Citywire nov212011

11

November 2011 - BERLIN

Convertibles Bonds :

� Benefit from a long term unique

risk/return ratio, and

� Capture the current opportunity

through active management

Neuflize OBC Investissements

2 Convertibles capabilities at Neuflize OBC Investissements Citywire - November 2011 - BERLIN

Content

Introduction : Neuflize OBC Investissements

1- Why Convertibles ?

2- Investment team and context

3- Investment philosophy and process

4- Funds’ overviews, main parameters and performances

Contacts


Snapshot : Neuflize OBC Investissements

Main facts

�� 106 employees, mostly Paris-based

� Managed and advised assets of €22.06 bil at year-

end 2010, and €23.3 bil. at end August 2011

� Focus on professional and private clients

� Very good knowledge of High Net Worth Individuals

thanks to its shareholder, the largest private bank in

France, Banque Neuflize OBC

� Created April 1, 2010 by merging the multi-

management and the pure asset management

activities but a recognized asset manager for the past

23 years

� Combines funds of funds and traditional portfolio

management, as well as segregated funds

� Offers expertise in asset allocation and advisory

through selection of asset managers and UCITS

� Flagship asset manager for the ABN AMRO Group via

Luxembourg-based Sicav and advisory services

capable of putting together custom-made solutions

Solid Shareholding Structure

Breakdown of assets

Source : Neuflize OBC Investissements - As of December 31, 2010

* Neuflize OBC Asset Management

** Asset Allocation Advisors

State of Netherlands

Privates Clients

Institutionals Clients

DPMUCITSInstitutional solutions

AAAAAA

A+ Fitch


1.Why Convertibles ?


The diversified nature and asymmetric risk profile – convexity –provide many sources of Alpha

Conversion priceBond Floor

Stock Price

Convert

ible

Pri

ce

Maximum convexity

High Yield and

distressedBond like Balanced Equity like

Increasing participation to the stock price rise - up to 100%

Decreasing participation to the stock price fall

Funds managed here

� Convertibles are sensitive to interest rates, credit spreads, underlying equity prices and their implied volatility

� In the medium term Convexity implies:

- automatic Stop Loss thanks to the bond floor (except in systemic crises)

- automatic profit-taking thanks to amortization and exercise of calls by the issuers of the best-performing underlying equities

And in the long term the primary market sustains the convexity of the asset class via issuance of balanced convertibles

� Convexity is a powerful and reliable device for the portfolio manager: in case of poor stock-picking or unfortunate timing, it limits the loss on

the position and makes it easier to exit or add to the position

Type of Convertible:

Source : Neuflize OBC Investissements


A unique/risk return ratio :over time, convertibles beat equities and balanced portfolios alike

Source : Datastream. Neuflize OBC Investissements. October 2011Past performances are not a guide to future performances

50

100

150

200

250

300

350

400

450

déc.

-94

déc.

-95

déc.

-96

déc.

-97

déc.

-98

déc.

-99

déc.

-00

déc.

-01

déc.

-02

déc.

-03

déc.

-04

déc.

-05

déc.

-06

déc.

-07

déc.

-08

déc.

-09

déc.

-10

Composite Index Iboxx Europe all mat Stoxx 600 UBS CB Europe Hedged

Convertibles vs bonds, equities and balanced portfolios Convertibles prices : a function of equities prices

Equities : DJ Stoxx 600 (RI)

Jan. 94 – Jan. 01CBs + 164% / Equities + 213%

Feb. 01 – June 03 CBs -6%/

Equities -40%

Jan. 08 – March 09 CBs -24%/Equities -50%

April 09 – June 11 CBs +52% / Equities +71%

OCs

: In

dic

e U

BS E

uro

pe C

onvert

ible

s (

RI)

Jul 03-Dec 07CBs +

42%/Equities+100%

May 11-Oct11CBs -10%/Equities-13%

50

100

150

200

250

300

350

400

450

50 100 150 200 250 300 350 400 450

Perf. an.% Volatility Perf. an.% Volatility Perf. an.% Volatility Perf. an.% Volatility Perf. an.% Volatility

ConvertiblesUBS europe

convertibles7.3% 8.6% 4.8% 7.7% 2.1% 9.9% 15.0% 9.4% -4.4% 9.8%

50% equities /

50% bonds

50% DJ Stoxx600+50%

Iboxx euro all maturities5.8% 10.0% 3.6% 10.2% 0.3% 11.6% 8.2% 11.3% -2.0% 9.8%

Equities DJ Stoxx600 (net inv.) 5.4% 20.5% 1.4% 21.1% -4.4% 23.9% 6.3% 23.2% -5.7% 20.3%

Corporate bonds Iboxx euro all maturities 5.0% 3.0% 4.4% 3.0% 3.5% 3.2% 8.5% 3.0% 0.6% 3.3%

15 years 10 years 5 years 3 years 1 year


The 2008 CB liquidity/valuation crisis was over after just 5 months ; the 2011 one should remain limited

� Sept.-Oct. 2008 : the financial crisis constrains funding and leverage for Hedge Funds and Banks/Brokers books leading to a liquidity crisis

and a sharp drop in valuations

� Oct. 2008 - March 2009 : partial restoration of liquidity and valuations; strong recovery of convertibles amidst a continuing downturn for

equities and credit.

� March – Sept. 2009 : massive use of the convertibles primary market by industrials amidst a slow return to normality for the bond market;

valuations complete their return to normality.

� July - September 2011 : the crisis evokes that of 2008, though in a fundamentally safer market with mostly ”real money” investors.

