Half Year Results Reporting 2008

Half Year Results Reporting 2008 Analysts and Media Presentation Zurich, August 3, 2008

Disclaimer and cautionary statement Certain statements in this document are forward-looking statements, including, but not limited to, statements that are predications of or indicate future events, trends, plans or objectives. Forward-looking statements include statements regarding our targeted profit improvement, return on equity targets, expense reductions, pricing conditions, dividend policy and underwriting claims improvements. Undue reliance should not be placed on such statements because, by their nature, they are subject to known and unknown risks and uncertainties and can be affected by other factors that could cause actual results and Zurich Financial Services plans and objectives to differ materially from those expressed or implied in the forward looking statements (or from past results). Factors such as (i) general economic conditions and competitive factors, particularly in our key markets; (ii) performance of financial markets; (iii) levels of interest rates and currency exchange rates; (iv) frequency, severity and development of insured claims events; (v) mortality and morbidity experience; (vi) policy renewal and lapse rates; and (vii) changes in laws and regulations and in the policies of regulators may have a direct bearing on Zurich Financial Services results of operations and on whether Zurich Financial Services will achieve its targets. Zurich Financial Services undertakes no obligation to publicly update or revise any of these forward-looking statements, whether to reflect new information, future events or circumstances or otherwise. This communication is directed only at persons who (i) have professional experience in matters relating to investments or (ii) are persons falling within Article 49(2)(a) to (d) (high net worth companies, unincorporated associations, etc) of The Financial Services and Markets Act 2000 (Financial Promotion) Order 200 (as amended) or to whom it may otherwise lawfully be communicated (all such persons together being referred to as relevant persons). This communication must not be acted on or relied on by persons who are not relevant persons. Any investment or investment activity to which this communication relates is available only to relevant persons and will be engaged in only with relevant persons. It should be noted, that past performance is not a guide to future performance. Please also note that interim results are not necessarily indicative of the full year results. Persons requiring advice should consult an independent adviser. THE OFFER TO REPURCHASE SECURITIES OF ZURICH FINANCIAL SERVICES IS NOT MADE IN THE UNITED STATES OF AMERICA AND TO U.S. PERSONS AND MAY BE ACCEPTED ONLY BY NON-U.S. PERSONS AND OUTSIDE THE UNITED STATES. OFFERING MATERIALS WITH RESPECT TO THIS OFFER MAY NOT BE DISTRIBUTED IN OR SENT TO THE UNITED STATES AND MAY NOT BE USED FOR THE PURPOSE OF SOLICITATION OF AN OFFER TO PURCHASE OR SELL ANY SECURITIES IN THE UNITED STATES. 2

Agenda Introduction James J. Schiro Half Year Results 2008 Dieter Wemmer Q&A 3

Introduction James J. Schiro Chief Executive Officer Zurich, August 3, 2008

Financial highlights in USD millions for the six months to June 30 2008 2007 Change Business operating profit 3,549 3,284 8% Net income attributable to shareholders 2,68 2,676 0% General Insurance combined ratio 96.2% 96.5% 0.3pts Global Life new business margin 2 22.4% 24.% -.7pts Farmers Mgmt Services managed GEP margin 3 7.% 7.2% -0.pts 2008 2007 Change Return on common shareholders equity (ROE) 9.5% 2.% -.6pts Business operating profit (after tax) ROE 9.9% 9.% 0.8pts Throughout this document, certain comparatives have been restated. Please refer to our Financial Review for further details. 2 After tax, as % of APE (Annual Premium Equivalent) 3 Margin on gross earned premiums of the Farmers Exchanges. Zurich Financial Services has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 5

Zurich is poised for profitable growth 9% 9% 9% Focus on volume growth Farmers Global Life EGI 6% IB NAC -2% GC -6% Legend for GI BDs IB International Businesses EGI Europe General Insurance GC Global Corporate NAC North America Commercial Focus on margin enhancement Volume growth measured as growth in fee income for FMS, growth in APE in local currency for Global Life and GWP growth in local currency for General Insurance 6

Half Year Results 2008 Dieter Wemmer Chief Financial Officer Zurich, August 3, 2008

Business operating profit by segment in USD millions for the six months to June 30 2008 2007 Change General Insurance 2,236,838 22% Global Life 766 72 6% Farmers Management Services 67 672-8% Corporate Functions -26-47 37% Total Core Business operating profit 3,359 2,84 9% Other Businesses 90 47-60% Total Business operating profit 3,549 3,284 8% Throughout this document, certain comparatives have been restated. Please refer to our Financial Review for further details. 8

