[Special Mention]

Are hedge funds becoming regular asset managers or are regular managers pretending to be hedge funds?
December 2010
For Professional Investors

| 08/08/2012 | 2

1.

Rationale

2.
3. 4.

Risk Budgeting
Alpha Generation Summary

5.

Appendix

[Special Mention]

1. Absolute Return The rationale

| 08/08/2012 | 4

Investment Process
Our objective is to maximise return (ER) adjusted to risk ()

High Information Content (IC), i.e. quality of investment insights and so winning strategies level one High Transmission Coefficient (TC), i.e. ensuring winning strategies are optimally deployed within the Portfolio Breadth of ideas ( n) to diversify risk

Need strong investment process and top quality staff Need sophisticated portfolio construction process and powerful analytics

Need broad range of value added strategies, developed in independent processes

| 08/08/2012 | 5

An enlarged opportunity set facilitates portfolio construction with the highest quality risk positions
Less Constrained vs Constrained Portfolios
Information Ratio (IR)

An unconstrained manager can achieve a certain level of target risk vs. benchmark without needing to use lower quality trading ideas

Global less constrained guidelines Constrained

Risk

Risk Budget

Source: FFTW

| 08/08/2012 | 6

Long/short investment style is it new ?

Example of yield curve flattener trade
IR (yield curve)

Traditional Benchmarked Portfolio Management

0

Benchmark
Replication

+
Overweight 30 Year Bond

_
Underweight 2 Year Bond
Net Duration

Absolute Return Investing

Go Short 2 Year Bond

0

+
No Benchmark Risk

_
Source: FFTW

Go Long 30 Year Bond

| 08/08/2012 | 7

Composition of a credit position with relative hedges

Classic Long only Implementation vs benchmark

Increased opportunity set for Absolute Return Strategies to exploit specific risk areas excluding unwanted risk
Specific Credit Risk of VW Sector Risk

VW 10 year Corporate Bond

Swap Risk Interest Rate Risk

Credit Market Risk

Hedging Techniques AR Flexibility Classic

Interest Rate Futures ++ / - +

Interest Rate Swaps ++ / - +

CDS Indicies ++ / - +

CDS Indicies ++ / - + ++ / - +

Source: FFTW

| 08/08/2012 | 8

Fixed Income presents high quality Absolute Return opportunity set

0.60 0.50 US Fixed Government

Global Fixed Hedged 0.40 Emerging Market Debt

Information Ratio

Eurozone Fixed (Gov) 0.30

US Fixed Core Investment Grade US Fixed Core

Asia Ex Japan Equity 0.20 Currency Funds US Fixed Credit Asian Fixed Income

0.10

Eurozone Fixed (Gov & Non Gov)

International Equity

US Fixed Mortgage Backed 0.00 0% 2% 4% 6% 8% Volatility 10%

Emerging Market Equity 12% 14% 16%

Absolute-return uses a more dynamic asset allocation framework across a broad set of fixed-income instruments. Fixed Income median manager has historically delivered more Alpha versus their Equity counterparts
Source: Mercer (30/06/2005 30/06/2010)

| 08/08/2012 | 9

Investment Philosophy
Fixed income markets offer multiple sources of alpha which can be exploited by unconstrained investors. Alpha can be extracted from a superior understanding of complex securities, attractive risk premia in less efficient markets and anticipation of directional moves. Most fixed income markets are populated with a large number of sophisticated investors who can move capital quickly in search of opportunities. Therefore it is unlikely that any one market will provide superior opportunities for alpha for a prolonged period. The greatest returns per unit of risk generally come from diversifying across a wide variety of alpha opportunities. Diversification should come not just from exploiting varied markets but from employing different styles of portfolio management including quantitative and judgmental processes.

[Special Mention]

2. Risk budgeting

| 08/08/2012 | 11

Our Investment Approach

Philosophy
Systematic use of multiple alpha strategies with an objective to deliver consistent returns Blending qualitative analysis and quantitative models yield superior results Specialised, accountable and incentivised managers make better decisions Management of risk ranks hand-in-hand with the search for alpha Constant innovation keeps us ahead of the curve Systematic process with specialised Product Team and multiple Alpha sources, aims to deliver consistent returns and constant innovation supported by robust management of risk.

| 08/08/2012 | 12

Why invest in BNP Paribas L1 V350

We supplement directional exposures with 'spread' or relative-value trades that are not highly correlated with directional trades.

