Q

V a l u a t i o n o f s e c u r i t i e s h e l d a s a t 30th September, 1999

Book Book % % Book value Book Value

Nominal Nominal Value Value of of base currency CHF
Security Account Value Value 30-Sep-99 30-Sep-99 Total Total 30-Sep-99 30-Sep-99
Type Reference Type Currency Currency CHF Currency Currency CHF Debt secSecuritiesNet of securities lendingNet of securities lending

Bonds Page 2 Investment CHF 160,490,000 ### CHF 164,615,638 164,615,638 20.9 20.6 159,505,483 159,505,483
Bonds Page 3 Investment DEM 55,000,000 44,940,280 DEM 56,554,658 46,210,585 5.9 5.8 56,554,658 46,210,585
Bonds Page 4 Investment USD 163,520,000 ### USD 162,359,500 243,630,658 30.9 30.5 131,834,841 197,826,485
Bonds Page 5 Investment EUR 41,862,335 66,900,198 EUR 44,139,361 70,539,113 9.0 8.8 33,484,574 53,511,698
0% Notes Page 8 Investment USD 136,500,000 ### USD 118,140,739 177,277,622 22.5 22.2 118,140,739 177,277,622
US Strips Page 8 Investment USD 66,500,000 99,787,440 USD 56,812,971 85,251,442 10.8 10.7 5,553,148 8,332,848

Total Debt financial securities 787,525,058 100.0 642,664,721

Shares Page 7 Investment USD USD 843,969 1,266,429 0.2 843,969 1,266,429
Shares Page 7 Investment CHF CHF 9,449,400 9,449,400 1.2 9,449,400 9,449,400
Shares Page 6 Trading USD USD 460,096 690,403 0.1 460,096 690,403
Total Other Securities 11,406,232 11,406,232

Total 798,931,290 100.1 654,070,953

Securities lending (B.V.) Book Value Market Value Difference

US Strips 76,918,594 77,569,503 650,909
Inv Bond CHF 5,110,155 4,940,000 -170,155
Inv Bond USD ### 45,492,719 -311,455
Inv Bond EUR 17,027,415 15,637,409 -1,390,006
Net position 144,860,338 143,639,631 -1,220,707

Valuation date 30-Sep-99

FX Rates: DEM 0.817096
USD 1.500563
EUR 1.59810

Last month 31-Aug-99

12/08/2021 Page 1
 2. CHF Inv Bonds

Valor Annual Debtor Due Date Nominal Nominal Market Market Book Custodian Value PurchaseNumber Est yield Current Last Accrued
Number Coupon Value Value Price Value Value Bank Date Price of Days based Yield Interest Interest
30-Sep-99 30-Sep-99 30-Sep-99 Purchase to on versus Payment Since
Due purchase Market Received Last
Date price Value by Coupon
% Currency CHF % CHF CHF % %p.a. % p.a. JBBT Date