Top line development by segment in USD millions for the six months to June 30 Gross written premiums and policy fees 2008 General Insurance 20,593 9,026 8% % Global Life (incl. insurance deposits) 2 0,395 0,427 0% -8% Other Businesses,078 2007,20 Change -% Change in LC -% Annual Premium Equivalent (APE) 3 Global Life,528,323 5% 9% Farmers management fees Farmers Management Services,96,093 9% 9% Local Currency 2 Global Life numbers include gross written premiums, policy fees and insurance deposits 3 Gross new business annual premium equivalent (APE) 9

Rate Change Monitor for personal and commercial lines EGI by country by division Half year UK Germany Switzerland Italy Spain Ireland Rest of Europe EGI Total IB NAC GC Farmers Exchanges 2 Personal Lines 8% % 0% 0% 5% -2% % % % n/a n/a 5% Commercial Lines -3% % 0% 0% 4% -4% % -% 4% -5% -8% n/a The Zurich Rate Change Monitor expresses the Gross Written Premium development due to premium rate change as a percentage of the renewed portfolio against a comparable prior period. In this slide, half year 2007 is compared to half year 2008. 2 Zurich Financial Services has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 0

General Insurance key performance indicators Business Operating Profit Combined ratio (%) in USD millions 2008 2007 Change Global for the six months to June 30 Corporate 94.3 Global Corporate North America Commercial Europe General Insurance International Businesses Group Reinsurance Total 347 628,07 07 37 2,236 389 767 62 72 -,838 -% -8% 66% 49% nm 22% NA Commercial Europe General Insurance Int l Businesses Total 92.9 94.7 97.4 96.5 96.2 96.5 98.9 00.5 99.7 90 95 00 HY08 HY07 Including Group Reinsurance and inter-segment eliminations

General Insurance net expense ratio walk from HY 2007 to HY 2008 0.7% 25.6% 0.7% 24.2% HY07 Expense Ratio Commission Administration and other expenses HY08 Expense Ratio Commission has increased mainly due to the effect of writing greater amounts of higher commission, lower loss ratio business 2

Comparison of General Insurance loss ratio allowing for major CAT and PYD HY 2008 HY 2007 75% 75% 72.3% 70% 70.5% 70% -4.6% 65% 66.8% 3.8% -7.6% 65% 66.5% 2.7% -3.9% 0.0% 60% USD 609m USD 0m USD -,202m 60% USD 390m USD -566m USD -658m Underlying Loss Ratio PYD Major CAT 2 Large Claims 3 Reported Loss Ratio Underlying Loss Ratio PYD Major CAT 2 Large Claims 3 Reported Loss Ratio Prior Year Development 2 Major CAT (potential USD 00m or greater for Zurich) includes the impact of Kyrill and UK Floods in HY07 3 Large claims are claims with a potential severity of USD 0m or greater for Zurich and exclude Major CATs 3

Development of Reserves for Losses and Loss Adjustment Expenses (LAE) in USD millions 2008 2007 Net reserves for losses and LAE, as of January Net losses and LAE paid Net losses and LAE incurred - Current year - Prior years Currency translation effects and other Net reserves for losses and LAE, as of June 30 54,72 -,9 2,408-586,448 56,863 50,84-9,482,457-465 78 53,043 Of which within General Insurance: USD 609m in HY08 and USD 390m in HY07 4

Reinsurance program protects against CAT severity and frequency Global Top Layer Catastrophe Cover - USD 200 all figures in USD millions US Catastrophe Treaty 2008 European Catastrophe Treaty 2008 USD 200 Rest of World Catastrophe Treaty 2008 Excess of loss protection USD 200 USD USD,00,000 USD USD 500 500 USD 2,30 USD 2,030 inc. USD 50 coparticipation USD 390 USD 200 USD USD 300 600 USD 00 Retention USD 0 Franchise deductible 2 of USD 25 million Global Aggregate Catastrophe Cover 3 USD,000 USD,500 Simplified illustration of main treaties which are on a risk occurrence basis and exclude co-insurance per risk and subsidiary CAT cover. Translated at current fx rates. 2 Losses less than USD 25m do not count towards the aggregate cover but those greater than USD 25m count in full from the ground up. 3 Cover operates on an annual aggregate basis. 5