UBS Europe

Hedged

DJ € Stoxx

50

Iboxx All

Mat.Itraxx Main

Itraxx

Cross

VI 9

Months

First stage of the crisis Start 2008 - Aug. 2008 -10,7 -21,3 0,5 50 pts 211 pts 2 pts

CB Liquidity crisis Sept. - Oct. 2008 -25,2 -22,9 -7,1 52 pts 235 pts 17 pts

End of CB liquidity crisis Nov. 2008 - March 2009 11,8 -19,4 1,9 14 pts 133 pts -5 pts

General financial markets recovery March 2009 / September 2009 29,9 42,7 15,2 -74 pts -309 pts -4 pts

Overall outcome Starting 2008 / September 2009 -2,9 -30,2 9,6 36 pts 238 pts 9 pts

July 2011 / September 2011 -13,8 -23,1 -1,1 96 pts 444 pts 14 pts

Source : Datastream. Neuflize OBC Investissements. October 2011Past performances are not a guide to future performances


Sharp widening of credit spreads, lower equity markets and decreased valuations create opportunities

% Discount to fair value - Europe

-4,00

-2,00

0,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

04/01

/2001

04/01

/2002

04/01

/2003

04/01

/2004

04/01

/2005

04/01

/2006

04/01

/2007

04/01

/2008

04/01

/2009

04/01

/2010

04/01

/2011

European equities vs Itraxx Crossover

% Discount to fair value - Asia ex Japan and other Emergings

-2,000,00

2,00

4,00

6,00

8,00

10,00

12,00

14,00

16,00

18,0004

/01/20

0104

/01/20

0204

/01/20

0304

/01/20

0404

/01/20

0504

/01/20

0604

/01/20

0704

/01/20

0804

/01/20

0904

/01/20

1004

/01/20

11

� discount to fair value + actual yield will be a substantial buffer in a mediocre – but not worst case - scenario

� in a best case scenario CBs could perform as much as equities

� in a just calm scenario CBs should perform better then equities

Source : Bloomberg, BoAMerrill, September 2011Past performances are not a guide to future performances

726 as of Nov. 7, 2011

3843 as of Nov. 7, 2011

3,8 as of Nov. 7, 2011


2.Investment Team & Context


An experienced and stable team of managers…

Luc Varenne, Head of Convertible team – CBs Fund Manager since 1985

Started his career at the Ministry of Finance then in various financial institutions as a fixed income and CB manager (since

1985). Luc joined the ABN AMRO group in 1991 where he has managed convertibles ever since, as well as various fixed

income funds and mandates. He launched NOBC Europe Convertible and NOBC Monde Convertible in 1997.

Frédéric Hertault, Fund Manager – CBs Fund Manager since 2000

Frédéric Hertault has a degree in Banking, Finance and Insurance from Caen IUP University, and holds a CIIA® certificate

awarded by the ACIIA (Association of Certified International Investment Analysts) and SFAF (French Association of Financial

Analysts). He has built up more than ten years’ experience as a convertible bond fund manager, including six years with

Neuflize OBC Investissements.

Sarra Rekik, Junior Fund Manager

Sarra holds a Masters in Banking, Finance and Insurance from the Université Paris Dauphine ; she has been with our firm,

within the Convertible Bonds team, for one year, as a Junior Fund Manager ; she is also highly specialized in CBs’ and

portfolio analysis.

€ 810 million under management as of end Sept 2011

NOBC Europe Convertibles (NEC) € 300m

NOBC Monde Convertibles (NMC) € 170m

Other Funds and Mandates € 340m

Regular Industry Awards

2008 Lipper award for NOBC Europe Convertibles and

NOBC Monde Convertibles

NEC � � � overall & � � � � 10y; NMC � � overall(MorningStar Sept. 2011)


Research resources

� Local Research Team of 5 analysts: Chief Economist

(Head of team and Strategy), 3 Equity Analysts, 1 Credit

Analyst.

� ABN AMRO Group’s buy-side research: 40 analysts (FX,

FI/Credit, Equities, Quant) worldwide.

� Wide access to external sell-side credit and equity

research (particularly via Reuters Knowledge)

� Access to independent credit research from Standard &

Poor’s and CreditSight

supported by our PM community and ample internal/external research resources

A Community of Portfolio Managers

� 12 private discretionary Equity/Asset PMs

4 Diversified Funds/Mandates PMs

3 Fixed Income Funds/Mandates PMs

5 Equity Funds/Mandates PMs

3 Convertibles Funds/Mandates PMs.

� On-going and regular sharing of analyses and expertise (all PMs and research team located on same workspace)

� Participation to Strategy, Credit and Equity Committees

� Heads of teams attend the weekly Investment Committee

PMs not constrained in their investment decisions except on credit risks

The CB team conducts its own research

� Convertibles research in terms of:- Prospectus features- Valuation- Adequacy of technical features of each security according to expected equity/credit upside (extent/timing)- Relative opportunity of credit vs. equity exposure for each underlying company

� Credit research : to assess the bond floor solidity and to make credit risk a smart contributor to performance (deep understanding of fundamental credit analysis is crucial)

� The team allocates time for visiting companies in order to benefit from local insight - particularly in developing countries (yearly Asian trip).


Middle Office and Risk Management Dept.

� MO checks Issuer limits and currency hedging daily,

sends escalating warnings,

checks the NAV calculation.

� RMD (2 professionals reporting to the Board of NOI)

monitors on a weekly basis the relative performance to

benchmark, Tracking Error, VaR ex-post and ex-ante.

Indicators analyzed during the weekly Investment

Committee meeting

Risks and performances are closely monitored

Performance Measurement & Attribution Dept.

� Performance comparison with benchmark and other relevant indices, peers,

� monthly, quarterly and yearly performance attribution

CB PMs Team

� Front office tool:

- weight of each security in real time

- allows portfolio managers to check that positions comply with targets/guidelines and calculate orders

� Proprietary screening tool :

- main characteristics of each security :

official/shadow rating, weighting in the portfolio,

duration, actual yield, implied credit spread, distance

to bond floor, equity sensitivity, "greeks”.

- overall sensitivity parameters : equity sensitivity,

rating classes breakdown, credit exposure and equity

sensitivity breakdown by sector and country, average

actual and coupon yields, average distance to bond

floor.