Trend Following

Mean reverting

Carry

Event

Market is trending

Market is range trading

Market is trending again

Source: FFTW

| 08/08/2012 | 13

Summarising Our Investment Process

A six step investment process
Responsibilities

Structural Allocation of Targeted Risk Budgets Generation of Alpha by Specialised teams Specific allocation of risk to each strategy Optimal allocation of strategies relevant for portfolio Centralised execution by specialised trading desks Monitoring & fine tuning of portfolio structure
Global Rates

TOP DOWN RISK BUDGET ALLOCATION TOP DOWN ALLOCATION OF RISK SPECIFIC TO CLIENT GUIDELINES
Sector Rotation Emerging Market Debt Structured Securities Quant Strategies

Product Head

Currencies

Alpha teams

STRATEGY RISK STRATEGY RISK ALLOCATION STRATEGY RISK ALLOCATION & PORTFOLIO CONSTRUCTION ALLOCATION
PORTFOLIO CONSTRUCTION

PORTFOLIO CONSTRUCTION
EXECUTION EXECUTION

Product head and Specialised Portfolio mgt team

Dedicated dealing desk

RISK MANAGEMENT RISK MANAGEMENT

Product head Risk mgt Portfolio mgt

| 08/08/2012 | 14

Investment process
Risk budgets allocation process includes expected shortfall ratio (TE/ES).
Normal Distribution Fat tailed Distribution Increased losses
Source: FFTW. For illustrative purpose only

Tail risk with drawdown must be taken into account as they are important function of the risk reward experience.

Allocating risk as a function of the ratio of delivered and expected volatility alone does not account for tail risk.
Tracking error/expected shortfall aims to balance and diversify the risks of large tails

| 08/08/2012 | 15

Calculating the Expected Shortfall Ratio

To establish the expected shortfall ratio we:
Take the historical monthly excess returns for the alpha centre and calculate the average loss for the months which are over a 99% loss level Divide by the volatility (tracking error) of the return series to give the expected shortfall ratio.

Source: FFTW. For illustrative purpose only

Frequency of Events

Monthly Returns

| 08/08/2012 | 16

Investment process
Top down allocation of risk budgets
Global Interest Rates Allocation by 1/ES Ratio Total Tracking Error TE by Alpha Source
* With correlations taken into account

BNP Paribas L1 V350

Quantitative Interest Rates 19.9% Emerging Markets 7.0% Structured Securities 8.9% Sector Rotation 14.0% 350*

Currencies 30.3%

19.8%

100

152

100

35

45

70

503

Tracking error budget: 350 bps

The Risk Budget Allocation output of the model is used as an input to the Judgemental Risk Allocation

Source: FFTW

| 08/08/2012 | 17

Opportunity Set and Risk Budget

The Risk Budget Allocation output of the model is adjusted according to a judgemental approach
Target Risk*
100 100 70 50 140 40 BNP Paribas L1 V350

Alpha Strategies
Global Interest Rates Quantitative Interest Rates Sector Rotation Structured Securities Currencies Emerging Markets

Maximum Risk*
150 150 105 75 210 60

Information Ratio*
0.5 0.5 0.5 0.5 0.5 0.5

Expected Excess Return*

50 50 35 25 70 20

Total Total Undiversified

346 500

519

0.723

250

Source: FFTW *All data is expressed in terms of basis points. The term Expected Return should not be perceived as a guarantee of future performance.

| 08/08/2012 | 18

Correlations of Historical Returns

Delivered correlations lower than modelling assumption
Positive correlations are assumed at the top down risk allocation Ensures that the modeling process has conservative assumptions Ensures that lower delivered correlations benefits investors, however limited impact if the delivered correlations are greater then historically, as will still be lower than conservative positive assumptions
Correlation Matrix Global Interest Quantitative Emerging Structured Sector Rates Currencies Interest Rates Markets Securities Rotation 100% -22% 100% 22% 27% 100% -8% 16% 21% 100% -6% 7% -30% 48% 100% -16% 14% -5% -4% 9% 100%

