Status of Investments and Swaps Exposure as of 12/31/08

Highlights Valuation losses on the Investment Portfolio through Dec 31, 2008 For the month: $226 mm YTD 2008: $1.58 bn Since Jul 2007: $1.88 bn Of these losses, $79mm have been realized (4% of total losses) The HTM portfolio has had no valuation losses Composition of losses by type of asset ABS/MBS 86% (all performing) CDO of ABS 3% (all performing) ABCP (Restructured) 5% (in default from 2007) Banks 6% (all performing) Composition of losses by rating / performance status AAA (still) 68% of total losses Investment grade 89% Still performing 95% Swaps exposure in counterparties rated A+ or better 29 of 33 counterparties rated A+ or better (w/ $333mm uncollateralized exposure) 3 counterparties rated A (w/ $0mm uncollateralized exposure)

What is driving the market and the Bank’s valuation losses? CDX North America Investment Grade Traded index of 5-yr credit default swap contracts of 125 investment grade, North-American corporates Merrill Lynch AAA Flt ABS Index Index of AAA rated, floating-rate ABS representing the overall composition of the market. Source: Bloomberg, Merrill Lynch US Treasury bails out Banks but abandons plans to purchase ABS/MBS Fed targets 0-25bp rates Bear Stearns rescue/FED actions US Treasury support GSEs/AIG; Lehman failure Downgrades of monolines ABCP market affected Further downgrades of monolines and financials Down-grades of CDOs Peloton collapse and forced sale of assets Subprime crisis starts Fed starts easing Banks’ write-offs begin YTD 2008: (1,581) 2007/2008: (1,875) $79 million of these losses are realized ($71 million in 2008)

Evolution of ABS/MBS/ABCP* holdings by risk

TOP - Asset Allocation NOTE: MV-FACE is presented as an indicator of relative performance and reflects an approximation of losses in the portfolio. Differences with actual figures arise due to factors such as purchase prices other than par and securities that are no longer in the portfolio (due to sales or maturities).

TOP - Average Ratings Breakdown: Total * HARBOUR LIMITED (MAINSAIL RESTRUCTURING - $68.4 MILLION) AND GOLDEN KEY ($33 MILLION) ** Refers to the highest short-term credit rating NOTE: MV-FACE is presented as an indicator of relative performance and reflects an approximation of losses in the portfolio. Differences with actual figures arise due to factors such as purchase prices other than par and securities that are no longer in the portfolio (due to sales or maturities).

TOP - Average Ratings Breakdown by Sector * HARBOUR LIMITED (MAINSAIL RESTRUCTURING - $68.4 MILLION) AND GOLDEN KEY ($33 MILLION) ** Refers to the highest short-term credit rating NOTE: MV-FACE is presented as an indicator of relative performance and reflects an approximation of losses in the portfolio. Differences with actual figures arise due to factors such as purchase prices other than par and securities that are no longer in the portfolio (due to sales or maturities).

IDB Swaps Exposure