. . . helps portfolio managers to assess compliance

with internal guidelines and other external constraints


3.Investment philosophy and process


Investment Philosophy: maximum convexity and active management to leverage Alpha sources

� Delivering outperformance while amplifying the spontaneous behavior of the asset class :

� support of maximum convexity - picking the most convex convertibles including synthetics if needed

� active management of all sources of alpha intrinsic to the asset class

� actively locking in part of the generated return

� limiting risks

� without an aggressive equity sensitivity

� Seeking Alpha on mid-term basis through Equity/Credit selection & management of the funds overall sensitivity parameters

to :

� Interest rate (yield curve)

� Equity

� Credit spreads

� Sector allocation of these 2 risks

� Volatility

� Seeking Alpha on short term (months) basis through constant arbitrage

� in terms of technical profile according to expectations of the equity upside (risk. extent. and rapidity)

� in terms of valuation (Implied Volatility, Credit Spread) vs the asset Class and/or similar securities

� in terms of duration of each credit risk

� between credit and equity risk for a given company

We take advantage of all those alpha opportunities, and therefore use all instruments sensitive to risks inherent to

convertibles. i.e. bonds. options on equities and interest rates, synthetic convertibles


Investment Universe and Guidelines

� Traditional CBs as a priority : minimum 50% of AUM

� Synthetic CBs :

- Issued by a financial institution rated at least A-,

- Fully exchangeable for the underlying stock – identically to

traditional CBs, in order to maximize convexity

� Synthetics are a combination of :

- a listed Equity Call Option

- a straight Bond issued by the same company, (exceptionally,

by another entity in the same group or just cash)

� Straight bonds from convertible issuers or other issuers : max

20% of AUM

� Short selling of listed calls on the underlying equities of the

portfolio - to gain on volatility/time value and to even out

performance and equity sensitivity : max 25% of equity sensitivity

of each underlying

� Put purchases in order to raise CBs bond floors

� Futures and options on bond or equity indices in order to limit

overall risks

� Tactical purchases of listed calls (or call spreads or call

ratios) on equity indices : for a notional amount below 5% of AUM

Details of Financial Instruments allowed Investment Guidelines

� Total Equity Sensitivity/Delta : between 20% and 50%

� Interest Rate Sensitivity : below 2,5

� Average Premium to bond floor : below 15%

� non-investment grade: ≤60% of AUM, Average rating : ≥ BB

� small/mid caps (market cap. < € 3 bn): below 30%, no market

cap. below € 100 m

� CBs (total of both traditional & synthetic) : over 75%

� Straight bonds (excl. Synthetics) : below 20%

� Equity holdings : below 2%, only after conversion and for no

longer than 1 month

� Currency risk : essentially hedged into EUR. Currencies pegged to

USD (AED. HKD. CNY) are hedged against EUR via USD. Residual

risk < 5% of NAV

� Diversification: no position above 4% and below 0.5% (cf next

page)

� No leverage, but fund usually fully invested


Buy & Sell discipline & diversification guidelines limit risks

European Global

Market Cap/ Rating > 3€bn €1bn<and< €3bn €100m<and< €1bn > 3€bn €1bn<and< €3bn €100m<and< €1bn

>BBB 4% 2.5% 1.75% 3% 2% 1.25%

BB 2.5% 1.75% 1.5% 2% 1.25% 1%

B 1.5% 1.25% 1% 1.25% 1% 0,75%

CCC 1% 0.75% 0.75% 0,75% 0.75% 0.5%

� Any convertible is bought with an equity sensitivity ≤ 50% (or a premium to bond floor < 20%) and sold when equity sensitivity is above 75%

� Position on each convertible ≤ 10% of the outstanding amount of the issue

� total synthetic convertibles structured by a given broker/bank: ≤ 5% of the AUM

� Limit per issuer according to rating and market cap (see chart below)


A dynamic/iterative process

Top-down analysis

Macro & Strategy

Investment & Strategycommittees

Convertiblesanalysis

Valuation(credit/volatility)

ProspectusBloomberg / Brokers

Bottom-up analysis

Equities / CreditEquity & Credit

CommitteesExternal research

platforms

Maincharacteristics

Equity sensitivity

Sectors / Themes

Credit risk

Volatility

Duration

Distance to Benchmark

Securities Selection

Convertible bonds.

Synthetics

Straight bonds

Guidelines,Investment

rules

Research InvestmentDecisions

Portfolio construction(securities/instruments weighting)

Portfolio. performance & risk analysis

Comparison to the universe and

managers objectives

Portfolio

PerformanceattributionPM&A Dpt.

Risk measureVaR analysis

RMD Dpt.

Performanceanalysis

managers


Investment convictions : examples and rational

Portuguese CB with high party

protection free of sovereign risk

Wind, Jaguar/Tata, Tui, REC, BES/Bradesco,

Parpublica/Galp, Kloeckner

Up to limit max (60% HY &

average rating ≥ BB)High Yield

Credit

Full Convexity role during crisis30%≤ Target ≤ 40%Equity

Sensitivity

Specific RationalSecurity nameSub-sectorSector

Favored

Investment

Themes 2011

Abengoa, RECGreen EnergyEnergy

Super Cycle

Asian &

Emerging

countries

growth

EnergyExplorers Refiners Services

Drillers

Essar, Galp, Maurel, BP, Lukoil – Transocean,

Technip, Polarcus, TMKLong term scarcity of oil reserves

MaterialsPlatinum, Steel, Gold

Uranium, Coal

Aquarius, Mittal, Kloeckner, Petropavlosk, James

River, Bumi, PaladinSubject to Asian mini cycle

InfrastructureProperty, Highways,

Engineering

Immofinanz, Silic, Derwent, Agile, Kaisa, Emaar,

Assystem, Larsen&Toubro(In Europe, Real Estate should prove

defensive)

