EFTA00615043.pdf

I Libyan Investment Authority Management Information Report 30 June 2010 EFTA00615043 NAV and performance (In 000' USD) Assets Market Value Q1 2010 Market Value Q2 2010 Net Buys/Sells Performance Reference Cash 315,045 408,091 57.50% Page 3 Deposits 21,642,481 19,817,137 -8.43% Page 4 Equity 6,026,058 5,225,609 391,706 -17.33% * Page 5 Bonds 3,149,480 3,393,505 239,109 6.88% Page 8 Alternatives 3,807,586 3,506,940 -7.90% Page 12 Subsidiaries 16,762,001 16,753,952 -0.05% Page 15 Other 4,154,966 4,154,966 0.00% Page 16 Total Assets 55,860,411 53,329,869 -4.53% _ *The methodology for the Equity Performance calculation is the Modified Dietz Method which takes weighted cash flows in to account over the period to give a true performance figure. 1 EFTA00615044 Portfolio Breakdown (excluding Subsidiaries) 70.0D16 60.00% — Bonds & Equity Analysis Currency 60.00% 40.00% 30.00% 20.00% 10.00% 0.00% Sector ■ EUR ■ USD ■ GBP ■ HKD ■ CHF ■ NCK ■ CA) II am • •LIAAllooallon StaltegloAllooadon • ■ Financial ■ Government ■ Energy ■ Basic Materials ■ Communications ■ Consumer, Non-cyclical ■ Industrial ■ Utilities Regions • ■ EI/1O11P ■ North America ■ Emerging Markets ■ Other 2 EFTA00615045 Cash Position ( in 000' USD) Bank CCY Original CCY USD HSBC USD 162,052 162,052 HSBC-LIQUI-ACC EUR 73,015 89,495 Arab Banking Corporation USD 50,000 50,000 HSBC Liquidity Acct. USD 29,964 29,964 Gold Man Sachs - Current USD 24,400 24,400 Gold Man Sachs - Current EUR 14,195 17,399 Central Bank of Libya USD 12,390 12,390 HSBC Curr Acc - (LUX) EUR 5,896 7,227 HSBC- Current Acc GBP 1,528 2,287 UniCredit Group EUR 1,578 1,934 Gold Man Sachs - Current CHF 1,966 1,824 Central Bank of Libya EUR 1,469 1,801 Central Bank of Libya GBP 1,145 1,713 Libyan Foreign Bank USD 1,390 1,390 HSBC Curr Acc - (LUX) GBP 819 1,226 BACB-CURR-ACC GBP 772 1,156 Sahara Bank LYD 796 609 British Arab Commercial Bank EUR 408 500 British Arab Commercial Bank USD 210 210 HSBC Fixed Income USD 139 139 HSBC Curr Acc CAD 120 114 HSBC Curr Acc - (LUX) USD 112 112 HSBC-Curr-Acc EUR 62 76 UniCredit Group USD 51 51 Gold Man Sachs - Current USD 31 31 Banque BIA EUR 2 2 Arab Banking Corporation EUR 0 0 Banque BIA USD 0 0 Arab Banking Corporation NOK 0 0 Libyan Foreign Bank EUR (9) (11) Total Cash 408,091 3 EFTA00615046 Deposits Position ( in 000' USD) Bank CCY Original CCY USD Term Deposit - Local - CBL USD 14,168,000 14,168,000 Term Deposit - Local - CBL EUR 2,375,714 2,911,913 Term Deposit - Local - CBL GBP 3479,279 1,764,555 Term Deposit - Foreign - ABC USD 300,021 300,021 Term Deposit - Local - LF8 USD 265,686 265,686 Term Deposit - Foreign - BACB USD 170,200 170,200 Term Deposit-Foreign-BIA USD 102,709 102,709 Term Deposit-Foreign-APICORP USD 70,625 70,625 Term Deposit - Foreign - ABC EUR 29,611 36,294 Term Deposit-Foreign-ABC GBP 13,378 19,974 Term Deposit Foreign BACB GBP 4,715 7,056 Term Deposit-Foreign-ABC NOK 610 94 Deposit foreign ABC CAD 11 10 Total Deposits 19,817,137 4 EFTA00615047 Equities Long Term Performance Regions Currency Top 10 countries BELGIUM NORWAY BRAZIL SPAIN FRANCE RUSSIA BRITAIN UNITED.. GERMANY ITALY 0.00% 20.00% 40D3% e Europe 0 USA O UK ▪ Emerging arkete UM% Telecom! Marais Mrs. MSCI Heath Core ELIA Rnerclds Energy Consumer Staples Consumer.. 