CHF BOND INVESTMENT ACCOUNT

Straight Bonds
097.912 ### Notes Commerzbk Overseas F 17-Aug-00 5,000,000 5,000,000 100.250 5,012,500 4,909,425 BJB-ZRH 13/06/95 94.800 322 3.60% 2.21 ### 15,278
114.420 ### Notes Europ Mortgage Bk SA 06-Oct-00 5,000,000 5,000,000 100.450 5,022,500 4,914,205 BJB-ZRH 16/12/93 91.850 372 4.11% 2.30 ### 137,118
396.280 ### Swiss Bank Corporation (Jerse 21-Dec-00 6,000,000 6,000,000 102.550 6,153,000 6,182,890 BJB-ZRH 15/10/98 ### 448 1.86% 2.39 ### 212,250
125.866 ### Bank voor Ned Gemeenten NV 26-Jan-01 10,000,000 10,000,000 101.500 10,150,000 10,000,000 BJB-ZRH 26/01/97 ### 484 3.35% 2.35 ### 240,139
433.041 ### ABB Intern Finance NV 29-Mar-01 10,000,000 10,000,000 102.400 10,240,000 10,190,908 BJB-ZRH 29/03/97 ### 546 4.11% 2.49 ### 211,979
113.086 ### LB Schleswig-Holstein Luxemb 11-Oct-01 5,000,000 5,000,000 99.400 4,970,000 4,793,830 BJB-ZRH 17/12/93 88.250 742 4.25% 2.80 ### 122,222
408.177 ### Oesterreich Kontrollbank AG 11-Oct-01 5,000,000 5,000,000 103.550 5,177,500 5,000,000 BJB-ZRH 11/10/95 ### 742 4.19% 2.71 ### 220,000
541.737 ### AutoBahnen- & Schnell-Strass 12-Nov-01 10,000,000 10,000,000 100.850 10,085,000 9,987,500 BJB-ZRH 20/11/96 99.700 774 3.06% 2.59 ### 268,333
049.568 ### US West Communications Inc 27-Nov-01 5,000,000 5,000,000 102.050 5,102,500 5,000,000 BJB-ZRH 27/11/95 ### 789 3.99% 3.14 ### 175,885
049.568 ### US West Communications Inc 27-Nov-01 3,500,000 3,500,000 102.050 3,571,750 3,500,000 BJB-ZRH 27/11/95 ### 789 3.83% 3.14 ### 123,120
049.568 ### US West Communications Inc 27-Nov-01 3,500,000 3,500,000 102.050 3,571,750 3,576,372 BJB-ZRH 07/04/97 ### 789 3.04% 3.14 ### 123,120
112.027 ### ABN AMRO Bank NV 16-Jan-02 1,000,000 1,000,000 102.150 1,021,500 1,000,000 BJB-ZRH 16/01/96 ### 839 3.57% 2.78 ### 26,771
112.027 ### ABN AMRO Bank NV 16-Jan-02 8,000,000 8,000,000 102.150 8,172,000 8,000,000 BJB-ZRH 16/01/96 ### 839 3.56% 2.78 ### 214,167
112.027 ### ABN AMRO Bank NV 16-Jan-02 1,000,000 1,000,000 102.150 1,021,500 1,000,000 BJB-ZRH 16/01/96 ### 839 3.51% 2.78 ### 26,771
503.627 ### Landwirt Rentenbank 03-Sep-02 1,500,000 1,500,000 103.550 1,553,250 1,502,290 BJB-ZRH 09/03/96 ### 1069 3.90% 2.86 ### 4,641
124.349 ### Tokyo Gas Co 08-Nov-02 3,500,000 3,500,000 104.000 3,640,000 3,744,974 BJB-ZRH 17/06/99 ### 1135 2.51% 3.15 ### 142,625
729.185 ### Citibank Credit 25-Nov-02 1,240,000 1,240,000 100.700 1,248,680 1,271,935 BJB-ZRH 14/10/98 ### 1152 2.38% 3.02 ### 34,591
976.151 ### Roche Holdings 21-Mar-03 11,500,000 11,500,000 97.450 11,206,750 11,439,119 BJB-ZRH 21/12/98 99.325 1268 2.17% 2.77 ### 180,806
449.269 ### Oesterreich Kontrollbank AG 05-Nov-03 3,000,000 3,000,000 104.150 3,124,500 3,203,905 BJB-ZRH 14/10/98 ### 1497 2.48% 3.17 ### 116,521
182.702 ### Credit Locale France 16-Mar-04 4,000,000 4,000,000 95.850 3,834,000 3,942,272 BJB-ZRH 28/10/98 98.150 1629 2.62% 3.25 ### 49,500
956.346 ### Statoil Den Norske 19-Oct-04 5,000,000 5,000,000 97.550 4,877,500 5,020,835 BJB-ZRH 12/10/98 ### 1846 2.66% 3.27 ### 132,153
029.518 ### Oesterreich Donaukraftwerk 18-Feb-05 6,750,000 6,750,000 109.000 7,357,500 7,596,275 BJB-ZRH 28/10/98 ### 1968 2.71% 3.43 ### 220,500
029.518 ### Oesterreich Donaukraftwerk 18-Feb-05 2,000,000 2,000,000 109.000 2,180,000 2,231,861 BJB-ZRH 11/11/98 ### 1968 2.88% 3.43 ### 65,333
344.373 ### Austria 03-Mar-05 5,000,000 5,000,000 110.750 5,537,500 5,703,318 BJB-ZRH 28/10/98 ### 1981 2.67% 3.34 ### 161,181
343.477 ### Bank voor Ned Gemeenten NV 15-Mar-05 3,000,000 3,000,000 110.000 3,300,000 3,387,285 BJB-ZRH 16/10/98 ### 1993 2.79% 3.37 ### 89,135
354.370 ### Oesterreich Postparkasse 09-May-05 5,300,000 5,300,000 110.050 5,832,650 5,979,266 BJB-ZRH 14/10/98 ### 2048 2.86% 3.41 ### 113,950
397.145 ### Suedwestdt Landesbank 29-Sep-05 5,000,000 5,000,000 109.000 5,450,000 5,548,172 BJB-ZRH 20/10/98 ### 2191 2.98% 3.35 ### 254,167
397.145 ### Suedwestdt Landesbank 29-Sep-05 1,000,000 1,000,000 109.000 1,090,000 1,106,950 BJB-ZRH 11/11/98 ### 2191 3.01% 3.35 ### 50,833
969.553 ### Baden Wuerthenberg 14-Dec-05 10,000,000 10,000,000 97.600 9,760,000 10,000,000 BJB-ZRH 30/10/98 ### 2267 2.75% 3.17 ### 255,903
879.063 ### General Electric 29-Dec-06 2,700,000 2,700,000 97.800 2,640,600 2,704,979 BJB-ZRH 02/10/98 ### 2647 2.97% 3.34 ### 61,875
879.063 ### General Electric 29-Dec-06 5,000,000 5,000,000 97.800 4,890,000 5,002,216 BJB-ZRH 21/10/98 ### 2647 2.99% 3.34 ### 114,583
897.283 ### Deutsche Finance 29-May-08 2,000,000 2,000,000 97.300 1,946,000 2,064,701 BJB-ZRH 04/05/99 ### 3164 3.08% 3.86 ### 24,111
947.710 ### Italy 25-Sep-08 5,000,000 5,000,000 98.800 4,940,000 5,110,155 BJB-ZRH 02/10/98 ### 3283 3.22% 3.66 ### 179,861

