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Silver Age Guaranteed Notes The future of Seniors. August 2007. The Elderly Population. The Elderly Population A major part of tomorrow’s worldwide population. Age pyramid of developed Countries. “An Old Person is someone older than 60” (World Health Organization definition)

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the elderly population a major part of tomorrow s worldwide population
The Elderly Population A major part of tomorrow’s worldwide population

Age pyramid of developed Countries

“An Old Person is someone older than 60” (World Health Organization definition)

> An even stronger part of the worldwide population and already prominent in industrialized countries :

- Europe and Japan are experiencing larger disruption than the United States. One of the principal reason is that in 2025 the “Baby Boomers” of the 50’s and the 60’s will be aged between 65 and 75 years.

- Proportion of total European population older than 65 is expected to reach 27.50% by 2050 and population aged over 80 years will reach 10%.

- In the United States, Elderly population increased by a factor of 11, from 3 million in 1900 to 33 million in 1994. In comparison, the total population has tripled during the same period. **

> By 2050, even the youngest regions – Latin America, Asia and Africa – will have substantial elderly populations.

- Africa, for example, will have reached the same percentage of elderly as Europe had in the mid 20th century.

- China’s elderly will account for 23% of its population, Taiwan 27.5% and South Korea’s 27% .

By 2050, nearly 1.5 billion people or 16.3% of the world’s population will be aged 65 or older compared to about 420 million or 6.9% in 2000. *

Baby Boomers

Baby Boomers

Baby Boomers

Source: Department of Economic and Social Affairs, United Nations

* Source: UN Population Division

** Source: US Census Bureau

the elderly population the causes of such changes
The Elderly Population The Causes of such changes

Global ageing results of two fundamental demographic forces :

- falling fertility

- rising longevity

Falling fertility

> Worldwide, total fertility rate has fallen from 5.0 to 2.7 over the past 30 years.

> Japan has seen one of the sharpest fertility decline from a total fertility rate of more than 4 children per woman between 1947 and 1949 to an average of 1.4 children per woman in 1995.

Rising longevity

> In the US, life expectancy has risen from 47 years in 1900 to 66 years in 1950 and to 77 years in 2000. **

> In Japan, the world’s longevity leader, life expectancy has reached more than 80 years.

> Europe generally has longer life expectancy than the US but not quite high has Japan. Average life expectancy at birth is 79 years in Italy, 78.8 years in France and 77.4 years in Germany.

 With advances in the biotechnology of human ageing – as well as the healthier lifestyles – some even concludes that a life expectancy of 100 years or more can be reached within a few decades.

Source: Department of Economic and Social Affairs,

United Nations

* Source: UN Population Division

** Source : Long Term Global Demographic Trends: Reshaping the Geopolitical Landscape

economic impact a strategic consumer class with specific needs

Healthcare

Housing

  • Medical Care
  • Body care
  • Healthy food
  • Senior Residences
  • Nursing Homes
  • Housing services
Economic Impact A strategic consumer class with specific needs

> The increase of Elderly population will tend to develop a new category of consumer needs for this higher revenues class, requiring not only more appropriated healthcare & funeral services but also specific housing demands. Apart from that Seniors will also multiply their appetite for Entertainment activities .

> Senior population significant growth will imply direct economic changes and among them : strong and increasing purchasing power .

Some examples :

In France, revenues of elderly population are 30% higher than revenues of young people. 50% of French wealth belongs to 74% of the seniors. *

By 2050, senior purchasing power will have increased by 22% in Germany for a total amount of Euros 386 billions . **

> We therefore identify new sectors that are strongly developing, in order to meet these specific needs :

Funeral

Entertainment

  • Services
  • Casket & Urns
  • Marble & Sculpture
  • Tailor made Travels
  • Sports Activities
  • Cultural Activities

* Source: CREDOC (Centre de recherche pour l’étude et l’observation des conditions de vie)

** Source DIW (Deutsches Institut Für Wirtschaftsforschung)

four specific sectors with strong potential
Four specific sectors with strong potential

Healthcare

> Seniors expenses for healthcare are four time higher than those of total population.