Global Life key performance indicators in USD millions for the six months to June 30 2008 2007 Change Change in LC Annual Premium Equivalent (APE),528,323 5% 9% New business value, after tax 342 39 7% 0% New business margin, after tax 2 22.4% 24.% -.7pts Embedded value operating profit 89,00 -% Embedded value operating return 3 0.8% 2.3% -.5pts Business operating profit 766 72 4 6% 4 Local Currency 2 As % of APE 3 After tax and before foreign currency translation effects 4 Including the effect of DAC unlocking in the US of USD 06 million in 2007 6

Global Life emerging markets are growing strongly and profitably in USD millions for the six months to June 30 APE 2008 APE 2007 Growth NBM 2008 NBM 2007 ZIS 2 252 23 8% 20.9% 20.5% Hong Kong 45 5 -% 28.6% 45.2% Latin America 43 35 23% 28.0% 8.8% Total Emerging markets 340 299 4% 22.8% 24.5% Share of emerging markets in total Global Life APE 22% 23% New business margin, after tax, based on Annual Premium Equivalent 2 Zurich International Solutions domiciled in the Isle of Man 7

Global Life Embedded Value result for the six months to June 30 2008 USD m 2008 Return 4 2007 USD m 2007 Return 4 Opening Embedded Value 5,935 4,092 Expected operating profit,2 522 428 New business value 2 342 39 Operating variance 2 27 2543 Total operating profit 2 89 0.8%,00 2.3% Economic variance -,50 54 Embedded value loss/profit 2-258 3.7% 4,55 3.4% Dividends and capital movements 93 35 Closing Embedded Value before fx 5,769 5,282 Foreign currency translation effects (fx) 620 274 Closing Embedded Value after fx 6,389 5,556 Operating profit expected from in-force and net assets 2 After tax 3 USD 76m is due to the reinsurance of the closed UK annuity book, for which an agreement to transfer to Swiss Re was signed on June 4, 2007. Subsequent to the approval from the UK courts on June 30, 2008, the underlying contracts have been transferred to the reinsurer. 4 Annualized on a linear basis assuming no further variances in the 2nd half of 2008. 8

Farmers Management Services key performance indicators in USD millions for the six months to June 30 2008 2007 Change Management fees and other related revenues,96,093 9% Management and other related expenses -622-552 -3% Gross management result 574 542 6% Managed gross earned premium margin 7.% 7.2% -0.pts Business operating profit 67 672-8% Margin on gross earned premiums of the Farmers Exchanges. Zurich Financial Services has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 9

Farmers Exchanges key performance indicators in USD millions for the six months ended June 30 2008 2007 Change Gross written premiums (statutory) 2 8,70 7,780 2% Gross written premiums (excl. SB transfer) 3 8,225 7,780 5.7% Net underwriting result 4-527 72 nm Combined ratio 04.2% 97.7% -6.5pts Adjusted combined ratio 5 97.0% 90.4% -6.6pts Surplus ratio 4 36.8% 4.0% -4.2pts Zurich Financial Services has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 2 As mandated by NAIC requirements, including USD 425m portfolio transfer of Zurich Small Business unearned premiums. 3 Excluding USD 425m portfolio transfer of Zurich Small Business unearned premiums, and USD 60m of earned premiums. 4 The USD 425m portfolio transfer of Zurich Small Business unearned premiums reduced the net underwriting result by USD 20m and the surplus by USD 78m or.6pts as mandated by NAIC requirements. 5 Adjusted for profit portion of management fees. 20

Other Businesses and Corporate Functions Business operating profit contribution in USD millions for the six months to June 30 2008 2007 Change Other Businesses: - Farmers Re 54 88-38% - Centre 4 6-97% - Other 3 267-5% Total Other Businesses 90 47-60% Corporate Functions -26-47 37% 2

Investment performance of Group investments in USD millions for the six months to June 30 2008 2007 Change Net investment income 4,402 4,282 3% Net capital losses/gains on investments and impairments -426 503 nm of which attributable to shareholders 9 440-98% Net investment result 3,975 4,785-7% Net investment return 2.% 2.5% -0.4pts Movements in net unrealized losses on investments included in total equity 2-4,648-2,689-73% Total net investment result -0.3%.% -.4pts Net investment result in % of average investments, not annualized 2 Before attribution to policyholders and other 22

