BarraOne Report Tool (BRT)

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1 BarraOne Report Tool (BRT) Asset Managers Sample Report Pack This document is an extract from the BRT Sample Report Pack for Asset Managers v 1.0.1

2 Fixed Income: Manager Report Analysis Date: Report Date: Portfolio Information Risk Information VaR Analysis 99% Confidence) 5 Worst Scenarios Portfolio TotalRisk 8.49 Method 1-month Scenario P&L Benchmark ML_Global_Gov Benchmark Risk 8.50 Parametric VaR 5.84% 3.936% Oil Price Rise P % Number of Assets 125 Active Risk 0.44 Monte Carlo VaR 5.54% 3.962% Subprime Mortg -9.97% Number of Rejects Portfolio Duration 5.47 Historical VaR 4.61% 2.973% 1994 US Rate Hike P&L -6.81% Coverage 100% Dollar Duration (000's) 55,377 ## 2003 Bond Sell-Off P&L -6.50% Market Value 1,012,177,020 Active Duration Shortfall Risk 6.15% 6.15% Reunification of Germa -4.43% Bmk Active Portfolio Bmk Active Risk Decomposition Portfolio Risk Risk Risk Risk % Risk % Risk % Total Risk % 10% 10% 2.00 % Contribution to Active Risk - Time Series Local Market Risk % 12.97% 89.97% Mkt Timing Risk % % % 1.50 Common Factor Risk % 12.97% 89.59% 1.00 Industry Term Structure % 9.72% % 12.94% % 88.80% Style Spread % % % % % 0.05% 0.50 Emerging Market % % % Commodity % % % Hedge Fund % % % Factor Interaction 0.02% 0.03% 0.73% Selection Risk % % 0.39% Currency Risk % 72.40% 52.99% Currency/Market Interaction 13.14% 14.63% % Mkt Timing Risk Industry Style Term Structure Spread Emerging Market Selection Risk Currency Risk Covariance Active Risk % Active Risk & Beta - Time Series Top 10 Active Contributors Security Market Value Portfolio Bmk Active Weight Weight Weight % CTR % CAR JAPAN (GOVERNMENT OF) 0.6% ,887, % % 2.95% JAPAN (GOVERNMENT OF) 0.7% ,516, % % 2.32% JAPAN (GOVERNMENT OF) 0.5% ,471, % 0.32% 1.80% JAPAN (GOVERNMENT OF) 0.6% ,335, % 0.17% 1.55% JAPAN (GOVERNMENT OF) 0.8% ,284, % 0.34% 1.17% JAPAN (GOVERNMENT OF) 0.5% ,826, % 0.15% 1.02% JAPAN (GOVERNMENT OF) 0.6% ,502, % 0.14% 0.89% JAPAN (GOVERNMENT OF) 0.7% 201 9,471, % 0.15% 0.79% JAPAN (GOVERNMENT OF) 0.9% ,322, % 0.34% 0.68% JAPAN (GOVERNMENT OF) 0.8% 202 9,113, % 0.06% 0.84% Aaa Aa3 A1 N/A Aa2 A2 Baa1 Aa1 Beta Active Risk % Active Risk & Effective Duration - Time Series Effective Duration Active Risk Beta Active Risk Effective Duration (%) Moody's Ratings Breakdown: Active Weight% vs %CAR Active Weight % %CR to Active Total Risk Fixed Income Manager I

