For professional investors only

Citywire New Model Adviser Conference Dynamic Quantitative Asset Management Investment Reinvented

Investment reinvented

January 2010

Presentation Title

Contents

Quantitative Asset Management Dynamic Passive Approach Absolute Return Tracker Funds: BNP Paribas Millenium strategy Income Tracker Funds: BNP Paribas UK Enhanced Income strategy Questions

January 2010

Presentation Title

What is Quantitative Asset Management?

Definition of Quantitative AM Systematic asset management Formula/rule-based investment (algorithmic asset management)

Benefits Calculation power of computers: speed, accuracy, consistency Cost-efficient: multiplying computers is less expensive than multiplying human beings

History Electronic trading began in the early 1970s 33% of all EU and US stock trades in 2006 50% expected by 2010*

*Source: Aite Group LLC

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BNP Paribas expertise

Equity Derivatives: An industry leader
The most awarded Equity Derivatives house in the industry Pioneer in option pricing since the 1980s
Equity Derivatives House of the Year & Structured Products House of the Year 2009 Best Equity Derivatives House of the Year 2008 Most Innovative in Equity Derivatives 2008 Best Equity Derivatives House of the Year 2008

Equity Derivatives House of the Year 2008

Strong leadership in quantitative strategies

One of the largest quant teams in the world Leveraging on the BNP Paribas derivative team's mathematical modelling skills and trading infrastructure

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Quantitative Asset Management = Black Box?

Traditional Active Management

Investment objective

Managers Brain

Black Box

Quantitative Asset Management

Investment objective

Formula / investment rule

Transparent Box

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Constraints = Good = Risk-Control

No discretion means full control Transparent Box Investment rule with numerical constraints i.e. Unequivocal risk-limits

No discretion, no risk of excessive risk-taking linked to subjectivity

Full risk-control

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Dynamic Trackers = Passive + Quantitative AM

Benefits of Passive Investment Cost efficiency Liquidity Transparency Easy access

+
Added-value of Quantitative Asset Management Dynamic asset allocation Adapting to changing market conditions Capacity to generate alpha De-correlation with traditional strategies

=
Dynamic Passive / Enhanced Trackers
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Presentation Title

Passive-Passive vs. Active vs. Dynamic-Passive

Passive-Passive Cons No alpha Pros Cost-efficient, liquid, transparent Active Cons Cost, lack of transparency Pros Alpha, potential to outperform the market Dynamic-Passive Cons Does not have the intuition and judgement of a human being Reactive rather than predictive Pros No emotional/subjective bias => reduced correlation with traditional Active Alpha generation at reduced cost + full transparency and control

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Presentation Title

BNP Paribas Millenium Strategy

Multi-Asset, Index-based* Bonds (iBOXX Euro Index Eurozone Sovereigns 5-7 years Index)

Equities: Europe (DJ Eurostoxx50 TR Index), US (S&P 500 TR Index), Japan (Topix TR Index) and China (HSCEI TR Index) Global Commodities: DJ UBS Commodity Index

Foreign Exchange: USD-EUR Cross currency rate European Real Estate: EPRA Eurozone TR Index Absolute Return Monthly re-allocation Long/Short Limited Volatility Dynamic Passive strategy No stock-picking No active bets Asset allocation follows quant model

*Components of the the BNP Paribas Millenium 10 Europe Series 3 (Sterling Hedged) Total Return Index are liquid indices apart from the Foreign Exchange USD-EUR cross currency rate. January 2010 9

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Millenium = efficient frontier constraints + ability to go Long/Short

Efficient frontier constraints + ability to go Long/Short
Return

Portfolio optimisation under efficient frontier constraints Return Volatility Correlation

Constraints = risk-control 1. Target volatility of 10%* Limited risk-budget 2. -25% / +25% on most indices No excessive concentration 3. Overall: 0-100% No net-short No leverage

10% Target Volatility = Risk budget of the strategy

For illustrative purpose only.

