Alternative Investments Overview

1. Alternative InvestmentsOverview Michael Wilson Société Générale London Ph: +44 (0) 20 7762 5970 Michael.Wilson@sgcib.com

2. This document does not constitute an offer or an invitation to invest or purchase any financial instrument. Its purpose is simply to describe the approach set by Société Générale and Lyxor AM in the management of alternative investment products. The products herein described are subject to various legal or regulatory restrictions. Société Générale (“SG”) and Lyxor AM assume no fiduciary responsibility or liability for any consequences financial or otherwise arising from the subscription or acquisition of any instrument described in this document. The investor should make its own appraisal of the risks and should consult to the extent necessary its own legal, financial, tax, accounting and other professional advisors in this respect prior to any subscription or acquisition. Disclaimer

3. Agenda Topic Pages • Introduction 5-8 • Investment rationale 10-18 • A wide range of strategies 20-26

4. Hedge Funds:Introduction

5. IntroductionAbout Lyxor AM • Asset Management company headquartered in Paris and incorporated under French law • Approved by the French financial authorities, the AMF, in May 1998 • Created in 1998, wholly-owned subsidiary of the Société Générale group • Ratings for long-term debt • Moody's Aa2 / Standard & Poor's AA- / Fitch AA- • A team of 199 professionals experienced in their respective fields • With 88 being fully dedicated to structured alternative investment products • 3 main activities totaling USD 68.7 billion of AUM (as of April 30th, 2006) Structured Funds 343 21.07 Index Tracking & ETF 43 18.38 Structured Alternative Investments 994 29.24 Number of Funds Assets under Mgt

6. Introduction A brief overview • The first hedge fund was created in 1949 by Alfred Winslow Jones • Jones’ long-short equity fund aimed at protecting against systemic equity market risk • 1966: Jones’ innovative investment approach and successes are brought to light • 1966: Fortune Magazine’s article outlined Jones’ unique investment strategy • The fund outperformed the best mutual fund that year by 44% and the best 5-year performing mutual fund at the time by 85%, net of all fees • Over the past forty years the hedge fund industry has experienced ups and downs • By 1968, approximately 200 hedge funds • Industry losses following the 1973-74 bear market shrank the number of HFs significantly • Industry revival in the early 1990’s following remarkable achievements and HF strategy diversification, although it was hit again by the LTCM crisis in 1998 • Today, the hedge fund industry counts over 8,600 hedge funds, managing USD 1,105bn across a wide range of strategies Source: Fortune Magazine, “The Jones That Nobody Can Keep Up With” HFR Industry Report, 2005

7. Investment rationale An expanding universe • Hedge fund strategies are continually expanding to cover new grounds • From Jones’ initial long/ short equity strategy, hedge funds have developed a large spectrum of new strategies with further sub-strategies: • Long/ Short Equity - CB Arbitrage • Global Macro - Event Driven and Risk Arbitrage • Currency - Fixed Income Arbitrage/ MBS • CTA - Long/ Short Credit

8. Introduction Improving portfolio characteristics • Allocation to hedge funds is a great portfolio diversifier • Low correlation to equity or bond markets compared to traditional investments • Low volatility • Allocation to hedge funds enhances the expected return • Capacity to yield returns in either up or down markets • Enhancement of the risk/return profile • Potential drawbacks of investing in hedge funds can be controlled • Managed accounts allow to mitigate typical industry drawbacks • Transparency, liquidity, and regulation issues can be improved

9. Introduction An expanding universe • With institutional investors entering the landscape, the industry is growing at a rapid pace • As of December 2005, total AUM amount to $1,105 billion for 8,600 hedge funds Hedge Funds: AUM, Net Asset Flow & Number of Hedge Funds Source: HFR Industry Report, 2005

10. Hedge Funds:Investment rationale

11. 3 years 5 years 10 years MSCI HF Index (Jan 2003 - Jan 2006) (Jan 2001 - Jan 2006) (Jan 1996 - Jan 2006) Total Return 33.04% 41.8% 179.3% Annualized Return 10.0% 7.2% 10.8% Annualized Volatility 3.6% 3.2% 4.8% Investment rationaleAttractive risk/return profile • An outperforming investment with a tamed volatility... • 10.8% annualized RoR over the past 10 years • 4.8% annualized standard deviation over the same period • … offering attractive risk/return ratios An excellent combination of the two basic principles of Portfolio Management: low volatility and high returns Data: Hedge Fund Index: MSCI Hedge Fund Asset Weighted Index

