          4/5/2010        4/12/2010
                                                                                                                                                                                                                                                                                                Time Line

                                             4: Overall Refinancing Gap including all assets


                                                                                                                                                                                                       5: Overall Refinancing Gap plus withdrawable stress                                                                       6: Overall Refinancing Gap plus withdrawable stress                                                7: Impact of a downgrade
                             100%

                              80%                                                                                                                                                                                                                                                                                            100%                                                                                      1
                                                                                                                                                                             100%                                                                                                                                                                                                                                    0.9
                              60%                                                                                                                                                                                                                                                                                            80%                                                                                     0.8
                                                                                                                                                                                 80%                                                                                                                                                                                                                                 0.7
                              40%                                                                                                                                                                                                                                                                                            60%                                                                                     0.6
                                                                                                                                                                                 60%                                                                                                                                                                                                                                 0.5
                              20%                                                                                                                                                                                                                                                                                            40%                                                                                     0.4
                                                                                                                                                                                 40%                                                                                                                                                                                                                                 0.3
                               0%                                                                                                                                                                                                                                                                                            20%                                                                                     0.2
                                         <= 2      <= 1M <= 3M <=6M             <=1       <=        <= 5                                                                         20%                                                                                                                                                                                                                                 0.1
                                          W                                     YR       2YRS       YRS                                                                                                                                                                                                                        0%                                                                                      0
                                                                                                                                                                                 0%                                                                                                                                                  <= 2   <= 1M <= 3M <=6M         <=1    <=     <= 5                                    <= 2   <= 1M <= 3M <=6M       <=1     <=       <= 5
ILAA REQUIREMENT vs. LIQUIDITY BUFFER                                                                                                                                                     <= 2 W       <= 1M        <= 3M          <=6M        <=1 YR           <= 2YRS                                                               W                              YR    2YRS    YRS                                      W                            YR     2YRS      YRS




                                                                                                                                                                                                                                                ILG REQUIREMENT vs. LIQUIDITY BUFFER
                             1.00
                             0.90
     Requirement or Buffer




                             0.80
                             0.70
                             0.60
                             0.50                                                                                                                                                                                                                                                                                                                                                                                                                                ILG Requirement
                             0.40                                                                                                                                                                                                                                                                                                                                                                                                                                Cumulative Liquidity Buffer
                             0.30
                             0.20
                             0.10
                               -
                                    1/11/2010                1/18/2010                  1/25/2010          2/1/2010                                                         2/8/2010                2/15/2010            2/22/2010                   3/1/2010                 3/8/2010               3/15/2010                 3/22/2010              3/29/2010                 4/5/2010                 4/12/2010
                                                                                                                                                                                                                                                Time Line
CEBS RATIO

RETAIL DEPOSITS (CUSTOMERS)                                                            0   RETAIL, WHOLESALE TYPE B AND SME

UNSECURED WHOLESALE > 1 YR                                                             0   INCLUDES GROUP > 1 YR AND HYBRID CAPITAL > 1YR

EQUITY                                                                                 0   NON-DATED ONLY

CEBS NUMERATOR                                                                         0

LOAN BOOK                                                                              0

LOW LIQUIDITY ASSETS > 1YR                                                             0   MV SECURITIES POSITION AT 1 YR

GROUP SECURITIES > 1YR                                                                 0   MV SECURITIES POSITION AT 1 YR

GROUP LENDING > 1YR                                                                    0

ILLIQUID ASSETS                                                                        0

OFF-BALANCE SHEET                                                                      0

25% OFF-BALANCE SHEET                                                                  0

CEBS DENOMINATOR 1                                                                     0               #DIV/0!
CEBS DENOMINATOR 2                                                                     0               #DIV/0!
CEBS DENOMINATOR 3                                                                     0               #DIV/0!


Turner Core Funding Ratio

CORE CEBS DEPOSITS                                                                     0
SECURED > 1 YR                                                                         0

TURNER NUMERATOR                                                                       0

TURNER DENOMINATOR (TOTAL LIABILITIES)                                                 0               #DIV/0!


FED Net Stable Funding
                                                                             Nominal        ASLDep

UNSECURED WHOLESALE > 1 YR                                                             0         100                              0
EQUITY                                                                                 0         100                              0
LARGE CORPORATES                                                                       0          85                              0
SME                                                                                    0          90                              0
RETAIL TYPE A                                                                          0          80                              0
RETAIL TYPE B                                                                          0          90                              0

FED NUMERATOR (ACTUAL STABLE FUNDING)                                                                                             0

                                                                             Nominal          LHC

LOAN BOOK                                                                              0         100                              0
LESS WHOLELOANS AND SELF-ISSUE                                                         0         100                              0
OFF BALANCE SHEET                                                                      0          25                              0
GROUP LENDING > 1YR                                                                    0         100                              0

SECURITIES AT 1 YR

Liquid asset buffer-eligible securities                                                0           5                              0
Other high quality central bank, supranational and central government debt             0           5                              0
US GSE/GSA securities                                                                  0           5                              0
Own-name securities and transferable whole-loans                                       0          35                              0
High quality asset-backed securities                                                   0          35                              0
High quality covered bonds                                                             0          35                              0
Securities issued by group entities                                                    0         100                              0
High quality corporate bonds (UK credit institutions)                                  0          15                              0
High quality corporate bonds (non-UK credit institutions)                              0          15                              0
High quality corporate bonds (excluding credit institutions)                           0          15                              0
Equities included in major indices                                                     0          15                              0
Other securities and commodities                                                       0         100                              0

FED DENOMINATOR (REQUIRED STABLE FUNDING)                                                                                         0   #DIV/0!
  RETURN TO MAIN LRP >