Global Interest Rates Currencies Quantitative Interest Rates Emerging Markets Structured Securities Sector Rotation

Source: FFTW; Data taken for the period since inception July 2009 till 30th Sept 2010

| 08/08/2012 | 19

Risk Management
A multi-perspective approach
VaR (Value-at-Risk) Analysis
Quantify expected 95th percentile weekly loss Limitation: Many complex correlations are embedded in calculation which may not be reproduced going forward We seek to address this with scenario analysis

Scenario Analysis
Risk to forward looking, constructed scenarios Limitation: Scenarios are hypothetical and stylized, and havent necessarily occurred in the real world We seek to address this with historical stress analysis

Short Fall Risk

The expected loss in the 95th percentile portion of the distribution Limitation: Only describes the extreme scenario We seek to address this with the measurement of VaR

Risk Management

Historical Stress Analysis

P&L risk of low probability, fat-tailed events

Limitation: Describes what happens if the historical event reproduces itself, but does not indicate what can be done to mitigate the outcome of that
We seek to address this with marginal VaR

Marginal VaR
Decline or increase in VaR if the position is eliminated from the portfolio
Limitation: Does not say anything about tail risk We seek to address this with the measurement of short fall risk

[Special Mention]

3. Alpha Generation
Broader opportunity set

| 08/08/2012 | 21

Yield Curve Slope Model - example 1

The model extracts relative value from the bond market using 6 liquid futures contracts. Designed to be beta neutral value extracted, can be much greater as the directional risk of the market is largely removed. Flexibility to performs in both a bull and bear scenario
10yr Future Contract
Australia Canada Germany Japan UK US

Underlying Notional Exposure (%)

-8.59 -4.47 -8.63 +2.40 +16.56 +1.53
Source : FFTW Sample Positioning

UCITS III rules allows derivative positions to be managed on a risk basis rather than a duration basis, meaning a more complex array of investment strategies can be utilised.

| 08/08/2012 | 22

Forward Starting Swaps example 2

Derivatives allow for greater focus on the single elements of risk The displayed UK sovereign yield curve demonstrates that the market is pricing in very little in terms of rates moves for the first year, followed by a steady increase in yields.

A forward starting swap can be implemented here if the investment manager does not share the same view as the market on a specific part of the curve

Source: Bloomberg

| 08/08/2012 | 23

Forward Starting Swaps

If the manager believes the BOE will hike at a slower pace than market expects, but that it might be forced into hiking rates near term to combat inflation concerns.

To avoid near-term uncertainty, a 2 year 2 year forward trade could be constructed. This removes exposure to years 1 and 2 of the yield curve, instead focusing risk solely on years 3 and 4.
The graph displayed shows the average rate over years 3 and 4 that the investor would be exposed to.

Source: Bloomberg

| 08/08/2012 | 24

Euro-zone Sovereign Risk example 3

Government funding costs vary widely within the Euro-zone as a result of the sovereign debt problems initially present in Greece, followed by Ireland, Portugal and Spain. Traditional benchmark investment managers can practically reduce their exposure to zero for all but the core (e.g. Germany, France, Netherlands) Euro-zone economies. Further to selling benchmark holdings, the investment manager can add value by expressing a negative view on such issues through Credit Default Swaps (CDS). This enables the implementation of a much larger short position than just removing the benchmark weight, and hence delivering a symmetrical risk profile

| 08/08/2012 | 25

Euro-zone Sovereign Risk

CDS can also be used to express relative value ideas. For example, buying protection on Spain and selling protection on Italy. The displayed graph shows the spread between the sovereign CDS of the two countries. The widening reflects the fact that Italy has not suffered the same confidence crisis as Spain to date.

