GLOBAL LOAN STRATEGIES │ CONFIDENTIAL Senior Secured Corporate Loans Predictable Income and Global...

GLOBAL LOAN STRATEGIES │ CONFIDENTIAL

Senior Secured Corporate LoansPredictable Income and Global Diversification

9 July 2015

Global Loan Strategies │ Confidential

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Senior secured corporate loansAgenda

1. Key features of the loan asset class

2. Economic outlook and market opportunity

Appendix:

Our investment management platform & Credit selection track record

Proposed investment portfolio of senior secured corporate loans and its SCR ratio


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What are corporate loans? The most senior instrument within the capital structure of a firm

Senior Corporate LoansSenior Corporate LoansCorporate loans are senior secured, floating-rate debt instrumentsCorporate loans are senior secured, floating-rate debt instruments

Loans granted to corporate borrowers (usually rated below BBB-)Loans granted to corporate borrowers (usually rated below BBB-)

Syndicated debt instruments governed by standardized legal terms Syndicated debt instruments governed by standardized legal terms

OTC instruments negotiated in the primary and secondary markets through dealing desks from large banks and brokerage firmsOTC instruments negotiated in the primary and secondary markets through dealing desks from large banks and brokerage firms

Aimed at providing long term financing to corporates Aimed at providing long term financing to corporates

Key characteristics

Benefiting from top seniority in the capital structure of corporate issuers and secured by the assets of the borrowing company (strong recoveries)Benefiting from top seniority in the capital structure of corporate issuers and secured by the assets of the borrowing company (strong recoveries)

Paying floating rate = base rate (Euribor / Libor) + fixed interest marginPaying floating rate = base rate (Euribor / Libor) + fixed interest margin

Senior Secured LoansSenior Secured Loans

Highest ranking in the capital structure of a corporate Highest ranking in the capital structure of a corporate

Bonds /Subordinated Debt

Bonds /Subordinated Debt

Public / Private EquityPublic / Private Equity

Seniority

• Top seniority• Secured by assets• Floating rate• Reimbursable

• Top seniority• Secured by assets• Floating rate• Reimbursable

• Subordinated • Unsecured • Fixed rate (bonds)• Reimbursable

• Subordinated • Unsecured • Fixed rate (bonds)• Reimbursable

• Lowest seniority• Unsecured• No fixed income stream• Non reimbursable

• Lowest seniority• Unsecured• No fixed income stream• Non reimbursableProtected by maintenance/ incurrence covenants (e.g. maximum leverage)Protected by maintenance/ incurrence covenants (e.g. maximum leverage)

Strong recoveries in case of default (around 60-65% for loans vs. approximately 40-45% for bonds*)

*Source : Computed by BNP Paribas Asset Management based on annual default rate of US and Western European loans and High Yield bonds.


What are the components underlying the income stream of Corporate Loans?Blending stable income generation with an embedded hedge against interest rate risk

Total contractual cash coupon

● Originally aimed at covering funding cost of lenders● Europe: 3m EURIBOR / US: 3m LIBOR● Reset periodically (i.e. every 3 months)● Provides a hedge against interest rate risk● Usually subject to base rate floors (notably in the US)

Base RateBase Rate

Floating Component

Corporate Loans: Coupon decompositionCorporate Loans: Coupon decomposition

● Additional compensation for:

– Credit risk – Liquidity risk

● Depends on the credit risk profile of the loan issuer● Provides cash-flow stability

Additional Interest Margin

Fixed Component

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Syndicated debt instrumentsStandardized OTC market infrastructure supporting the participation of institutional investors

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BanksCorporate loan

issuerInstitutionalinvestors

Syndicated Loan Facility

Securityagent

Administrativeagent

Co-arranger bank(s) or sub-underwriter

Arranging bank(s)

