Status of Investments and Swaps Exposureas of 12/31/08

2

Highlights• Valuation losses on the Investment Portfolio through Dec 31, 2008

For the month: $226 mmYTD 2008: $1.58 bnSince 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 assetABS/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 statusAAA (still) 68% of total losses Investment grade 89%Still performing 95%

• Swaps exposure in counterparties rated A+ or better29 of 33 counterparties rated A+ or better (w/ $333mm uncollateralized exposure)3 counterparties rated A (w/ $0mm uncollateralized exposure)

3

2.3 1.5 (0.9) (0.4) (2.5) 1.0

(11.7)

(71.8)

(25.5)(38.3)

(91.9)

(56.0)(48.9)

(139.5)

(237.3)

(65.3)

34.1

(38.3)

(110.7)(127.3)

(171.5)(156.7)

(293.6)

(226.2)

(300)

(250)

(200)

(150)

(100)

(50)

0

50

100

Jan

-07

Feb

-07

Mar-

07

Ap

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May-0

7

Ju

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7

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7

Sep

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Oct-

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7

Dec-0

7

Jan

-08

Feb

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Mar-

08

Ap

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May-0

8

Ju

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8

Ju

l-08

Au

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8

Sep

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Oct-

08

No

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8

Dec-0

8

To

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losses i

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mil

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20,000

40,000

60,000

80,000

100,000

120,000

140,000

160,000

180,000

200,000

220,000

240,000

260,000

280,000

CD

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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

What is driving the market and the Bank’s valuation losses?

Bear Stearns rescue/FED actions

Peloton collapse and forced sale of assets

Subprime crisis starts

ABCP market affected

Fed starts easing

Banks’ write-offs begin

Down-grades of CDOs

Downgrades of monolines

YTD 2008: (1,581)

2007/2008: (1,875)

$79 million of these losses are realized ($71 million in 2008)

Further downgrades of monolines and financials

US Treasury support GSEs/AIG; Lehman failure

US Treasury bails out Banks but abandons plans to purchase ABS/MBS

Fed targets 0-25bp rates

4

Evolution of ABS/MBS/ABCP* holdings by risk

Notional Notional

as of 11/30/08 FX moves Bought/Sold Reclassified Repaid at par as of 12/31/08 Price UGL (vs Par)

Confident of full recovery

5 4,277 177 - (149) (49) 4,256 3.4 yrs 75.8% (1,030)

Expect full recovery but with some risk

1-3 1,459 24 - 149 (15) 1,618 3.9 yrs 58.7% (668)

Expect some losses 4 101 - - - - 101 n/a 20.4% (81)

Total 5,838 201 - - (64) 5,975 3.6 yrs (1,779) Total TOP RGL versus par from 6/30/07 through 12/31/08 amounted to a loss of ~$79 million

*Excludes Banks, Corporates, Agencies and Government securities

**Group Definitions1) All individual securities downgraded or placed under negative watch with deteriorated “fundamental” values to be sold with INV discretion2) Securities not yet under negative watch, but where pre-emptive selling actions could be taken with INV discretion3) All individual securities downgraded or placed under negative watch but retain “fundamental” values4) Defaulted or restructured securities in workout (Golden Key and Harbour, previously Mainsail)5) All other securities that retain their original rating and "fundamental" values

*** The weighted average life of the remaining $7,939 million TOP (non-structured finance) assets is 0.77 yrsThe Total TOP Market Value is $12,048 million (SF $4,196 million, Non-SF $7,852)

31-May-0830-Jun-0831-Jul-08

31-Aug-0830-Sep-0831-Oct-0830-Nov-0831-Dec-08

Cumulative 12/31/08 MTM Risk

Group nº **

Changes in Notional Weighted Average Life***

2008 - Repayments at Par

89

50

68 70

51

61

85

44

5760

53

64

-

10.0

20.0

30.0

40.0

50.0

60.0

70.0

80.0

90.0

100.0

Jan-08 Feb-08 Mar-08 Apr-08 May-08 Jun-08 Jul-08 Aug-08 Sep-08 Oct-08 Nov-08 Dec-08

$eq

. M

illio

ns

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).

ASSET CLASS FACE %T MV %T MV - FACE %TAGENCIES 1,173 8% 1,168 9% (5) 0%BANKS 5,815 38% 5,715 42% (100) 6%CORPORATES 297 2% 292 2% (5) 0%GOVERNMENTS 2,049 14% 2,061 15% 13 -1%ABS 2,628 17% 2,009 15% (619) 38%MBS 2,962 20% 2,189 16% (773) 48%CDO of ABS 147 1% 103 1% (44) 3%HARBOUR/GOLDEN KEY 101 1% 26 0% (75) 5%

TOTAL 15,172 100% 13,563 100% (1,609) 100%

AS OF 30-NOVEMBER-2008 (IN US$ MILLIONS)

ASSET CLASS FACE %T MV %T MV - FACE %TAGENCIES 1,308 9% 1,307 11% (1) 0%BANKS 4,829 35% 4,728 39% (101) 5%CORPORATES 202 1% 199 2% (3) 0%GOVERNMENTS 1,600 11% 1,618 13% 18 -1%ABS 2,692 19% 1,981 16% (711) 38%MBS 3,036 22% 2,115 18% (921) 49%CDO of ABS 146 1% 80 1% (66) 4%HARBOUR/GOLDEN KEY 101 1% 21 0% (81) 4%

TOTAL 13,914 100% 12,048 100% (1,867) 100%

AS OF 31-DECEMBER-2008 (IN US$ MILLIONS)

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).

