##atility implied volatility eur / chf 3m eur / chf ( rhs ) % 1. 65 12. 5 1. 6 1. 55 7. 5 1. 5 1. 45 2. 5 jul aug sep oct nov dec jan 09 feb mar apr may jun 1. 4 sources : snb markets analysis platform, bloomberg chart 3. swap spreads swap spreads pfandbriefe swap spreads financial swap spreads industrial swap spreads utility bp – 50 jul aug sep oct nov dec jan 09 feb mar apr may jun sources : snb markets analysis platform, credit suisse table 1. stabfund investments at transfer prices ( as at 30. 9. 2008 ) total for us 25. 5 rmbs 9. 6 residential loans 0. 6 cmbs 4. 4 commercial real estate loans 2. 4 abs consumer 2. 0 abs other 1. 8 cdo 3. 2 corporates 0. 5 student loans ( loans and abs ) 0. 9 total for europe 12. 9 rmbs 5. 4 residential loans 0. 6 cmbs 2. 2 commercial real estate loans 0. 5 abs other 1. 3 cdo 2. 9 total for japan 0. 3 commercial real estate loans 0. 3 total investments 38. 7

, a substantial portion of the amount transferred includes liabilities in the form of derivatives which currently do not need to be financed by the snb. the initial financing of the stabfund was therefore considerably lower than the purchase price. it comprised the snb ’ s loan to the stabfund totalling usd 26. 6 billion and ubs ’ s equity contribution in the value of usd 3. 9 billion. the fund ’ s portfolio contains several thousand positions. table 1 gives an overview of the portfolio and the different investment segments. the portfolio management concept is based on a long - term risk / return assessment. for assets where the cash flow is expected to exceed the current market price, we are mainly pursuing a hold - to - maturity strategy. for assets where this is not the case, we will sell if the opportunity arises. the objective of our portfolio management is to repay the snb ’ s loan in full if at all possible. market developments to date have impacted strongly on the stabfund ’ s assets. as it stands, most of the assets do not have to be entered in the balance sheet at market value. rather, they only have to be written down if the balance sheet value is no longer considered sustainable based on the results of an impairment test. however, despite this method of stating assets in the balance sheet at amortised cost, the stabfund had already used up its equity capital by the end of march. up until that point, it had been necessary to make value adjustments amounting to roughly usd 5 billion. nonetheless, it still looks as though the stabfund will ultimately be able to pay back the loan. this is because, on the one hand, markets can recover ; the positive turn of events in april and may corroborates this. on the other hand, the assets have been generating relatively robust cash flows until now. owing to interest payments and loan repayments, the snb loan has already been reduced considerably. by mid - may, it came to only usd 23. 7 billion. in addition, the original size of the stabfund has declined by around usd 6. 7 billion as a result of sales, maturities and the closing out of derivatives positions. in mid - may, the size of the stabfund, as valued at amortised cost, was just roughly usd 32 billion, of which around usd 4 billion comprised contingent liabilities from derivatives. the performance of the stabilisation fund ’ s assets is