Average Total Total Total Total AverageAverage Average Total

3.67 160,490,000 ### ### 164,615,638 1,432 3.14% 1.30 4,369,422
% p.a. CHF CHF CHF CHF Days % p.a. CHF

SECURITIES LENDING Month end balance ###

947.710 ### Italy 25-Sep-08 (5,000,000) (5,000,000) 98.800 (4,940,000) (5,110,155)

Total Securities Lending (4,940,000) (5,110,155)

Int earned current month 490,071

TOTALS NET OF SECURITIES LENDING 155,490,000 ### ### 159,505,483 Int earned previous month 509,865

Page 2
 3. DEM Inv Bonds

Valor Annual Debtor Due Date Nominal Nominal Market Market Book Custodian Value Purchase Number Est yieldCurrent Last Accrued
Number Coupon Value Value Price Value Value Bank Date Price of Days based Yield Interest Interest
### 30-Sep-99 30-Sep-99 Purchase to on versus Payment Since
Due purchaseMarket Received Last
Date price Value by Coupon
% Currency CHF % Currency Currency % %p.a. % p.a. JBBT Date

DEM BOND INVESTMENT ACCOUNT

Straight Bonds

417.431 ### Abbey National Treasury ### 10,000,000 8,170,960 100.400 10,040,000 10,010,000 BJB-ZRH 19/11/96 ### 138 4.36% 3.56 15/02/99 291,632
431.878 ### Federal National Mortgage As ### 10,000,000 8,170,960 101.400 10,140,000 9,963,521 BJB-ZRH 03/05/96 98.700 490 5.31% 3.93 01/02/99 334,722
427.386 ### Inter-American Development ### 10,000,000 8,170,960 101.050 10,105,000 9,987,585 BJB-ZRH 19/11/96 99.620 509 4.72% 3.85 20/02/99 285,208
170.872 ### Depfa Finance 26-Jan-04 5,000,000 4,085,480 104.250 5,212,500 5,352,141 BJB-ZRH 15/10/98 ### 1579 4.17% 4.91 26/01/99 205,833
678.124 ### DSL Finance 23-Jul-04 10,000,000 8,170,960 100.550 10,055,000 10,408,912 BJB-ZRH 15/10/98 ### 1758 4.04% 4.87 23/07/99 95,833
560.361 ### Spain 03-Jan-07 10,000,000 8,170,960 102.750 10,275,000 10,832,499 BJB-ZRH 28/10/98 ### 2652 4.38% 5.30 03/01/99 431,250