Syndication process

Underwriting process

Loan admin. process

Loan admin. process

Financing Investment


USAUSA EuropeEurope

● Driven by institutional investors● Growing participation of retail mutual funds● Higher liquidity backed by a wide investor base● More transparent (external ratings)● More efficient price formation (due to market depth)● LIBOR floors quite standard● Standardized legal / bankruptcy framework● Legal documentation based on LSTA standards**● Trade settlement: T+7 days

CharacteristicsCharacteristics

● Historically driven by banks● Growing role of institutional investors● Less liquid than the US market (in relative terms)● Growing transparency (external ratings on the increase)● Price formation efficiency mainly in the high-end of the market● EURIBOR floors rarely used● Multiple legal / bankruptcy frameworks (UK, France, etc)● Legal documentation based on LMA standards***● Trade settlement: T+ 10 days

* Source: Credit Suisse, January 2015 / ** LSTA = Loan Syndication and Trading Association / *** LMA = Loan Market Association)

Market size(Large pool for asset selection)Market size(Large pool for asset selection)

Market size comparison: High Yield Bond and Loans in the US and Europe*

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Key highlights of the corporate loan marketAn established segment in corporate credit offering significant diversification opportunities

US loan market: USD 1.9 trillion(bigger than the US HY market)

European loan market: EUR 423 billion(about the same size as WE HY market)


Historical default rates of corporate loans Lower defaults than bonds on the back of tighter financial contracting provisions

Source: Credit Suisse, January 2015

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Source: Credit Suisse, January 2015

Annual default rates of sub-investment grade corporate bonds and loans in the US and EuropeAnnual default rates of sub-investment grade corporate bonds and loans in the US and Europe

Avge. default rates US (1995-2014)

HY Bonds: 3.6%

Corporate Loans: 2.8%

Avge. default rates Western Europe (2003-2014)

HY Bonds: 5.6%

Corporate Loans: 6.6%


Historical recovery rates of corporate loans Strong recoveries derived from the top seniority ranking of loans in the capital structure

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Source: Credit Suisse, January 2015Source: Credit Suisse, January 2015

Annual recovery rates of sub-investment grade corporate bonds and loans in the US and EuropeAnnual recovery rates of sub-investment grade corporate bonds and loans in the US and Europe

Avge. recovery rates US (1995-2014)

HY Bonds: 45%

Corporate Loans: 66%

Avge. recovery rates Western Europe (2003-2014)

HY Bonds: 38%

Corporate Loans: 60%

Default loss rate differential: 103 bps in favor of loans Default loss rate differential: 103 bps in favor of loans Default loss rate differential: 83 bps in favor of loans Default loss rate differential: 83 bps in favor of loans


RankingRanking

Investment grade bonds (HGB)

Senior

Corporate loans (CL) High yield bonds (HYB)

Senior Contractually/ structurally subord.

SecuritySecurity Unsecured Secured − 1st ranking Unsecured

CovenantsCovenants Incurrence based Maintenance / Incurrence covenants Incurrence based

RepaymentRepayment Bullet Amortizing/ Bullet Callable/ Bullet

TermTerm 5-30 years 5-9 years 7-10 years

Facility ratingFacility rating AAA to BBB- BB+ and below BB+ and below

Historical default rate Historical default rate Very low Low-medium Low-medium

Recovery rateRecovery rate Medium High Medium

LiquidityLiquidity Medium to high Low to high Medium to high

CouponCoupon Floating FixedFixed

Structuringconsiderations

Structuringconsiderations

Return & liquidityconsiderations

Return & liquidityconsiderations

Credit riskconsiderations

Credit riskconsiderations

Key comparative dimensions

DurationDuration Medium to long Very short Medium

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Positioning versus other asset classes in the corporate credit spectrum An attractive “middle-ground” between IG and HY credit

Source: BNP Paribas Asset Management Fixed Income, Global Loans

The above views represent our judgment as at the date of this presentation and may subject to change without notice


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Asset class snapshotCompelling attributes supporting portfolio allocation into the asset class