Risk

Full transparency & strict risk-control

*The volatility control mechanism corresponds to a volatility target of 10% which is applied within to this systematic strategy. Please note that these constraints apply to normal market conditions. 10

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Potential to Perform Even in Difficult Markets

Multiply investment opportunities Multi-Asset + ability to take both Long and Short positions Potential to benefit from both bullish and bearish market trends
1999 European Bonds European stocks US stocks Japanese stocks Emerging Markets Currency USD/EUR European Real Estate Commodities FTSE 100 TR Millenium Index** Positive trend Negative trend
* Source: Bloomberg, BNP Paribas as of 07 January 2010. ** The Millenium Index refers to the BNP Paribas Millenium 10 Europe Series 3 (Sterling Hedged) Total Return Index. Past performance is not necessarily a guide to future performance.

2000

2001

2002

2003

2004

2005

2006

2007

2008

2009

20.6%

-8.2%

-14.1%

-22.7%

17.9%

11.3%

20.8%

14.4%

7.4%

-28.3%

27.3%

3.2%

9.7%

18.2% 18.4% 29.6%

8.3%

21.3%

27.5%

18.3%

3.7%

-0.2%

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Distribution of Returns and correlation with traditional asset classes

66.11% of positive months 53.33% of monthly performances > 1% Monthly returns
Average Maximum Minimum % positive months % months higher than 1% 1.34% 11.75% -5.57% 66.11% 53.33%

Higher Sharpe ratio than traditional asset classes: 1.18

The Millenium Index Return 16.73% Volatility 11.41% Sharpe1 1.18 European Bonds 6.61% 3.46% 0.96 European Equities 8.09% 24.82% 0.19 US Equities 7.10% 23.03% 0.17 Japanese Equities -2.74% 24.25% -0.06 Chinese Equities 8.80% 40.36% 0.14 Currency USD-EUR 3.03% 10.01% 0.00 Commercial Commodities Properties 10.29% 19. 91% 0.35 5.42% 17.05% 0.13

Powerful diversifier
Correlation The Millenium Index European Bonds 24.2% European Equities -1.9% US Equities -2.5% Japanese Equities -6.5% Chinese Equities 2.0% Currency USD-EUR 5.0% Commercial Commodities Properties 1.9% 4.8%

Sources: Bloomberg, BNP Paribas. BNP Paribas Millenium 10 Europe Series 3 (Sterling Hedged) Total Return Index performances stated are Total Return, as of 31st December 2009. Simulations over 4th January 1999 to 31st December 2009 period. All indices have been converted to GBP for the purpose of calculating performances and volatilities. The Sharpe ratio is defined as the index return above the risk free rate in GBP divided by the volatility of the index. Past performance is no indication of future results. For the purpose of calculations we have assumed a Millenium Index value of 100 prior to the date of 4th January 1999. 1 A negative Sharpe ratio means that the return for investment in the underlying is less than the risk free rate. The annualised risk free rate in Sterling over the calculation period is 4.95%.

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Presentation Title

Privalto OEIC Funds: Adapted Risk-profiles

Dynamic Quantitative Strategies Example: Millenium Multi-Asset, Absolute Return

Privalto Enhanced Trackers

Privalto Enhanced Trackers

Combine capital protection and exposure to the strategies Example: Privalto Stabiliser Protected Funds* Sit in your low to medium-risk allocation

Direct access to the strategies (no capital protection) Example: Privalto Millenium Tracker Fund* Sit in your medium to high-risk allocation

Low

Medium

High

RISK
* Full name of the Privalto Stabiliser Protected Funds are the IFSL Privalto Stabiliser Protected Fund and the IFSL Privalto Stabiliser Plus Protected Fund . Full name of the Privalto Millenium Tracker Fund is the IFSL Privalto Millenium Tracker Fund.

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Presentation Title

Capital Protection? No Free Lunch!

1. 2. Privalto Enhanced Tracker Funds (no capital protection) = track Total Return Indices Privalto Protected Funds = capital protection + exposure to Price Indices or Excess Return Indices Price Index = Give up dividend yield Price Index (no dividend) Vs Total Return Index (dividend is re-invested) Excess Return Index = receive dividend yield but give up cash return Excess Return Index (include dividend, but no cash return) Vs Total Return Index (include dividend and cash return) Recap Direct equity investment (no capital protection) Total Return Index = Capital growth + Dividend yield Capital Protected a) b) Price Index = Capital growth + Dividend yield Excess Return (ER) = Capital growth + Dividend yield Cash