Average Total Total Total Total Average AverageAverage Total

5.09 55,000,000 44,940,280 55,827,500 56,554,658 1,135 4.50% 4.38 1,644,478
% p.a. DEM CHF DEM DEM Days % p.a. % p.a. DEM

SECURITIES LENDING Month end balance ###

0 0
Int earned current month 233,332

Int earned previous month 241,112

TOTALS NET OF SECURITIES LENDING 55,000,000 ### ### ###

Page 3
 4. USD Inv Bonds

Valor Annual Debtor Due Date Nominal Nominal Market Market Book Custodian Value PurchaseNumber Est yield Current Last Accrued
Number Coupon Value Value Price Value Value Bank Date Price of Days based Yield Interest Interest
### 30-Sep-99 30-Sep-99 Purchase to on Coupon/ Payment Since
Due purchase market Received Last
Date price value by Coupon
% Currency CHF % Currency Currency % %p.a. % p.a. JBBT Date

USD BOND INVESTMENT ACCOUNT

Straight Bonds
333.422 8.1250 Baden-Wutenberg L-Finance 27-Jan-00 5,000,000 7,502,815 100.460 5,023,000 5,033,334 BJB-ZRH 29/04/96 ### 119 6.53% 6.70% 27/01/99 277,604
369.778 6.7500 Notes Glaxo Wellcome PLC ### 5,000,000 7,502,815 100.260 5,013,000 5,000,000 BJB-ZRH 17/10/95 ### 244 6.31% 6.35% 31/05/99 114,375
372.598 6.7500 Notes American Tel & Tel Co 01-Jun-01 5,000,000 7,502,815 100.290 5,014,500 5,000,000 BJB-ZRH 19/09/95 ### 610 6.35% 6.57% 01/06/99 113,438
712.606 4.8500 EMTN Halifax 01-Oct-01 5,000,000 7,502,815 99.600 4,980,000 5,120,000 BJB-ZRH 14/10/98 ### 732 3.57% 5.06% 01/10/98 245,194
623.252 7.0000 Notes Baden-Wuerteemberg 30-Apr-02 5,000,000 7,502,815 101.030 5,051,500 5,192,490 BJB-ZRH 22/09/98 ### 943 5.38% 6.57% 03/05/99 145,833
636.789 6.7500 Notes Morgan Guaranty Trust ### 15,000,000 22,508,445 100.270 15,040,500 14,956,000 BJB-ZRH 28/05/97 99.450 971 6.88% 6.64% 28/05/99 351,563
661.181 6.3750 Notes Inter-American Dev Ban27-Jun-02 5,000,000 7,502,815 99.940 4,997,000 5,143,730 BJB-ZRH 18/09/98 ### 1001 5.23% 6.40% 28/06/99 83,229
661.223 6.3750 EMTN NV BK NL Gemeenten 08-Jul-02 4,500,000 6,752,534 99.960 4,498,200 4,627,050 BJB-ZRH 09/10/98 ### 1012 5.25% 6.39% 08/07/99 66,938
852.575 5.7500 Landw Rentenbank ### 5,000,000 7,502,815 97.610 4,880,500 5,133,336 BJB-ZRH 22/10/98 ### 1245 4.89% 6.53% 26/02/99 172,500
848.754 5.6250 St-Michael Finance ### 8,565,000 12,852,322 96.605 8,274,218 8,753,097 BJB-ZRH 20/10/98 ### 1237 4.91% 6.74% 18/02/99 299,775
848.754 5.6250 St-Michael Finance ### 1,275,000 1,913,218 96.605 1,231,714 1,288,325 BJB-ZRH 20/11/98 ### 1237 5.28% 6.74% 18/02/99 44,625
848.754 5.6250 St-Michael Finance ### 580,000 870,327 96.605 560,309 572,111 BJB-ZRH 05/05/99 98.560 1237 6.05% 6.74% 18/02/99 20,300
851.498 5.7500 Bell Atlantic Financial Service 01-Apr-03 5,000,000 7,502,815 100.080 5,004,000 5,000,000 BJB-ZRH 12/02/98 ### 1279 5.75% 5.72% 01/04/99 145,347
934.713 5.6250 EMTN Nestle Holdings ### 10,000,000 15,005,630 96.980 9,698,000 10,278,377 BJB-ZRH 15/10/98 ### 1405 4.81% 6.51% 05/08/99 87,500
934.713 5.6250 EMTN Nestle Holdings ### 3,000,000 4,501,689 96.980 2,909,400 3,057,106 BJB-ZRH 09/10/98 ### 1405 5.07% 6.51% 05/08/99 26,250
881.547 6.7500 Rabobank ### 5,600,000 8,403,153 100.800 5,644,800 5,593,971 BJB-ZRH 23/08/99 99.890 1422 6.78% 6.52% 22/08/99 40,950
974.120 5.0000 Shell Finance UK ### 10,000,000 15,005,630 95.040 9,504,000 10,018,330 BJB-ZRH 19/11/98 ### 1511 4.95% 6.36% 19/11/98 437,500
587.709 6.5000 Credit Locale de France ### 5,000,000 7,502,815 99.510 4,975,500 5,204,230 BJB-ZRH 20/11/98 ### 1602 5.44% 6.63% 18/02/99 202,222
375.789 6.6250 Unilever NV 20-Jun-05 5,000,000 7,502,815 99.550 4,977,500 5,058,638 BJB-ZRH 22/07/99 ### 2090 6.39% 6.72% 20/06/99 93,854
820.475 7.0000 Freddie Mac 21-Jun-06 5,000,000 7,502,815 99.165 4,958,250 5,002,528 BJB-ZRH 21/06/99 ### 2456 6.99% 7.15% 21/06/99 98,194
981.869 5.3750 Bellsouth Capital ### 10,000,000 15,005,630 89.330 8,933,000 9,930,952 BJB-ZRH 22/12/98 99.253 3371 5.47% 6.90% 22/12/98 421,042
990.110 5.5000 Dexia France 21-Jan-09 5,000,000 7,502,815 88.910 4,445,500 4,974,348 BJB-ZRH 02/02/99 99.450 3401 5.57% 7.08% 21/01/99 192,500
993.705 5.3750 Rabobank 29-Jan-09 5,000,000 7,502,815 89.500 4,475,000 4,976,890 BJB-ZRH 29/01/99 99.500 3409 5.44% 6.86% 29/01/99 182,153