3 Fixed Income: Manager Report Analysis Date: Report Date: Group-By Profile Allocation by Instrument Types Allocation by Ratings (Moody's) Allocation by Duration Buckets 4% 35.00% 3% 25.00% 2% 15.00% 1% 5.00% % JGB French OATS Italy Bond UK Gilt Belgium OLO 6% 5% 4% 3% 2% 1% % -1% Aa3 Aaa A1 Aa1 A2 Baa1 Aa2 2% 18.00% 16.00% 14.00% 12.00% 1% 8.00% 6.00% 4.00% 2.00% % 3 to 5 1 to 3 7 to to 1 10 to 20 5 to 7 0 to to +INF Weight (%) BMK Weight (%) Active Weight (%) Weight (%) BMK Weight (%) Active Weight (%) Weight (%) BMK Weight (%) Active Weight (%) Hot Spot Analysis Top 10 By Market Value Top 10 By Effective Duration Top 10 By % CTR Top 10 By % CAR Security Name MV ($) Security Name Effective Duration Security Name % CTR Security Name % CAR JAPAN (GOVERNMENT OF) 0.6% ,887,259 UNITED KINGDOM OF GREAT BRITAIN JAPAN (GOVERNMENT OF) 0.6% JAPAN (GOVERNMENT OF) 0.6% UNITED STATES TREASURY 4.625% ,767,280 UNITED STATES TREASURY 5% JAPAN (GOVERNMENT OF) 0.7% JAPAN (GOVERNMENT OF) 0.7% FRANCE (GOVERNMENT) 2.5% ,457,502 GERMANY (GOVERNMENT OF) 4% JAPAN (GOVERNMENT OF) 0.5% JAPAN (GOVERNMENT OF) 0.5% UNITED STATES TREASURY 3.125% ,970,341 UNITED STATES TREASURY 4.5% FRANCE (GOVERNMENT) 2.5% JAPAN (GOVERNMENT OF) 0.6% UNITED STATES TREASURY 3.25% ,800,835 UNITED KINGDOM OF GREAT BRITAIN SPAIN, KINGDOM OF (GOVERNMENT) 6.15% JAPAN (GOVERNMENT OF) 0.8% JAPAN (GOVERNMENT OF) 0.7% ,516,247 NETHERLANDS, KINGDOM OF (GOVER JAPAN (GOVERNMENT OF) 0.6% JAPAN (GOVERNMENT OF) 0.5% JAPAN (GOVERNMENT OF) 0.5% ,471,601 CANADA (GOVERNMENT) 5% ITALY, REPUBLIC OF (GOVERNMENT) 4% JAPAN (GOVERNMENT OF) 0.6% SPAIN, KINGDOM OF (GOVERNMENT) 6.15% 2 20,610,748 UNITED KINGDOM OF GREAT BRITAIN ITALY, REPUBLIC OF (GOVERNMENT) 4.25% JAPAN (GOVERNMENT OF) 0.7% ITALY, REPUBLIC OF (GOVERNMENT) 4% ,222,110 JAPAN (GOVERNMENT OF) 2.1% JAPAN (GOVERNMENT OF) 0.8% JAPAN (GOVERNMENT OF) 0.9% ITALY, REPUBLIC OF (GOVERNMENT) 4.25% 2 19,753,221 FRANCE (GOVERNMENT) 4.75% FRANCE (GOVERNMENT) 3% JAPAN (GOVERNMENT OF) 0.8% Fixed Income Manager II

4 Fixed Income: Manager Performance Report Analysis Date: Report Date: Portfolio Information Multiple Term Structure Attribution Summary Portfolio Port Wgt Bench Name Benchmark ML_glob_gov_2 Avg Wgt Avg Port T.S. Bench. T.S. Act. T.S. Allocation Selection Number of Assets 125 TOTAL Number of Rejects 0 JPY_GOV Coverage 10% # USD_GOV Market Value 1,012,177,020 EUR_ITA_GOV EUR_DEU_GOV EUR_FRA_GOV Return Summary Spread Attribution Portfolio Return (%) 6.40 Name Bench Active Market Port Wgt Allocation Selection Benchmark Return (%) 6.98 Wgt Wgt Exposure Act. Spread Portfolio Risk 8.49 TOTAL Benchmark Risk 8.50 Government Active Risk 0.44 Sovereign Agency Spread Attribution (%) Agency Sovereign Government TOTAL Return (%) Attribution Summary Currency (%) Attribution Summary Currency Attribution Total (%) Port Wgt Bench Port Bench Bench Bench Return Name Term Structure (%) Avg Wgt Avg Return Return Local Return Base Local Curr Effect Spread (%) TOTAL Currency (%) 0.25 GBP JPY MXN SEK DKK Spread (%) Term Structure (%) Attribution Total (%) Return (%) Key Rate Port Avg CTD (yrs) Bench Avg CTD (yrs) Avg Active CTD (yrs) USD GOV Term Structure Term Structure Return (%) Start (%) End (%) Chg (%) Portfolio Benchmark Active TOTAL Y Y Y Y Y Y Y Y Years Contribution to Duration 01Y 02Y 03Y 05Y 07Y 10Y 20Y 30Y Key Rate Avg Active CTD (yrs) Years Active Term Structure Return (%) Y 02Y 03Y 05Y 07Y 10Y 20Y 30Y Key Rate Active Manager Performance