Development of shareholders equity in USD millions 32,000 3,000 2,68 2,082 30,000 29,000 28,804 4 28,945 624 2,42 28,000 27,000 26,000 25,000 288 26,796 24,000 Balance Dec 3, 2007 as previously reported Change in accounting policy Restated Net Income Balance as of attributable Dec 3, 2007 to shareholders Dividends paid Share buyback 2008 Change in net unrealized losses on investments Other Balance as of movements June 30, 2008 Includes redemption of preferred securities of USD 0m, net other recognized income and expense, change in cumulative translation adjustment, changes in cash flow hedges, share-based payment transaction and other 23

Financial highlights in USD millions for the six months to June 30 2008 2007 Change Business operating profit 3,549 3,284 8% Net income attributable to shareholders 2,68 2,676 0% General Insurance combined ratio 96.2% 96.5% 0.3pts Global Life new business margin 2 22.4% 24.% -.7pts Farmers Mgmt Services managed GEP margin 3 7.% 7.2% -0.pts 2008 2007 Change Return on common shareholders equity (ROE) 9.5% 2.% -.6pts Business operating profit (after tax) ROE 9.9% 9.% 0.8pts Throughout this document, certain comparatives have been restated. Please refer to our Financial Review for further details. 2 After tax, as % of APE (Annual Premium Equivalent) 3 Margin on gross earned premiums of the Farmers Exchanges. Zurich Financial Services has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 24

Q&A 25

Appendix 26

The Zurich Way Target of USD 2.4 billion for 2008 to 200 USD 500m USD 500m USD 700m Total planned benefits 2008 to 200: USD 2.4 billion USD 800m 2005 2006 2007 2008 2009 200 We have comfortably achieved our 2007 target. We expect benefits of USD 2.4 billion from 2008 to 200 4 TZW workstreams with over 400 initiatives, with increasing focus on Profitable Growth and Operational Transformation initiatives Expected contributions to key performance indicators for 2008-0 General Insurance: Combined ratio: 2.0pts p.a. Global Life: APE : half of targeted double digit growth to come from TZW Gross new business Annual Premium Equivalent (APE) 27

The Zurich Way initiatives 2008 target by function USD 800m by business division USD 800m USD 700m 2% 32% Growth/ Distribution USD 700m 3% 35% Europe General Insurance USD 500m 8% 6% 36% 6% 7% Claims USD 500m 34% 28% 22% North America Commercial 43% 36% 34% 2% 2% 5% 9% 8% 2% 2006 2007 2008 U/W Expenses Other 20% 7% 3% 5% 8% % % 5% 5% 5% 2006 2007 2008 Global Corporate Global Life Other 28

Business division BOP-ROE based on RBC-allocated IFRS equity for the six months to June 30 General Insurance - Global Corporate - North America Commercial - Europe General Insurance - International Businesses - Group Reinsurance Global Life Farmers Management Services Other Businesses and Corporate Functions Total Group Total Group BOP (after tax) ROE 2 2008 28.9% 9.7% 22.0% 4.0% 2.5% 79.8% 22.9% 56.3% 2.5% 25.9% 9.9% 2007 28.5% 25.% 3.5% 28.5% 7.% 36.4% 9.2% 62.4% 8.0% 25.9% 9.% Adjusted BOP-ROE based on average IFRS Group equity allocated to the segment based on its share of Zurich risk based capital (RBC) 2 Business operating profit (after tax) return on common shareholders equity 29

Global Life new business indicators in USD millions for the six months to June 30 APE 2008 APE 2007 Change Change in LC NBV 2 2008 NBV 2 2007 Change United States 5 59-4% -4% 47 57-8% United Kingdom 472 440 7% 7% 49 56 -% Germany 333 28 53% 33% 04 64 63% Switzerland 62 52 20% 2% 2 9 3% Ireland 44 42 2% -2% 28 3-0% Emerging markets 340 299 4% 3% 78 73 6% of which: ZIS 3 252 23 8% 20% 53 44 20% Rest of the world 25 4 0% -5% 5 9-2% Total,528,323 5% 9% 342 39 7% Local Currency 2 New business value, after tax 3 Zurich International Solutions domiciled in the Isle of Man 30