12. Investment rationale Enhancement of the efficient frontier • The inclusion of alternative investments in a traditional portfolio enhances the efficient frontier: • By lowering the portfolio risk • By enhancing the expected return Lower risk Greater return • - Period: January 1994 – February 2006 • - Balanced Portfolio: 60% MSCI World Index Local Currency/ 40% JP Morgan JGB non hedge Index • - Balanced Portfolio + 20 %HF: 48% MSCI World Index Local Currency/ 32% JP Morgan JGB non hedge Index and 20% MSCI Hedge Fund Asset Weighted Index

13. Whole Period Balanced Portfolio Balanced Portfolio + 20% HF Jan 1994 - Feb 2006 Total Return 108.9% 132.5% Annualized Return 6.8% 7.8% Annualized Volatility 8.2% 7.2% Investment rationaleHistorical performance– 1994 – 2006 • By including HFs to the allocation, we obtain: • Higher return • Lower volatility

14. Investment rationaleLow correlation • A safe haven in sharply declining markets • Low correlation to traditional asset classes makes Alternative Investments less sensitive to large market moves Performance vs. 10 worst MSCI World months Alternative Investments are resilient during violent equity market shocks • Period: Jan 1994 – February 2006 • Data: • Hedge Fund Index: MSCI Hedge Fund Asset Weighted Index • Equity Index: MSCI World Index Local Currency

15. Investment rationaleLow correlation • Low correlation to traditional assets classes… The essence of the hedge fund industry is to be “emancipated” from any type of market environments • Data: • Hedge Fund Index: MSCI Hedge Fund Asset Weighted Index • Equity Index: MSCI World Index Local Currency • Bond Index: JP Morgan JGB Index non Hedged

16. Investment rationaleRecent regulatory developments • In the US • The SEC introduced mandatory registration of hedge fund advisers under the Investment Adviser Act late 2004. • SEC authorisation depends on the number of US clients and asset size (> USd 30m)  this captures UK-based managers for the first time • In the UK • The regulator acknowledges the increasing significance of hedge funds for the UK and global financial markets • The UK is the leading European centre for hedge fund management with an estimated 70% market share of hedge funds managed by European-based managers (second only to the US in global terms) • The FSA regulates the managers based in the UK but not the funds as they are offshore, as often are the administrators  different from UTs and OEICs where manager, fund and administrator are onshore and not marketable to private customers • Retail investors are getting more exposure to hedge-fund like structures through amendments in the UCITS Directive and new Qualified Investor Schemes. Source: FSA, “Regulation and the hedge fund industry: An ongoing dialogue” FSA, 2005

17. Investment rationaleCutting-edge access with Lyxor Managed Accounts • Features of Managed Accounts: • Managed accounts are “clones” of hedge funds • Deposited in the name of Lyxor with an independent Prime Broker • Assets are fully segregated • Lyxor AM gives a mandate to the manager to replicate its benchmark fund • Investment guidelines and risks limits are specified in the mandate • Lyxor Managed Accounts are: • Standalone funds established in the form of L.L.C. • Registered and regulated by the Jersey Financial Services Commission • Listed on the Irish Stock Exchange • Weekly liquidity • Other Routes • Capital Guarantee • Income • Leverage

18. Hedge Funds:A wide range of strategies

19. A wide range of strategiesEach strategy is unique • Hedge fund strategies offer varying risk/return characteristics, providing investors with a wide range of investment possibilities Risk/Return profiles since inception (July 15, 2003) The figures presented in this graph are based on the historical Index Levels of each MSCI Hedge Invest Indices Strategy as of October 25th, 2005. For Indices launched after July 15th, 2003 (Discretionary Trading, Fixed Income, and Variable Bias), SG has made some simulations for the period up to their official launch date. This graph is provided for illustration purposes only and may in no way be considered as a guarantee of future characteristics or performances. Sources: MSCI

20. A wide range of strategiesLong/short equity • Strategy description • Long/ short equity consists of placing long and short positions on equities and equity derivatives to generate equity-like return with a lower volatility and focus on capital preservation (downside risk control) • Source of performance Alpha generated by good stock selection and market timing, combined with efficient risk control • Typology • Investment oriented:Research driven strategies focusing on stock selection with a bottom-up or top-down approach (or both) • Trading oriented: Technical analysis / news flow - based investment process • Investment oriented with trading overlay: combination of the two • Multi-factor strategy: Exploitation of medium term inefficiencies in stock valuations • Statistical arbitrage: Exploitation of short term inefficiencies in stock prices • Mixed strategies: Combination of exploitation of short and longer term inefficiencies • Main sources of risks Directionality (beta), leverage, factor mismatch (sector, capitalization, country, style ...), concentration, illiquidity, pricing to a lesser extent Discretionary Strategies Quantitative Strategies