Estimated BCBS Proposed Liquidity Coverage Ratio at 30 days (one month)




                           LCR                                 Available Buffer        >=          100%
                                                                Requirement


                           LCR                                        0                =          #DIV/0!                                     0
                                                                      0

BCBS Buffer Assets (Narrow Definition)

BIPRU 12.7 securities                                                              6                             0
Other Govies and supranationals                                                    7                             0
DMMF                                                                              18                             0
Central Bank Reserves                                                             19                             0

Total BCBS Buffer at one month                                                                                   0



Cumulative Requirement at one month
                                                                                                                     Factor     Requirement
Wholesale Inflows open and contractually <= 1 month

Lending to group entities                                                         20                             0    100.00%                 0
Lending to UK credit institutions                                                 21                             0    100.00%                 0
Lending to non-UK credit institutions                                             22                             0    100.00%                 0
Own account security cash flows                                                   23                             0    100.00%                 0
Reverse repo (items reported in line 6)                                           25                             0    100.00%                 0
Reverse repo (items reported in lines 7 and 8)                                    26                             0    100.00%                 0
Reverse repo (items reported in lines 10 and 11)                                  27                             0    100.00%                 0
Reverse repo (items reported in lines 13, 14 and 15)                              28                             0    100.00%                 0
Reverse repo (items reported in line 16)                                          29                             0    100.00%                 0
Reverse repo (items reported in lines 9, 12 and 17)                               30                             0    100.00%                 0

Planned Lending Inflows excluding callable balances

Non-retail lending exposures (Commercial)                                         31                             0    100.00%                 0
Retail lending exposures                                                          32                             0    100.00%                 0
SSPE asset cash flows                                                             33                             0    100.00%                 0

Wholesale Type A Outflows

Repo (items reported in line 6)                                                   34                             0    100.00%                 0
Repo (items reported in lines 7and 8)                                             35                             0    100.00%                 0
Repo (items reported in lines 10 and 11)                                          36                             0    100.00%                 0
Repo (items reported in lines 13, 14 and 15)                                      37                             0    100.00%                 0
Repo (items reported in line 16)                                                  38                             0    100.00%                 0
Repo (items reported in lines 9, 12 and 17)                                       39                             0    100.00%                 0
Primary issuances - senior securities                                             40                             0    100.00%                 0
Primary issuances - dated subordinated securities                                 41                             0    100.00%                 0
Primary issuances - structured notes                                              42                             0    100.00%                 0
Covered bonds                                                                     43                             0    100.00%                 0
Group entities                                                                    44                             0    100.00%                 0
UK credit institutions                                                            45                             0    100.00%                 0
Non-UK credit institutions                                                        46                             0    100.00%                 0
Governments, central banks and supranationals              All Non-operational    47                             0    100.00%                 0
Non-credit institution financials                                                 48                             0    100.00%                 0
Non-financial large enterprises - Type A                   All Non-operational    49                             0     75.00%                 0
Conditional liabilities pre-trigger contractual profile                           50                             0    100.00%                 0
SSPE liability cash flows                                                         51                             0    100.00%                 0

Customer Outflows

Non-financial large enterprises - Type B                       All Operational    52                             0     25.00%                 0
SME deposits                                                      7.5%-15%        53                             0     15.00%                 0
Retail deposits - Type A                                                          54                             0     15.00%                 0
Retail deposits - Type B                                                          55                             0      7.50%                 0
Client / brokerage free cash                                                      56                             0    100.00%                 0

Off balance sheet

Secured facilities provided - other securities                                    60                             0    100.00%                 0

Unsecured facilities provided - credit institutions                               61                             0    100.00%                 0

Unsecured stand-by facilities provided - entities other
than credit institutions and connected SSPE's                                     63                             0    100.00%                 0
Unsecured facilities provided by connected SSPE's -
third parties                                                                     64                             0     10.00%                 0
Unsecured facilities provided - entities other than
credit institutions                                                               65                             0     10.00%                 0
Overdraft and credit card facilities provided                                     66                             0     10.00%                 0
Pipeline lending commitments                                                      67                             0    100.00%                 0
Other legally binding commitments provided                                        69                             0     10.00%                 0

Three notch downgrade

Asset put backs from third parties vehicles                                       70                             0    100.00%                 0
Conditional liabilities                                                           71                             0    100.00%                 0
Over the counter (OTC) derivative triggers                                        72                             0    100.00%                 0
Other contingent liabilities                                                      73                             0    100.00%                 0

                                                                                                                                              0
Wider Buffer Definition

High quality covered bonds                                                        11                             0     60.00%                 0
High quality corporate bonds (excluding credit institutions)                      15                             0     60.00%                 0


                                                                                                                                              0


                                                                                            LCR Wider definition                    0             #DIV/0!
                                                                                                                                    0


                                                                                            Wider buffer limit                                0

                                                                                            Wider Buffer allowed                              0
   RETURN TO MAIN LRP >


Estimated BCBS Net Stable Funding Ratio (NSFR)

                              Component                         FSA047/048 Reference               Amount          Weighting   Stable Funding

Non-dated capital                                              -A1                                            0         100%                    0


Type A wholesale fixed residual maturity > 1 year           36H + 36I + 36J + 39H +                           0         100%                    0
Exclude buffer repo, covered bond repo, corporate bond repo 39I + 39J + (40 to 51) H +
and equity repo > 1 year as netted in the requirement       (40 to 51) I + (40 to 51) J
Note line 36 includes covered bond repo which should be
moved onto line 35

LE Type B wholesale fixed residual maturity > 1 year           52H + 52I + 52J                                0         100%                    0