Average Total Total Total Total Average Average Average Total

6.10 133,520,000 ### 130,089,391 134,914,843 1,476 5.62% 6.54% ###
% p.a. USD CHF USD USD Days % p.a. % p.a.

Month end balance ###

Int earned current month 679,144

Int earned previous month 686,427

US Treasury Strips

081.295 - 0% Strips United States of Am 15-May-01 30,000,000 45,016,890 91.296 27,388,800 27,444,657 BJB-ZRH 10-Jul-97 79.378 593 5.97% 5.60%

30,000,000 45,016,890 27,388,800 27,444,657

USD BONDS before sec lending 163,520,000 ### ### 162,359,500

SECURITIES LENDING
081.295 - 0% Strips United States of Am 15-May-01 -30,000,000 ### 91.296 ### (27,444,657) 593
852.575 5.7500 Landw Rentenbank ### (3,000,000) (4,501,689) 97.610 (2,928,300) (3,080,002) 1245

Total Securities Lending (33,000,000) ### 189 (30,317,100) (30,524,659)

TOTALS NET OF SECURITIES LENDING 130,520,000 ### ### 131,834,841

1.5006

Page 4
 Valor Annual Debtor Due Date Nominal Nominal Market Market Book Custodian Value PurchaseNumber Est yield Current Last Accrued
Number Coupon Value Value Price Value Value Bank Date Price of Days based Yield Interest Interest
### 30-Sep-99 30-Sep-99 Purchase to on Coupon/ Payment Since
Due purchase market Received Last
Date price value by Coupon
% Currency CHF % Currency Currency % %p.a. % p.a. JBBT Date

EUR BOND INVESTMENT ACCOUNT

Straight Bonds
362.222 8.0000 Ireland 18-Oct-00 13,967,119 ### 104.500 14,595,639 14,266,793 BJB-ZRH 05/09/97 ### 384 5.80% 3.64% 18/10/98 ###
262.428 5.2500 Dresdner Finance BV 11-Jan-01 7,669,378 ### 101.800 7,807,427 7,668,383 BJB-ZRH 01/11/96 99.950 469 5.26% 3.81% 11/01/99 293,034
279.579 7.5000 Treuhandanstalt ### 5,112,919 8,170,956 112.310 5,742,319 5,861,975 BJB-ZRH 12/10/98 ### 1806 4.15% 4.72% 09/09/99 22,369
457.804 6.2500 Deutschland 26-Apr-06 5,112,919 8,170,956 107.500 5,496,388 5,687,423 BJB-ZRH 13/10/98 ### 2400 4.26% 4.92% 26/04/99 139,363
906.077 5.2500 Deutsche Tel Int'l ### 10,000,000 ### 97.850 9,785,000 10,654,787 BJB-ZRH 05/01/99 ### 3155 4.34% 5.56% 20/05/99 193,958

