Natixis Souverains EuroA way to transform euro-zone sovereign risk into credit opportunities

Citywire Berlin Conference, 07-09 November 2012

Intended for professional clients only.This material may not be distributed, published, or reproduced, in part or in whole

Natixis Souverains Euro: a portfolio adapted to a new market environment.

30/10/20122

A New Market Configuration

The distinction between peripheral (where the credit risk prevails) and core (interest rate risk + liquidity premium) countries is no longer relevant in light of the widening spreads of the AAA-rated issuers during the second half of 2011.

The overall market behaves like a credit market.

Issuer segmentation has increased:• Most at risk AAA-rated countries

• Creditworthy countries but difficult to tap the market

• Insolvency

30/10/20123

Euro Sovereign Debt Investment philosophy

Sovereign debts yields move according to macroeconomics fundamentals but also to

domestic issues

Risk appetite impacts sovereign debts valuations

The granularity of the sovereign universe is low

Duration and curve strategies can deliver alpha globally but also at country level

Our convictions are built qualitatively with fundamental and technical inputs

Intra-country spreads and diversifications increase the number of strategies

Repeatable alpha must be associated with a rigourous risk framework

Strategy calibration includes all possible market risks indicators

04/10/20124

Core beliefs Investment principles

Specialist Committees

Interest rates Credit

Inflation

Sector Teams

Euro sovereign debtselection/ Agencies &

supranationalsCovered

Cyclical Defensive

Financial ABS

5 30/10/2012

Idea Generation

Objective: • Views on asset classes

Optimal organization to define our views & rating

• A short decision process

• A committee dedicated to country allocation since 2008

Objective: • Security selection (rating)

Idea Generation

Provides inputs for Natixis Souverains Euro

Emerging/Currency

Performance

30/10/20126

Performance of the Euro Fixed Income Government Bond Composite

30/10/20127

Referring to any ranking or award does not guarantee future results of the fund or the investment manager. The figures given refer to previous years. Past performance is not a reliable indicator of future performance. The full GIPS disclosure is provided in Appendix.

Euro Fixed Income Government Bond Composite January 2009-September 2012

90

95

100

105

110

115

120

125

Februa

ry-09

April-0

9Ju

ne-09

Augus

t-09

Octobe

r-09

Decem

ber-0

9Feb

ruary-

10Apri

l-10

June

-10Aug

ust-1

0Octo

ber-1

0

Decem

ber-1

0Feb

ruary-

11Apri

l-11

June

-11Aug

ust-1

1Octo

ber-1

1

Decem

ber-1

1Feb

ruary-

12Apri

l-12

June

-12Aug

ust-1

2

Basi

s 10

0 Ja

nuar

y 20

09

Perf. Gross of feesPerf. Benchmark

Performance of the Euro Fixed Income Government Bond Composite’s Most Representative Account

30/10/20128

As of 28/09/2012

Account(cumulative, nof)

Benchmark(cumulative, nof)

Excessreturn

AnnualizedTracking

Error

Information ratio

1Y 7.99 6.98 +1.02 0.97 0.97

3Y 15.34 11.12 +4.22 1.00 1.25

AUM €m 28/09/12

Perf YTD 28/09/12

Quartile 1Y Lipper*28/09/2012

Decile 3Y Lipper*28/09/2012

I/A EUR Share of the account 914 7.94 1 1

Spurce: Natixis Asset Management

*As at end-September 2012. Quartile rankings: each fund is ranked by quartile among a universe of funds marketed in France and belonging to the same Lipper category. Referring to any rankor award does not guarantee future results of the fund or the investment manager. The figures given refer to previous years. Past performance is a not a reliable indicator of future performance

Historical Tracking Error – Euro Fixed Income Government Bond Composite’s Most Representative Account.

Sept. 2007- Sept. 2012

Information Ratio

*Source: MPI Stylus Pro, As at end June 2012, Universe: Lipper "Bond Eurozone“ category made up of 72 funds that are marketed in France .

9

• Moderate tracking error and rising alpha generation result in greater information ratio

30/10/2012

The Increasing Weight of Country Selection as Alpha Driver

• Country selection has been essential in the Euro Fixed Income Government Bond composite’s most representative account’s outperformance since 2008.