TOTALFACE %T MV MV - FACE %T

A-1+ ** 241 2% 241 (0) 0%AAA 8,261 54% 7,178 (1,083) 67%AA+ 630 4% 584 (45) 3%AA 2,229 15% 2,190 (40) 2%AA- 1,606 11% 1,577 (29) 2%A+ 1,201 8% 1,136 (65) 4%A 77 1% 42 (34) 2%A- 472 3% 378 (94) 6%BBB+ 55 0% 27 (28) 2%BBB 3 0% 1 (2) 0%BBB- 134 1% 112 (22) 1%BB+ 49 0% 20 (28) 2%BB 85 1% 39 (46) 3%BB- 4 0% 2 (3) 0%B+ 24 0% 8 (15) 1%B - 0% - - 0%B- - 0% - - 0%CCC+ - 0% - - 0%CCC - 0% - - 0%CCC- - 0% - - 0%NR * 101 1% 26 (75) 5%

TOTAL 15,172 100% 13,563 (1,609) 100%

AS OF 30-NOVEMBER-2008 (IN US$ MILLIONS)AVERAGE RATINGS

TOTALFACE %T MV MV - FACE %T

A-1+ ** - 0% - - 0%AAA 7,835 56% 6,562 (1,273) 68%AA+ 476 3% 373 (103) 6%AA 856 6% 832 (24) 1%AA- 2,475 18% 2,413 (62) 3%A+ 973 7% 917 (57) 3%A 607 4% 507 (100) 5%A- 209 2% 196 (13) 1%BBB+ 31 0% 16 (14) 1%BBB 137 1% 115 (22) 1%BBB- - 0% - - 0%BB+ - 0% - - 0%BB 18 0% 13 (5) 0%BB- 34 0% 27 (8) 0%B+ 54 0% 20 (34) 2%B 91 1% 28 (62) 3%B- - 0% - - 0%CCC+ 14 0% 6 (8) 0%CCC 2 0% 1 (1) 0%CCC- - 0% - - 0%NR * 101 1% 21 (81) 4%

TOTAL 13,914 100% 12,048 (1,867) 100%

AS OF 31-DECEMBER-2008 (IN US$ MILLIONS)AVERAGE RATINGS

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).

AVERAGE RATINGS

STRUCTURED FINANCE

BANKS OTHERS

(Gov/Agc/Corp) TOTAL

A-1+ ** - 120 121 241 AAA 3,813 69 3,296 7,178 AA+ 33 508 43 584 AA 51 2,101 37 2,190 AA- 8 1,546 24 1,577 A+ 69 1,067 - 1,136 A 42 1 - 42 A- 132 246 - 378 BBB+ 27 - - 27 BBB 1 - - 1 BBB- 55 57 - 112 BB+ 20 - - 20 BB 39 - - 39 BB- 2 - - 2 B+ 8 - - 8 B - - - - B- - - - - CCC+ - - - - CCC - - - - CCC- - - - - NR * 26 - - 26

TOTAL 4,326 5,715 3,521 13,563

AS OF 30-NOVEMBER-2008 (MARKET VALUE IN US$ MILLIONS)

AVERAGE RATINGS

STRUCTURED FINANCE

BANKS OTHERS

(Gov/Agc/Corp) TOTAL

A-1+ ** - - - - AAA 3,573 58 2,931 6,562 AA+ 147 142 85 373 AA 71 761 - 832 AA- 35 2,344 33 2,413 A+ 58 784 75 917 A 101 406 - 507 A- 27 169 - 196 BBB+ 16 - - 16 BBB 52 63 - 115 BBB- - - - - BB+ - - - - BB 13 - - 13 BB- 27 - - 27 B+ 20 - - 20 B 28 - - 28 B- - - - - CCC+ 6 - - 6 CCC 1 - - 1 CCC- - - - - NR * 21 - - 21

TOTAL 4,196 4,728 3,123 12,048

AS OF 31-DECEMBER-2008 (MARKET VALUE IN US$ MILLIONS)

8

IDB Swaps Exposure

DERIVATIVE CREDIT EXPOSURE AND COLLATERAL REPORTAs of November 26, 2008 (amounts in millions of USD equivalents)

Ave. # of Current Collateral Uncollat. Collateral

Rating Counterparties Notional Exposure Posted Exposure Requested

AA+ 1 725 37 - 37 7

AA 13 21,878 593 272 322 109

AA- 11 18,691 352 146 205 96

A+ 3 3,358 222 111 111 86

A 3 1,452 62 122 0 0

Total 31 46,103 1,266 652 675 298

DERIVATIVE CREDIT EXPOSURE AND COLLATERAL REPORTAs of December 31, 2008 (amounts in millions of USD equivalents)

Ave. # of active Current Collateral Uncollat. Collateral

Rating Counterparties Notional Exposure Posted Exposure Requested

AA+ 1 725 - - - -

AA 13 22,222 805 646 166 3

AA- 9 14,294 493 444 121 71

A+ 6 7,642 575 533 45 45

A 4 1,452 130 138 - -

Total 33 46,334 2,003 1,761 333 120