Source: Bloomberg

[Special Mention]

4. Summary

| 08/08/2012 | 27

Competitive Advantages

Sophisticated Risk Management

Multiple Sources of Alpha

Specialised Portfolio Management

Active Dynamic Risk Budgeting

| 08/08/2012 | 28

Competitive Advantages
Absolute return management at FFTW
Multiple sources of alpha one highly diversified and differentiated investment strategy, built upon our core fixed income competencies Strategy combines fundamental and systematic approaches Investments are primarily made in high quality sectors Dedicated alpha teams skilled investment professionals with deep and broad experience, specializing in different market sectors Sophisticated risk management strong focus on risk management using VaR, expected shortfall and stress tests and a unique approach to monitoring risk allocations across strategies to ensure diversification and to limit potential for significant drawdowns Close alignment of interest with clients careful attention is paid to capacity, fee structures, guidelines and resources when designing multiple alpha strategy portfolio

[Special Mention]

5. Appendix

| 08/08/2012 | 30

Performance (gross of fees):

BNP Paribas L1 V350: as at October 29, 2010
Since inc.** 3.61 0.39 3.22 Since inc.** 1.26 0.01

Performance (%) BNP Paribas L1 V350 Daily Capitalized Eonia Index (RI) Excess return Risk indicators (annualised)

October 0.55 0.06 0.49

Last 3M 2.03 0.13 1.90

YTD 4.59 0.34 4.24

Last 12M 4.24 0.40 3.83

Last 36W Last 52W 1.32 0.02 1.32 4.06 1.29 0.02 1.29 2.97

Fund volatility (%) Benchmark volatility (%) Tracking error (%) Information ratio all figures gross of fees (in EUR) * annualised performance ** inception date: 13/07/2009 (annualised) Past performance or achievements are not indicative of current or future performance.

Source: FFTW, BNP Paribas as of 29 Oct, 2010. Past Performance achievement is not indicative of current or future performance

| 08/08/2012 | 31

Performance (net of fees)

BNP Paribas L1 V350: Institutional share class, as at October 29, 2010
Since inc.** 2.97 0.39 2.58 Since inc.** 1.11 0.01

Performance (net of fees I share) (%) BNP Paribas L1 V350 (I) Daily Capitalized Eonia Index (RI) Excess return Risk indicators (annualised)

October 0.54 0.06 0.48

Last 3M 1.79 0.13 1.66

YTD 3.92 0.34 3.57

Last 12M 3.55 0.40 3.15

Last 36W Last 52W 1.14 0.02 1.14 3.91 1.13 0.02 1.13 2.80

Fund volatility (%) Benchmark volatility (%) Tracking error (%) Information ratio * annualised performance ** inception date: 13/07/2009 (annualised) management fees: 0.20% Past performance or achievements are not indicative of current or future performance.

Source: FFTW, BNP Paribas as of 29 Oct, 2010. Past Performance achievement is not indicative of current or future performance

| 08/08/2012 | 32

Performance (net of fees)

BNP Paribas L1 V350: Classic share class, as at October 29, 2010
Since inc.** 2.98 0.39 2.59 Since inc.** 1.26 0.01

Performance (net of fees C share) (%) BNP Paribas L1 V350 Daily Capitalized Eonia Index (RI) Excess return Risk indicators (annualised)

October 0.50 0.06 0.45

Last 3M 1.87 0.13 1.74

YTD 4.06 0.34 3.72

Last 12M 3.61 0.40 3.20

Last 36W Last 52W 1.32 0.02 1.32 3.57 1.29 0.02 1.29 2.48

Fund volatility (%) Benchmark volatility (%) Tracking error (%) Information ratio * annualised performance ** inception date: 13/07/2009 (annualised) management fees: 0.50% Past performance or achievements are not indicative of current or future performance.

Source: FFTW, BNP Paribas as of 29 Oct, 2010. Past Performance achievement is not indicative of current or future performance

| 08/08/2012 | 33

Performance BNP L1 V350

Gross Performance v Benchmark (since inception) Gross Performance v Benchmark (YTD)

Cumulative Returns V350 5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% -0.50%

Cumulative Returns Eonia 5.00% 4.50% 4.00% 3.50% 3.00% 2.50% 2.00% 1.50% 1.00% 0.50% 0.00% Apr-10 Aug-10

Cumulative Returns V350

Cumulative Returns Eonia

Aug-09

Sep-09

Dec-09

Feb-10

Mar-10

May-10

Nov-09

Sep-10

Oct-09

Jan-10

Jun-10

Oct-10

Jul-10

Aug-10

Mar-10

Source: FFTW, Past Performance achievement is not indicative of current or future performance