Embeds a hedge against

inflation and interest rate risk

Plausible scenario in the mid-term

Balanced risk profile

Top seniority in the capital structure

Priority over cash flows and strong recoveries

Offers an attractive cash yield in a low interest rate environment

EU: E+ 375-475 bps US: L+ 350-450 bps / LIBOR Floor

Provides access to a significant sub-set of the corporate credit market

EU and US :

about the same size as HY market

Senior secured instrument

Stable cash income generation

Floating rate instrument

Portfolio diversification

Core attributes of senior secured corporate loansCore attributes of senior secured corporate loans


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Profile of market participantsSample of issuers currently active in the loan market

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Appendix:



BNP Paribas Global Senior Corporate Loans │ CONFIDENTIAL

Significant volume recorded in the Global loan market in 2014

Source: LCD/S&P, April 2015

MARKET UPDATE│ Strong market activity levels (1/2)

Global institutional loan market: New issue volume (in EUR billion)

● Strong market momentum in terms of new issue loan volume

European new loan volume stood at EUR 78 billion in 2014, the highest reading since 2008.

Global new loan volume stood at EUR 469 billion in 2014. Out of this volume, nearly 85% came from the US market.

● Comparable volumes across the global loan and high yield bond (HYB) markets During Q1 2015 saw EUR 96 billion new issuance in the global

loan market and EUR 108 billion in the global HYB market.

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Global high yield bond market: New issue volume (in EUR billion)


M&A activity fuels loan market in U.S. and Europe

Source: S&P/LCD, April 2015

MARKET UPDATE│ Strong market activity levels (2/2)

European loan market: New issue breakdown by deal purpose (based on volume in Q1 2015) US loan market: Institutional New issue breakdown by deal purpose (based on volume in Q1 2015)

● Deal purpose diversification Volume of M&A continues to pick up in both the European and US markets (60-70% total volume), while refinancing

transactions dropped to about 1/5 of the total volume till the end of Q1 2015 (compared to the 50/50 split between M&A / Refinancing seen in Q1 2014).

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Institutional ($56.39B)

Acquisition, 34%

LBO, 32%

Refinancing, 16%

Merger, 8%

Recap/Dividend, 4%

Recap/General Recap, 2%

Spinoff, 1%

Other, 1%

0%

20%

40%

60%

80%

100%

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1Q15

Acquisition Related Recapitalization Refinancing Other


Demands > Supply in Q1 2015, reversed vs. 2014CLO issuances dominates the inflow

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US market: Strong demand for loans driven by CLOs

MARKET UPDATE│ Different technicals for loans in US and EU market (1/3)


US loan market: Cash Inflow into Institutional Accounts(in USD billion) US loan market: Estimated cash inflows versus change in outstandings (in USD billion)


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European market: Strong inflow from non-CLO money and continuous recovery in CLO issuance supporting momentum & market depth


European loan market: Annual arbitrage CLO volume based on transaction size (in EUR billion) European loam market: Primary market volume by institutional investor type (% of total)


€ 1.4€ 3.1

€ 35.5

€ 9.6

€ 0.4€ 1.4 € 0.9

€ 0.0

€ 7.4

€ 14.5

€ 3.1

€ 11.1

€ 3.7€ 5.2

€ 32.2

€ 5.9

€0B

€5B

€10B

€15B

€20B

€25B

€30B

€35B

€40B

2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1Q15

0%

25%

50%

75%

100%

2005 2006 2007 2008 2010 2011 2012 2013 2014 LTM31/5/15

European Banks Non-European Banks Institutional Investors Securities Firms


54.0

59.0

64.0

69.0

74.0

79.0

84.0

89.0

94.0

99.0

104.0

US (S&P LSTA Loan Index) Europe (S&P European Loan Index)

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Secondary market sell-off in H2 2014 in the US, while Primary market sweetens new issue spreads. EU loans remains well bid.