Farmers Exchanges financial highlights: strong premium growth in USD millions for the six months to June 30 2008 2007 6'000 5'000 42.0% 40.0% Gross written premiums 2 8,285 7,780 Net underwriting result 3-527 72 4'000 38.0% Net surplus growth 3-239 284 3'000 36.0% Ending surplus 3 5,479 5,558 2'000 34.0% Surplus ratio 3 36.8% 4.0% '000 32.0% 0 2003 2004 2005 2006 2007H-08 30.0% Surplus Notes As of the end of the period Surplus Ratio Paid in Capital & Unassigned Surplus Zurich Financial Services has no ownership interest in the Farmers Exchanges. Farmers Group, Inc., a wholly owned subsidiary of the Group, provides management services to the Farmers Exchanges and receives fees for its services. 2 Excluding USD 425m portfolio transfer of Zurich Small Business unearned premiums. 3 The USD 425m portfolio transfer of Zurich Small Business unearned premiums reduced the net underwriting result by USD 20m and the surplus by USD 78m or.6pts as mandated by NAIC requirements. 3

Farmers Exchanges gross written premiums by line of business in USD millions for the six months ended June 30 2008 2007 Change Auto 4,326 3,97 8.9% Homeowners 2,80 2,078 4.9% Commercial P&C 637 629.3% Zurich Small Business 60 0 N/A Workers Compensation 74 86-6.5% 2 Specialty 843 839 0.5% Other 65 77-5.6% Total 8,285 7,780 6.5% Excluding USD 425m portfolio transfer of Zurich Small Business unearned premiums. 2 The decline in workers compensation premiums was driven by the effect of California statutory reforms. 32

Farmers Exchanges premium growth outperforming industry GWP growth 8% 6% Industry Growth Rate 2007 Estimate: 0.3% 2008 Forecast: -0.5% 5.0% 4.6% 5.% 5.4% 5.7% 6.5% 2 4% 3.2% 3.3% 2%.4% 2.2% 0% 3 months 2006 Half year 2006 9 months 2006 Full year 2006 3 months 2007 Half year 2007 9 months 2007 Full year 2007 3 months 2008 Half year 2008 Source of 2008 Forecast: Conning Property-Casualty Forecast & Analysis By Line Of Insurance Q208 (weighted for Farmers LOBs). 2 Excluding USD 425m portfolio transfer of Zurich Small Business unearned premiums. 33

Farmers Exchanges combined ratio for the six months to June 30 2008 2007 Change Auto 0.7% 99.7% -2.0pts Homeowners 4.5% 93.8% -20.7pts Commercial P&C 93.% 96.0% 2.9pts Zurich Small Business 0.9% n/a n/a Workers Compensation 95.9% 94.3% -.6pts Specialty 0.9% 92.3% -9.6pts Total 04.2% 97.7% -6.5pts Adjusted combined ratio 2 97.0% 90.4% -6.6pts Before quota share treaties with Farmers Re 2 Adjusted for profit portion of management fees 34

Farmers Exchanges development of the combined ratio Quarterly combined ratio 5% 0% 05% California wildfires Rita California wildfires 00% Florida hurricanes Katrina 95% 90% Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 Q3 Q4 Q Q2 2002 2003 2004 2005 2006 2007 2008 35

Competitor Analysis - Overall Growth vs. GAAP Combined Ratio Growth NPW % 8.0 6.0 GEICO 5 Industry 4 00.9% Farmers 2, 3 June 2008 March 2008 FY08 Industry Estimate 4.0 2.0 0.0-2.0-4.0 Travelers Hartford State Farm Allstate Safeco Progressive Industry 4-0.5% -6.0-8.0 Mercury 84 88 92 96 00 04 Combined ratio, % of NPE Source: Media releases and investor supplements, except for Farmers and State Farm. 2 Reflects GWP before APD and Quota Share treaties. Combined ratio excludes Quota Share and APD treaties and was adjusted for Farmers Management Services profit portion of management fees. 3 Farmers excludes USD 425m portfolio transfer of Zurich Small Business unearned premiums. 4 Source of FY08 estimate: Conning Property-Casualty Forecast & Analysis By Line Of Insurance Q2 08 released 07/03/08 (weighted for Farmers LOBs). CR on STAT basis. 5 Based on NPE. NPW is not available on quarterly basis.. 36

