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

2. 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)

3. 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)

4. Evolution of ABS/MBS/ABCP* holdings by risk

5. 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).

6. 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).

7. 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).

8. IDB Swaps Exposure