Global loan market: Weighted average bid Global loan market: credit spread of the new issuances

Structurally higher spreads 350-450 bps

Spreads peaked out in 4Q 2014

● A sell-off in H2 2014 in the US Secondary market prices dropped by about 250 bps in the H2 in the US market due to weaker energy sector and concerns with

regards to the low oil price. A sudden over-supply of loans has been witnessed by the the primary market in Q3, due to outflows from mutual loan funds (in the US) and the

relatively illiquid secondary market conditions during the summer period. Good trading opportunities seen by the beginning of Q3 2014 in the market.

● Price rebounds in Q1 2015 while spreads of new issuance remains attractive US market has rebounded in Q1 2015 while European market stays well-

bid in the secondary market. The primary market has also seen somewhat tightening but remains within 400-450bps range.


Jan 2014 - March 2015

94.0

95.0

96.0

97.0

98.0

99.0

100.0

Dec-13

Jan-

14

Feb-1

4

Mar

-14

Apr-1

4

May

-14

Jun-

14

Jul-1

4

Aug-1

4

Sep-1

4

Oct-1

4

Nov-14

Dec-14

Jan-

15

Feb-1

5

Mar

-15

US (S&P LSTA Loan Index) Europe (S&P European Loan Index)



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Credit metrics remain reasonable on an absolute basis and compared to historical levels

MARKET UPDATE│ Moderate default rates and limited refinancing risk (1/5)


Global loan market: Average senior debt to EBITDA ratio of new issue loans (US / Europe) Global loan market: Average (EBITDA-Capex/Cash Interests) ratio of new issue loans (US / Europe)

While cash coverage ratio remained healthyLeverage ratio stabilized in both markets


3.5 3.3 3.1 2.92.3 2.4 2.3

2.73.1 3.3

3.6

2.8 2.9 2.93.3 3.4 3.6 3.8 3.8 3.8

0x

1x

2x

3x

4x

5x

6x

7x

FLD/EBITDA SLD/EBITDA Other Sr Debt/EBITDA Sub Debt/EBITDA

3.4 3.4 3.5 3.63.9

4.34.6

3.83.3 3.2

3.6 3.5 3.74.2 4.2

0.0x

1.0x

2.0x

3.0x

4.0x

5.0x

6.0x

7.0x

2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 1Q15

First Lien/EBITDA Second Lien/EBITDA Other Debt/EBITDA

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Credit metrics remain reasonable on an absolute basis and compared to historical levels


European loan market: Average Debt / EBITDA Ratios

Senior 1st lien leverage remains below 4.0x in US marketSenior 1st lien leverage remains below 4.2x in European market

US loan market: Average Debt / EBITDA Ratios



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The overall refinancing risk of the loan market remains under control


Global Leveraged Loan Outstandings Maturity Profile

€0B

€20B

€40B

€60B

€80B

€100B

€120B

€140B

€160B

2014 2015 2016 2017 2018 2019 2020 2021 2022 2023

US (S&P/LSTA Loan Index) Europe (S&P European Loan Index)



Default rate - Global loan market (Based upon Principal Amount)

● Default rates in the US market remain below its historical average During LTM Q3 2014, the overall default rate in the US loan market was

around 3.4% which is higher than the historical average. Average default rate increased significantly in Q2 2014 due to the default of TXU.

● Defaults rate showed a slight improvement in Europe but remain relatively high Default rates in the European loan market has raised to

5.4% during LTM Q3 2014, mostly driven by a few large defaults. (e.g., Vivarte EUR 3.4 billion, and Camaieu EUR 1.2 billion)

● Default expectations for 2015 2-4% for the European market and 1-3% for US market

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Credit quality parameters are prone to suffer some deterioration, default rates rises in Europe


Source: S&P/LCD

US : 3.79%

Europe :3.61%

April 2015


● Structural credit risk re-pricing Current spreads per unit of leverage in the US

and European loan markets:

US market: 92 bps (1.8x higher than the pre financial crisis level which was around 50 bps)

European market: 92 bps (2.3x higher than the pre financial crisis level which was around 40 bps)