May-10

Sep-10

Feb-10

Jan-10

Apr-10

Jun-10

Oct-10

Jul-10

| 08/08/2012 | 34

Fund facts: BNP Paribas L1 V350

Asset Class Management objective Performance objective (net of fees) Investment Horizon Fund Manager Base Currency Risk Scale Launch Date Legal Form Management fees Registration NAV Calculation ISIN Code Fixed Income BNP Paribas L1 V350 aims to deliver consistent returns in excess of EONIA throughout the investment cycle within strict predefined risk parameters. The fund targets a risk level of 350 basis points. BNP Paribas L1 V350 is structured to remain highly liquid throughout the cycle maintaining high level of cash Performance objective of the fund is to deliver a broad distribution of risks positions within a tightly controlled risk framework that will over the cycle meet the return expectation of overnight rate + 200 bps (gross of fees) 24 months Daniel James EUR 1 (0 = low; 6 = high) 13 July 2009 Compartment of the BNP Paribas L1 UCITS III Compliant SICAV registered under the Luxembourg law Classic: 0.75%, Institutional: 0.40%

Germany, Austria, Belgium, Denmark, Spain, Finland, France, Greece, Hong Kong, Ireland Rep, Italy, Liechtenstein, Luxembourg, Macao, Norway, Netherlands, Portugal, Slovaquia, Sweden, Switzerland and Czech Republic, For distribution in the UK - GBP Hedged Institutional share class (UKH share class ISIN code: LU0396582677).
Daily Institutions Cap: LU0429161291, Classic: LU0429159980

Per 1 September 2010, the name of the Fortis L Fund V350 has been changed into BNP Paribas L1 V350. At the same time, the Service Fee could have been changed. For more information , please contact your CRM or review the prospectus of the fund at www.bnpparibas-ip.com There is no guarantee or assurance that the performance objective will be achieved

| 08/08/2012 | 35

Alpha Generation: Global Interest Rates

Team Framework & Approach
Judgmental Approach - Scorecard using Macro Valuation Sentiment Framework 65% of portfolios risk budget

Sample of Inefficiencies We Seek To Exploit

Duration
Markets often overreact or underreact to incoming macroeconomic and financial data and tend to be slow to identify regime changes

Macroeconomic
Assess key US, UK and international growth indicators, inflation indicators, monetary policies and fiscal policies Valuation Compare current pricing against historical experience and relative to other fixed income markets or asset classes Sentiment Indicators of market sentiment, positioning and risk appetite Inflation Risk
Monetary policy stance, plus inflation fighting/targeting credibility, influence inflation expectations and inflation-linked bond prices Uncertainty over the outlook for future growth, inflation or monetary policy helps determine whether to be structurally long or short volatility

Yield Curve

Yield curve movements tend to be mean-reverting within broadly stable ranges. Rapid interest rate movements lead to dislocations along the curve and exploitable inefficiencies

Volatility

Country Spreads

Cross-country strategies capture relative value between markets while minimizing directional risks

Derivatives

Exploit differences in pricing between cash and derivative markets

| 08/08/2012 | 36

Alpha Generation: Quantitative Interest Rates

Team Framework & Approach
Quantitative Approach A 4-strong Quantitative Strategies team within FFTW maintains and develops proprietary quantitative models which are used as a distinct source of alpha for our global government bond capability as well as providing an additional perspective for the portfolio managers in their judgmental decisionmaking process.

Sample of Inefficiencies We Seek To Exploit

Country Relative Returns
Theory and empirical analysis of current value based on economic fundamentals and financial market data, assess relative attractiveness of a countrys bond market for outperforming its peers.

