The Global VaR Concept & Product Line

CAAM London Global Bond & Currency Management The Global VaR Concept & Product Line January 2008

Organisation & Business of CAAM

CAAM (London Branch) Investment & Support teams Chief Investment Officer Bruno Crastes, CEO International Bond & Currency Vincent Chailley Global Long/Short & UK equities Rae Brooks UK institutions Fixed Income Russell Büsst 5.3 bn. 22 investment managers (inc. 3 in Singapore) + 5 analysts Benchmark mgt. Absolute return Forex funds Overlay Equity Total (Dec. 07) 16.5 bn. 23.7 bn. 1.2 bn. 10.5 bn. 0.5 bn. 52.4 bn. Client servicing 4 (London) - Marc Maudhuit Currency & Derivative dealing 4 (London) - Aurélie Brandy Middle office Juliette Caillot Risk control Stéphane Ruegg Compliance Gaël Kerrigan 14 (London) + 8 (Sing.) 4 (London) + 1 (Singapore) 3 (London) Page 2

CAAM (London Branch) Investment Teams Page 3 CAAM (London Branch) CEO & CIO Bruno Crastes GLOBAL BOND AND CURRENCY MANAGEMENT Vincent Chailley, Head / Cedric Morisseau, Deputy Head Carlos Galvis Raphaël Stefani Mervin Yeung Merrick Styles Eddie Pong Rajeesh Purih Vivek Mahtani Charles Zerah Loïc Cadiou Sergeï Strigo Thomas Delabre Philippe Jauer Markus Krygier Yves Casa Lhoucine Aderdor Ludovic Colin Stéphane Leclerc Jeremy Touboul Alain Casiraghi Philippe Jauer Marc Plans Christophe Chapuis Matthew Fairclow Patricia Rimes Patrick Chia Hervé Hanoune Jean-Baptiste Roux Pascal Dubreuil * Denotes pending FSA registration QUANTITATIVE MANAGEMENT Quantitative management Quantitative Management Quantitative Management Quantitative Management (trainee*) Quantitative Analyst Quantitative Analyst Quantitative Analyst CREDIT Emerging market bonds & currencies Emerging market bonds & currencies Emerging market bonds and currencies (trainee*) Emerging market bonds and currencies analyst Global corporate credit Global corporate credit TRADING Head of Forex trading Currency trader assistant (trainee*) Volatility & Emerging Currency trader Head of derivative trading Derivatives trading Commodity futures trading CASH MANAGEMENT Head of Cash management Cash manager Cash manager Cash manager Cash manager SINGAPORE GLOBAL BD & CCY MGT Head of Singapore Global Bond & Currency mgt Investment manager Investment manager (trainee*) Emerging corporate bond analyst (trainee*)

CAAM (London Branch) Support Teams CAAM (London Branch) CEO & CIO Bruno Crastes CLIENT SERVICING Marc Maudhuit Jacques Keller Alexandra Meheust Camille du Haÿs Head of Client servicing Client Servicing Client Servicing Client Servicing CAAM (London Branch) deputy CEO Jean-Noël Alba DEALING Aurélie Brandy Aurélie Kevin Brandy Hughes Kevin Steven Hughes Fawn Steven Mark Fawn Hudson Mark Hudson Stéphane Ruegg Erwan Guilloux Romain Mercier Francois Carrie Gaël Kerrigan Marc Largan David Monk Head of FX & Derivatives dealing Head of Currency FX dealing dealing Currency Currency dealing dealing Currency Derivatives dealing dealing Derivative sdealing RISK CONTROL & COMPLIANCE Head of risk control Risk manager Risk manager Risk manager Head of compliance Compliance officer Compliance officer Page 4

Presentation of CAAM London Branch

A core-satellite organisation CIO B.Crastes P.-L. Martin Emerging markets T. Delabre C. Zerah R. Brooks Equities M. Yeung L. Cadiou C. Morisseau M. Styles G. Legoff S. Strigo P. Jauer V. Chailley E. Pong P Chia C. Galvis H Hanoune R. Purih R. Stefani S. Leclerc Trading Derivatives Forex Y. Casa Page 6 A. Casiraghi J. Touboul L. Colin JB Roux L. Aderdor

Absolute Return Management : Beta vs. Alpha management Traditional management Alternative management Benchmark-oriented Beta management Minimization of costs Limited diversification Accounting reading Asset allocation Performance-oriented Alpha creation Maximization of revenues Maximum diversification Financial reading Risk allocation Beta versus Alpha Management : Two radically different management approaches Page 7

Definition of Value at Risk VaR 20 Fund +/- 1.65 X 90% confidence level +/- 1.0 66% confidence level VaR: This area represents the 5% risk that the portfolio under-performs its expected return by more than its VaR (20%) over one year. Source : CAAM 0 - - - - - - + - -2.5-1.5-0.5 0.5 1.5 2.5 Target Return less 20% Target Return: LIBOR + X%. + + + + + + + + + (std. deviations) Page 8