● Relative value vs. HYB, risk/reward looks more attractive on the loan side

Current yield of loans and HY bonds in the EU markets (66bps differences, with

Loans yield more than HYB): Leveraged Loans: 5.10% (Assume 3-yr Refi) & High yield Bonds: 4.44% (Yield-to-worst)

Spread per Unit of Leverage (SPL) of new issue loans

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Leveraged Loans vs, high Yield Bond Yield (Yield) in European market

Attractive risk-adjusted investment opportunities

MARKET UPDATE│ Risk/ reward conditions remain attractive

Leveraged Loans vs, high Yield Bond Yield (Volatility)

April 2015


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(1) The return figures for the Global Credit Loan Fund 1 &Global Credit Fund 2 are calculated using the NAV provided by the custodian.(2) Inception Dates are the following: Global Credit Loan Fund 1 – August 2008, Global Credit Loan Fund 2 – July 2009. Please refer to

Appendix for further track record.(3) Returns based on NAVs per share time-weighted performance.(4) Risk-free returns are Euribor for Global Credit Loan Fund 1 and Global Credit Loan Fund 2.(5) One Year and annualized return is the return over a respective period ending in March 2015(6) As calculated by the dividend paid divided by the initial committed capital of the investors(7) Default rate is based upon principal amount(8) Credit Suisse (i.e. leveraged loan default rates for both the Western European and US markets)

Past performance is not indicative of future results which may vary. There can be no assurance that the investment objectives of any portfolio will be achieved. Please see additional disclosures for further information.

NAV Return (net of fees) of the portfolios (1) (2) NAV Return (net of fees) of the portfolios (1) (2)

Annualized Return Since Inception

Annualized Standard Deviation

Sharpe Ratio (4)

One Year Return (5)

Annualized Return 3 years (5)

Annualized Return 5 years (5)

Global Credit Loan Fund 2 (EUR) (3)

4.42%

2.51%

1.51

2.67%

3.99%

n/a


6.08%

2.80%

1.92

2.70%

3.87%

4.52%

Track Record of Global Loans teamGlobal Credit Loan Funds (since Inception to March 2015)

Default Rate of the portfolios(7) Default Rate of the portfolios(7)

Year

2008200920102011201220132014

Global Loans Team

0.0%0.7%0.0%0.0%0.0%0.0%0.0%

EU Market Index(8)

2.2%6.8%4.6%1.0%7.7%3.2%5.4%

US Market Index(8)

2.9%9.6%2.5%0.7%1.9%1.5%3.3%

Cash Dividend Return (net of fees) of the portfolios(6) Cash Dividend Return (net of fees) of the portfolios(6)

Year

200920102011201220132014


3.8%8.1%10.2%6.3%5.1%5.4%


N.A.4.5%6.4%5.6%3.7%4.4%


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Appendix:




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Part of a broader credit set up in Paris and New YorkLeveraging on a Comprehensive Fixed Income Platform

GLOBAL CIO FIXED INCOME

HEAD OF FIXED INCOME

INVESTMENT RISK & PERFORMANCE TEAM

GLOBAL MULTI-SECTOR FIXED INCOME

CURRENCIES GLOBAL RATES

EMERGING MARKETS

SECTOR ROTATIONQUANTITATIVE

STRATEGIES AND RESEARCH

STRUCTURED SECURITIES

MONEY MARKETS

1 Investment Strategy Group includes CIO, heads of all product teams and alpha teams.

GLOBAL CORPORATESGLOBAL LOANS

GLOBAL SOVEREIGN FIXED INCOME

ABSOLUTE RETURN FIXED INCOME

SHORT DURATION FIXED INCOME

CREDIT RESEARCH

PORTFOLIO MANAGEMENT TEAMS

ALPHA TEAMS


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Credit Research (US / Europe)

Front Office Risk Management

US LoansVanessa Ritter (Lead )

Heather KnoxAdrian de Lagarde

Tony SimoesEmeric Chenebaux

European LoansJavier Peres Diaz (Lead)