ConsumptionAgriculture - Luxury

- Household

China Agri, Olam, Daimler, Hengdeli, PPR

Danone, Pernod, San Miguel,Adidas, Intime Growing upper and middle class

Niche growth

Telecoms Satellite, Mobile China Unicom In emerging countries

Technology

Internet Storage

Cloud computing

Networks Touch screen

Webmed, Econocom, Mysis, EMC, Oracle, Ingenico,

Sandisk, TPK, Alcatel

HealthBiotech, Generics, Seniors Gilead, Orpea, Brookdale Population ageing

ConsumptionFish Farming

Pescanova Wild fish scarcity

M & AMysis, Aquarius, Paladin, Tui, Webmed, Maurel,

Galp, SilicCB protection can prove very valuable

Source : Neuflize OBC Investissements, September 2011

Security presented in funds’ overviews


1000

1200

1400

1600

1800

2000

2200

2400

2600

2800

3000

juin 09 sept 09 déc 09 mars 10 juil 10 oct 10 janv 11 mai 11

80

90

100

110

120

130

140

150

160

170

180

Vedanta stock Vedanta 4% 17 Vedanta 5,5% 16

Active management via arbitrage between convertibles with the same underlying equity: Vedanta

Source : Neuflize OBC Investissements. September 2011Past performances are not a guide to future performances

Convertible PriceStock Price

dateoperation

convertible price

initial

position4.60% 02/21/2026

12-june-09

Primary market

Vedanta’s exposure

increase

Buy 5.5% 13/07/2016 at

100.0

starting

26/10/2009

progressive liquidation

due to possible soft call

exercise

Sell 4.6% 02/21/2026 at 104.0

8-jan.-10 Soft Call exercise 4.60% 02/21/2026

2-march-10

Primary market

Vedanta’s exposure

increase

Buy 4 % 30/03/2017 à 100.0

28 july-4 aug.

arbitrage: partial profit

taking and equity

sensitivity decrease

Sell 5.50% 13/07/2016 à 126.9

Buy 4 % 30/03/2017 à 106.5

13-aug.-10

Arbitrage’s profit taking

and equity sensitivity

increase

Sell 4 % 30/03/2017 à 96.3

Buy 5.50% 13/07/2016 à 110.2

20-dec.-10

arbitrage: partial profit

taking and equity

sensitivity decrease

Sell 5.50% 13/07/2016 à 119.1

Buy 4 % 30/03/2017 à 100.3

6-may-11

Arbitrage’s profit taking

and equity sensitivity

increase

Sell 4 % 30/03/2017 à 104.4

Buy5.50% 13/07/2016 à 119.5

� : sell � : Buy


0

5

10

15

20

25

30

35

40

29/05/2008 15/12/2008 03/07/2009 19/01/2010 07/08/2010 23/02/2011

0

10

20

30

40

50

60

70

Rhodia stock Rhodia 0,5% 14

Active management including convertibles, straight bonds and listed options: Rhodia

29/05/2008 15/07/2009 Octobre 2009 04/04/201113/12/201012/05/2010

date operation instrument price

29-may-08 Buy bond TV 15/10/2013 94

pure credit exposure via the FRN: credit spread at 4.16% vs 3.02% for the

convertible ( price at 37 i.e. Yield=7.76% )

15-july-09

Sell bond TV 15/10/2013 79.8

Buy CB 0.50% 01/01/2014 32.75

arbitrage: FRN spread at 8.51% vs 11.10% for the convertible ( bond-like, longer

maturity, yield at 13.77% )

oct/may-09 Sell CB 0.50% 01/01/2014 41 / 46.3

Bond-like CB sold during spread decrease

12-may-10 Buy bond 7.00% 15/05/2018 100

Primary market discount opportunity ; Yield at 7% vs 5.1% for the CB; longer

duration – issuance spread at 3.60% vs 3.40% for a CB at €31.5 ( CDS at 3.30%)

13-dec-10

Buy Call Call 12/11 24.00 4.67

Sell Call Call 12/11 30.00 2

Synthetic CB with the addition of a Call Spread - price 2.67

04-april-11

Sell bond 7.00% 15/05/2018 111.75

Sell Call pending Call 12/11 24.00 Call spread

value: 4.5 to

6Buy Call pending Call 12/11 30.00

Profit-taking

Source : Neuflize OBC Investissements. September 2011Past performances are not a guideline for future performances


4.Funds’ overviews, main parameters and performances


France. Luxembourg. Netherland. Germany. Switzerland*France. Luxembourg. Netherland. Germany. SwitzerlandRegistered in (*pending)

SICAV French Law UCIT IIIFCP French Law UCIT III

C-share : FR0010281477 I-share : FR0010281568 C-share : FR0010279315 I-share : FR0010557900

C-share : A0M06V I-share : A1H8FJ C-share : A1CUFS I-share : A1H8FK

Currency

Benchmark

Management Fees

Euro

UBS European Focus Hedged (EUR) CB Index

Euro

UBS Global Focus Hedged (EUR) CB Index

C-share : 1.35% of NAV + 20% performance fees if perf. positive

I-share : 0.70% of NAV - no performance fees

C-share : 1.35% of NAV + 20% performance fees if perf. Positive

Entrance / Exit Fees Max 2.5% Max 2.5% / N.A.

AuM Sept. 30, 2011 € 302 million € 173 million

C-share : November 19, 1997 I-share : June 6, 2005Inception Dates C-share : March 21, 1997 I-share : December 28, 2008

Each working day until 17h30 at Caceis Bank Each working day until 17h30 at Caceis Bank

Awards

Morningstar

Lipper Award France 2008 Lipper Award France 2008

C-share : �� I-share : ��C-share : �� I-share : ��

I-share : 0.70% of NAV - no performance fees

ISIN Code

WKN

Legal Form

NOBC Europe Convertibles NOBC Monde ConvertiblesCharacteristics

Funds’ Factsheets

Subscriptions/Redemptions


NOBC Europe Convertibles – main parameters and positions

Inclusion/Exclusion

44.5

73.0

28.8

42.4

% of AUM belonging to Bench.

% with underlyings belonging to Bench.