*Source: Point, calculations Natixis AM, as of 30/09//2012

-1.0 -0.5 0.00.51.01.52.02.53.03.54.0

2004

2005

2006

2007

2008

2009

2010

2011

2012

(%)

Global duration contribution Global maturity contributioncountry selection contribution Global excess-return

10 30/10/2012

Diversified Strategies with Country & Maturity Selection

• Strong convictions per country and per maturity have multiplied the sources of added value (Euro Fixed Income Government Bond’s most representative account as at end August 2008).

30/10/201211

Country Allocation/Selection Attribution

-100-50

050

100150200250300350400

2009 2010 2011 2012

(bp)

France Germany Greece Ireland

Italy Portugal Spain Total

*Source: Point, calculations Natixis AM, as of 30/08/2012

Recent strategies

30/10/201212

Global Duration Management

30/10/20121313

• The range of modified duration decisions has narrowed in recent years reflecting more management being done at country level and no major trend on the average yield.

Global Duration of Natixis Souverains Euro

-20%

-15%

-10%

-5%

0%

5%

10%

15%

20%

Jan-

02

Jan-

03

Jan-

04

Jan-

05

Jan-

06

Jan-

07

Jan-

08

Jan-

09

Jan-

10

Jan-

11

Jan-

12

(% o

f ben

chm

arck

)

0%

1%

2%

3%

4%

5%

6%

Modified Duration Euro Sov. Avg Yield (EMTS Index)

Source: Natixis AM, as of 12/09/2012.

Country Allocation : Spain

30/10/20121414

• Different strategies for Spain with a majority of underweight positions, and a regular outperformance

Spanish allocation of Natixis Souverains Euro

-0.40

-0.30

-0.20

-0.10

0.00

0.10

0.20

Dec-0

9

Mar-1

0May

-10

Aug-1

0

Oct-10

Dec-1

0

Mar-1

1May

-11

Aug-1

1

Oct-11

Dec-1

1

Mar-1

2May

-12

Aug-1

2

(mod

ified

dur

atio

n ve

rsus

ben

chm

ark)

0.00

1.00

2.00

3.00

4.00

5.00

6.00

7.00

8.00

(%)

Exposure 5 Yr Rate (%, r.h.s.)

+7 bp +19 bpImpact : +25 bp

Source: Natixis AM, as of 12/09/2012.The figures given refer to previous years. Past performance is a not a reliable indicator of future performance.

Country Allocation : Spain Curve Strategy

30/10/20121515

• A steepening anticipation throughout the last few years, until very recently

Spain: maturity allocation of Natixis Souverains Euro

-0.30

-0.20

-0.10

0.00

0.10

0.20

0.30

0.40

0.50

0.60

0.70

Dec-09

Mar-10

May-10

Aug-10

Oct-10

Dec-10

Mar-11

May-11

Aug-11

Oct-11

Dec-11

Mar-12

May-12

Aug-12

(mod

ified

dur

atio

n ve

rsus

ben

chm

ark)

0.00

0.50

1.00

1.50

2.00

2.50

3.00

3.50

4.00

(%)

2-10 Yr Exposure 2-10 Yr slope (%, r.h.s.)

Stee

peni

ng p

ositi

onFl

atte

ning

pos

ition

Source: Natixis AM, as of 12/09/2012.The figures given refer to previous years. Past performance is a not a reliable indicator of future performance.

Country Allocation : Greek Strategies

30/10/20121616

•A large exposure on short term Greece which matured last August, with a strong positive impact on performance •No other holdings : Greece’s under performance also positively contributed

Greece: allocation of Natixis Souverains Euro

-40%

-30%

-20%

-10%

0%

10%

20%

30%

40%

50%

60%

Dec-0

9

Mar-1

0

May-1

0

Aug-1

0

Oct-10

Dec-1

0

Mar-1

1

May-1

1

Aug-1

1

Oct-11

Dec-1

1

Mar-1

2

-0.15

-0.10

-0.05

0.00

0.05

0.10

0.15

0.20

0.25

Exposure (% of assets, l.h.s.) 2 Yr Rate (%, l.h.s.) mod.duration (vs bench.)

