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Discount Rate for Valuation of Scheme Liabilities

Section 4 of Appendix C of the scheme document describes the procedures for discounting the scheme liabilities. The valuation rate is to be the 5 Year T-bill rate less 200 basis points at the valuation date. The valuation date of the scheme is June 30, 2007. The 5 Year T-bill Rate at 6/29/2007 (last business day of the month) as quoted in the Federal Reserve Statistical Release H.15 Selected Interest Rates is 4.92%. Therefore the discount rate to be used in the scheme is 2.92%.