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Presentation Title

Asset Allocation Optimisation using Millenium

0% Cash Bonds Equity Large Cap Equities Small Cap Equities International Real Estate Millenium Initial allocation Return optimisation VaR Optimisation
Allocation Initial Portfolio Return optimisation VaR optimisation Proba Expected Volatility VaR 95% return<0 return 3.26% 3.84% 3.47% 13.29% 11.80% 9.85% 20.60% 17.23% 14.29% 37.73% 34.71% 33.64%

5%

10%

15%

20%

25%

30%

35%

40%

Expected return (1 year) 4.0% 3.9% 3.8% 3.7% 3.6% 3.5% 3.4% 3.3% 3.2% 3.1% 3.0% -24% VaR 95% (1 year ) -23% -22% -21% -20% -19% -18% -17% -16% -15% -14% -13%
January 2010 15

Optimal portfolios with up to 10% of Millenium

at is m ti

Each point represents the risk/return profile of an asset allocation

n io

op rn tu iu Re Millen

. est inv 0% m1
ion timisat VaR op

The impacts of rebalancing 10% of the initial portfolio to Millenium by removing the initial assets proportionally to their initial weights have been calculated and correspond to the orange dot The optimal allocations have been calculated allowing up to 10% investment in Millenium (when optimal). The weights of the initial assets have also been optimized

Optimal portfolios with initial assets Initial portfolio

Presentation Title

Asset Allocation Optimisation using Millenium Summary

PORTFOLIO Initial Portfolio Return optimisation VaR optimisation Limit Up +20% Limit Down -20%

Assets & Metrics

Cash Bonds Equities Large Cap Equities Small Cap Equities International Real Estate Millenium
Expected return Volatility VaR 95% Proba return<0

10.0% 35.0% 30.0% 5.0% 15.0% 5.0% 0.0%

3.26% 13.29% 20.60% 37.73%

8.0% 28.0% 25.1% 6.0% 18.0% 4.9% 10.0%

3.84% 11.80% 17.23% 34.71%

9.4% 36.7% 24.0% 4.0% 12.0% 4.0% 10.0%

3.47% 9.85% 14.29% 33.64%

12.0% 42.0% 36.0% 6.0% 18.0% 6.0% 0.0%

8.0% 28.0% 24.0% 4.0% 12.0% 4.0% 0.0%

January 2010

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Presentation Title

BNP Paribas
UK Enhanced Income Fund

High and Regular Income

(8% p.a.)

Exposure to FTSE 100 TR Index

Attractive Relative Return

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Presentation Title

Key Benefits

High & Regular Income

8% p.a. gross dividend yield, paid quarterly and which will increase or decrease if the NAV reaches certain thresholds

Exposure to Market Recovery

Equity Index exposure combined with re-invested option premiums

Reduced Volatility

Significantly lower levels of volatility than the FTSE 100 Index (TR)

AAA Collateral

NAV of shares held by shareholders other than BNP Arbitrage SNC is fully collateralized with G7 AAA Bonds to mitigate any credit risk to BNP Paribas (S&P AA rated)

Daily Liquidity

Daily NAV, indicative bid-offer spread of 2p under normal market conditions

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Presentation Title

The Fund Strategy

The Fund employs an enhanced Buy-Write strategy
What is a Buy-Write or a Covered Call Strategy? A long position in the underlying asset The sale of call options on the same underlying asset

A Well Established Strategy Around $35 billion assets under management globally1 BNP Paribas manages in excess of $1.9 billion in buy-write strategies1

Typically offers investors equity-like total returns with reduced risk

Source: 1 BNP Paribas, as of 31 December 2009. January 2010 19

Presentation Title

BNP Paribas Enhanced Buy Write Strategy

Two Key Innovations

Daily Sale of Call Options

Dynamic Strike Price

More reactive to market trends Enables the Fund to systematically choose between: Better participation in rising markets High premiums to supplement NAV

Currently only available through BNP Paribas

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Presentation Title

How the Fund Works

Exposure to 2 Performance Engines

FTSE 100 Index (TR)

+
Enhanced Daily Buy-Write Strategy

UK Enhanced Income Fund 8% p.a. fixed yield

Everyday the market trend is calculated: Sell short term Out of the Money2 calls. If Positive1 (i.e. above current market levels) If Negative1 Sell short term In the Money3 calls. (i.e. below current market levels)

1 Calculated using a 200 day rolling average 2 OTM Call options are written at a strike of 102% 3 ITM Call options are written at a strike of 98% January 2010 21