0.65

0.25

1.55

0.19

Gamma

Vega

8.6%7,3%�� Premium to Bond floor

Sensitivity Parameters

8,4%14,2%% Emerging

47.3%53.8%High Yield

17.1%

0%

21.8%

16.1%

€1bn ≤ Capi ≤ à €3bn

€100m ≤ Capi ≤ à €1bn

BBB-BB+Average Rating

26%24%�� Equity Sensitivity (incl Equity hedging)

2.12.7Interest Rate Sensitivity

0%0,7%Cash

0%28%Synthetics (Bond or collateralized cash + listed call)

3.24.5Average Maturity

4.926.72�� Average actual Yield weighted by duration

Portfolio Breakdown (in % of total AUM) Fund B’mark

Number of securities 70 37

Traditional CBs 66,2% 100%

Synthetic CBs (EMTN exchangeable) 0 0%

Convexity

NAV move in case of a 20% equity fall

and 20% equity rise

- 3.8%

+5.8%

- 4.4%

+5.9%

Source : Neuflize OBC Investissements, September 30, 2011Past performances are not a guide to future performances

Fund BenchmarkPositions (% nav)

1. Lukoil Oao-Spon Adr/Lukoil Intl Finance Bv 2,625% 16/06/20153,24 5,162. Industrivarden Ab-C Shs/Ab Industrivarden 2.5% 02/27/20152,60 2,423. International Power Plc / Intl Power Fin Iii Ltd 4,75% 152,58 3,374. Daimler Ag-Registered Shares/Aabar Investments Pjsc 4% 27/05/20162,58 5,175. Steinhoff Intl Holdings Ltd/Steinhoff Finance Hldg 5% 22/05/20162,556. Ppr/Misarte 3,25% 01/01/2016 2,51 3,237. Cap Gemini Sa 1% 12 2,47 2,268. Arcelormittal 9,375% 16 2,349. Ucb Sa/Ucb Sa 4.5% 10/22/2015 2,33 2,5410.Richter Gedeon Nyrt./Mnv Zrt 4.4% 25/09/20142,12 3,26

Total 25,31 27,41

Issuers (% nav)1. Lukoil 0Ao-Cls 3,24 5,16

2. Cap Gemini 2,63 5,163. International Power Plc 2,63 3,374. Industrivarden Ab-A Shs 2,60 2,425. Aabar Investments Pjsc 2,58 5,176. Steinhoff Intl Holdings Ltd 2,557. Artemis Sa 2,51 3,238. Arcelormittal 2,40 7,929. Ucb Sa 2,32 2,5410.Wpp Group Plc 2,18

Total 25,63 34,97

Equity Sensitivity (% total)1. Galp Energia Sgps Sa-B Shrs 6,95 11,462. International Power Plc 4,18 2,533. Danone 3,86 8,314. Steinhoff Intl Holdings Ltd 3,665. Aurubis Ag 3,646. Lukoil Oao-Spon Adr 3,47 5,387. Ucb Sa 3,35 3,768. Banco Bradesco S.A. 3,239. Cap Gemini 3,22 2,3510.Abengoa Sa 3,04

Total 38,60 33,78


NOBC Europe Convertibles – breakdown (% of total AUM)

Sector (based on underlying equities)

Country (based on underlying equities)Rating

NOBC Europe ConvertiblesBenchmark

23%

30%

43%

2% 2%

26%

36%

30%

4% 3%

0%

5%

10%

15%

20%

25%

30%

35%

40%

45%

50%

0-15 15 -25 25-50 50-75 75 -100

Equity Sensitivity

Equity sensitivity

0 1 0 2 0 3 0 4 0 5 0

A A A

A

B B B

B B

B

C C C

N R

0

5

1 0

1 5

2 0

2 5

3 0

Consum

er

Dis

cre

tionary

Energ

y

Mate

rials

Industr

ials

Fin

ancia

ls

Health C

are

Info

rmation

technolo

gy

Tele

com

Consum

er

Sta

ple

s

Utilities

IG : 11.20 %, HY : 26.36 %

IG : 11.17 %, HY : 23.51 %

0

5

1 0

1 5

2 0

2 5

3 0

3 5

Fra

nce

UK

Germ

any

Port

ugal

Russia

Belg

ium

Neth

erl

ands

Norw

ay

Spain

Sw

eden

Austr

ia

South

Afr

ica

Bra

zil

Hungary

Italy

Luxem

bourg

Fin

land

UA

E

Sw

itzerl

and

US

Gre

ece

Source : Neuflize OBC Investissements, September 30, 2011Past performance is not necessarily a guide to future performance.


NOBC Europe Convertibles – Performances vs peer group averageand benchmark

* European Convertibles funds in EUR ranked within the « Euro Convertible » list of MorningStar. The selected funds are hedged into €, have a track record of at

least 3 years with an AUM ≥ €100m.

31/12/1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

NOBC EUROPE CONVERTIBLES 4,36 -5,04 -6,28 8,44 4,76 13,52 14,39 5,04 -33,53 43,55 6,37

UBS CB Europe Focus Hedged 3,33 -2,05 -7,79 12,11 3,65 9,82 15,77 2,24 -31,70 31,60 6,92

UBS CB Europe Hedged -0,86 -3,17 -1,47 10,22 5,35 9,45 18,38 4,14 -27,58 39,02 7,98

catégorie Morningstar -1,29 -5,06 -7,24 8,58 2,98 9,76 9,93 1,40 -23,05 27,14 5,92

Performance moyenne Peer Group* -0,66 -3,35 -6,59 8,70 2,69 9,71 10,17 2,33 -20,64 27,76 4,97

Rang Peer Group 6 / 24 13 / 29 13 / 34 21 / 36 9 / 39 5 / 40 6 / 40 9 / 42 40 / 42 3 / 43 16 / 43

Source: Morningstar, September 30, 2011Past performances are not a guide to future performances