+210 bp +8 bpImpact : +49 bp

Source: Natixis AM, as of 12/09/2012.The figures given refer to previous years. Past performance is a not a reliable indicator of future performance.

Outlook for Euro-Zone Sovereign Debt

30/10/201217

G4 Interest Rates : Scoring and Conclusion On 10 Yr €

18 30/10/2012

Impact scores: -, =, +

Conclusion scores rank from -2 to +2, -1 meaning higher rate

Source: Natixis AM, as at 24/10/2012

Yield : bearish above 1.40%, 1.60% as a support, if 1.69 broken then 1.73, 1.95, 2.07

=/-Technical A.

Fair value : 1.95% on 10y -Equilibrium Model

Consensus Duration slightly Short and Peripherals are now overweight vs core !

=/-Consensus

Year end issuance : net <0 for Core, high pressure for peripherals (25% remaining)

=Flows

Signals : Higher Yield / Steeper curve-Quant. Model

Still waiting for spanish official demand for OMT=/-Conclusion

Better economic data in the US=/-Macro

CommentImpact(1 month)

Inputs :

Yield : bearish above 1.40%, 1.60% as a support, if 1.69 broken then 1.73, 1.95, 2.07

=/-Technical A.

Fair value : 1.95% on 10y -Equilibrium Model

Consensus Duration slightly Short and Peripherals are now overweight vs core !

=/-Consensus

Year end issuance : net <0 for Core, high pressure for peripherals (25% remaining)

=Flows

Signals : Higher Yield / Steeper curve-Quant. Model

Still waiting for spanish official demand for OMT=/-Conclusion

Better economic data in the US=/-Macro

CommentImpact(1 month)

Inputs :

Sovereign Debt Selection Conclusions

30/10/20121919

• Outperformance of Belgium and Finland in the Core countries.

• Our anticipations recently changed, from Negative to Neutral or Positive, on Spain, Italy and Ireland, as a result of the ECB OMT operations.

The anticipation ranges from -2 to +2 and expresses a change of spread versus Germany : -2

equals strong widening

Source: Natixis AM, as at 24/10/2012

2Y 5Y 10Y 30Y TotalFinland 0 0 2 0 1Netherlands 0 0 -1 0 0Austria 0 1 1 0 1France 0 0 0 0 0Belgium 0 1 1 1 1

Spain 0 0 0 0 0

Italy 1 1 1 1 1Ireland 1 1 1 0 1Portugal 0 -1 -1 -2 -1

Opportunities

• Core country interest rates and ECB key policy rates should remain low in light of the mild recession anticipated in the Euro zone for 2012

- The 2-year German yield (+0,11% as of 18 October 2012) has reached the nadir and should remain stable at this historically low level in 2012 and probably next year too. The 10-year German yield should remain close to our model’s equilibrium level.

• AAA downgrade: both a threat and an opportunity

- S&P put most Euro-zone countries under watch and stripped France and Austria of their AAA rating on 13 January 2012. Further downgrades would have an impact on AAA indices.

- Market perception, which affects spread volatility, has quickly changed during the summer. Foreign central banks bought French, Belgium, Austrian and Finnish debts during the last few months. They diversified their German holdings and their perception of the zone’s stability has improved.

• The euro crisis is fading but not over yet.

- The auctions in the Euro zone are well on their schedule, particularly for the Core countries which might seek to pre-fund their 2013 borrowing needs by taking advantage of low spreads and yields.

- In Spain and Italy, the last quarter is always essential for their funding needs and, at some point, they will have to finance their debt on longer maturities. In fact, so far this year, they have favoured short maturities (generally within 3 years) with the LTRO operations. After they officially ask for financial support, the OMT operations should offer them support.

- With the new measures taken by the ECB and the federalisation of the banking sector, financial pressures should ease within the Euro Zone but these solutions have a great cost in terms of growth and social pressure may be an issue in some countries in the months to come.

30/10/201220

Source: Natixis AM, as at 18/10/2012

Why allocate to Euro-zone government and not credit or global bonds?