Average Total Total Total Total Average Average Average Total

6.56 41,862,335 ### 43,426,773 44,139,361 1,643 4.76% 4.53% ###
%p.a. EUR CHF EUR EUR Days % p.a. % p.a.

EUR BONDS before sec lending 41,862,335 ### 43,426,773 44,139,361 Month end balance ###

Int earned current month 223,677

SECURITIES LENDING

906.077 5.2500 Deutsche Tel Intl ### (10,000,000) ### 97.850 (9,785,000) (10,654,787) Int earned previous month 236,637

TOTALS NET OF SECURITIES LENDING 31,862,335 ### 33,641,773 33,484,574

Page 5
 6. Trad Shares

Valor Company Number Nominal Total Market Market/Book Market/Book Custodian Value Purchase(Purchases) / Market Market
Number of Value Nominal Price Value Value Bank Date Price Sales / Price Value
Shares/ per Value ### 30-Sep-99 30-Sep-99 Purchase Maturities 31-Aug-99 31-Aug-99
Warrants Share per During
Share/ Currency CHF Month
Warrant CHF % Currency

TRADING ACCOUNT

US Shares in LIQUIBAER

705.760 Liquibaer 158 N/A N/A 2,912.00 460,096 690,403 JBBT-GCM N/A N/A 2,815.68 250,596

Page 6
 7. Invest Shares

Valor Company Number ominal Total Market Market Book Book Custodian Value Purchase Nom Nom
Number of Value Nominal Price Value Value Value Bank Date Price Value Value
Share per
Share Currency Currency CHF
Currency

INVESTMENT ACCOUNT

CHF Shares

147.009 Baer Holding Ltd Bear 46,140 50.00 2,307,000 50.00 2,307,000 2,307,000 2,307,000 BJB-ZRH N/A 50.00 50.00 2,307,000
442.297 Creinvest AG 30,000 200 6,000,000 280.00 8,400,000 7,142,400 7,142,400 BJB-ZRH 17.4.98 238.08 200 6,600,000
10,707,000 9,449,400 9,449,400

SECURITIES LENDING
0 0 -

TOTALS NET OF SECURITIES LENDING ### ### 9,449,400

USD Shares in Funds

### Long Term Capital 17.0473 1000 17,047 232.8 3,969 3,969 5,956 BJB-ZRH
0.620.310 Warrants Baer Chesap 3,000 280 840,000 380.00 1,140,000 840,000 1,260,473 BJB-ZRH 30.04.97 280.00 280.00 840,000
1,143,969 843,969 1,266,429

Page 7
 8. USD NOTES

Valor Annual Debtor Due Date Nominal Nominal Market Market Book Custodian Value Purchase Number Est yield Current
Number Coupon Value Value Price Value Value Bank Date Price of Days based Yield
9/30 30-Sep-99 30-Sep-99 Purchase to on versus
Due purchase Market
Date price Value
% Currency CHF % Currency Currency % %p.a. % p.a.

BAER CHESAPEAKE ONE ZERO % NOTES

Zero Coupon Notes ex warrants

620.308 - 0% Notes Baer Chesaepake One Ex warra30-Apr-02 ### ### 85.500 ### 115,961,364 BJB-ZRH ### 72.00 943 6.51% 3.13%
620.308 - 0% Notes Baer Chesapeake One ex-warra 30-Apr-02 3,000,000 4,501,689 85.500 2,565,000 2,179,375 BJB-ZRH ### 73.250 943
### ### 116,707,500 118,140,739

Zero % US Strips

393.654 - 0% Strips United States of America 15-May-02 66,500,000 99,787,440 86.156 57,293,740 56,812,971 BJB-ZRH ### ### 958 6.64% 2.99%

SECURITIES LENDI Zero % US Strips

393.654 - 0% Strips United States of America 15-May-02 ### ### 86.156 ### -51,259,823 BJB-ZRH ### ### 958