SME Type B wholesale fixed residual maturity > 1 year          53H + 53I + 53J                                0         100%                    0
Retail deposits fixed residual maturity > 1 year          54H + 54I + 54J + 55H +                             0         100%                    0
                                                          55I + 55J
LE Type B wholesale open and fixed residual maturity <= 1 52A + 52C + 52D + 52E +                             0          50%                    0
year                                                      52F + 52G
SME Type B wholesale open and residual maturity <= 1 year 53A + 53C + 53D + 53E +                             0          85%                    0
                                                          53F +53G
Retail Type A open and fixed residual maturity <= 1 year  54A + 54C + 54D + 54E +                             0          70%                    0
                                                          54F + 54G
Retail Type B open and fixed residual maturity < = 1 year 55A + 55C + 55D + 55E +                             0          85%                    0
                                                          55F +55G

Client Free cash                                               56A                                            0           0%                    0

Type A wholesale Funding residual maturity < 1 year            (34 to 51) X + (34 to 51)                      0           0%                    0
                                                               A + (34 to 51) B + (34 to
                                                               51) F + (34 to 51) G
Any net derivatives cash margin received                       74C + 75C + 76C + 77C                          0         100%                    0
                                                               where total < 0

Total Liabilities / Stable Funding                                                                             0                                0

Repo > 1 year netted in security holding position H, I and J         Lines 34, 35, 37 and 38                   0

Total Liabilities                                                                                              0

                              Component                         FSA047/048 Reference               Amount          Weighting    Requirement

Cash                                                           18A + 19A                                      0           0%                    0

All security holdings maturing <= 1 year                       23X + 23F + 23G + (25 to                       0           0%                    0
-Outright and reverse inflows                                  30) X + (25 to 30) B + (25
                                                               to 30) F + (25 to 30) G

Unsecured wholesale loans residual maturity <= 1 year          20X + 20A + 20F + 20G +                        0           0%                    0
                                                               21X + 21A + 21F + 21G +
                                                               22X + 22A + 22F + 22G

Liquidity Buffer Assets, other government bonds and            6X + 6A + 6B + 6F + 6G                         0           5%                    0
agencies holdings with residual maturity > 1 year minus        + 7X + 7A + 7B + 7F +
collateral upgrades and client collateral                      7G + 8X + 8A + 8B + 8F
                                                               + 8G - 78A - 79A - 80A

High quality non-financial corporate bonds and covered bond 11X + 11A + 11B + 11F +                           0          20%                    0
holdings with residual maturity > 1 year less client assets 11G + 15X + 15A + 15B +
                                                            15F + 15G - 83A -87A




Listed Equities holdings > 1 year                              16X + 16A + 16B + 16F +                        0          50%                    0
                                                               16G - 88A
Retail Loans with residual maturity < 1 year                   32A + 32C + 32D + 32 E                         0          85%                    0
                                                               + 32F + 32G
Loans to all enterprises with residual maturity < 1 year       31A + 31C + 31D + 31 E                         0          50%                    0
                                                               + 31F + 31G
Securitised Loans with residual maturity < 1 year              33A + 33C + 33D + 33E +                        0          85%                    0
                                                               33F + 33G
Net derivatives margin collateral given                        74D + 75D + 76D + 77D                          0         100%                    0


All other assets loans                                         (20 to 22) H + (20 to 22) I                    0         100%                    0
                                                               + (20 to 22) J + (31 to 33)
                                                               H + (31 to 33) I + (31 to
                                                               30) J


All other assets securities                                    23H + 23I + 23J + (25 to                       0         100%                    0
                                                               30) H + (25 to 30) I + (25
                                                               to 30) J - (6X + 6A + 6B
                                                               + 6F + 6G + 7X + 7A +
                                                               7B + 7F + 7G + 8X + 8A
                                                               + 8B + 8F +8G -78A -79A
                                                               -80A) - (11X + 11A + 11B
                                                               + 11F + 11G + 15X + 15A
                                                               + 15B + 15F + 15G -83A -
                                                               87A) - (16X + 16A + 16B
                                                               + 16F + 16G - 88A) +
                                                               34H + 34I + 34J + 35H +
                                                               35I + 35J + 37H + 37I +
                                                               37J + 38H + 38I + 38J


Asset imbalance arisng from sundry items and derivatives                                                      0         100%                    0




Off-balance sheet commitments                                   - 60A - 61A - 63A - 64A -                     0          10%                    0
                                                               65A - 66A - 67A - 68A -
                                                               69A


Total Assets / Requirement                                                                                     0                                0

Netting of long term repo H, I and J                             - (Lines 34, 35, 37 and 38)                   0

                                                                                                               0

                                                                                                                                   #DIV/0!
Control Checks                                                                          LRP B/S             NSFR
                                                                                                                                                0
Assets                                                                                         -               0
Liabilities                                                                                    -               0
                            Liquidity Metric Monitor - Main Details (FSA048)

Main Details                Other Tabs can be unhidden using format sheet

Daily Flows

Gap Results
                            Part 1 - Memo items

GAP Assumptions         a   What is the name of the Firm

                       b    The FSA firm reference number (FRN) or EMR identifier
ILG
                       c    The front end schema version number under which data was collected                     3.0
                       d    The Reporting period end date (workday)                                           1/8/2010
ILG Assumptions
                       e    Please identify the currency denomination of the flows & balances includedALL CURRENCIES                         Currency of report            Units
                       f    Please identify the currency and units used to report                                                                    GBP                           1,000
BCBS LCR (Estimate)
                            Basis of reporting                                                         ILAS SOLO or
                       g    Entity or Group basis of report                                               BRANCH
BCBS NSFR (Estimate)