Yield Curve Carry

Quantitative models are studied by back-testing the factors used for possible inclusion within an existing or new quantitative model. The resulting strategies are uncorrelated with subjective strategies.
Instruments used: 10-year Futures Models used: Global Fixed Income - a structured econometric factor model fit to monthly data; currently employs three factors: change in unemployment, yield curve shape and real yields Yield Curve Carry Driver uses the slope of the yield curve to forecast future prices by feeding it into an optimiser targeting a specific risk target
Changes in risk appetite

The strategy is based on observation that a key driver of bond excess returns is the slope of the yield curve. Hence the idea of buying steeper curves and selling flatter ones

Bond markets tend to rise (fall) when risk appetite falls (increases). Go long a basket of global bonds when risk appetite is in a falling trend, and short when risk appetite is rising

Risk Appetite the model is reliant on risk appetite across many asset classes.

| 08/08/2012 | 37

Alpha Generation: Sector Rotation

Relative Value Analysis
Relative value analysis and sector outlook conducted using macro-economic, valuation and sentiment (MVS) framework Macro-economic factors include:
GDP, unemployment, capacity utilization, etc.
Agency Mortgages ABS

MacroEconomic

Valuation

Sentiment

0 0 0

0 ++

++ +

CMBS
IG Credit High Yield

Valuation factors include:

Swap spreads, convexity risk, volatility outlook, upgrade/downgrade ratio, default rates, etc.

+
+

0
+

0
0
Scale -- , - , 0 , + , ++

Sentiment factors include:

Liquidity, regulatory developments, Fed purchases, access to capital, headline risk, etc.

Zero rates for longer liquidity to finance businesses, and also investors search for yield

Senior money center banks offer 160 - 260 bps, compared to A industrials of 120 bps.

| 08/08/2012 | 38

Alpha Generation: Structured Securities

Team Framework & Approach
Categorize investment decisions around five major themes: Discount versus Premium MBS Various mortgage indices are comprised of range of coupons priced above and below par. At times portfolio may be overweight premiums or discounts. 15 Year versus 30 Year MBS Given expectations for interest rates and mortgage spreads may choose to overweight or underweight 15-year mortgages versus 30-year mortgages

Sample of Inefficiencies We Seek To Exploit

Prepayments
Prepayment models are based on historical data and can often miss key turning points in borrower behaviour and the characteristics which drive prepayment differentials

Structural

Investor preferences for securities that are priced close to par can lead to deviations from market rationality

MBS Origination Vintage

Active portfolio decision is how to allocate across vintage and coupon available TBA versus Specified Pools Financing in the dollar roll market is a major driver of our preference at a given time between specified pools or TBAs. Investors with cash and balance sheet are rewarded by buying pools with favorable characteristics with little pay-up to generic TBA levels Issuer Selection (FNMA vs FHLMC vs GNMA) Borrower profiles across agencies can vary widely

Liquidity

Investor preferences for horizon holding periods and marketability can lead to pricing anomalies

Volatility

Investor risk aversion can lead to risk premiums that may be unwarranted

Complexity

Investors may avoid securities because of their complexity and the difficulty of measuring risk leads to opportunities for more sophisticated investors

| 08/08/2012 | 39

Alpha Generation: Currency

Team Framework & Approach
Judgmental Approach - 60% of portfolios risk budget Focuses on the following key drivers: Yield spreads Terms of trade dynamics Risk aversion Monetary policy expectations Tax/regulatory policy changes Quantitative Approach 40% of portfolios risk budget Uses three main models: Yield delta focus on changes in interest rate spreads Trend focus on momentum in major currency pairs Carry focus on short-term interest rate spread levels

Sample of Inefficiencies We Seek To Exploit

Investor Heterogeneity
Currency market participants have different profit objectives, risk tolerance and investment horizons. Many players are not profit maximisers.

Long-term momentum in FX movements

The lack of a consensus valuation framework encourages self-reinforcing, trend-following behaviour.

Interest Rate Spreads

Yield differentials typically overcompensate investors for taking currency risk.

Changes in interest rate spreads

Currency markets react to changes in interest rate spreads

Tax / regulatory policy changes

One-off policy changes can significantly alter the expected return of holding a particular currency

| 08/08/2012 | 40

Alpha Generation: Emerging Markets Debt

Team Framework & Approach
Global Investment Strategy - analyze global trends and assess specific themes to determine the risk-reward profile of each alpha strategy. Review inputs, such as: risk aversion indicators G3 macro dynamics and events correlations flows Macro and Regional Analysis our research process starts with a thorough review of macroeconomic data and market intelligence information relevant to emerging countries. Main inputs of country analysis are: current positioning and vulnerabilities fundamental macro figures currency drivers comparative country analysis and special focus analysis Recommended positioning in each yield curve (local and external) Security Analysis detailed analysis aimed at measuring value and assessing catalysts for future performance within each alpha strategy. Most of the factors are fundamental and qualitative. Examine the same factors for every country; however, depending on cycles and market conditions, some factors require a special emphasis.