Philosophy & Investment Process

Philosophy and investment process Over the long term, a portfolio manager cannot rely on prediction alone... Global Alpha Individual alpha Individual skills = X Organisation Adding up individual skills 70% 60% 50% Limited to 60-65% success-ratio Vulnerable when under pressure Consumes resources exponentially Maintains the quality from the decision to the position Releases pressure from the manager Size makes it harder Page 10

Philosophy and investment process Multiply skills Statistical and objective diversification provide risk-reduction and return normalization OECD bonds T-Notes OATs CURRENCIES $ Gilts JGBs Bunds CAD Strategic positions Global exposure Country allocation Yield curve allocation CREDIT Total Active Risk USD exposure Inter-bloc (EUR, JPY, CAD) Intra-bloc Emerging mkts ccy exposure EQUITIES Global exposure Style allocation Global exposure Country allocation Country/Style allocation Short-term opportunistic Emg mkts relative value Emg mkts ccy allocation Corporate debt opportunistic OVERLAYS Derivative trading Commodity trading Currency trading Volatility Sector allocation Long-short stock-picking Page 11

Philosophy and investment process A 5-step investment process... Risk and performance measurement and control Crédit Agricole & external research, CAAM global fixed income Global fixed income & Quantitative research Global fixed income & Quantitative research Strategic analysis Macroeconomic scenario Yield and currency scenario construction Interest rate & currency grids Risk-adjusted model portfolio construction Model Portfolios 1 2 3 Macroeconomic and market data Market data Management guidelines 5 Global fixed income Real portfolio construction 4 Bond selection, market timing, trading, etc. Real portfolios Page 12

Making decisions and a single decision-maker per source of performance London CIO Control 1 2 3 4 * In the case of mandates & indexbenchmarked funds, the 5 trading overlay is implemented by the portfolio manager as part of his discretion limit, rather than delegated with a VaR budget to specialist overlay managers Style segregation Decision : Head of Global FI Inputs : Macro-eco, valuation, flows, risk and correlation sentiment Decision : Head of Global FI Inputs : Macro-eco, valuation, flows BONDS 2. Country 3. Curve BONDS CREDIT 2. Style alloc. CCIES CREDIT EQUITIES CCIES 2. Inter-bloc 3. Intra-bloc EQUITIES 2. Zone 3. Country / Industry DIRECTIONAL (30% ; 50%)* RELATIVE (40% ; 20%) Different horizons Decision : Overlay manager* Inputs : macro, micro, technical, price action BONDS 4. Derivative trading 5. Commodities CREDIT 3. Corpo tilt 4. Emg Ctry. 5. Lg/shrt arb. CCIES 4. Emg alloc. 5. Quant. Trad. EQUITIES 4. Sector 5. Long-short OVERLAYS* (30% ; 30%) VOLATILITY Page 13 * : (past 10-year risk allocation ; 2007 risk allocation)

Making decisions: Overlay management risk allocation Overlay VaR budget 2007 Objective diversification for more opportunities and better robustness OVERLAYS 30% of sum of VaRs Page 14 TRADING Derivative & commodity trading Currency & Volatility OverlayEmergent CREDIT (Dette & devises) Emerging market arbitrage Emg mkts currency arbitrage Overlay EQUITIES Actions 2 nd level Sector allocation Long/short equity 40% of VaR max = 30% of VaR max. + 12% of VaR max. + 15% of VaR max. + 17% of Diversification Fund manager: 18% of VaR max. P.G.T.: 18% of VaR max. Derivative trading (inc. Cmdty.): 12% of VaR max. Currency & Volatility: 12% of VaR max. Horizon < 1 mth B&E deriv.: 8% of VaR max. Commodity: 6% of VaR max. G 10 Ccy.: 8% of VaR max. Emerg. Ccy.:4% of VaR max. Volatility: 4% of VaR max.

Making decisions: Overlay management Decision makers OverlayEmergent CREDIT (Dette & devises) Overlay EQUITIES Actions BD & CCY EMG MKTS L.Cadiou C.Zerah S.Strigo ANALYSIS T. Delabre P.Dubreuil G10 CORPO Europe & US Lg/Short P.Jauer R.Brooks G.Legoff W.Maby JP.Bry THEMATIC PG.Moucan TRADING BONDS EQUITIES COMMODITIES VOLATILITY CURRENCIES EMG MKTS S.Leclerc 18% 18% Head of Derivatives trading Y.Casa Head of Currency trading Judgmental (4) + Volatility (8) Model trading (10) J.Touboul Derivative trader A.Casiraghi Commodity trader Tech. analysis (4) Model (8) L.Aderdor Currency trader J.B. Roux Ccy trader L.Colin Emg mkts Model (4) Model (4) Judg. + Vol (6) Page 15