21

Sovereign Rates versus Credit

Source: Natixis AM, Barclays (12/10/2012)

• Credit spreads have narrowed strongly since the crisis of 2008 (barclays index) :

5 Yr € average yields

0%

1%

2%

3%

4%

5%

6%

7%

8%

Oct-08

Oct-09

Oct-10

Oct-11

Oct-12

Sovereign rate Corporate rate

22

Allocating to Government bonds ex Euro? Correlations

• Correlation is very high and stable between Euro and G4 (US, UK, Jap, Euro).• Emerging markets bring a strong diversification :

12M rolling correlation of normalized returns

-60%

-40%

-20%

0%

20%

40%

60%

80%

100%

120%

Feb-04

Feb-05

Feb-06

Feb-07

Feb-08

Feb-09

Feb-10

Feb-11

Feb-12

Emerging Markets / G4 Euro / G4 Euro AAA / G4

Source: Natixis Asset Management , Barclays (10/10/2012)

23

Appendices

30/10/201224

Fair Value Model : 10-Year € Yield Valuation

• The market price and fair value have recently converged as a result of weaker macro data and less “flight to quality” premium

-2

-1

0

1

2

3

4

5

6

Jun-

00

Dec

-00

Jun-

01

Dec

-01

Jun-

02

Dec

-02

Jun-

03

Dec

-03

Jun-

04

Dec

-04

Jun-

05

Dec

-05

Jun-

06

Dec

-06

Jun-

07

Dec

-07

Jun-

08

Dec

-08

Jun-

09

Dec

-09

Jun-

10

Dec

-10

Jun-

11

Dec

-11

Jun-

12

-2

-1

0

1

2

3

4

5

6

Bund 10-year yield (Generic Bloomberg, %)

Distance to Fair Value (%)

Fair Value (%)

Source: Bloomberg, Natixis AM

10-year German Bund Yield (spot & fair value)

Variables : ISM, money-market, foreign holdings

25 30/10/2012

Source: Natixis AM, as at 04/10/2012

Sovereign Volatility versus Credit

Source: Natixis Asset Management , Barclays (12/10/2012)

• During crisis volatility rises and is currently higher on sovereigns :(12m rolling volatility on 5yr barclays index)

Volatility

0%

1%

2%

3%

4%

5%

6%

Oct-03

Oct-04

Oct-05

Oct-06

Oct-07

Oct-08

Oct-09

Oct-10

Oct-11

Sovereign Credit

26

27

Awards 2012

Citywire Awards

• Olivier de Larouzière ranked 3 out of 27 in the 2012 Citywire ranking of the Best managers in the euro zone Bond - Lipper Global France category over a 3-year period(1)

• Olivier de Larouzière is rated AAA in the euro zone Bond - Lipper Global France category(2)

Swiss Lipper Fund Awards

• Best Fund in the euro zone bond category over a 3, 5 and 10-year period(3)

30/10/201228

The figures given refer to previous years. Past performance is a not a reliable indicator of future performance. Referring to any ranking or award does not guaranteefuture results of the fund or the investment manager. (1) Source: Lipper, within a universe of funds marketed in France and belonging to the same Lipper category (Bond Eurozone) which comprises 116 constituents over 3 years. (2) Source: Citywire. (3) Source: Lipper. Universe: Funds registered for sale in Switzerland. The methodology can be found on Lipper website www.lipperweb.com

28

29

Olivier de LarouzièreHead of Interest Rates, Senior Portfolio Manager

Olivier de Larouzière began his career in 1994 at Ecureuil Gestion, the fund management arm of the French Savings Bank. He successively managed money market, European and global fixed income funds. He joined BNP-Paribas in 1998 as fixed income proprietary trader and then Credit Lyonnais Asset Management in 2001 as senior fixed income portfolio manager. Olivier de Larouzière joined Ixis Asset Management in 2003 as Head of Euro Aggregate investment team. In 2005 he became Head of the Euro Government and Aggregate investment team. In 2007, Olivier de Larouzière began working as head of the Interest Rates and Currency team within Natixis Asset Management. Since 2010, Olivier has been the head of the Euro Fixed Income team.

Olivier de Larouzière holds a diploma of Advanced Studies in Mathematics Applied to Economic Studies from the University of Paris IX - Dauphine.

Olivier de Larouzière has 17 years of experience and has been working within our company for more than 9 years

.