80.00% Sectors 0.0% 5.0% 100% DEUR oUSD OCHF OGBP OHKD • NOK @ CAD 8.500 8,000 5.500 5.000 4,500 15.0% 200% Please be informed that the MSCI index country & sector breakdown are not the most recent weightings. MSCI ELIA 25.0% O1 2010 O2 2010 Equities Performance Average Risk Weighted Assets ' ting LIA Holdin Avg RIPI ed AAA 23,969 AA 560,249 A 2,865,217 BBB 1,395,275 6.2 ( A) BB 62,423 B or Lower - Not Rated 318,475 Total 5,225,609 Last Quarter 6,026,058 6.3 ( A ) - Not Rated Counterparties have been excluded from the Avg RWA calculation 5 EFTA00615048 Equities ( in 000' USD) Name of Equity Book Cost Market value last quarter Market value this quarter Difference AUWI Strategic: Unicredit S.P.A 827,541 584,317 687,489 103,172 13.16% ENI 586,060 468,726 465,460 (3,266) 8.91% Siemens Ag 476,315 531,447 480,884 (50,563) 9.20% Pearson Plc 335,370 381,325 324,618 (56,707) 6.21% United Company Rusal 302,021 249,219 195,765 (53,454) 3.75% (AMC Norilsk Nickel 269,198 350,516 274,672 (75,844) 5.26% BASF 89,025 93,327 82,946 (10,381) 1.59% Repsol YPF 89,022 88,844 76,496 (12,347) 1.46% Lagardere S.C.A 87,325 80,067 62,230 (17,836) 1.19% Finmeccanica S.P.A 83,819 63,171 60,969 (2,202) 1.17% Wieneberger 43,719 48,255 30,476 (17,780) 0.58% SNC-Iavalin Group Inc 21,240 20,626 16,081 (4,546) 0.31% Total Strategic 3,210,655 2,959,840 2,758,086 (201,754) 52.78% Non-Strategic: Ageas 330,228 73,308 46,623 (26,685) 0.89% General Electric Co 291,588 274,547 217,526 (57,021) 4.16% Allianz Ag-reg 222,760 160,616 127,738 (32,878) 2.44% Bayer AG 215,297 235,194 194,966 (40,228) 3.73% Telefonica 207,123 207,104 163,141 (43,964) 3.12% BP Plc 181,363 195,927 98,722 (97,205) 1.89% RWE Ag 173,984 151,009 112,273 (38,736) 2.15% Pfizer INC 172,795 131,474 142,600 11,126 2.73% AT&T 151,589 144,539 135,309 (9,229) 2.59% Deutche Telekom 145,332 133,279 116,541 (16,738) 2.23% Vodafone 140,171 157,656 142,213 (15,443) 2.72% 0ao Gazprom-spon Ads 122,533 70,480 57,671 (12,809) 1.10% Citigroup Inc 106,350 21,129 19,616 (1,513) 0.38% France Telecom 80,583 72,928 53,263 (19,665) 1.02% Vivendi 79,009 50,950 39,159 (11,790) 0.75% •AUM represents the Assets under management within the Equity Portfolio and NOT the AUM of the UA as a whole. 