                       1    Non-dated capital resources                                                                                         Routine OMO           Collateral Swaps            Other
                       2    Bank of England liquidity facilities
                       3    Other central bank liquidity facilities
                            Prior period's peak intra-day collateral used for UK settlement and
                       4    clearing systems
                            Prior period's peak intra-day collateral used for settlement and clearing
                       5    systems outside the UK
                                                                                                                                             Report all reverse flows, firm outright flows and all repo flows both of firm and client. Do not report client outright maturity flows
                                                                                                        Unencumbered     Open Maturity         Contractual Flow      Contractual Flow      Contractual Flow     Contractual Flow       Contractual Flow    Contractual Flow     Contractual Flow            Contractual Flow           A-J Cross
                            Part 2 - Security, transferable whole-loan and commodity flows               Box' Position   Repo/Reverse            <= 2 week          > 2 weeks <= 1M          > 1M < = 3M          > 3M <= 6M            > 6M <= 12M         > 12M <= 2 YR       > 2 YR <= 5 YR                  > 5 YR                Cast Check
                                                                                                             08/01/10                             22/01/10                08/02/10             08/04/10             08/07/10              10/01/11             09/01/12            08/01/15                                          Fixed Income
                            All Firm and Client Securities and whole-loans including margin collateral                                                                                                                                                                                                                             After deducting
                            - exclude segregated client inventory but include derivative margin collateral      A             B                       C                      D                      E                      F                      G                      H                   I                     J                  client assets


                        6   Liquid asset buffer-eligible securities                                                                                               0                      0                      0                                                                                                                                0
                        7   Other high quality central bank, supranational and central government                                                                 0                      0                      0                                                                                                                                0
                        8   debt
                            US GSE/GSA securities                                                                                                                 0                      0                      0                                                                                                                                0
                        9   Own-name securities and transferable whole-loans                                                                                      0                      0                      0                                                                                                                                0
                       10   High quality asset-backed securities                                                                                                  0                      0                      0                                                                                                                                0
                       11   High quality covered bonds                                                                                                            0                      0                      0                                                                                                                                0
                       12   Securities issued by group entities                                                                                                   0                      0                      0                                                                                                                                0
                       13   High quality corporate bonds (UK credit institutions)                                                                                 0                      0                      0                                                                                                                                0
                       14   High quality corporate bonds (non-UK credit institutions)                                                                             0                      0                      0                                                                                                                                0
                       15   High quality corporate bonds (excluding credit institutions)                                                                          0                      0                      0                                                                                                                                0
                       16   Equities included in major indices                                                                                                    0                      0                      0                                                                                                                                0
                       17   Other securities and commodities                                                                                                      0                      0                      0                                                                                                                                0

                            All Client Securities/whole-loans held under rehypothecation rights
                            (including all derivative margin collateral received) included in 1-15       Total Client
                                                                                                          Collateral

                       78   Liquid asset buffer-eligible securities
                       79   Other high quality central bank, supranational and central government
                       80   debt
                            US GSE/GSA securities
                       81
                       82   High quality asset-backed securities
                       83   High quality covered bonds
                       84   Securities issued by group entities
                       85   High quality corporate bonds (UK credit institutions)
                       86   High quality corporate bonds (non-UK credit institutions)
                       87   High quality corporate bonds (excluding credit institutions)
                       88   Equities included in major indices
                       89   Other securities and commodities

                            Part 3 - Wholesale asset cash flows                                          Non-defined     Open Maturity         Contractual Flow       Contractual Flow       Contractual Flow       Contractual Flow       Contractual Flow       Contractual Flow    Contractual Flow      Contractual Flow
                                                                                                             Maturity    Reverse/Repo             <= 2 week           > 2 weeks <= 1M         > 1M < = 3M             > 3M <= 6M            > 6M <= 12M           > 12M <= 2 YR       > 2 YR <= 5 YR            > 5 YR

                       18   Designated money market funds
                       19   Liquid asset buffer-eligible central bank reserves and deposits
                       20   Lending to group entities                                                                                                             0                      0                      0
                       21   Lending to UK credit institutions                                                                                                     0                      0                      0
                       22   Lending to non-UK credit institutions                                                                                                 0                      0                      0
                       23   Own account security cash flows                                                                                                       0                      0                      0
                       24   Notional flows of own-name securities and transferable whole-                                                                         0                      0                      0
                       25   loans repo (items reported in line 6)
                            Reverse                                                                                                                               0                      0                      0
                       26   Reverse repo (items reported in lines 7 and 8)                                                                                        0                      0                      0
                       27   Reverse repo (items reported in lines 10 and 11)                                                                                      0                      0                      0
                       28   Reverse repo (items reported in lines 13, 14 and 15)                                                                                  0                      0                      0
                       29   Reverse repo (items reported in line 16)                                                                                              0                      0                      0
                       30   Reverse repo (items reported in lines 9, 12 and 17)                                                                                   0                      0                      0

                            Part 4 - Other asset cash flows


                       31   Non-retail lending exposures (Commercial)
                       32   Retail lending exposures


                            SSPE asset cash flows
                       33

                            Part 5 - Repo cash flows


                       34   Repo (items reported in line 6)                                                                                                       0                      0                      0
                       35   Repo (items reported in lines 7and 8)                                                                                                 0                      0                      0
                       36   Repo (items reported in lines 10 and 11)                                                                                              0                      0                      0
                       37   Repo (items reported in lines 13, 14 and 15)                                                                                          0                      0                      0
                       38   Repo (items reported in line 16)                                                                                                      0                      0                      0
                       39   Repo (items reported in lines 9, 12 and 17)                                                                                           0                      0                      0