Biography

Legal information

Natixis Asset ManagementRegistered Office: 21 quai d’Austerlitz – 75 634 Paris Cedex 13 – Tel. +33 1 78 40 80 00Limited Liability Company, Share Capital 50 434 604,76 eurosRegulated by AMF under n°GP 90-009RCS Number 329 450 738 Paris

Natixis MultimanagerRegistered Office: 21 quai d’Austerlitz – 75 634 Paris Cedex 13 – Tel. +33 1 78 40 32 00 Regulated by AMF under n°GP 01 054 A French simplified joint-stock company Share Capital of 7 536 452 euros – RCS Number 438 284 192 Paris

This document is destined for professional clients. It may not be used for any purpose other than that for which it was conceived and may not be copied, diffused or communicated to third parties in part or in whole without the prior written authorization of Natixis Asset Management.

None of the information contained in this document should be interpreted as having any contractual value. This document is produced purely for the purposes of providing indicative information. It constitutes a presentation conceived and created by Natixis Asset Management from sources that it regards as reliable.

Natixis Asset Management reserves the right to modify the information presented in this document at any time without notice and particularly the information concerning the description of the management processes which does not in any way constitute a commitment on behalf of Natixis Asset Management.

Natixis Asset Management will not be held responsible for any decision taken or not taken on the basis of information contained in this document, nor in the use that a third-party may make of it.

Figures mentioned refer to previous years. Past performance does not guarantee future results. Reference to a ranking and/or a price does not indicate the future performance of the UCITS or the fund manager.

The funds mentioned in this document have received the approval of the French Financial Market Authority (AMF) or have received authorization to be marketed in France. The risks and costs related to investment in a fund are described in the fund’s prospectus. The prospectus and the periodical reports are available on request from Natixis Asset Management. Potential subscribers must be in possession of a copy of the prospectus before making any subscription.In the case of funds that qualify for a special tax status, we remind potential investors that the special tax conditions depend on the individual situation of each customer and that such conditions may be subject to future modification.

Under Natixis Asset Management’s social responsibility policy, and in accordance with the treaties signed by the French government, the funds directly managed by Natixis Asset Management do not invest in any company that manufactures sells or stocks anti-personnel mines and cluster bombs.

30 30/10/2012

Additional Notes

This material has been provided for information purposes only to investment service providers or other Professional Clients or Qualified Investors. It is the responsibility of each investment service provider to ensure that the offering or sale of fund shares or third party investment services to its clients complies with the relevant national law.

In Germany and Austria This material is provided by NGAM S.A. or its branch office NGAM S.A., Zweigniederlassung Deutschland. NGAM S.A. is a Luxembourg management company that is authorized by the Commission de Surveillance du Secteur Financier and is incorporated under Luxembourg laws and registered under n. B 115843. Registered office of NGAM S.A.: 51, avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg. Registered office of NGAMS.A., Zweigniederlassung Deutschland (Registration number: HRB 88541): Im Trutz Frankfurt 55, Westend Carrée, 7. Floor, Frankfurt am Main 60322, Germany.

The above referenced entity is a business development unit of Natixis Global Asset Management, the holding company of a diverse line-up of specialisedinvestment management entities worldwide. The investment management subsidiaries of Natixis Global Asset Management conduct any regulated activities only in and from the jurisdictions in which they are licensed or authorized. Their services and the products they manage are not available to all investors in all jurisdictions.

Although Natixis Global Asset Management believes the information provided in this material to be reliable, it does not guarantee the accuracy, adequacy, or completeness of such information.

The provision of this material and/or reference to specific securities, sectors, or markets within this material does not constitute investment advice, or a recommendation or an offer to buy or to sell any security, or an offer of services. Investors should consider the investment objectives, risks and expenses of any investment carefully before investing. The analyses, opinions, and certain of the investment themes and processes referenced herein represent the views of the portfolio manager(s) as of the date indicated. These, as well as the portfolio holdings and characteristics shown, are subject to change. There can be no assurance that developments will transpire as may be forecasted in this material.

This material may not be distributed, published, or reproduced, in whole or in part.

All amounts shown are expressed in USD unless otherwise indicated.

Additional Notes – Authorized Countries – Professional Investors – Germany & Austria Customized