Dennis TianSofia Nevrokoplis-Marois

Eric Lagoutte Bettina Boccadifuoco

Global Loans organizational perimeter

Global LoansVanessa Ritter

Business ManagerYuko Igarashi

Back / Middle OfficeNicholas Man, Jesse Randel

Jan van Sande, Ryan McgrawSinem Keleman

Source : BNP Paribas Asset Management, May 2015

Global CIO

Guy Williams

Part of a broader credit set up in Paris and New YorkLeveraging on a Comprehensive Fixed Income Platform

Global Corporates (IG, HY)

Global Loan AUM¹ as of March 2015: EUR 3.7 billion

(¹) Including investment commitments that have not yet been drawn


A Growing Dedicated Loan Business * With a diversified client base

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AUM Growth Key Highlights

Source : BNP Paribas Asset Management, as of December 2014

(In million €)

* Including EUR 887MM in investment commitments that have not yet been drawn.

● AUM increases 5x from 2009 till December 2014

● Insurance companies & pension funds represent our core investor base

● Offering multiple fund vehicles (LuxSIF, FCP, FCT,

US CLO, Dutch SPV)

● 12 portfolios under management

● Investing globally (c. 50/50 in US/Europe market)


Source: BNP Paribas Investment Partners, (over 2007-2013 period)

Investment process Deal screening

Loan Universe

Lead review

Pre-wash

Investment committee

Approved324 deals

466 deals

1026 deals

2752 deals

c. 4,000 deals

100%

51%

24%

12%

Buy/Sell decisions depend on the asset’s price and liquidity relative to its risk profile and other investment alternatives

We are selective - c. 12% of leads have been approved by the committee (324/2752 names)

| 28 |

Investment ProcessOver 4,000 deals reviewed – less than 330 best selection credits approved for investment


| 29 |




Appendix:




Model Portfolio Overview *Indicative key parameters of the portfolio

| 30 |

● Portfolio Size EUR 100-200 Mln Target● No of Credits 70-90● Seniority 100% Senior Secured Loans● Assets’ Weighted Average Life 5.0 years

● Country of issuers 50% North America, 50% Western European countries, 25% leeway● Sector of issuers Well diversified

● Target Annual Return Euribor 3M + [400] bps for I Plus share class● Credit Facility Rating BB-/B+● Portfolio Duration Very small, close to zero due to floating rate nature of the product

● Maximum annual fees 0.50% (management fee for I Plus share class), 0.20% max (Administration, custody & taxe d’abonnement)

*Note: the slides under this section contain information to provide an illustration of a potential portfolio construction for a given investor. There is no guarantee that these examples will be achieved.

Source:BNP Paribas Asset Management


Well-diversified portfolio in terms of region, sector and facility ratings● Well-diversified regional allocation Almost 50/50 split between the US and Europe, with a sound country sub-diversification in

the European compartment of the portfolio

● Balanced industry allocation Diversified/Conglomerate Service (16%), Retail stores (11%), and Beverage, Food & Tobacco (9%) are the largest 3 sectors in the portfolio.

● Rating profile On average BB-/B+, no CCC names in the portfolio, >90% have public credit ratings.

● Single issuer concentration In total 60 credits in the portfolio, with top 10 positions represents c. 27% of the portfolio.

Model Portfolio│Split per jurisdiction, per sector and per facility rating (Moody’s)

Source: BNP Paribas Investment Partners as of 31/3/2015

| 31 | *Note: the slides under this section contain information to provide an illustration of a potential portfolio construction for a given investor. There is no guarantee that these examples will be achieved.

