DECISIONS THAT COUNT ANNUAL REPORT 2006 ADDITIONAL INFORMATION Annual Report 2006 – Additional Information I. Tables of returns 1. Auditors’ Report ................................................................................................. 1 2. General Notes .................................................................................................... 2 3. Short Term Investments ....................................................................................... 4 4. Real Return Bonds............................................................................................... 6 5. Long Term Bonds................................................................................................. 8 6. Bonds ..............................................................................................................10 7. Fixed Income - Bonds .........................................................................................12 8. Canadian Equity ................................................................................................14 9. Canadian Equity Quoted Markets .........................................................................16 10. U.S. Equity (Hedged) .........................................................................................18 11. U.S. Equity (Unhedged) .......................................................................................20 12. U.S. Equity Quoted Markets ................................................................................22 13. EAFE Foreign Equity (Hedged) ............................................................................24 14. EAFE Foreign Equity (Unhedged) ........................................................................26 15. EAFE Foreign Equity Quoted Markets....................................................................28 16. Emerging Markets Equity .....................................................................................30 17. Emerging Markets Equity Quoted Markets .............................................................32 18. Québec International...........................................................................................34 19. Investments and Infrastructures............................................................................36 20. Private Equity ....................................................................................................39 21. Real Estate Debt ...............................................................................................41 22. Real Estate........................................................................................................43 23. Hedge Funds......................................................................................................46 24. Commodities ......................................................................................................48 25. Balanced Fund ..................................................................................................50 II. Financial statistics and review 1. Returns on Specialized Portfolios by Market Indexes or recognized Indexes...............55 2. Changes in depositors’ holdings ..........................................................................56 3. Breakdown of depositors’ holdings .......................................................................60 4. Annual interest or income paid out on average deposits .........................................61 5. Summary of investments......................................................................................62 6. Breakdown of investments ..................................................................................63 7. Real Estate Group – Mortgages of $5 million and over ............................................66 8. Investments in shares and bonds of publicly traded companies.................................72 9. Investments in shares and bonds of privately held companies ................................ 174 10. Statement of real estate holdings ....................................................................... 189 11. Statement of properties held for resale................................................................ 192 III. Code of Ethics and Conduct for Directors IV. Code of Ethics and Professional Conduct for Officers and Employees I. Tables of returns Caisse de dépôt et placement du Québec for the period ended December 31, 2006 GIPS® compliant presentation Deloitte & Touche LLP 1 Place Ville Marie Suite 3000 Montreal QC H3B 4T9 Canada Tel: 514-393-7115 Fax: 514-390-4111 www.deloitte.ca Auditors’ Report To the Directors of Caisse de dépôt et placement du Québec We have examined whether Caisse de dépôt et placement du Québec – Depositors accounts (the “Company”) complied with the Global Investment Performance Standards (“GIPS®”), on a firm-wide basis. We have also examined the performance calculation included in the accompanying Schedules (the “Schedules”) of the Company for the year ended December 31, 2006. The Company’s management is responsible for compliance with the GIPS® Standards and for the Schedules. Our responsibility is to express an opinion based on our audit. We conducted our audit in accordance with standards for assurance engagements established by the Canadian Institute of Chartered Accountants, and in accordance with the requirements for a firm-wide basis and Performance Examination verifications as defined by the GIPS® Standards. Those standards require that we plan and perform the procedures for a Verification and Performance Examination set forth by the GIPS® Standards and such other procedures as we considered necessary in the circumstances. In our opinion, the Company has, in all material respects, for the year ended December 31, 2006 complied on a firm-wide basis and presented the Schedule in conformity with the requirements of the GIPS® Standards. Chartered Accountants Montreal, Quebec February 16, 2007 General Notes 1. Presentation of the firm The Caisse de dépôt et placement du Québec "the Caisse" is a financial institution that manages funds for pension plans and public and private insurance plans "the Depositors". The Caisse invests in the large capital markets and under the form of private investments and real estate. The Depositors' assets in the individual funds were $142.7 billion as at December 31st, 2006. This document presents the performances related to the funds managed by the Caisse for the Depositors. 2. Compliance statement The Caisse has prepared and presented this report in compliance with the Global Investment Performance Standards (GIPS®) for the period of January 1st, 1997 to December 31st, 2006. Deloitte & Touche LLP has performed a verification of this presentation in accordance with the Global Investment Performance Standards (GIPS®). Deloitte & Touche LLP also performed a performance examination on each composite of this presentation. The composite examination covers the period from January 1st, 1998 to December 31st, 2006, except for the composites created at the end of 2003. For these composites, the audit covers the period from January 1st, 1999 to December 31st, 2006. Results reflect past performance and are no indication of future returns. 3. Performance calculations Performance calculations are based on monthly valuations. The modified Dietz formula is used to calculate returns. Any deposits or withdrawals are made on the first day of the month. Thus returns are not in any way distorted by cash flows occurring during the month concerned. Returns are presented gross of investment and management fees. Each discretionary fee-paying portfolio is included in at least one composite. These composites are valued according to trade date and returns are calculated monthly. Returns are then linked geometrically to produce quarterly and annual returns. Total returns, including realized and unrealized gains plus income, are used to calculate performance. These returns include any income generated on cash or cash equivalents. Interest income is accrued and is included in the market value used to calculate returns. Dividend income is accrued as of its ex-dividend date. The fair value of fixed-income securities is determined by means of valuation methods used in capital markets, such as the annualization of future cash flows at the current interest rate and the closing prices of the major brokers as well as those provided by recognized financial institutions. In addition, certain valuations are made according to commonly used valuation methods or on the basis of similar arm's-length transactions. The fair value of shares traded on a stock exchange is determined from the closing prices on the major stock exchanges as well as those provided by recognized financial institutions. For shares not traded on a stock exchange and real estate holdings, valuations are made by independent valuators, while others are made according to commonly used valuation methods or on the basis of similar arm's-length transactions. The valuations of shares and convertible securities that are not publicly traded are reviewed annually by an independent valuation committee. Derivative financial instruments are recorded at their fair value at year-end. These values are established from closing prices on the major stock exchanges as well as those provided by recognized financial institutions. In the case of unlisted instruments, certain valuations are made on the basis of similar arm's-length transactions or according to recognized, commonly used models.