6 EFTA00615049 Equities On 000' USD) Name of Equity Book Cost Market value last quarter Market value this quarter Difference AUM Nokia 76,687 42,910 22,617 (20,293) 0.43% Occidental Petroleum Corp 74,860 87,414 79,773 (7,641) 1.53% GDF 73,212 66,320 49,356 (16,964) 0.94% EDF 70,213 60,086 42,338 (17,748) 0.81% Enel Spa 59,690 49,352 37,681 (11,671) 0.72% Lafarge 51,470 89,244 69,931 (19,313) 1.34% Statoil Hydro 50,826 56,142 47,107 (9,036) 0.90% Roche 47,760 45,313 38,046 (7,267) 0.73% Caterpillar 39,984 36,013 34,420 (1,593) 0.66% Tesco 39,130 42,479 36,519 (5,960) 0.70% Groupe Danone 37,588 40,077 35,973 (4,104) 0.69% Petrobras (ADRS) 34,664 60,454 45,505 (14,949) 0.87% Raiffeisen Intl Bank Holding 33,878 12,814 10,383 (2,431) 0.20% Schlumberger 30,007 35,601 31,046 (4,555) 0.59% Halliburton 29,963 41,278 33,634 (7,645) 0.64% E.ON 29,866 18,992 13,998 (4,994) 0.27% Exxon Mobil 29,659 28,132 23,969 (4,162) 0.46% ICICI Bank Ltd-spon Adr 29,616 37,747 31,948 (5,799) 0.61% Sanofi-aventis 27,199 38,994 31,695 (7,299) 0.61% United Technologies Corp 20,054 22,579 19,992 (2,587) 0.38% Honeywell International 19,434 15,709 13,543 (2,165) 0.26% Royal Bank Of Scotland 19,404 2,946 2,732 (214) 0.05% Palm Hills Development 10,020 4,431 3,471 (960) 0.07% Talaat Moustafa Group 9,706 10,983 9,918 (1,065) 0.19% Standard Chartered 8,181 12,151 10,927 (1,224) 0.21% Royal Dutch Shell 8,156 9,691 8,501 (1,190) 0.16% Nestle Sa-registered 6,055 7,281 6,860 (421) 0.13% CIA Vale Do Rio Doce - Adr 4,684 10,945 8,279 (2,666) 0.16% Total Non-Strategic 3,592,671 3,066,218 2,467,523 (598,694) 47.22% Consolidated Portfolio 6,803,326 6,026,058 5,225,609 (800,448) 100% •AUM represents the Assets under management within the Equity Portfolio and NOT the AUM of the LIA as a whole. 7 EFTA00615050 Bonds Regions Average Risk Weighted Assets LIA Holding Credit Rating ($000) Avg Risk Weighted Assets MA 1,568,697 AA 141,055 A 153,306 BBB 1 (AAA) o U.S 0 EUROPE BB O U.K B or Lower Not Rated Total 1,863,056 Last Quarter 1,635,131 1 (AAA) - Not Rated Counterparties have been excluded from the Avg RWA calculation Top 10 countries Sectors Germany fe Franco • Portugal Netherland • I.I.sxmbourg SHAT 4-- Sweden = Merle a .U.K .U.S 160 9610 %20 9630 9640 9650 %SO %70 ¶60 %20 %.40 %60 W30 oGovemment •Flnandal ❑Energy 8 EFTA00615051 Bonds ( in 000, USD) Name of Bond Book Cost Market Value last quarter Market Value this quarter Acrrual Difference AUM Maturity US Treasury 354,785 302,625 301,031 2,756 (1,594) 328 (2,320) 1,740 (1,422) 8.89% 0.62% 31/8/2010 21/9/2010 Danske Bank A/S 22,503 23,189 20,869 US Treasury 352,773 352,953 351,531 10.38% 30/9/2010 Agence Francaise Develop 9,993 10,093 10,085 109 (9) 18/1/2011 Ka Finanze Ag 23,389 24,679 22,231 243 _0.30% (2,448) 0.66% 28/1/2011 L•Bank Bw Foerder Bank 19,985 20,300 20,190 189 (109) 0.60% 14/2/2011 SFEF 9,984 10,128 10,062 69 (66) 0.30% 25/2/2011 Instituto De Credito Oficial 19,954 20,198 19,688 78 (509) 0.58% 15/4/2011 Raiff Zentralbk Oest Ag 26,091 27,459 24,754 98 (2,705) 0.73% 4/5/2011 Dexia Banque Intl Lux Sa 20,000 20,345 20,270 320 (75) 0.60% 30/10/2011 Dexia Banque Intl Lux Sa 28,778 31,031 30,445 400 (586) 0.90% 30/10/2012 Bp Capital Market