Model Portfolio Overview *


| 32 |

SCR associated to the proposed investment portfolioAd-hoc assessment performed to price the specific capital requirements of our offer in loans

● As per the analysis performed by BNPP IP Solvency II team, the SCR of the proposed investment portfolio of senior secured loans is estimated to be c. 21% (with FX risk fully hedged)

Source:BNP Paribas Asset Management Fixed Income, Global Loans


| 33 |

SCR associated to the proposed investment portfolioThe proposed loan portfolio has an attractive expected excess return per unit of SCR

Expected average excess return adjusted by SCR per asset class

0.200.19 0.20

0.120.13

0.04

0.100.10

0.17

0.14

0.00

0.05

0.10

0.15

0.20

0.25

GOVIES HIGH YIELD INV GRADE EQ OECD EQ OTHER

Average excess returns / SCR"Smartbenchmark" excess returns / SCR

● The chart reflects the specific views of BNPP IP MAS (Multi Asset Solutions) team at one particular point in time in regards to different asset classes

● Please bear in mind that ranking different asset classes should not be done solely based on a risk measure (SCR or VAR) but by comparing their expected return with their respective capital charge

● Active portfolio management

● Assumes FX risk is fully hedged

● Based on an SCR of c. 21%

● Net excess return of the portfolio over

euribor is expected to be about 450

bps

● Leading to an expected excess

return / SCR ratio of 0.21

PROPOSED INVESTMENT PORTFOLIO OFSENIOR SECURED CORPORQTE LOANS

Source:BNP Paribas Asset Management Fixed Income, Global Loans

(in %)


Risk Profile

The Fund is classified as “Diversified.” The investor is therefore exposed to the following direct and indirect : Credit risk associated with investing in securities that are speculative (high yield) or not (Investment Grade) whether or not they are rated by ratings agencies: credit risk

is the risk of deterioration in the credit quality of an issuer or the assets underlying an issue, where this drop in quality could lead to a default. Any manifestation of this risk is likely to affect to a variable extent the value of the instruments or of the debt securities in which the fund is invested, and could lead to a significant fall in its net asset value. The Fund may be directly or indirectly exposed to credit risk particularly in terms of unrated Corporate Loans or those Corporate Loans rated below BBB- ("speculative").

Liquidity risk: for most instruments held in the Fund's assets, the liquidity risk is based primarily on the size and format of the issue, on the issuer category, the nature of

the instrument and the quality of the underlying assets. If these risks were to materialise, the net asset value of the Fund could fall. Capital risk: the attention of investors is drawn to the fact that the Fund’s performance, which does not have any guarantee, may not be in line with its objective and that

the capital invested (after deduction of subscription fees) may not be recovered in full. Discretionary management risk: the discretionary management style is based on anticipating trends in the various markets of the investment universe. However, there is

a risk that the Fund may not at all times be invested in the best-performing securities. Counterparty risk: this risk relates to striking agreements involving forward financial instruments (see the section on “Derivative Instruments” above) when one of the

counterparties with whom an agreement has been reached fails to respect its commitments (for example: payment, repayment), which may lead to a fall in the Fund’s net asset value.

Currency risk: It concerns unitholders in the eurozone and relates to a drop in the exchange rate of the currency of the financial instruments in the Fund, which may

result in a drop in the NAV. Since foreign exchange hedging can never be perfect, a residual risk of maximum 5% of assets may appear. Residual interest-rate fluctuation risk: the interest rate markets move in the opposite direction to that of the interest rates. The Fund uses "sensitivity" criteria to measure

the impact of a variation in rates. In times of rising (positive sensitivity) or declining (negative sensitivity) interest rates, the net asset value may fall significantly.

| 34 |


DisclaimerThis material is issued and has been prepared by BNP Paribas Asset Management S.A.S. (BNPP AM)* a member of BNP Paribas Investment Partners (BNPP IP)**. This material is produced for information purposes only and does not constitute: 1. 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

2. any investment advicetian. 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).

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 BNPP AM at the time specified and may be subject to change without notice. BNPP AM 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, accounting, 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 client’s 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 and taxes. *BNPP AM is an investment manager registered with the “Autorité des marchés financiers” in France under number 96002, a simplified joint stock company with a capital of 67,373,920 euros with its registered

office at 1, boulevard Haussmann 75009 Paris, France, RCS Paris 319 378 832. www.bnpparibas-am.com.]

** “BNP Paribas Investment Partners” is the global brand name of the BNP Paribas group’s 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.

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