Sample of Inefficiencies We Seek To Exploit

Interest Rates Carry
Long term convergence of EM interest rates with the developed world provides opportunities, in addition to short-term under / overvaluation of yields resulting from growth and inflation expectations

Currencies

Opportunities exist due to appreciation against hard currencies and relative value opportunities related to drivers of capital flows, such as terms of trade dynamics, monetary policy expectations, financing needs, risk aversion and technical positions

Local Yield Curve

Local markets have become more liquid and deeper, yield curves behave in different ways across countries depending on central bank movements. Today's EM yield curves are more variable than ever leaving scope for yield curve strategies in local debt Companies with strong business models that are benefiting from a favorable economic environment show attractive valuations against corporate bonds in the developed world

Hard Currency Corporate Bonds

External Debt Spreads

Long-term spread tightening trend in emerging hard currency bonds provides relative value opportunities resulting from different economic cycles between countries

41

FFTW Has a Rich History Specializing in Fixed Income

Source: FFTW. AUM (assets under management) data includes approximately US$48 million in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of September 30, 2010, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

| 08/08/2012 | 42

FFTW Investment Organisation Chart

CEO, FFTW

GLOBAL CIO, FFTW COO, INVESTMENT TEAM INVESTMENT RISK & PERFORMANCE TEAM EMERGING DEBT Advanced EM Asian Fixed Income Corporate Debt Eastern European FI External & Local Debt Reporting directly to the CEO Independent, but interactive Risk Management Function

PRODUCT SOLUTIONS DIVISION US US Core US Core Plus US Long Duration US MBS US TIPS GLOBAL Domestic Plus Global Aggregate Global Inflation Global Sovereign Currencies SHORT DURATION & ABSOLUTE RETURN Absolute Return Enhanced Cash Money Markets Short Duration Stable Value

QUANTITATIVE RESEARCH Quantitative Strategies Risk Budget (Models) Innovation Macro Research

PORTFOLIO MANAGEMENT Coordinating Portfolio Management function across Product Groups ALPHA TEAMS
GLOBAL RATES

SECTOR ROTATION

CURRENCIES

EMERGING DEBT

STRUCTURED SECURITIES

MONEY MKTS/ STABLE VALUE

CREDIT RESEARCH1 Sourced from BNPP IPs credit analyst resources

1

Credit Research is situated on the BNPP IP Platform.

| 08/08/2012 | 43

Investment team
Head of Short Duration & Absolute Return Products Daniel James Short Duration & Absolute Return Portfolio Managers J. Finley Global Rates Alpha Team Guy Williams, Team Head & Global CIO Sector Rotation Alpha Team Dave Marmon, Team Head Structured Securities Alpha Team John Carey, CFA, Team Head Currency Alpha Team Adnan Akant, PhD, Team Head Emerging Debt Alpha Team Sergio Trigo Paz, Team Head Money Market Alpha Team William Anderson, Team Head Joann Chia Laurent Develay Chris Kelly Judy Leong Swee Leong Raphael Marchal Adeline Ng, CFA Jane Yu Karen Chen, CFA George Rudawski, CFA Bruce Walbridge Kausik Barua Iris Hanking Jane Song, CFA Alan Bridges, CFA Nic Hoogewijs, CFA Iwan Lont, CFA Frederic Mackel Cedric Scholtes Jenny Yiu, CFA T. Hockin K. Kehres K. ODonnell

Matt Slootsky Keith Rosenbloom, CFA Debashis Bhattacharya

Quantitative Research Team

Roland Lochoff, Team Head George Mylnikov, PhD Nail Shamsutdinov, PhD Risk Management Thomas Phillips, PhD Michael Liu, FRM, CFA Peter Greco Alpha Sylla, PhD