Plc 9,975 10,207 9,030 185 (1,178) 0.27% 14/12/2011 Commwealth Bank Aust 19,974 20,418 20,378 224 (40) 0.60% 12/1/2012 National Australia Bank K F W 9,986 10,236, 10,212 118 (24) 0.30% 13/1/2012 14,982 15,204 15,284 136 80i 0.45% 17/1/2012 Network Rail Infra Fin 19,999 20,279 20,240 181 (39) 0.60% 17/1/2012 Banco Comerc Potu es 20,110 2 pa CI85 Z/A M6 19 1 201 20/1/2012 Banco Espirito Santo 13,542 14,024 12,351 204 (1,673) 0.36% African Development Bank 9,967 10,143 10,139 82 (5) 0.30% 23/1/2012 SFEF 14,992 15,276 15,199 133 (77) 0.45% 30/1/2012 CaJa Ahorros Barcelona 6,619 6,982 6,151 83 (831) 0.18% 3/2/2012 Swedbank Ab 19,991 20,582 20 513 218 (68) 0.61% 10/2/2012 BP Capital Markets Plc 19,931 20,582\ 18,386 185 (2,196) 0.54% 27/2/2012 Kingdom Of Spain 19,958 20,466 19,892 176 (574) 0.59% 5/3/2012 BP Capital Markets Plc 5,000 5,186 4,623 129 (562)i 0.14% 10/3/2012 *AVM represents the Assets under management within the Bond Portfolio and NOT the AUM of the liA as a whole. Maturing In next 30 days Maturing in next 3 months — EFTA00615052 Bonds ( in 000' USD) Name of Bond Book Cost Market Value last quarter Market Value this quarter Acrrual Difference AUM Maturity Lloyds Tsb Bank Plc 27,574 31,123 30,641 239 (481) 0.90% 16/3/2012 BK Of England Euro Note 9,962 10,22S 10,220 117 (8) 0.30% 19/3/2012 Export Developmnt Canada 19,955 20,497 20,504 133 7 0.61% 19/3/2012 Swedish Housing Fin Corp 19,973 20 /5.3 20,665 168 (90) 0.61% 23/3/2012 Intl Bk Recon & Develop 14,959 15,30/ 15,255 73 (52) 0.45% 2/4/2012 Hana Bank 2,987 3,241 3,196 44 (44) 0.09% 9/4/2012 Bank Of America Corp 19,994 20,327 20,509 70 182 0.61% 30 4 201 State Street 4,993 5,097 5,130 18 33 0.15% 30/4/2012 Intl Bk Recon & Develop 24,998 - 25,008 • 25,008 0.74% 7/6/2012 Bank Of America Corp 9,989 10,247 10,254 5 7 0.30% 22/6/2012 Republic Of Italy 24,743 - 24,598 125 24,598 0.73% 5/10/2012 Bk Of Eneland Euro Note 24,990 • 25,149 67 25,149 0.74% 18 3 2013 Euroflma 44,998 • 45,452 33 45,452 1.34% 28/5/2013 Kommuninvest Sverige 24,918 25,207 34 25,207 0.74% 4/6/2013 Finance For Danish Ind 24,938 25,172 13 25,172 0.74% 12/6/2013 Asian Dev Bank 49,813 - 50,441 61 50,441 1.49% 15n/2013 16/1/2014 SFEF 5,422 5,649 5,159 72 (490) 0.15% Export-Import Bk Korea 19,925 23,150 22,872 718 (277) 0.68% 21/1/20141 22/1/20141 Rabobank Nederland 26,539 28,991 26,291 468 (2,700) 0.78% Inc Bank 9,981 10,564 10,672 109 108 0.32% 19 3 2014 Emirate Of Abu Dhabi 4,967 5,400 5,447 63 47 0.16% 8/4/2014 European Investment Bank 13,277 14,108 13,080 80 (1,029) 0.39% 0.63% 15/4/2014 Mdc-Gmtn B.V. 19,804 21,100 21,375 173 275 6/5/2014 Rabobank Nederland 9,982 10,499 10,607 55 108 0.31% 13/5/2014 CBB International Sukuk 5,000 5,375 5,519 11 144 0.16% 17/6/2014, Bahrain Mumtalakat Hldng 34,677 - 34,596 • 34,596 1.02% 30/6/2015 General flee Cap 18,075 17,503 17,786 19 283 0.53% 7/8/2018 TOTAL Bonds 1,917,053 1,635,131 1,863,056 15,080 54.90% TOTAL Extmal Managers 1,500,000 1,514,349 1,530,449 45.10% TOTAL FIXED INCOME 3,417Ø 3,149r 3593,505 100.00% •AUM represents the Assets under management within the Bond Portfolio and NOT the AUM of the UA as a whole. 