21. A wide range of strategiesEvent driven & risk arbitrage • Strategy description • This strategy consists of building a diversified portfolio of long and short positions on securities to exploit relevant publicly disclosed catalysts (corporate-specific usually) • Source of performance • Relevant fundamental research unlocking value from catalysts, while analyzing implied risk in each trade • Typology • Share Class Arbitrage • Other Capital Structure Arbitrage • Shareholding Arbitrage • Corporate Reorganization & Restructuring • Capturing the spread between announced target price and actual price in merger & acquisition transactions • Main sources of risks • Regulation, corporate events, directionality (beta), leverage, concentration, illiquidity, pricing Event Driven • Distressed Securities • High Yield Securities • Strategic Block/ Activist Investing • Index or Basis Trade Arbitrage Risk Arbitrage (or Merger Arbitrage)

22. A wide range of strategies Convertible bond arbitrage • Strategy description • Convertible bond arbitrage consists of buying cheap convertible bonds and delta hedging with equities to eliminate directional risk • Source of performance • Capture the realized volatility vs. the implied volatility of the CB, combined in some cases with directional play on credit spread • Typology • Play: arbitrage implied volatility with realised volatility • Play: the manager uses a model to analyse fundamental corporate parameters and generate credit trading ideas • Main sources of risks • Volatility, credit, leverage Volatility Arbitrage Credit Arbitrage

23. A wide range of strategiesFixed income arbitrage • Strategy description • This strategy is based upon a diversified portfolio of hedged positions in fixed income instruments • Source of performance • Exploitation of market inefficiencies (supply/demand imbalances) and directional trades intra and across market yield curves- Profits originate from carry, bid/offer spreads and price movements • Typology • Intermarket spreads:The purchase and sale of different instruments when a correlation exists between instruments (ex: swaps vs. Treasuries) • Yield Curve Trading: Yield changes of different maturities across the curve are highly correlated. Temporary dislocations may be exploited (flattening or steepening plays) • Basis Trading: The purchase or sale of a future contract and the offsetting purchase or sale of an instrument which is deliverable into the future contract • Long MBS, CMO, ABS or CMB (carry) • Hedge via short Treasuries, Agency debentures, other MBS or paying fixed on swaps • Use Treasury/Eurodollar/Mortgage options to hedge convexity and vega. • Main sources of risks • Investment Grade • MBS Arbitrage Investment Grade Arbitrage MBS Arbitrage

24. A wide range of strategiesGlobal macro • Strategy description • Global Macro managers typically use a strategy based on a concentrated portfolio of large directional (unhedged) trades in fixed income, FX, equity and commodity indices based on top-down analysis of macroeconomic and financial conditions • Source of performance • Pertinent analysis of macro dynamics and appropriate definition and timing of trades • Typology • Performing extensive macroeconomic analysis to generate base case and other potential economic scenarios • Performing market analysis to determine which scenarios are priced into the market • Performing analysis on various financial instruments to evaluate how they are priced relative to similar stages in previous cycles and relative to other instruments • The managers have developed models to analyse fundamental parameters (GDP, Commercial surplus,…) and generate trading ideas • Main sources of risks • Directionality of the trades, leverage, valuation, illiquidity in some cases Discretionary Strategies Systematic Strategies

25. A wide range of strategies CTA & FX trading • Strategy description • The strategy consists of building a diversified portfolio of directional (long and short) trades on all asset classes (equities, interest rates, FX, commodities) based on technical/graphical analysis (discretionary and/or computerised) • Source of performance • Relevant identification of trades and portfolio construction combined with efficient risk control • Typology • Technical analysis, pattern recognition • Implementation through sophisticated computer models supported by strong quantitative research teams • Exploitation of short-term or long-term (trend following) moves, or combination of both • Embedded risk control is of paramount performance • Trades are based on fundamental and technical/graphical analysis • Implementation through a pure discretionary process by the portfolio manager • Main sources of risks • Implied leverage, risk control mechanisms, choppy/non-trending markets, concentration in correlated markets Systematic Strategies Discretionary Strategies

26. Alternative InvestmentsOverview Michael Wilson Société Générale London Ph: +44 (0) 207 762 5970 Michael.Wilson@sgcib.com