> In developed countries, around 40% of health expenditures are made for seniors aged 65 and over.

> Between 2000 and 2005, the market of healthy food has increased by 96%.

> Cosmetic sub sector dedicated to anti age care has increased by 100% between 2000 and 2006 (Revenues of USD 12.7 billions)

Funeral

> 75% of all deaths occur at ages 65 and older. Thus, the increase of Elderly population will provide a growing demand in the future for funeral services.

> The market growth in the death care industry is low but extremely stable. In the United States, the total number of internments in 1995 was 1.8 million, and the death rate is projected to grow at a 1% annual rate until 2010.

> There has been a growing trend in the number of cremations performed as an alternative to traditional funeral services dispositions. In 1980, 10% of the deceased were cremated but by 1996 that fraction had grown to 22% and the Cremation Association of North America expected increase in market share to 29% by 2010.

Housing

> Housing expenditures are expected to continue its upward trend pushed by Seniors needs for rental revenues

> Majority of old people are owner-occupiers: for example, 70% of French seniors possess their house in

comparison with 54% for people under 55 years *

Entertainment

> In France, 60% of group travel tours and 25% of plane travels are made by seniors **

> In Switzerland, 52% of the elderly population practice a physical activity on a regular basis, in comparison with

40% for the persons aged between 50/64. ***

> On May 22nd 2007, a Japanese Septuagenarian has become the oldest person to summit Everest

* Source Institut National de la Statistique et des Etudes Economiques ( INSEE)

** Source: CREDOC (Centre de recherche pour l’étude et l’observation des conditions de vie)

*** Source: Observatoire de la santé de Neuchâtel

slide9
> Geographical diversification

A tailor- made basket Overview

> Sectorial diversification

slide10

A tailor- made basket Shares description 1/5 : Medical care sector

  • Varian Medical Systems Inc. is a worldwide supplier of integrated cancer-care systems. The Company's products include Clinac medical linear accelerators and brachytherapy systems for treatment, as well as Ximatron simulators for therapy planning and verification. Varian also supplies ancillary equipment, software and networking systems, as well as x-ray tubes for diagnostic imaging.

www.varian.com

The Trilogy® accelerator is Varian's most versatile and powerful medical image-guided radiation therapy machine, capable of targeting tumors with sub-millimeter accuracy while sparing surrounding healthy tissues for better outcomes and fewer side effects.

  • Terumo Corporation is a manufacturer and supplier of pharmaceuticals and medical tools and equipment. The Company's products include health foods, transfusion and infusion equipment, disposable medical supply, clinical testing systems, artificial organs, and electronic thermometers. Terumo markets the products through its subsidiaries and sales offices in the US, Europe, and Asia.

www.terumo.co.jp

The DuraHeart LVAS® is a third-generation rotary blood pump designed for long-term patient support. It incorporates a centrifugal flow rotary pump with a magnetically levitated impeller to pump blood from the heart around the body.

Historical share datas (sources Reuters & Bloomberg)

slide11

A tailor- made basket Shares description 2/5 : Medical care sector

  • Essilor International SA manufactures and sells plastic and glass ophthalmic lenses. These include the Ormex, Transitions, Varilux, Essilor, Airwear, and Crizal lenses. Essilor International has plants and prescription laboratories in North America, Asia-Pacific region, Latin America and Europe. The Company's plants supply its subsidiaries with lenses that correspond to customer specifications. Essilor sells its products internationally.

www.essilor.fr

In 2005, Essilor introduced Varilux Physio™, a new progressive lens boasting innovative design and production features.

  • Fresenius Medical Care AG & Co. KGaA offers kidney dialysis services and manufactures and distributes equipment and products used in the treatment of dialysis patients. The Company also offers clinical laboratory testing and diagnostic testing services and provides home infusion, respiratory therapy, ultrasound, and echo-cardiography. Fresenius operates worldwide.

At December 31, 2006, Fresenius provided dialysis treatment to approximately 163,500 patients in 2,108 clinics worldwide located in over 25 countries.

www.fmc-ag.com

The DALI system (Direct Adsorption of Lipoproteins) is the first process capable of removing LDL cholesterol from whole blood without separating it beforehand into blood cells and blood plasma.