                            Part 6 - Type A Unsecured Wholesale cash flows


                       40   Primary issuances - senior securities                                                                                                 0                      0                      0
                       41   Primary issuances - dated subordinated securities                                                                                     0                      0                      0
                       42   Primary issuances - structured notes                                                                                                  0                      0                      0
                       43   Covered bonds                                                                                                                         0                      0                      0
                       44   Group entities                                                                                                                        0                      0                      0
                       45   UK credit institutions                                                                                                                0                      0                      0
                       46   Non-UK credit institutions                                                                                                            0                      0                      0
                       47   Governments, central banks and supranationals                                                                                         0                      0                      0
                       48   Non-credit institution financials                                                                                                     0                      0                      0
                       49   Non-financial large enterprises - Type A                                                                                              0                      0                      0
                       50   Conditional liabilities pre-trigger contractual profile                                                                               0                      0                      0

                       51   SSPE liability cash flows                                                                                                             0                      0                      0

                            Part 7 - Retail and Type B unsecured wholesale cash flows

                       52   Non-financial large enterprises - Type B
                       53   SME deposits
                       54   Retail deposits - Type A
                       55   Retail deposits - Type B
                       56   Client / brokerage free cash



                            Part 8 - Off balance sheet flows and balances

                       57   Principal FX cash flows (including currency swaps)
                                                                                                                                                                  0                      0                      0
                       58   Committed facilities received

                       59   Secured facilities provided - liquidity buffer securities

                       60   Secured facilities provided - other securities

                       61   Unsecured facilities provided - credit institutions

                       62   Unsecured stand-by facilities provided - connected SSPE's

                       63   Unsecured stand-by facilities provided - entities other than credit
                            institutions and connected SSPE's
                       64   Unsecured facilities provided by connected SSPE's - third parties

                       65   Unsecured facilities provided - entities other than credit institutions

                       66   Overdraft and credit card facilities provided

                       67   Pipeline lending commitments

                       68   Contingent obligations to repurchase assets financed through third
                            parties
                       69   Other legally binding commitments provided


                            Part 9 - Downgrade triggers

                            Asset put backs and G.I.C.'S triggers resulting from composite L/T downgrade from current rating to:                                                   The Impact of downgrades should NOT be reported cumulative
                                                                                                                                                   1 notch               2 notches              3 notches              4 notches              5 notches              6 notches           7 notches             8 notches
                       70   Asset put backs from third parties vehicles
                       71   Conditional liabilities
                       72   Over the counter (OTC) derivative triggers
                       73   Other contingent liabilities

                            Part 10 - Derivatives margining and exposure
                                                                                                                                                   CASH                COLLATERAL                TOTAL                                     INITIAL MARGIN                             MTM Exposure          MTM Exposure
                                                                                                                                                  NOMINAL             MARKET VALUE                                                              TOTAL                                 OTC Margined         OTC Non-margined
                       74   OTC derivative margin given                                                                                                                                                         0
                       75   Exchange traded margin given                                                                                                                                                        0
                       76   OTC derivative margin received                                                                                                                                                      0
                       77   Exchange traded margin received                                                                                                                                                     0

                            Net Given (+) / Received (-)                                                                                                          0                      0                      0



                            Vertical cash vs. security flow check                                                                        0                        0                      0                      0                      0                      0                   0                    0                       0

                                                                                                                                                    CASH               COLLATERAL
                            Net Margin received                                                                                                                   0                      0
                            Net Margin given                                                                                                                      0                      0
                    Liquidity Metric Monitor - Daily Flows (FSA047)
Main Details
                    Basis of reporting
Daily Flows
                    The Reporting period end date                                                 1/8/2010
Gap Results         FSA Firm reference number

GAP Assumptions Entity or Group basis of report                                               ILAS SOLO or
                Currencies included                                                          ALL CURRENCIES
ILG

ILG Assumptions Part 2 - Security, transferable whole-loan and commodity flows
                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                                        DO NOT     DO NOT      DO NOT      DO NOT      DO NOT      DO NOT
                                                                                               USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE        USE        USE        USE        USE        USE        USE        USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE        USE        USE        USE        USE        USE        USE        USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE         USE        USE        USE        USE        USE        USE        USE        USE         USE         USE         USE         USE         USE
                                                                                            1/11/2010   1/12/2010   1/13/2010   1/14/2010   1/15/2010   1/18/2010   1/19/2010   1/20/2010   1/21/2010   1/22/2010   1/25/2010   1/26/2010   1/27/2010   1/28/2010   1/29/2010   2/1/2010   2/2/2010   2/3/2010   2/4/2010   2/5/2010   2/8/2010   2/9/2010   2/10/2010   2/11/2010   2/12/2010   2/15/2010   2/16/2010   2/17/2010   2/18/2010   2/19/2010   2/22/2010   2/23/2010   2/24/2010   2/25/2010   2/26/2010   3/1/2010   3/2/2010   3/3/2010   3/4/2010   3/5/2010   3/8/2010   3/9/2010   3/10/2010   3/11/2010   3/12/2010   3/15/2010   3/16/2010   3/17/2010   3/18/2010   3/19/2010   3/22/2010   3/23/2010   3/24/2010   3/25/2010   3/26/2010   3/29/2010   3/30/2010   3/31/2010   4/1/2010   4/2/2010   4/5/2010   4/6/2010   4/7/2010   4/8/2010   4/9/2010   4/12/2010   4/13/2010   4/14/2010   4/15/2010   4/16/2010
                                                                                                A           B           C           D           E           F           G           H           I           J           K           L           M           N           O           P          Q          R          S          T          U          V          X           X           Y           Z          AA          AB          AC          AD           AE          AF         AG          AH           AI         AJ         AK         AL         AM         AN         AO         AP         AQ          AR          AS           AT         AU          AV          AW          AX           AY          AZ         BA          BB          BC          BD           BE          BF         BG         BH         BI         BJ         BK         BL         BM         BN          BO          BP          BQ          BR
                6   Liquid asset buffer-eligible securities
                7   Other high quality central bank, supranational and central government
                8   debt
                    US GSE/GSA securities
                9   Own-name securities and transferable whole-loans
               10   High quality asset-backed securities
               11   High quality covered bonds
               12   Securities issued by group entities
               13   High quality corporate bonds (UK credit institutions)
               14   High quality corporate bonds (non-UK credit institutions)
               15   High quality corporate bonds (excluding credit institutions)
               16   Equities included in major indices
               17   Other securities and commodities