YTD 1 an 3 ans 5 ans 10 ans création

NOBC EUROPE CONVERTIBLES -12,80 -10 ,04 17,33 -2,55 34,91 80,24

UBS CB Europe Focus Hedged -6,91 -3 ,64 18,19 -3,30 29,58 93,40

UBS CB Europe Hedged -11,12 -6 ,93 23,03 7,78 56,08 121,04

catégorie Morningstar -9,68 -6 ,70 13,36 -1,26 23,92 64,89

Performance moyenne Peer Group* -9,51 -6 ,76 14,18 2,68 22,81 41,44

Rang Peer Group 30 / 36 29 / 36 9 / 35 21 / 34 4 / 25 5 / 17

60

80

100

120

140

160

180

sept.-01

mars-02

sept.-02

mars-03

sept.-03

mars-04

sept.-04

mars-05

sept.-05

mars-06

sept.-06

mars-07

sept.-07

mars-08

sept.-08

mars-09

sept.-09

mars-10

sept.-10

mars-11

sept.-11

NOBC EUROPE CONVERTIBLES UBS CB Europe Focus Hedged Morningstar category


NOBC Europe Convertibles – Performance attribution

Segment WeightSegment Internal

WeightPerformance

% in the

Benchmark

Segment Internal

Weight

Benchmark

Performance

FI Convertibles (delta 0 - 15) 5,13% -1,80% UBS Warburg FI 25,88% -11,15%

Investment Grade 0,00% 0,00% Investment Grade 15,61% 60,31% -9,10%

Non Investment Grade 5,13% 100,00% -1,80% Non Investment Grade 10,27% 39,69% -14,26%

Mixed + Equities Convertibles (delta 15 - 100) 92,04% -10,18% UBS Warburg Mixed + Equity 74,12% -5,43%

Energy 15,37% 16,70% -7,52% Energy 14,89% 20,08% -16,85%

Materials 14,97% 16,26% -19,07% Materials 6,68% 9,01% -19,82%

Industry 10,30% 11,20% -12,27% Industry 11,55% 15,58% -11,81%

Consumer Discretionary 21,78% 23,66% -10,47% Consumer Discretionary 10,92% 14,73% -9,82%

Consumer Staples 3,99% 4,33% -2,33% Consumer Staples 3,59% 4,85% 0,03%

Healthcare 5,10% 5,54% -8,30% Healthcare 8,66% 11,68% -1,44%

Finance 11,85% 12,88% -15,44% Finance 4,13% 5,57% -9,64%

Information Technology 3,34% 3,63% 35,32% Information Technology 7,53% 10,16% 35,50%

Telecommunications 1,60% 1,73% -29,46% Telecommunications 2,82% 3,80% 5,40%

Utilities 3,74% 4,06% -4,77% Utilities 3,36% 4,53% -1,91%

Short Term 4,21% 0,70%

Bonds Futures (contribution) -1,86%

Equities Futures (contribution) -0,22%

FX Futures (contribution) 3,76%

Cash 0,82% -533,71%

Fees -0,67%

Actual Performance -12,80%

Recalculated Performance -12,80% UBS WARBURG EUROPE performance -6,91%

NOBC Europe Convertibles from 12/31/2010 to 09/30/2011

Source: Neuflize OBC Investissements, September 30, 2011Benchmark :UBS Europe Focus Hedged Convertible IndexPast performances are not a guide to future performances


NOBC Monde Convertibles – main parameters and positions

0.65

0.25

1.55

0.19

Gamma

Vega

Inclusion/Exclusion

11.210.1�� Premium to Bond floor

Sensitivity Parameter

14.626.3% Emerging

34.159.9High Yield

14.516.3€1bn ≤ Capi ≤ à €3bn

1.218.5€100m ≤ Capi ≤ à €1bn

BBB+BB+Average Rating

2927�� Equity Sensitivity

2.162.43Interest Rate Sensitivity

1.0Cash

10.7Synthetics (Bond or collateralized cash + listed call)

5.33.6Average Maturity

3.617.54�� Average actual Yield weighted by IR sensitivity

Portfolio Breakdown (in % of total AUM) Fund B’mark

Number of securities 79 144

Traditional CBs 83.4 100

Synthetic CBs (EMTN exchangeable) 0 0

Convexity

NAV move in case of a 20% fall

and 20% rise

- 3.8

+5.8

- 4.4

+6.0

% of AUM belonging to Bench.

% with underlyings belonging to Bench.

28.8

42.4

44.5

73.0

Fund BenchmarkPositions (% nav)

1. Lukoil Oao-Spon Adr/Lukoil Intl Finance Bv 2,625% 16/06/20152,81 1,362. Daimler Ag-Registered Shares/Aabar Investments Pjsc 4% 27/05/20162,72 1,373. Gilead Sciences Inc/Gilead Sciences Inc 1.625% 05/01/20162,70 1,294. Shangri-La Asia Ltd/Newford Capital Ltd 0% 12/05/20162,41 0,375. China Agri-Industries Hldgs/Glory River Holdings Ltd 1% 07/29/20152,41 0,406. Steinhoff Intl Holdings Ltd/Steinhoff Finance Hldg 5% 22/05/20162,16 0,447. Arcelormittal 9,375% 16 2,118. China Unicom Hong Kong Ltd / Billion Express Investme ,75% 152,08 1,919. Olam International Ltd/Olam International Ltd 6% 15/10/20162,05 0,5110.Lotte Shopping Co Ltd 0% 16 2,05 0,40

Total 23,51 8,05

Issuers (% nav)1. Lukoil 0Ao-Cls 2,81 1,36

2. Aabar Investments Pjsc 2,72 1,373. Gilead Sciences, Inc. 2,70 3,194. Newford Capital Ltd 2,41 0,375. China Agri-Industries Hldgs 2,41 0,406. Asia Cement Corp 2,21 0,317. Arcelormittal 2,16 2,438. Steinhoff Intl Holdings Ltd 2,16 0,889. China Unicom Hong Kong Ltd 2,08 1,9110.Olam International Ltd 2,05 0,51

Total 23,73 12,73

Equity Sensitivity (% total)1. Galp Energia Sgps Sa-B Shrs 6,06 2,702. China Unicom Hong Kong Ltd 5,15 4,393. San Miguel Corp 4,56 1,534. Gilead Sciences Inc 4,24 4,755. Sandisk Corp 3,17 1,806. Olam International Ltd 3,14 0,727. Steinhoff Intl Holdings Ltd 2,80 1,288. Lam Research Corp 2,799. Lukoil Oao-Spon Adr 2,71 1,2610.Banco Bradesco S.A. 2,62 0,88