Investment Process : Translate views into positions (translate skill into positions) In a broad investment universe, a human being cannot accurately and consistently consider correlations and volatility Qualitative views OECD bonds Duration: - US & Jap. vs EMU: = Flattening US: ++ Swap spreads: -/2 Complete quantitative market forecasts Emerging bonds Latam (Brazil): - Argentina : + Central Europe : +/2 Russia : + Qualitative views Dual Z- scoring Market scenario Currencies USD exposure: + EUR & JPY blocs: - Commodity-bloc: + etc. Consistency checking The computer double-checks and quantifies the scenario MAXIMUM CONSISTENCY Page 16

Investment Process : Translate views into positions (translate skill into positions) Constraints are introduced at the very end of the process so that portfolios benefit from all the markets views Final bond & currency strategy forecasts Investor s objectives & constraints (benchmark & tracking error) Optimisation Modified duration allocation Currency allocation Emerging market allocation Ex-ante portfolio analysis Model portfolios Page 17

Investment Process : Day-to-day management (optimize performance and absorb shocks) Dynamic risk monitoring Instant-update & global risk monitoring is key for consistency and reactivity Contribution to global risk measured real-time along every source of performance Active control of strategic vs. tactical risk Aggregated risk measured real-time thanks to a global variancecovariance matrix based on JPM RiskMetrics technology M B P P-B P-LP VaR breakdown TE CHECK 95% VaR 3.98% <4% G4 132 Ccy VaR 1.45% <2% CA-AM DYNARBITRAGE Vol 233 233 452 G10 87 Bond VaR 1.95% VAR 4 <2% 1 Emg 119 Credit VaR 0.59% <2% Carry 211 238 27 206 Trading 20 Equity VaR 1.92% <2% 0.8 Date: 21-Apr-05 Expo. 144 VaR / LP 1.25% <1.3% Rating AAA BB BB -BBB- Zone 104 Total ex-mm 14% <100% 0.6 Bench. EU R IB OR _ 3 m_ EU R Country 52 Comm. Bonds 8% Currencies 15 15 27 Curve 29 Comm. Credit 4% 0.4 M.Portf. EURIBOR GLOBAL 1 Swap 22 Comm. Equities 3% Int. Rates -280-280 307 Credit exp. 31 Total Off-bal. 78% 0.2 <100% EUR 2577 EUR Ctry/Pick. 51 Comm. Repos 5% Swaps 172 Equity exp. 178 Comm. Futures 64% 0 Update Country 52 Comm. Sw aps 9% Credit -26.3-26.3-61.3 0 0.2 0.4 0.6 0.8 1 1.2 CURRENCIES Equities 8.4 8.4 8.0 BONDS Sector 44 Comm. Options Long/Short 20 Volatility 10 P-B MP-B Ccy 1-3 y 3-7 y 7-15 y 15-35 y Total swap Country Wght MD sps yld Sector EMU EXE NAM JPY PAX EUR -3.0 $ EUR -4-49 -96 29-120 0 RU Russia 0.9 3 5 IN Industrials 17 16 37 SEK 2.4 SEK HR Croatia #N/A CD Cons. Discr. 8 21 56 NOK -bloc PLN 5 6 7 1 19 CZ Czech Republic 0.3 1 #N/A MT Materials 8 13 9 CHF -4.0 DKK TR Turkey -0.9-10 -32 FN Financials 197 21 31 20 PLN 3.0 GBP BG Bulgaria 1 IT Info. Technology 5 8 HUF TC Telecommunication 141 Services 2 21 67 -P USD -6-86 -42 10-124 -34 BR Brazil -0.9-7 -28 HC Health Care 6 22 23 GBP 0.7 CAD AR Argentina 0.7 0 16 MT Materials 9 4 21 USD 1.4 -Emg AUD JM Jamaica #N/A EN Energy 26 8 2 CAD -1.8 MXN CR Costa Rica #N/A UT Utilities 9 4 2 AUD 2.8 Y-bloc ZAR TOTAL 427 23 148 237 NZD 0.0 JPY -55-55 ZAR Y 300 SGD PK Pakistan #N/A A sia 250 MXN A merica 4.9 Oth. VN Vietnam 0.1 0 #N/A Y-P 200 Euro pe Total : -6-128 -186 40-280 -34 KZ Kasakhstan 0.8 5 #N/A JPY 150-6.3 DO Dominican Republic 0.1 1 Commo KRW 250 100 Ccies PHP Oth. 0.6 50 Latam 200 Bonds MYR Credit Total 1.6 0 150 D ef. C ycl. F in. T M T N C ycl. IDR Asia 12 100 A llo c 10 A vg OPTIONS Others 50 8 Oth. 0.0 Bonds Equities Currencies 0 6 $ $ /$ /Y $ -blocy-bloccommo Emg Options Total -50 4 10% -2% 2-100 111 24 0-150 A A A B B B B B B C C C C / D N R P_B CREDIT EQUITIES 2 full-time developers: E.Pong R.Puri Real-time position monitoring on all asset classes Page 18