Zurich s investment portfolio profits greatly from diversification and is balanced in terms of risk Risk Allocation of Zurich s investment portfolio as of June 30, 2008 Asset allocation (%) Real Estate Hedge Funds / Private Equity Equities 2.5 5.9 Cash, 4.6 Fixed short 8.8 income term 78.2 Risk diversification and matching (%) 00 Sum of single security risks (before diversification) 62 Investment risks only (diversified) 8 Investment risks relative to liabilities Risk exposure (%) Real Estate Credit 5 Hedge Funds 4 5 24 5 Equities Interest rate Risks to Zurich s economic surplus measured as 2 months value at risk with 99.95% confidence interval 37

Group Investments Zurich s debt securities are of a very high quality (99.2% investment grade) As of June 30, 2008 Group Investments USD 95bn Debt securities USD 23bn credit rating: AAA 62.0% Other asset classes Debt securities 99.2% investment grade credit rating: AA 3.0% 37% 63% credit rating: A 8.3% Unrated/below inv. grade 0.8% credit rating: BBB 5.9% Monolines: Approx. USD.bn of our debt securities are wrapped by monolines. Average credit rating of these excluding wraps is between A and AA. 38

Group Investments Zurich s debt securities are well balanced Group Investments - USD 95bn (00%) As of June 30, 2008 Debt securities 63% Other asset classes 37% Government and supranational bonds: USD 45bn (23%) 00% inv. grade 77% AAA 6% AA 6% A % BBB Corporate bonds: USD 52bn (26%) 98% inv. grade 33% AAA 24% AA 29% A 3% BBB % unrated MBS/ABS: USD 27bn (4%) 00% inv. grade 94% AAA see further details on next slides 39

Group Investments Split of total MBS/ABS of USD 27bn (4%) Group Investments USD 95bn (00%) includes: MBS/ABS: USD 27bn (4%) 00% inv. grade 94% AAA Other asset classes As of June 30, 2008 Debt securities 37% 63% US ABS in addition to the US MBS mentioned above US MBS: USD 7.2bn (8.8%) 00% inv. grade 99% AAA see further details on next slide US ABS : USD 3.3bn (.7%) 99% inv. grade 84% AAA e.g. Automobile and Credit Card ABS UK MBS/ABS: USD 4.2bn (2.2%) 00% inv. grade 86% AAA Whole Loan Residential MBS of USD 2.3bn (92% AAA) Commercial MBS of USD.2bn (87% AAA) German ABS: USD 0.5bn (0.3%) 00% inv. grade 79% AAA and AA mostly German MBS ( Pfandbriefe ) Swiss ABS: USD 0.6bn (0.3%) 00% AAA 00% Swiss MBS ( Pfandbriefe ) 40

Group Investments Split of US MBS of USD 7.2bn (8.8%) Group Investments USD 95bn (00%) US-MBS: USD 7.2bn (8.8%) 00% inv. grade 99% AAA Debt securities 63% of which: US Agency MBS: USD 9.6bn (4.9%) 00% AAA USD.bn backed by GNMA USD 8.5bn backed by FNMA and FHLMC Other asset classes 37% US Commercial MBS: USD 5.2bn (2.7%) 00% inv. grade 97% AAA US Whole Loan Residential MBS: USD 2.4bn (.2%) 00% inv. grade 98% AAA As of June 30, 2008 4

Group Investments Exposure to US sub-prime remains very small (0.%) and of high quality Group Investments USD 95bn (00%) Debt securities 63% US sub-prime: USD 220m (0.%) 98% inv. grade 66% AAA Limited downgrades by rating agencies since December 2007: USD 70m Minimal impairments in HY08: USD 0m Only USD 2m is of 2006 vintage year, and USD 6m thereof is AAA USD 48m is wrapped by monolines Other asset classes 37% US-MBS: USD 7.2bn (8.8%) 00% inv. grade 99% AAA As of June 30, 2008 MBS/ABS: USD 27bn (4%) 00% inv. grade 94% AAA 42

Group Investments Exposure to CDO remains very small (0.22%) and of high quality Group Investments USD 95bn (00%) Debt securities 63% CDO: USD 430m (0.22%) 00% inv. grade 78% AAA 92% backed by UK bank loans (CLOs) and 8% by other types of collateral assets Minimal impairments in HY08: USD 5m No US sub-prime exposure in CDO No CDO is wrapped by monolines Other asset classes 37% MBS/ABS: USD 27bn (4%) 00% inv. grade 94% AAA As of June 30, 2008 43