Risk Management

Values at Risk for Physical and Derivative Positions

Average Value

Minimum Value

Maximum Value

Sep 01

Sep 00

Sep 01

Sep 00

Sep 01

Sep 00

$m

$m

$m

$m

$m

$m

Values at risk at 95% confidence level

Foreign exchange risk

6

10

1

3

15

20

Interest rate risk

9

10

6

6

14

17

Volatility risk

2

1

1

-

3

3

Total

12

15

8

8

22

24

The Value at Risk (VaR) numbers are being sourced from the regulator approved internal model.

VaR is measured individually according to interest rate risk, foreign exchange risk and volatility risk. The individual

risk categories do not sum to the total risk number due to portfolio effect. Risk limits are applied in these categories

separately, and against the total risk postion.