Presentation Title

Backtest: UK Enhanced Income Fund Performance

Historical simulations (January 1999 December 2009)
220 200 180 160 140 120 100 80 60 Jan-99 Jan-00 Jan-01 Jan-02 Jan-03 Jan-04 Jan-05 Jan-06 Jan-07 Jan-08 Jan-09 UK Enhanced Income Fund FTSE 100

Significant outperformance of the FTSE 100 Index (TR) Over 5% p.a. outperformance With significantly less annualised volatility

Source: Bloomberg, BNP Paribas, as of 31 December 2009. Simulations from 4 January 1999 to 24 September 2009 for the fund. Past performance is not necessarily a guide to future performance. No company of the BNP Paribas Group will be liable for any direct or indirect loss resulting from the use of the contents of this report. These simulations are the result of estimates made by BNP Paribas at a given moment on the basis of the parameters selected by BNP Paribas, of market conditions at this given moment and of historical data, which should not be used as guidance , in any way, of the future results of UK Enhanced Income Fund. Consequently the figures and prices indicated in this document have an indicative value only and do not constitute in any way an offer on behalf of BNP Paribas.

Performance since fund launch (September 2009 December 2009)

110 108 106 104 102 100 98 96 Nov-09 Dec-09 Sep-09 Oct-09 UK Enhanced Income Fund FTSE 100

UK Enhanced Income Fund Annualised return Annualised volatility 7.23% 13.54%

FTSE 100 Index (TR) 2.14% 21.16%

Source: Bloomberg, BNP Paribas. Data ranges from 04 January 1999 to 31 December 2009.

Source: BNP Paribas, Bloomberg as of 31 December 2009. Data ranges from 25 September 2009 to 31 December 2009. Past performance is not a reliable indicator of future results. January 2010 22

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Anticipated Performance in Alternative Scenarios

Strong & Sharp Bull Market NAV will participate in market growth, though not fully, due to exercised calls Growth in dividend payments Relative performance weaker, absolute performance strongest Bull Market Small, steady price gains are beneficial Growth in dividend payments Relative and absolute performance should be strong Bear Market Large call premium to cushion NAV Relative performance strong, absolute performance weaker Strong & Sharp Bear Market Large call premium to cushion NAV Relative performance strong, absolute performance weakest
January 2010 23

Presentation Title

Fund Summary - UK Enhanced Income Fund

Shares in a closed ended protected cell company with limited liability, Guernsey, Channel Islands incorporated. Investment objectives achieved through a contract with BNP Paribas. (OEIC Fund version available in March 2010) Eligible for ISAs/SIPPs Gains are expected to be taxed as capital. Dividend income is expected to be taxed at an effective rate of 25% for high rate tax payers* Counterparty risk to BNP Paribas is mitigated through the posting of AAA rated G7 government bonds in respect of shares held by shareholders other than BNP Paribas Arbitrage SNC and rebalanced weekly Exposure to the performance of the FTSE 100 TR Index (Bloomberg: TUKXG) and to BNP Paribas systematic daily enhanced buy-write strategy on the Index 1% TER

Fund Structure

Collateral

Underlying Investment Charges

Commission Liquidity

Nil Daily. The Shares are expected to be listed on the Channel Islands Stock Exchange

*BNP Paribas does not give personal tax advice, all investors are reminded to seek their own accounting and tax advice.

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Presentation Title

Fund Summary - Privalto Millenium Tracker Fund

Fund Facts Launch Date: 5th May 2009 Currency: Sterling Liquidity: Daily at NAV (no exit fees) Tracker of the BNP Paribas Millenium Total Return Index* Minimum Initial Investment: 1,000 Eligible for: ISA, SIPP/SASS, Offshore Bonds CGT: For direct investments (applies to UK tax residents) Charging Structure IFSL Privalto Millenium Tracker Fund (Class A Retail) Charges: initial 4%, annual 1.5% Commission: initial up to 3%, annual 0.5% IFSL Privalto Millenium Tracker Fund (Class B Institutional) Charges: initial 1%, annual 0.75% Commission: none
* The Euro Strategy Index (BNP Paribas Millenium 10 Europe Total Return Series 3 Index) IS HEDGED INTO Sterling to generate the BNP Paribas Millenium 10 Europe Series 3 (Sterling hedged) Total Return Index. January 2010 25