                    Part 3 - Wholesale asset cash flows

               20   Lending to group entities
               21   Lending to UK credit institutions
               22   Lending to non-UK credit institutions
               23   Own account security cash flows
               24   Notional flows of own-name securities and transferable whole-loans
               25   Reverse repo (items reported in line 6)
               26   Reverse repo (items reported in lines 7 and 8)
               27   Reverse repo (items reported in lines 10 and 11)
               28   Reverse repo (items reported in lines 13, 14 and 15)
               29   Reverse repo (items reported in line 16)
               30   Reverse repo (items reported in lines 9, 12 and 17)

                    Part 5 - Repo cash flows

               34   Repo (items   reported in line 6)
               35   Repo (items   reported in lines 7and 8)
               36   Repo (items   reported in lines 10 and 11)
               37   Repo (items   reported in lines 13, 14 and 15)
               38   Repo (items   reported in line 16)
               39   Repo (items   reported in lines 9, 12 and 17)

                    Part 6 - Type A Unsecured Wholesale cash flows

               40   Primary issuances - senior securities
               41   Primary issuances - dated subordinated securities
               42   Primary issuances - structured notes
               43   Covered bonds
               44   Group entities
               45   UK credit institutions
               46   Non-UK credit institutions
               47   Governments, central banks and supranationals
               48   Non-credit institution financials
               49   Non-financial large enterprises - Type A
               50   Conditional liabilities pre-trigger contractual profile

               51   SSPE liability cash flows

                    Part 8 - Off balance sheet flows and balances

               57   Principal FX cash flows (including currency swaps)

                    Vertical column check 7-21, 27, 28 and 33-36                                    0           0           0           0           0           0           0           0           0           0           0           0           0           0           0          0          0          0          0          0          0          0           0           0           0           0           0           0           0           0           0           0           0           0           0          0          0          0          0          0          0          0           0           0           0           0           0           0           0           0           0           0           0           0           0           0           0           0          0          0          0          0          0          0          0           0           0           0           0           0
  RETURN TO MAIN LRP >


ILG SUMMARY vs. LIQUIDITY BUFFER

                                                               OPEN         1/11/2010

ILAA Requirement

Wholesale Requirement if a deficit                                               -

Retail ILG                                                                       -
Off-Balance Sheet ILG                                                            -
Intra-day requirement                                                            -
Downgrade ILG                                                                    -
Other ILG Add-ons                                                                -

ILG Requirement                                                                  -

ILG Requirement after multiplier                                                 -
ILG Requirement after multiplier and standard stress survival limit              -


Liquidity Buffer                                                      -          -

Cumulative Liquidity Buffer                                                      -

ILG Surplus / (Deficit)                                                              0


                                                                          2 WEEK LOW

ILG Surplus / (Deficit)                                                              0

Date                                                                        1/11/2010

Liquidity Buffer                                                                 -
Wholesale Requirement if a deficit                                               -

Retail ILG                                                                       -
Off-Balance Sheet ILG                                                            -
Intra-day                                                                        -
Downgrade ILG                                                                    -
Other ILG Add-ons                                                                -
Impact of multiplier                                                             -

                                                                                     0
                                                       <= 2 Week

Unsecured Refinancing Gap                                       0
Limit                                                           0


Secured Refinancing Gap                                         0
Limit                                                           0


Combined Refinancing Gap Type A wholesale for ILG BP            0
Limit                                                           0




ILAA Requirement inverted for chart                         -
  1/12/2010        1/13/2010        1/14/2010    1/15/2010    1/18/2010




        -               -                -            -            -

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            0               0                0            0            0


2 WEEK HIGH     3 MONTH LOW     3 MONTH HIGH

            0               0                0

  1/11/2010        1/11/2010        1/11/2010

        -               -                -
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        -               -                -
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            0               0                0
<= 1 month    <= 3 month

          0             0
          0             0


          0             0
          0             0


          0             0




      -             -       -   -   -
1/19/2010    1/20/2010    1/21/2010    1/22/2010    1/25/2010    1/26/2010




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-   -   -   -   -   -
1/27/2010    1/28/2010    1/29/2010    2/1/2010    2/2/2010    2/3/2010




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-   -   -   -   -   -
2/4/2010    2/5/2010    2/8/2010    2/9/2010    2/10/2010    2/11/2010




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        0           0           0           0            0            0
-   -   -   -   -   -
2/12/2010    2/15/2010    2/16/2010    2/17/2010    2/18/2010    2/19/2010




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         0            0            0            0            0            0
-   -   -   -   -   -
2/22/2010    2/23/2010    2/24/2010    2/25/2010    2/26/2010    3/1/2010




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3/2/2010    3/3/2010    3/4/2010    3/5/2010    3/8/2010    3/9/2010




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3/10/2010    3/11/2010    3/12/2010    3/15/2010    3/16/2010    3/17/2010