Total 37,26 19,32



Asian Countries (based on underlying equities)

Ratings Region (based on underlying equities)

Sector (based on underlying equities)

NOBC Monde Convertibles – breakdown (% of total AUM)

0

1

2

3

4

5

6

7

8

9

Chin

a

Hong K

ong

Philip

pin

es

Sin

gapore

South

Kore

a

India

Taiw

an

Indonesia

Mala

ysia

0

5

1 0

1 5

2 0

2 5

3 0

3 5

4 0

4 5

5 0

Euro

pe

Am

eri

ca

Asia

ex J

ap

Japan

Afr

ica/M

iddle

East

0 1 0 2 0 3 0 4 0 5 0

A A A

A A

A

B B B

B B

B

C C C

N R

0

5

10

15

20

25

30

Consum

er

Dis

cre

tionary

Info

rmation

technolo

gy

Energ

y

Mate

rials

Health C

are

Fin

ancia

ls

Industr

ials

Consum

er

Sta

ple

s

Tele

com

Utilities


NOBC Monde ConvertiblesBenchmark


Portfolio breakdown by region and sector of underlying equities

Source: Neuflize OBC Investissements, September 30, 2011Benchmark :UBS Global Focus Hedged Convertible IndexPast performances are not a guide to future performances

%AuM %Sensi Africa/Middle East %AuM %Sensi America %AuM %Sensi Asia ex Jap %AuM %Sensi Europe %AuM %Sensi Japan %AuM %Sensi99.0% 100.0% 5.2% 4.4% 20.4% 24.7% 30.7% 33.9% 40.6% 35.5% 2.1% 1.5%

Energy 16.3% 19.1% Polarcus Ltd 0.5% 0.3% Transocean Ltd 2.0% 1.0% Bumi Resources Tbk Pt 1.2% 1.4% Lukoil Oao-Spon Adr 2.8% 2.7%Jinkosolar Holding 0.3% 0.1% Galp Energia Sgps Sa-B Shrs 1.8% 5.9%

Abengoa Sa 1.3% 2.3%Essar Energy Plc 1.2% 1.1%

Technip Sa 1.2% 1.2%Bp Plc 1.1% 1.0%

Tmk-Gdr Reg S 0.8% 0.1%Renewable Energy Corp As 0.8% 0.0%

Maurel Et Prom 0.6% 0.9%Seadrill Ltd 0.5% 0.8%

Theolia 0.2% 0.2%Materials 12.8% 7.8% Aquarius Platinum Limited 1.4% 0.8% James River Coal Co 0.4% 0.3% Tata Steel Limited 2.0% 2.1% Arcelormittal 2.2% 0.8%

Paladin Energy Ltd 0.9% 0.2% Vedanta Resources Plc 2.0% 1.6%Fufeng Group Ltd 0.9% 0.3% Anglo American Plc 1.5% 0.8%

Asia Cement Corp 0.7% 0.6% Talvivaara Mining Co Plc 0.8% 0.2%Industrials 8.9% 5.0% Ship Finance Intl Ltd 0.6% 0.5% China Agri-Industries Hldgs 2.4% 1.0% Intl Consolidated Airline-Di 1.4% 0.4% Asahi Glass Co Ltd 1.3% 0.8%

Ytl Corporation Berhad 1.0% 0.9% Sacyr Vallehermoso Sa 1.1% 0.8%Sas Ab 0.6% 0.1%

Assystem 0.5% 0.6%Consumer Discretionary 24.2% 21.5% Steinhoff Intl Holdings Ltd 2.2% 2.7% Iconix Brand Group Inc 1.2% 1.3% Shangri-La Asia Ltd 2.4% 2.4% Daimler Ag-Registered Shares2.7% 2.2%

Arvinmeritor Inc 1.0% 0.7% Lotte Shoping Co Ltd 2.0% 2.0% Ppr 2.0% 1.8%Brookdale Senior Living Inc1.0% 1.2% Far Eastern New Century Corp1.6% 0.9% Tui Travel Plc 1.2% 0.7%

Maoye International Hldgs 1.4% 0.5% Jaguar Land Rover Plc 1.0% 0.0%Hengdeli Holdings Ltd 1.1% 1.0% Tui Ag 1.0% 1.2%

Intime Department Store 0.7% 0.7% Sol Melia Sa 0.7% 0.5%Home Inns & Hotels Manag-Adr0.5% 0.7% Nokian Renkaat Oyj 0.1% 0.0%

Videocon Industries Ltd 0.4% 1.2%Consumer Staples 5.6% 9.4% Archer-Daniels-Midland Co1.2% 1.0% Olam International Ltd 2.1% 3.1% Pescanova Sa 0.8% 0.8%

San Miguel Corp 1.5% 4.5%Health Care 6.7% 7.9% Gilead Sciences Inc 2.7% 4.2% Ucb Sa 1.8% 2.4%

Illumina Inc 1.1% 1.0% Richter Gedeon Nyrt. 1.0% 0.3%Financials 6.5% 5.9% Emaar Properties Pjsc 1.1% 0.5% Banco Bradesco S.A. 1.8% 2.6% Agile Property Holdings Ltd 1.6% 0.3% Immofinanz Ag 1.1% 0.9%

Kaisa Group Holdings Ltd 0.9% 1.5%Information Technology 14.0% 16.9% Lam Research Corp 1.8% 2.7% Hynix Semiconductor Inc 1.3% 1.5% Cap Gemini 1.2% 1.3% Elpida Memory Inc 0.8% 0.6%

Sandisk Corp 1.6% 3.1% Tpk Holding Co Ltd 0.9% 0.7% Alcatel-Lucent 0.7% 1.0%Emc Corp/Mass 1.4% 1.9% Econocom Group 0.6% 0.6%

Oracle Corp 1.3% 1.4% Misys Plc 0.5% 0.5%Webmd Health Corp 0.9% 1.2% Intralot S.A.-Integrated Lot 0.5% 0.0%

Renesola Ltd-Adr 0.4% 0.2%Telecom 3.2% 5.4% Vimpelcom Ltd-Spon Adr 0.0% 0.3% China Unicom Hong Kong Ltd2.1% 5.0% Wind Acquisition Finance Spa 1.2% 0.0%Utilities 0.8% 1.1% China Power International 0.8% 1.1%


NOBC Monde Convertibles – Performances vs peer group averageand benchmark

Source: Morningstar, September 30, 2011Past performances are not a guide to future performances

* global Euro hedged convertibles bond funds in EUR

** global Euro hedged convertibles bond funds in EUR ranked within the «Global Convertible» list of MorningStar. The selected funds have a track record of at least 3 years with an AUM ≥ €100m.