10 EFTA00615053 Externally Managed Bond Portfolio ( in 000' USD) Name of Manager Book Cost Market Value last quarter Market Value of this quarter Difference AUM Nomura Asset portfolio 500,000 503,518 508,933 1.00% %14.58 Western Asset portfolio 500,000 507,038 514,547 1.48% %14.58 BNY Asset portfolio 500,000 503,793 506,969 0.63% %14.58 •AUM represents the Assets under management within the Bond Portfolio and NOT the AUM of the LiA as a whole. All mandates; global government fixed income 1-3 year ,minimum rating A/A2 11 EFTA00615054 Alternatives Asset Allocation ■ Funds ■ Segregated Account ■ Hedge Fund ■ Structured Products ■ PE Fund ■ Derivatives 12 EFTA00615055 Alternatives Structured Product Investments, Externally Managed ( in 000' usD) Name of Investment Type of Investment Book cost Market Value last • uarter Market Value this quarter % Difference AUM Millennium -Global Natural Resources Fund 101,496 108,771 93,374 -14.16% 1.90% Millennium -Global High Yield Fund 100,000 79,159 75,774 -4.28% 1.87% Millenium - Global Emerging Credit Fund 100,000 0.00% 1.87% Palladyne-Quant Fund Global Diversified Hedge Fund 300,000 286,346 267,465 -6.59% 5.60% OCH-ZIFF- Global High Yield Hedge Fund 150,316 162,506 166,819 2.65% 2.81% OCH-ZIFF- overseas fund II Hedge Fund 150,079 168,531 161,753 -4.02% 2.80% HSBC-Absolute Return Segregated Account 274,730 281,822 281,270 -0.20% 5.13% Notz Stuki Segregated Account 246,945 256,177 245,223 -4.28% 4.61% Spencer House- Global Equity Portfolio Segregated Account 77,040 79,806 68,838 -13.74% 1.44% Soc Gen Europe Meduim Structured Product 1,000,000 498,800 284,500 -42.96% 18.67% Soc Gen Strategic Equity Fund Codeis Structured Product 500,000 586,150 566,450 -3.36% 9.34% Permal-Segregated Account Structured Product 300,000 191,100 201,750 5.57% 5.60% Soc Gen -Cross Roads SY Link Notes Structured Product 300,000 208,050 204,270 -1.82% 5.60% Lehman Brothers - CPPI Structured Product 300,000 0.00% 5.60% Fortis-Absolute Return Deutsche Bank Structured Product 242,000 243,874 232,391 -4.71% 4.52% JP Morgan-Allegro Strategy Linked Notes Structured Product 200,000 169,800 171,500 1.00% 3.73% Cheyne Capital-Dresdner Bank (Ser EMTN) Structured Product 200,000 142,000 139,400 -1.83% 3.73% Commerzbank-Outperformance Note Structured Product 200,000 192,110 193,194 0.56% 3.73% GLG-CPPI Credit Suisse - USD 90% Structured Product 200,000 142,580 143,680 0.77% 3.73% PARIBAS Structured Product (ETF) 10,000 10,000 9,284 -7.16% 0.19% 13 EFTA00615056 Alternatives ( in 000' USD) Private Equity Funds, externally managed Name of Investment Type of Investment Book cost Market Value last quarter Market Value this quarter % Difference AUM RBS Special opportunities PE Fund 110,165 75,459 74,413 -1.39% 2.06% Carlyle -Partner V Fund PE Fund 75,467 65,430 80,683 23.31% 1.41% Goldman Sachs-Mezzanine PE Fund 73,508 76,767 76,767 0.00% 1.37% Goldman Sachs-Peter Shill PE Fund 64,818 74,933 74,933 0.00% 1.21% Carlyle -Mena Fund PE Fund 42,653 39,664 39,149 -1.30% 0.80% ABC Bahrain Navis Funds PE Fund 25,000 30,665 33,165 8.15% 0.47% Celtic Pharmaceutical PE Fund 10,681 10,000 10,718 7.18% 0.20% Total 5,354,898 4,180,500 3,896,763 Equity Derivatives, Externally Managed ( in 000' USD) Name of Investment Category Book cost Market Value last quarter Market Value this quarter % Difference EDF.PA Collar& Forward 73,500 420 -99.00% EDF.PA Collar& Forward 65,964 1,156 -98.00% GS FX Basket Option 50,000 9,000 -82.00% CROI.MI Put& Forward 448,534 2,908 -99.52% ENI.MI Put& Forward 148,795 968 -99.00% SAN.MC Put& Forward 148,336 3,028 -98.98% Citigroupe Put& Forward 100,000 500 -100% Citigroupe Put& Forward 100,000 500 -100% ALVG.DE Put& Forward 74,464 554 -99.00% EDF.PA Put& Forward 37,197 849 -98.00% Total 1,246,790 19,882 -98.49% Valuations on equity derivatives above are based on NPV (Net Present Value) and are subject to change with market conditions upon maturity. 14 EFTA00615057 Subsidiaries fin 000' USD) Name of Subsidiary Book Cost AUM LTP 8,517,583 50.84% LAP 5,187,189 30.96% LAFICO 1,805,979 10.78% Oil Invest 937,870 5.60% Verenex 300,622 1.79% Alwa hat 4,542 0.03% DALIA 163 0.00% Itern 4 0.00% Akakus 0 0.00% Total 16,753,952 15 EFTA00615058 Other Assets ( in 000' USD) Investment Name Amount AUM Loans 2,580,211 62.10% Investments Held with Others (RE/ LAFICO) 1,095,101 26.36% Short term receivables 395,078 9.51% Construction in progress (BP / Verenex) 52,209 1.26% Trading investment (Cash— First Energy Bank) 32,366 0.78% Total 4,154,966 16 EFTA00615059 Assets bought/sold/maturing in last 3 months (In 000' USD) Asset Type of asset Value purchased Value sold Date of transaction Eurofinia Fixed Income 44,998 18/05/2010 Asian Development Fixed Income 49,813 26/05/2010 Kommuninvest Fixed Income 24,918 27/05/2010 Finance For Danish Ind Fixed Income 9,975 3/6/2010 Republic Of Italy Fixed Income 24,742 3/6/2010 Bank Of England Fixed Income 24,990 3/6/2010 Intl Bk Recon & Develop Fixed Income 24,997 28/06/2010 Bahrain Mumtalakat Fixed Income 34,676 30/06/2010 Unicredit Equity 241,659 9 Tranches in Q2 Finnemeccanica Equity 12,534 10/5/2010 Pearson Equity 2,807 3/6/2010 ENI Equity 98,725 14/06/2010 Pfizer Equity 35,981 14/06/2010 Total 630,816 Investments maturing in next 3 months (In 000'USD) Asset Maturity date Amount invested Current market value US TREASURY 31/7/2010 306,359 300,562 US Treasury 31/8/2010 354,785 301,031 Den Danske Bank 21/9/2010 22,502 20,869 US Treasury 30/9/2010 352,773 351,531 Total 1,036,419 973,993 17 EFTA00615060 VaR (VAR based on 95% Confidence 3 Years Historical and 1 