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3/18/2010    3/19/2010    3/22/2010    3/23/2010    3/24/2010    3/25/2010




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3/26/2010    3/29/2010    3/30/2010    3/31/2010    4/1/2010    4/2/2010




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4/5/2010    4/6/2010    4/7/2010    4/8/2010    4/9/2010    4/12/2010




    -           -           -           -           -            -

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4/13/2010    4/14/2010    4/15/2010    4/16/2010




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         0            0            0            0
-   -   -   -
ILG WHOLESALE FLOW

-Wholesale Cash Inflows                                               Open

Lending to UK credit institutions                                            -
Lending to non-UK credit institutions                                        -
Own account security cash flows
Reverse repo (items reported in line 6)                                      -
Reverse repo (items reported in lines 7 and 8)                               -
Reverse repo (items reported in lines 10 and 11)                             -
Reverse repo (items reported in lines 13, 14 and 15)                         -
Reverse repo (items reported in line 16)                                     -
Reverse repo (items reported in lines 9, 12 and 17)                          -

-Wholesale Cash Outflows

Repo (items reported in line 6)                                              -
Repo (items reported in lines 7and 8)                                        -
Repo (items reported in lines 10 and 11)                                     -
Repo (items reported in lines 13, 14 and 15)                                 -
Repo (items reported in line 16)                                             -
Repo (items reported in lines 9, 12 and 17)                                  -
Primary issuances - senior securities
Primary issuances - dated subordinated securities
Primary issuances - structured notes
Covered bonds
Group entities                                                               -
UK credit institutions                                                       -
Non-UK credit institutions                                                   -
Governments, central banks and supranationals                                -
Non-credit institution financials                                            -
Non-financial large enterprises - Type A                                     -
Conditional liabilities pre-trigger contractual profile                      -
SSPE liability cash flows                                                    -
Non-financial large enterprises - Type B                                     -
SME deposits                                                                 -
Client Free cahsh and BIPRU 12.7 collateral                                  -
FX Contractual Flow

Contractual Wholesale Net Cash Flow                                          -

-Wholesale Rollover Assumptions Applied from ILAA Sress Assumptions

Repo (items reported in lines 7and 8)
Repo (items reported in lines 10 and 11)
Repo (items reported in lines 13, 14 and 15)
Repo (items reported in line 16)
Repo (items reported in lines 9, 12 and 17)
Primary issuances - senior securities                                      -
Primary issuances - dated subordinated securities                          -
Primary issuances - structured notes                                       -
Covered bonds                                                              -
Group entities                                                             -
UK credit institutions                                                     -
Non-UK credit institutions                                                 -
Governments, central banks and supranationals                              -
Non-credit institution financials                                          -
Non-financial large enterprises - Type A                                   -
Conditional liabilities pre-trigger contractual profile                    -
SSPE liability cash flows                                                  -
Non-financial large enterprises - Type B                                   -
SME deposits                                                               -
Client Free cahsh and BIPRU 12.7 collateral                                -



ILG Stressed Wholesale Cashflow                                            -

Cumulatative ILAA Stressed Wholesale Cashflow

Physical Shorts

Wholesale Component



Net flow from buffer asset reverse/repo                                    -
Cum Net Flow Buffer Reverse/Repo

Check to see if there is an overall wholesale requirement

Overall wholesale cumulataitve stressed deficit / requirement if < 0




Buffer Eligible Client Free cash and Collateral

1) Client Free cash                                                        -
2) Client Free and net margin BIPRU 12.7 collateral                        -
3) Encumbered client non-BIPRU 12.7 collateral repo > 3M                   -
3) Add back any net derivatives margin collateral received included in 2   -

Client Free cash and Collateral to stress                                  -
                                                                              Unencumbered
                                                                             Stock Position at
Encumbered client non-BIPRU 12.7 collateral repo > 3M                               3M

Other high quality central bank, supranational and central government debt                 -
US GSE/GSA securities                                                                      -
High quality asset-backed securities                                                       -
High quality covered bonds                                                                 -
Securities issued by group entities                                                        -
High quality corporate bonds (UK credit institutions)                                      -
High quality corporate bonds (non-UK credit institutions)                                  -
High quality corporate bonds (excluding credit institutions)                               -
Equities included in major indices                                                         -
Other securities and commodities                                                           -
1/11/2010   1/12/2010   1/13/2010   1/14/2010   1/15/2010   1/18/2010

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    Assumes all derivative margin us BIPRU 12.7 eliliglbe
                    Net Position
                        after
Client Collateral    deducting     Clioent Stock used
  encumbered        client stock          > 3M

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  RETURN TO MAIN LRP >
                                                                                       Standard Stress Survival limit                                     100%
BENCH MARKS USED FOR ILG STRESS SCENARIOS                                              Please enter your own ILG

1: Wholesale ILG bench marks
                                                                                                                        <= 2 Weeks          > 2 weeks < = 3 month
-Rollover bench marks applied unsecured wholesale liabilities                                                            Rollover %              Rollover %

Primary issuances - senior securities                                                                                                 0%                      40%
Primary issuances - dated subordinated securities                                                                                     0%                      25%
Primary issuances - structured notes                                                                                                  0%                      60%
Covered bonds                                                                                                                         0%                      25%
Group entities                                                                                                                        0%                       0%
UK credit institutions                                                                                                                0%                      40%
Non-UK credit institutions                                                                                                            0%                      35%
Governments, central banks and supranationals                                                                                         0%                      40%
Non-credit institution financials                                                                                                     0%                      40%
Non-financial large enterprises - Type A                                                                                              0%                      50%
Conditional liabilities pre-trigger contractual profile                                                                               0%                      75%