Zero % US Strips
TOTALS NET OF SECURITIES LENDING 6,500,000 9,753,660 5,600,140 5,553,148

Page 8
 CIMA (Original currency)
5.1.1 5.1.2 5.1.3 5.2.1 5.2.2 5.3
Securities Ct gvmt&bks-1 Ct gvmt&bks+1 Zone A banks Aff bks & other Aff non-fin Other sec TOTAL Securities

CHF bonds - 43,101,910 59,981,644 - - 56,421,929 159,505,483 CHF bonds

DEM Bonds - 30,783,605 25,771,053 - - - 56,554,658 DEM Bonds
USD Bonds 5,033,334 25,085,798 37,843,063 - - 63,872,646 131,834,841 USD Bonds
EUR Bonds - 25,816,191 7,668,383 - - - 33,484,574 EUR Bonds
USD tra sh - - - 460,096 - - 460,096 USD tra sh
CHF shs - - - 9,449,400 - - 9,449,400 CHF shs
USD shs - - - 843,969 - - 843,969 USD shs
USD notes - 5,553,148 - 118,140,739 - - 123,693,887 USD notes
Totals

FX Rate
DEM/CHF 0.817096
Participations
USD/CHF 1.500563 CIMA Report (
EUR/CHF 1.5981
 CIMA (In CHF)
5.1.1 5.1.2 5.1.3 5.2.1 5.2.2 5.3 TOTAL
Ct gvmt&bks-1 Ct gvmt&bks+1 Zone A banks Aff bks & other Aff non-fin Other sec

- 43,101,910 59,981,644 - - 56,421,929 159,505,483

- 25,153,161 21,057,424 - - - 46,210,585
7,552,835 37,642,820 56,785,900 - - 95,844,929 197,826,484
- 41,256,855 12,254,843 - - - 53,511,698
- - - 690,403 - - 690,403
- - - 9,449,400 - - 9,449,400
- - - 1,266,429 - - 1,266,429
- 8,332,848 - 177,277,622 - - 185,610,470
7,552,835 155,487,594 150,079,811 188,683,854 - 152,266,858 654,070,952

Check 654,070,953
Difference -1
23
7,553 155,488 150,080 188,707 - 152,267 654,095
 MATURITY ANALYSIS (BOOK VALUES CHF 000)
Non-interest
Securities 1MO-3MO 3MO-6 MO 6 MO-1YR 1YR-5YR >5YR Sensitive Total

CHF Bonds - - 4,909 98,250 56,345 159,504

DEM Bonds - 8,179 - 29,180 8,851 46,210
USD Bonds - 7,553 7,503 137,837 44,932 197,825
EUR bonds - - - 44,423 9,089 53,512
Trading share 0 0 0 0 0 690 690
Invest shares - - - - - 10,715 10,715
USD notes - - - 185,615 - 185,615
Participations 24 24

Totals - 15,732 12,412 495,305 119,217 11,429 654,095

Checks 654,095
cima-bs 654,095
Difference -
 Country exp

COUNTRY EXPOSURE: SECURITIES (Excluding Baer Holding)

FROM LUXEMB NED BELGIUM GBR USA FRANCE GERMANY SWITZERLCANADA AUSTRIA CAYMAN NORWAY ITALY IRELAND SWEDEN SPAIN AUSTRALIA JAPAN TOTAL
WORKSHEET 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18

CHF INV BONDS 9,708 33,578 - - 21,055 3,942 35,119 17,622 - 29,714 - 5,021 - - - - 3,745 159,504
DEM INV BONDS - 12,878 - 8,179 16,302 - - - - - - - - - - 8,851 - 46,210
USD INV BONDS - 30,396 - 38,642 75,078 15,273 18,426 20,010 - - - - - - - - - 197,825
EUR INV BONDS - - - - - - 30,712 - - - - - - 22,800 - - - 53,512
TRA SHARES - - - - - - - - - - 690 - - - - - - 690
INVEST SHARES - - - - - - - 9,449 - - 1,260 - - - - - - 10,709
USD NOTES - - - - 8,332 - - - - - 177,277 - - - - - - 185,609
9,708 76,852 - 46,821 120,767 19,215 84,257 47,081 - 29,714 179,227 5,021 - 22,800 - 8,851 - 3,745 654,059
654,059 Check 1
654,071 Check 2
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