Day time horizon) Strategic Equity Portfolio ) VaR Historical 1 Day —VaR.0511 CVaR 958 2) Stress Tests 1 week Scenanos P&L ERet(P) 410 123,795,962 (4.25i) Black Monday -444,972,85zi I 1 -15.281 Top Contributors Sep 11 -412,471,120 Ii I -10.73 VaR Russian Ruble Devalues 311,888,695 10.71 I I Financial 49 390 281 Flight to Quality -256,849,513 -8.82 r Industrial Energy = 30.523.004 25.202.963 Corporate Scandal -252,772,537 -8.68 Basic Materials 0 20.909.848 WorldCom Bankrupts -244,327,371 -8.39 rnmmiinicarinne. . 14 700 54R Economic Recovery Falters -182,299,088 -6.26 novae VaR Small Cap Worries -139,199,623 =It -4.78 UCG it 49 390 281 Market Bounce -132,501,733 C I -4.55 SIE 27,339,713 Euro Weakens -106,583,812 -3.66 ENI 21,369,813 G7 Summit -52,127,055 -1.79 NILSY 18,940,308 Invasion of Iraq -13,686,992 -0.47 O _ PSON 11.865.538 Equity Portfolio 92,536,311 (2.98%) Top Contributors Communications Industrial Energy Financial Racy Matarialc 134,242,033 1 22 550 412 il= 17.779.087 I 17.206.211 ICI 14.711.631 14 447 Sh4 Security GE 4E5 EA N TEF AL II l i I 12 422 664 9,531,606 9,402,440 7,367,330 I =I 7.332.41° Scenarios Pill • IIW(P) Black Monday -1.5.32 -475 6034.. I II Flight to Quality -269,156$... ul -8.671 Russian Ruble Devalues -210,792.9 ORM -6.79 Corporate Scandal -184,715,4.. =II -S.95 Economic Recovery Falters -180,990,1... -5.83 Market Bounce WorldCom Bankrupts -124,488,9... -97,169,644 o, III CI -4.01 -3.13 Sep 11 -96,859,198 OH -3.12 Small Cap Worries -85,993,583 OI -2.77 Euro Weakens -54,948,968 Dt -1.77 G7 Summit -44,704.245 01 -1.44 - Due to Bloomberg VAR engine Limitation, the VAR has been calculated as the 22nd Sept 2010 using the Equity Portfolio positions as 30th June 2010 - The Stress Scenarios are build within Bloomberg / Provided by Bloomberg 18 EFTA00615061 VaR (cont'd) Consolidated Bond Portfolio (Internally Managed) VTR7 Historical 1 Day 1 week P&L • %Ret(P) 991 Scenarios v R 2,314.956 (0.10%) 3,238,086 Credit Spreads Up 100% -0.72 -10,3303... I i Interest Rates Up 100 bps -0.721 Top Contributors -16,330,8... I I i Credit Rate Shock ji -0.51 Financial 0 12 074.607 Flight to Quality -II -0.50 I 345.375 35.613 -11,340,8 Government Credit Spreads Up 50% -8,165,447 -0.36 Enemy I ] Euro Weakens -5,897,267 -0.26 Credit Spreads Up 25% -4,082,724 C I -0.18 Inv Grade Spreads Up 50% -4,082,724 CI -0.18 DEXGRP 3 10/30/11 0 I 430,923 Economic Recovery Falters -3,629,088 -0.16 LLOYDS 2 3/4 03/16/12 II I 423,179 WorldCom Bankrupts -2,721,816 Di -0.12 RABOBK 4 3/8 01/22/14 J 335.064 Market Bounce -2,721,816 -0.12 RZB 2 1/2 05/04/11 I I 314,060 Russian Ruble Devalues -2,268,180 Eli -0.10 KAFIN 2 5/8 01/28/11 284.863 - Due to Bloomberg VAR engine Limitation, the VAR has been calculated as the 22nd Sept 2010 using the Equity Portfolio positions as 30th June 2010 - The Stress Scenarios are build within Bloomberg / Provided by Bloomberg 19 EFTA00615062