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GLOBAL ABS PORTFOLIO: A HIGH QUALITY, WELL DIVERSIFIED<br />
PORTFOLIO OF MORE THAN 1,200 DIFFERENT POSITIONS<br />
EUR 12.7 bn ABS Portfolio:<br />
Market values, as of 31 March 2008<br />
by main product pools<br />
PORTFOLIO BREAKDOWN<br />
by region (of underlying risk)<br />
AAA<br />
85.0%<br />
AA<br />
A<br />
5.8%<br />
5.2%<br />
Investment grade<br />
98.3% (+0.7 ppt qoq)<br />
RMBS 38.5%<br />
US 11.6%<br />
Other 7.4%<br />
BBB<br />
2.3%<br />
CMBS 16%<br />
BB<br />
0.3%<br />
CDO 2%<br />
B<br />
0.1%<br />
CLO 21.5%<br />
Other (1) 22%<br />
Europe 81.0%<br />
CCC<br />
0.1%<br />
not<br />
rated<br />
1.2%<br />
0% 10% 20% 30% 40% 50% 60% 70% 80% 90%<br />
• High quality ABS portfolio:<br />
12.7 Eur bn total market value, -3.0 bn ytd<br />
81% in Europe; only 11.6% in the US, of which just 94 Eur mln US Sub-prime<br />
No hedging risk<br />
43<br />
Sensitivity to spread low and decreasing<br />
(1) Mainly Auto, Consumer Loans, Credit Cards, Lease, NPL, SIV, State-related and Student Loans; Others
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