Historical share datas (sources Reuters & Bloomberg)

slide12

A tailor- made basket Shares description 3/5 : Funeral sector

  • Hillenbrand Industries, Inc., through its subsidiaries, manufactures equipment for the healthcare industry and products for the funeral industry. Hill-Rom Company (Hill-Rom) is a worldwide manufacturer and provider of medical technologies and related services for the healthcare industry. Batesville Casket Company (Batesville) operates in the death care industry through the sale of funeral service products, including burial caskets, cremation caskets, containers and urns.

www.hillenbrand.com

Hillenbrand was the first company to develop and mass-produce steel caskets that provide exceptional beauty and superior quality.

  • Service Corporation International provides death care services worldwide. The Company operates funeral service locations, cemeteries, and crematoria. Service also sells prearranged funeral services in most of its service markets.

On January 1999, the stock price has collapsed by $15.31 per share, i.e. a 43% single day decline. After the launch of the acquisition on Equity Corp International, Service Corp. was sued for violating the federal securities laws for failing to inform Equity Corp International shareholders that the company will not achieve its expected 1998 Q4 earnings. However since that incident share gained again investors’ confidence .

By the end of 2006, SCI operated 1,613 funeral service locations and 452 cemeteries, (including 232 combination locations) in North America, eight Canadian provinces, the District of Columbia, and Puerto Rico.

www.sci-corp.com

To take full advantage of its presence throughout the United States and Canada, SCI introduced the Dignity Memorial® brand in 1999 as the first national brand of funeral, cremation, and cemetery services in North America. Dignity Memorial providers are committed to helping families create memorial services.

Historical share datas (sources Reuters & Bloomberg)

slide13

A tailor- made basket Shares description 4/5 : Housing sector

  • Sunrise Senior Living Inc. provides senior living services. The Company has various senior living communities either open or under construction in the United States, the United Kingdom, and Canada. Sunrise offers a range of senior living services, from independent living, to assisted living, to care for individuals with Alzheimer's, and nursing and rehabilitative care. Sunrise also develops senior living communities for ventures in which it retains an ownership interest and for third parties.

By the end of 2005, the Company operated 415 communities in the United States, in Canada, United Kingdom and in Germany, with a total resident capacity of approximately 51,000.

www.sunriseseniorliving.com

For independent living residents, Sunrise offers a wide variety of social, cultural and recreational programs. Book groups, baking classes, theater outings and shopping excursions …

  • Generale de Sante is Europe´s leading provider of healthcare services: the Company delivers the complete spectrum of acute care services, Generale de Sante also provides services in the areas of mental health, oncology and radiation therapy, care for alcohol abuse and obesity, rehabilitation (such as cardiac rehabilitation, and orthopedic and neurological reeducation) and diagnostics (such as medical imaging and analysis) The Company operates hospitals in France, Italy, Portugal, and Canada. Générale de Santé is the leader in the private hospital sector in France with a market share of more than 16% in 2006.

The company operates 137 facilities active in all areas of healthcare

www.generale-de-sante.fr

In 2001, the Générale de Santé Brand program was launched. It is implemented in the form of an AFAQ* service certification program for all of the Group's healthcare segments to ensure that the Brand will be identifiable by everyone .

Historical share datas (sources Reuters & Bloomberg)

* AFAQ : Association Francaise pour l’Assurance de la Qualilté

slide14

A tailor- made basket Shares description 5/5 : Entertainment sector

  • Royal Caribbean Cruises Ltd. is a global cruise company operating a fleet of vessels under the Royal Caribbean International and Celebrity Cruises brand names. The Company currently operates cruises visiting Alaska, Bahamas, Bermuda, Canada, Caribbean, Europe, Far East, Hawaii, Mexico, New England, Panama Canal, Russia, and Scandinavia.