SSPE liability cash flows                                                                                                             0%                      40%

-Rollover bench marks for net repo wholesale outflows (excluding repo using liquidity buffer assets)                    <= 2 Weeks          > 2 weeks < = 3 month
                                                                                                                         Rollover %              Rollover %

Repo (items reported in lines 7and 8)                                                                                                 0%                      90%
Repo (items reported in lines 10 and 11)                                                                                              0%                      75%
Repo (items reported in lines 13, 14 and 15)                                                                                          0%                      75%
Repo (items reported in line 16)                                                                                                      0%                      75%
Repo (items reported in lines 9, 12 and 17)                                                                                           0%                      30%


2: Retail ILG outflows and Type B wholesale
                                                                                             Retail                     <= 2 Weeks          > 2 weeks < = 3 month
                                                                                            Outflow %                    Rollover %              Rollover %


Non-financial large enterprises - Type B                                                                                        77.50%                   77.50%
SME deposits                                                                                                                    77.50%                   77.50%
Retail deposits - Type A                                                                                20%
Retail deposits - Type B                                                                                10%
Client / brokerage free cash                                                                                                          25%


3: Off-balance Sheet ILG benchmarks                                                           Open
                                                                                            Outflow %

Secured facilities provided - other securities                                                          25%
Unsecured facilities provided - credit institutions                                                    100%
Unsecured stand-by facilities provided - connected SSPE's
Unsecured stand-by facilities provided - entities other than credit institutions
and connected SSPE's                                                                                    50%
Unsecured facilities provided by connected SSPE's - third parties                                      12.5%
Unsecured facilities provided - entities other than credit institutions                                 10%
Overdraft and credit card facilities provided                                                            5%
Pipeline lending commitments                                                                            75%
Contingent obligations to repurchase assets financed through third parties
Other legally binding commitments provided                                                              10%


4: Downgrade ILG bench marks
                                                                                                                   <= 2 Week           < = 3 month
                                                                                                                Cumulative Impact % Cumulative Impact %

1 notch                                                                                                                          100%                     100%
2 notches                                                                                                                        100%                     100%
3 notches
4 notches
5 notches
6 notches
7 notches
8 notches


5: Additional ILG Fixed Add-Ons and Multiplier > 2 weeks <= 3 months

Total Combined Fixed Add ons
Qualitative System & Controls Multiplier                                                                                         100%                     100%


Note that the Add-on is cumulative not discrete


Wholesale Refinancing Gap limits                                                                                        <= 2 Week                <= 1 month         <= 3 month


Unsecured net wholesale refinacing gap

Secured net wholesale refinancing gap

Combined Limit for ILG BP
   RETURN TO MAIN LRP >

                                                                                           Behaviour       Behaviour          Behaviour            Behaviour       Behaviour     Behaviour    Behaviour    Behaviour
Haircuts applied to marketable securities                                                  <= 2 weeks     <= 1 month         <= 3 months          <= 6 months     <=12 months     <= 2Yrs      <=5 YRS      > 5 YRS

Liquid asset buffer-eligible securities                                                             98%                98%                 98%             98%            98%           98%          98%          98%
Other high quality central bank, supranational and central government debt                          95%                95%                 95%             95%            95%           95%          95%          95%
US GSE/GSA securities                                                                               95%                95%                 95%             95%            95%           95%          95%          95%
Own-name securities and transferable whole-loans                                                    75%                75%                 75%             75%            75%           75%          75%          75%
High quality asset-backed securities                                                                75%                75%                 75%             75%            75%           75%          75%          75%
High quality covered bonds                                                                          75%                75%                 75%             75%            75%           75%          75%          75%
Securities issued by group entities                                                                  0%                 0%                  0%              0%             0%            0%           0%           0%
High quality corporate bonds (UK credit institutions)                                               75%                75%                 75%             75%            75%           75%          75%          75%
High quality corporate bonds (non-UK credit institutions)                                           75%                75%                 75%             75%            75%           75%          75%          75%
High quality corporate bonds (excluding credit institutions)                                        75%                75%                 75%             75%            75%           75%          75%          75%
Equities included in major indices                                                                  90%                90%                 90%             90%            90%           90%          90%          90%
Other securities and commodities                                                                    25%                25%                 25%             25%            25%           25%          25%          25%

Withdrawable Other Loans

Non-retail lending exposures (Commercial)                                              0                                                                                                                         100%
Retail lending exposures                                                               0                                                                                                                         100%
SSPE asset cash flows                                                                  0                                                                                                                         100%

Withdrawable Other Deposits

Non-financial large enterprises - Type B                                               0            70%                                                                                                           -70%
SME deposits                                                                           0            80%                                                                                                           -80%
Retail deposits - Type A                                                               0            80%                                                                                                           -80%
Retail deposits - Type B                                                               0            80%                                                                                                           -80%


Client/Brokerage Free Collateral behaviour all asset types                                          25%                                                                                                           -25%
Client Free cash balances and excess margin cash                                       0            25%                                                                                                           -25%

Part 8 - Off balance sheet flows and balances

Secured facilities provided - other securities                                         0            75%
Unsecured facilities provided - credit institutions                                    0             0%
Unsecured stand-by facilities provided - entities other than credit institutions and
connected SSPE's                                                                       0            50%                                    -20%
Unsecured facilities provided by connected SSPE's - third parties                      0            90%
Unsecured facilities provided - entities other than credit institutions                0            90%
Overdraft and credit card facilities provided                                          0            98%                                     -5%           -7.5%           -15%
Pipeline lending commitments                                                           0            25%
Other legally binding commitments provided                                             0            90%

				
DOCUMENT INFO
Description: Unsecured Business Credit Card Advance document sample