Credit Research & Analysis BNP Paribas Asset Management New York Credit Analysts

Raza Jaffrey

| 08/08/2012 | 44

Contacts
For further information please contact:
Daniel James Head of Short Duration & Absolute Return Michael Victoros Investment Specialist Fixed Income +44 (0) 207 0637617 Daniel.james@fftw.com +44 (0) 207 0637746 Michael.victoros@bnpparibas.com

Roubesh Adaya Investment Specialist Fixed Income

Alternatively visit our website: www. bnpparibas-ip.com

+44 (0) 207 0637502 Roubesh.adaya@bnpparibas.com

| 08/08/2012 | 45

Disclaimers
This material is issued and has been prepared by Fischer Francis Trees & Watts UK Ltd, a member of BNP Paribas Investment Partners (BNPP IP)*. This material is produced for information purposes only and does not constitute: an offer to buy nor a solicitation to sell, nor shall it form the basis of or be relied upon in connection with any contract or commitment whatsoever or any investment advice.

This material makes reference to certain financial instruments (the Financial Instrument(s)) authorised and regulated in its/their jurisdiction(s) of incorporation.

No action has been taken which would permit the public offering of the Financial Instrument(s) in any other jurisdiction, except as indicated in the most recent prospectus, offering document or any other information material, as applicable, of the relevant Financial Instrument(s) where such action would be required, in particular, in the United States, to US persons (as such term is defined in Regulation S of the United States Securities Act of 1933). Prior to any subscription in a country in which such Financial Instrument(s) is/are registered, investors should verify any legal constraints or restrictions there may be in connection with the subscription, purchase, possession or sale of the Financial Instrument(s).
This material contains information about BNP Paribas L1 V350 Fund (the Fund). BNP Paribas L1 is an open-ended UCITS III compliant investment company registered in Luxembourg, and is a Recognised Fund under Section 264 of the UKs Financial Services and Markets Act 2000. UK investors should note that some of the protections afforded by the UK regulatory system, including the Financial Services Compensation Scheme, are not available. Investors considering subscribing for the Financial Instrument(s) should read carefully the most recent prospectus, offering document or other information material and consult the Financial Instrument(s) most recent financial reports. The prospectus, offering document or other information of the Financial Instrument(s) are available from your local BNPP IP correspondents, if any, or from the entities marketing the Financial Instrument(s).

Opinions included in this material constitute the judgment of Fischer Francis Trees & Watts UK Ltd (FFTW UK) at the time specified and may be subject to change without notice. FFTW UK is not obliged to update or alter the information or opinions contained within this material. Investors should consult their own legal and tax advisors in respect of legal, ac-counting, domicile and tax advice prior to investing in the Financial Instrument(s) in order to make an independent determination of the suitability and consequences of an investment therein, if permitted. Please note that different types of investments, if contained within this material, involve varying degrees of risk and there can be no assurance that any specific investment may either be suitable, appropriate or profitable for a client or prospective clients investment portfolio.
Given the economic and market risks, there can be no assurance that the Financial Instrument(s) will achieve its/their investment objectives. Returns may be affected by, amongst other things, investment strategies or objectives of the Financial Instrument(s) and material market and economic conditions, including interest rates, market terms and general market conditions. The different strategies applied to the Financial Instruments may have a significant effect on the results portrayed in this material. Past performance is not a guide to future performance and the value of the investments in Financial Instrument(s) may go down as well as up. Investors may not get back the amount they originally invested. The performance data, as applicable, reflected in this material, do not take into account the commissions, costs incurred on the issue and redemption or taxes. This document is directed only at person(s) who have professional experience in matters relating to investments (relevant persons). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Services Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents. Fischer Francis Trees & Watts UK Limited a BNP Paribas company is authorised and regulated by the Financial Services Authority. Registered in England No: 979759, registered office: 5 Aldermanbury Square, London, England, EC2V 7BP, United Kingdom. It is also registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended. * BNP Paribas Investment Partners is the global brand name of the BNP Paribas groups asset management services. The individual asset management entities within BNP Paribas Investment Partners if specified herein, are specified for information only and do not necessarily carry on business in your jurisdiction. For further information, please contact your locally licensed Investment Partner.