It consists of 29 vessels and provides tours to 160 destinations all over the world.

www.royalcaribbean.com

From kids to grandparents, there are activities for every explorer. The company offers reduced senior prices on selected sailings exclusively for guests who are 55 years of age and older

  • Accor SA operates hotel chains and offers travel services. The Company operates the ETAP, Novotel, Mercure, Sofitel, Formule 1, Motel 6, Thalassa, Parthenon,Suite hotel, Ibis, Coralia, and Atria hotels. Accor offers corporate and individual travel services. The Company also operates casinos and restaurants and offers onboard train services.

Accor manages 470,000 bedrooms in almost 4,000 hotels across 90 countries.

www.accor.com

Among the Hotel brands of the group, Accor operates “Accor Thalassa” with 15 sites worldwide. The Company is also shareholder of “Club Med” Group, the operator of all-inclusive vacation villages

Historical share datas (sources Reuters & Bloomberg)

the silver age guaranteed notes main description
The Silver Age Guaranteed NotesMain Description

> Main Terms:

  • - Product Type : EMTN issued by Calyon (Rating AA- / Aa1)
  • - Maturity : 4 Years
  • - An exposure to a basket of 10 “Silver Age” stocks

> Main Terms:

  • - 100% Capital Guaranteed at maturity
  • - Currency : EUR Quanto (no currency risk)
  • - Up to 14% annual coupon

> Process:

- At inception, we fix the initial value of the 10 stocks

- At the end of year 1, we calculate for each stock its performance since its initial level, retaining a maximum of 14%.

The Basket Performance is defined as the arithmetic average of the stocks performance.

The Notes pay then a coupon between 0% and 14% equal to 100% of the Basket Performance

- The same process occurs at the end of year 2, 3 and 4.

- At maturity, at the end of year 4, the Notes are redeemed at 100% of the Capital in addition to the last Coupon

the silver age guaranteed notes examples
The Silver Age Guaranteed NotesExamples

Bearish Market

Stable Market

Bullish Market

1/ On Strike Date the Initial level of each stock is fixed

2/ At End of Year 1, the performance of each stock since inception is calculated :

3/ Basket performance is calculated as the average of the 10 stock performances with an individual cap at +14%

4/ Coupon is equal to the Basket Performance (6+14+9-2+6+4+11-2+13+2)/10 = 6.10%

1/ On Strike Date the Initial level of each stock is fixed

2/ At End of Year 1, the performance of each stock since inception is calculated :

3/ Basket performance is calculated as the average of the 10 stock performances with an individual cap at +14%

4/ Coupon is equal to the Basket Performance (-4+7+5-2+6+3+2-2+4-3)/10 = 1.40%

1/ On Strike Date the Initial level of each stock is fixed

2/ At End of Year 1, the performance of each stock since inception is calculated :

3/ Basket performance is calculated as the average of the 10 stock performances with an individual cap at +14%

4/ Coupon is equal to the Basket Performance (6+14+14+7+9+14+11+14+14+9)/10 = 11.20%

+6%

+6%

-4%

+14%

+17%

+14%

+7%

+9%

+16%

+14%

+5%

+7%

- 2%

-2%

+6%

+9%

+6%

+4%

+20%

+14%

+3%

+11%

+11%

+2%

+14%

- 2%

-2%

+13%

+4%

+18%

+14%

+2%

+9%

-3%

14%

14%

14%

Annual Coupon = 1.40%

Annual Coupon = 6.10%

Coupon Year 1 = 11.20%

  • At end of Year 2, Year 3 & Year 4:, the same process is applied
  • At Maturity, each note is redeemed at 100% + Last Coupon
the silver age guaranteed notes backtesting simulations
The Silver Age Guaranteed Notes Backtesting Simulations

>Methodology:

- Source : Bloomberg

- Number of tests completed : 530

- Timeframe: launch date between 1st July 2001 and 12th July 2003 (redemption date between 1st July 2005 and

12 July 2007)

>Annual Coupon Paid:

In average, the Annual Coupon would be equal to 7.70%, versus 4.81% for the Risk Free Rate *

Distribution of the Annual Coupon Paid

Evolution of the Annual Coupon over the Backtesting period

* Source : Bloomberg as of 10th August 2007

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