IFSL Privalto Millenium Tracker Fund (Class A Retail) ISIN: GB00B4WXP876; SEDOL: B4WXP87 Bloomberg Ticker: IFPRMTA LN IFSL Privalto Millenium Tracker Fund (Class B Institutional) ISIN: GB00B4WXP983; SEDOL: B4WXP98 Bloomberg Ticker: IFPRMTB LN

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Fund Summary - Privalto Stabiliser Protected Funds

Fund Facts Launch Date: 15th December 2008 Maturity Date: 15th December 2014 Currency: Sterling Liquidity: Daily at NAV (no exit fees) Protected price: 100p per share Minimum Initial Investment: 1,000 Eligible for: SIPP/SASS, Offshore Bonds CGT: For direct investments (applies to UK tax residents) IMA Sector: Protected Charging Structure IFSL Stabiliser Protected Fund (Retail) Charges: initial 3%, annual 1.5% Commission: initial up to 3% and annual trail 0.5% Participation: 150% IFSL Stabiliser Plus Protected Fund (Institutional) Charges: initial 0%, annual 0.75% Commission: none Participation: 180%

IFSL Privalto Stabiliser Protected Fund: ISIN: GB00B3B5KX74; SEDOL: B3B5KX7 Bloomberg Ticker: IFPSPRA LN IFSL Privalto Stabiliser Plus Protected Fund: ISIN: GB00B3B5KY81; SEDOL: B3B5KY8 Bloomberg Ticker: IFPPPIA LN

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Presentation Title

Contact

Brokerline: 0800 328 7419 E-mail: privalto@uk.bnpparibas.com Website: www.privalto.co.uk

Sisouphan Tran Head of Harewood Solutions & Privalto UK 10 Harewood Avenue, London NW1 6AA Tel: +44 (0) 20 7595 1405 Mob: +44 (0) 79 1747 5043 E-mail: sisouphan.tran@uk.bnpparibas.com

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Disclaimer
This document, which is confidential to the addressee, was prepared by a Sales and Marketing ("Sales") function within BNP Paribas SA London Branch ("BNPP"). BNPP trades or may trade as principal or have proprietary positions in the instruments referenced herein (or related derivatives) and/or may make markets therein. The author of this information may know the nature of BNPPs trading positions and strategies. BNPP may engage in transactions in a manner inconsistent with the views expressed in this document. This document is solely directed at (a) persons who have professional experience in matters relating to investments who fall within Article 19(1) of the Financial Services and Markets Act 2000 (Financial Promotion) Order 2005 and (b) persons to whom it may otherwise lawfully be communicated (together, "relevant persons"). Any investment or investment activity to which this document relates is available only to and will be engaged in only with relevant persons. Any person who is not a relevant person must not act or rely on this document or any of its contents. This document is provided to you for information purposes only. It is not intended as an offer or solicitation for the purchase or sale of any financial instrument. Information and opinions contained in this document have been obtained from public sources believed to be reliable, but no representation or warranty, express or implied is made that such information is accurate or complete and it should not be relied on as such. This document does not constitute a prospectus and is not intended to provide the sole basis for any evaluation of any transaction or securities mentioned herein. Neither BNP Paribas, nor any officer or employee thereof accepts any liability whatsoever for any direct or consequential loss arising from any use of this document. Investors should seek their own advice as to the suitability of any derivatives transaction including consideration of the legal, tax, accounting, financial, regulatory and other related aspects of such transaction. BNP Paribas will not be responsible for the consequences of reliance upon any opinion or statement contained herein (except as required by law or regulation). This document is prepared for Professional Clients and is not intended for Retail Clients in the United Kingdom as defined in the FSA Rules and should not be passed on to any such persons. By accepting this document you agree to be bound by the foregoing limitations. BNP Paribas (2009). All rights reserved. BNP Paribas London Branch (registered office 10 Harewood Avenue, London NW1 6AA; tel: [44 20] 7595 2000; fax: [44 20] 7595 2555) is authorised by CECEI and supervised by the Commission Bancaire; it is authorised and subject to limited regulation by the Financial Services Authority. Details of the extent of our authorisation and regulation by the Financial Services Authority are available from us on request. BNP Paribas London Branch is registered in England and Wales under no. FC13447.

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