NB : the fund is fully hedged into € since end 2004 (partially in 2003 & 2004)

31/12/1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010

NOBC MONDE CONVERTIBLES -5,86 -2,37 -11,89 3,38 -0,36 22,25 6,40 12,56 -36,21 47,31 11,57

UBS CB Global Focus Hedged -0,68 -2,06 -11,93 18,76 5,66 3,60 12,93 7,17 -26,83 23,88 9,20

UBS CB Global Focus 3,59 0,38 -22,44 3,48 0,78 12,59 5,31 -0,13 -22,99 21,27 17,22

Morningstar category* 1,46 -1,14 -9,95 6,67 2,51 13,31 7,13 4,30 -26,99 27,54 7,51

Peer Group** average mean 1,51 0,40 -2,25 4,85 3,40 12,00 5,82 5,97 -20,31 27,18 8,49

Peer Group Rank 6 / 6 5 / 7 7 / 8 8 / 9 10 / 11 2 / 15 10 / 15 1 / 20 20 / 22 6 / 23 6 / 25

YTD 1 year 3 years 5 years 10 yearsSince Inception

NOBC MONDE CONVERTIBLES -14,95 -11 ,21 21,58 5,80 24,61 59,47

UBS CB Global Focus Hedged -6,28 -2 ,21 15,69 4,12 36,19 80,65

UBS CB Global Focus -6,29 -0 ,88 25,52 4,37 5,29 67,04

Morningstar category* -8,26 -4 ,75 13,07 -0,76 22,14 73,37

Peer Group average mean -7,31 -4 ,10 14,71 4,92 18,59 39,37

Peer Group Rank 28 / 28 27 / 27 7 / 22 10 / 18 6 / 8 3 / 4

8 0

9 0

1 0 0

1 1 0

1 2 0

1 3 0

1 4 0

1 5 0

1 6 0

d é c . - 0 4 j u i n - 0 5 d é c . - 0 5 j u i n - 0 6 d é c . - 0 6 j u i n - 0 7 d é c . - 0 7 j u i n - 0 8 d é c . - 0 8 j u i n - 0 9 d é c . - 0 9 j u i n - 1 0 d é c . - 1 0 j u i n - 1 1

N O B C M O N D E C O N V E R T I B L E S U B S C B G l o b a l F o c u s H e d g e d M o r n i n g s t a r C a t e g o r y


Basile Schlumberger, Head of Sales

� Direct Line : (00-33) 1 5621 8866

� Cell Phone : (00-33) 6 8462 8375

� Email: [email protected]

Jézabelle Froissart, Senior Sale

� Direct Line : (00-33) 1 5621 7846

� Cell Phone : (00-33) 6 2028 3329

� Email : [email protected]

Robert Vela, Senior Sale

� Direct Line : (00-33) 1 5621 9149

� Cell Phone : (00-33) 7 7734 4598

� Email : [email protected]

For further information, please contact :

Luc Varenne, Head of Convertibles Management

� Direct Line : (00-33) 1 5621 9853

� Cell Phone : (00-33) 6 2425 6460

� Email: [email protected]


Disclaimer

� This document has been prepared by Neuflize OBC Investissements (NOI). a limited company with a capital of 3.651.680 euros. registered under number 410 204 390 at R.C.S. Paris. Principal office: 3 Avenue Hoche. 75008 Paris. France. Authorized and regulated by the Autorité des Marchés Financiers (AMF) under number GP99-27.

� This document is provided for information purposes only and does not constitute a recommendation. invitation or offer to buy or sell securities or other financial instruments.

� While NOI makes reasonable efforts to obtain information from sources which it believes to be reliable. NOI makes no representation or warranty of any kind. either express or implied as to the accuracy. reliability. up-to-dateness or completeness of the information contained herein.

� Please be aware that some of the products and services listed within this document may not be suitable for all investors. Moreover. no security. product or service shall be solicited. offered or sold in any jurisdiction where such activity would be contrary to the securities law or other local law and regulations. or would subject NOI to any registration requirement within such jurisdiction.

� The product(s) referred to in this document is (are) French domiciled and / or authorized for distribution in France. The offer or solicitation of the product(s) may be restricted in certain countries as the shares of the fund(s) may not be registered in your country. Before considering investing. investors should ensure that local regulation allows the offering of the product.

� Before investing in any product of Neuflize OBC Investissements. you should inform yourself about the (financial) risks and any legal or tax consequences. foreign exchange or exchange control restrictions. or any other requirements that you may encounter under the laws of your country.

� Please note that the value of investments may fluctuate and an investor may not receive back the amount originally invested. Where past performance is shown it refers to the past and should not be seen as an indication of future performance. The value and any income arising from any investment referred to may go down as well as up. In particular you may not get back the full amount invested. There can be no assurance or guarantee that investment objectives will be achieved. Where overseas securities are held the rate of exchange may cause the value of the investment to go up as well as down. NOI disclaims any responsibility and liability whatsoever in this respect.

� Parts of this leaflet are extracted from the prospectus of the funds managed by NOI. It is not intended to replace the Prospectus. nor to give a detailed summary. Investments in the funds managed by NOI should only be made after reading the prospectus which can be obtained free of charge from NOI or can be directly downloaded from our website: http://www.neuflizeobcinvestissements.fr

� Any reproduction in full or in part of the content of this document in addition to any retransmission or making available to third parties in any way whatsoever shall be prohibited. Failure to comply with these restrictions shall constitute an infringement.

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