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6 Notice and Disclaimer This document and all of the information contained in it, including without limitation all text, data, graphs, charts (collectively, the Information ) is the property of MSCI Inc., Barra, Inc. ( Barra ), or their affiliates (including without limitation Financial Engineering Associates, Inc.) (alone or with one or more of them, MSCI Barra ), or their direct or indirect suppliers or any third party involved in the making or compiling of the Information (collectively, the MSCI Barra Parties ), as applicable, and is provided for informational purposes only. The Information may not be reproduced or redisseminated in whole or in part without prior written permission from MSCI or Barra, as applicable. The Information may not be used to verify or correct other data, to create indices, risk models or analytics, or in connection with issuing, offering, sponsoring, managing or marketing any securities, portfolios, financial products or other investment vehicles based on, linked to, tracking or otherwise derived from any MSCI or Barra product or data. Historical data and analysis should not be taken as an indication or guarantee of any future performance, analysis, forecast or prediction. None of the Information constitutes an offer to sell (or a solicitation of an offer to buy), or a promotion or recommendation of, any security, financial product or other investment vehicle or any trading strategy, and none of the MSCI Barra Parties endorses, approves or otherwise expresses any opinion regarding any issuer, securities, financial products or instruments or trading strategies. None of the Information, MSCI Barra indices, models or other products or services is intended to constitute investment advice or a recommendation to make (or refrain from making) any kind of investment decision and may not be relied on as such. The user of the Information assumes the entire risk of any use it may make or permit to be made of the Information. NONE OF THE MSCI BARRA PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OR REPRESENTATIONS WITH RESPECT TO THE INFORMATION (OR THE RESULTS TO BE OBTAINED BY THE USE THEREOF), AND TO THE MAXIMUM EXTENT PERMITTED BY LAW, MSCI AND BARRA, EACH ON THEIR BEHALF AND ON THE BEHALF OF EACH MSCI BARRA PARTY, HEREBY EXPRESSLY DISCLAIMS ALL IMPLIED WARRANTIES (INCLUDING, WITHOUT LIMITATION, ANY IMPLIED WARRANTIES OF ORIGINALITY, ACCURACY, TIMELINESS, NON- INFRINGEMENT, COMPLETENESS, MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE) WITH RESPECT TO ANY OF THE INFORMATION. Without limiting any of the foregoing and to the maximum extent permitted by law, in no event shall any of the MSCI Barra Parties have any liability regarding any of the Information for any direct, indirect, special, punitive, consequential (including lost profits) or any other damages even if notified of the possibility of such damages. The foregoing shall not exclude or limit any liability that may not by applicable law be excluded or limited, including without limitation (as applicable), any liability for death or personal injury to the extent that such injury results from the negligence or wilful default of itself, its servants, agents or sub-contractors. Any use of or access to products, services or information of MSCI or Barra or their subsidiaries requires a license from MSCI or Barra, or their subsidiaries, as applicable. MSCI, Barra, MSCI Barra, EAFE, Aegis, Cosmos, BarraOne, and all other MSCI and Barra product names are the trademarks, registered trademarks, or service marks of MSCI, Barra or their affiliates, in the United States and other jurisdictions. The Global Industry Classification Standard (GICS) was developed by and is the exclusive property of MSCI and Standard & Poor s. Global Industry Classification Standard (GICS) is a service mark of MSCI and Standard & Poor s MSCI Barra. All rights reserved All rights reserved. RV0809 2

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