THE KEY TO THE CURRENT INTEREST RATE ENVIRONMENT PARVEST ENHANCED CASH 6 MONTHS

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1 THE KEY TO THE CURRENT INTEREST RATE ENVIRONMENT PARVEST ENHANCED CASH 6 MONTHS ANTONIO SERPICO London, 3 October 2017 FOR PROFESSIONAL INVESTORS MARKETING COMMUNICATION

2 Contents Introduction to euro fixed income short-term management Parvest Enhanced Cash 6 Months Main features Performance Portfolio exposure Investment policies and strategies 02/10/2017 2

3 1 INTRODUCTION TO EURO FIXED INCOME SHORT TERM MANAGEMENT 02/10/2017 3

4 Introduction to euro fixed income short-term management Market environment & client expectations Characteristics and key strengths Money market rates have been negative for some time Euro bond market High volatility Advantages of active management expertise Net return above money market s performance on a six-month to oneyear investment horizon Focus on risk control experience 02/10/2017 4

5 Introduction to euro fixed income short-term management Eonia index set to remain negative and volatile for a prolonged period Source: BNP Paribas Asset Management, Bloomberg 31/08/2017 Eonia fixing on a daily basis 02/10/2017 5

6 Enhanced cash strategy A combination of fundamental and tactical approaches Investment objective The enhanced cash strategy is designed to outperform EONIA significantly: - based on the euro fixed income team s best ideas and major bets - benefiting from strict risk monitoring to control performance volatility. Parvest Dynamic Portfolio Eonia approach portfolio composition FUNDAMENTAL Short to medium-term bonds Managed actively TACTICAL Euro Fixed Income team best strategies Opportunistic Enhanced cash profile Additional alpha 02/10/2017 6

7 2 PARVEST ENHANCED CASH 6 MONTHS 02/10/2017 7

8 Parvest Enhanced Cash 6 Months Fund main features Fund Main Features Benchmark Target objective Investment universe Fund Structure Eonia capitalised (EUR) Outperform the euro money market rate (Eonia) over a recommended investment period of 6 months Short-term bonds, commercial papers in fixed or floating rates Sub-fund of the PARVEST UCITS V sicav registered under the Luxembourg law Inception date 30/10/2007 Investment horizon 6 months minimum recommended Ex-ante volatility budget Max 1% NAV calculation Daily ; settlement D+3 max All-inclusive fees (OCR*) LU Institutional share 0,20% LU Classic share 0,40% LU Privilege share 0,28% Portfolio Manager Antonio Serpico AUM EUR 3.9 billion as at end August 2017 Asset manager SRRI BNP Paribas AM Luxembourg (delegated to BNP Paribas AM France) 2 on a scale 1 to 7, the higher the risk, the longer the recommended investment horizon Source: BNP Paribas Asset Management. 31/08/2017 The above rules are internal guidelines mentioned for your information only and subject to change. Prospectus and KIID guidelines are leading. *all inclusive fees OCR: on-going charge ratio as of last publication or estimated. 02/10/2017 8

9 Parvest Enhanced Cash 6 Months Performance gross of fees as at end August 2017 (for illustration only) Source: BNP Paribas Asset Management performances gross of fees Past performance or achievements are not indicative of current or future performance. 02/10/2017 9

10 Parvest Enhanced Cash 6 Months Portfolio exposure as at end August 2017 Key figures as at end June 2017 Number of securities 423 Weighted average maturity in years (Excluding futures) Approximately 25% of the total assets exposed to peripheral countries Around 25% of the portfolio in floating rate notes Fund duration is actively managed WAM (days) (Excluding Futures) 892 Modified duration 0.78 Yield to Maturity 0.48% Floating Rate Notes indexed to Euribor 3M 25.25% Country breakdown Weight (%) Australia 0.43% Austria 0.08% Belgium 2.04% Denmark 0.09% Finland 0.21% France 19.49% Germany 6.55% Ireland 0.54% Italy 16.62% Japan 0.12% Luxembourg 0.08% Mexico 0.21% Netherlands 1.59% New Zealand 0.13% Norway 0.16% Portugal 0.83% South Africa 0.15% Spain 7.89% Sweden 1.90% Switzerland 1.28% United Kingdom 14.25% United States 15.06% Cash and equivalent 10.31% * Excluding futures; Source: BNP Paribas Asset Management / Proges as at end August /10/

11 Parvest Enhanced Cash 6 Months Portfolio exposure as at end August 2017 Median rating Weighting % AAA 0.00 AA 3.38 A BBB BB 9.29 B 1.97 Sector Weighting % Credit Corporate Financial Senior Financial Subordinated debts 7.91 Government Bonds 6.59 Cash & UCITS Non-rated 0.63 Cash & UCITS Source: BNP Paribas Asset Management/ Proges as at end August Mutual funds include money market funds and other euro fixed-income mutual funds 02/10/

12 Parvest Enhanced Cash 6 Months Investment policies portfolio exposure as at end August Focus on modified duration Portfolio s modified duration (MD in years) compared to German 5 Y yield (in %) Source: Bloomberg / Proges / BNP Paribas Asset Management as at end August /10/

13 Parvest Enhanced Cash 6 Months Investment policies portfolio exposure as at end August Subordinate and high-yield financials BB and non-rated in weight (in %) Subordinated in weight (in %) Source: Proges / BNP Paribas Asset Management as at end August /10/

14 Parvest Enhanced Cash 6 Months Active management on high-beta bonds Based on the major bets and best ideas of the team to capture market inefficiencies and enhance the portfolio s returns Tactical bucket (weight in % ) Tactical bucket includes the following Subordinated financial bonds High-yield bonds with maturities superior to 3 months Non-rated debts with maturities superior to 6 months Euro government bonds issued by peripheral countries with maturities superior to 3 years Euro inflation-linked bonds These internal guidelines are mentioned for your information only and are subject to change. Prospectus and KIID guidelines are leading. Source: BNP Paribas Asset Management as at end August 2017 Past performance or achievements are not indicative of future performance. 02/10/

15 Short-term bond euro aggregate strategies Flexible Benchmark + 50bp Eonia+100bp 18 months Eonia+ 70bp 6 months Parvest Enhanced Cash 6 Months 1 year Enhanced Cash 1 year strategy with SRI approach Parvest Bond Euro Short Term Active benchmarked management Source: BNP Paribas Asset Management Euro Sovereign & Aggregate Investments as at end August /10/

16 Disclaimer BNP PARIBAS ASSET MANAGEMENT UK Limited, the investment company, is authorised and regulated by the Financial Conduct Authority. Registered in England No: , registered office: 5 Aldermanbury Square, London, England, EC2V 7BP, United Kingdom. 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. investment advice. This material makes reference to certain financial instruments authorised and regulated in 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 and the Key Investor Information Document (KIID) 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 to the financial instrument(s) should read carefully the most recent prospectus and Key Investor Information Document (KIID) and consult the financial instrument(s ) most recent financial reports. These documents are available on the website. Opinions included in this material constitute the judgement of the investment management company at the time specified and may be subject to change without notice. The investment management company 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 an investor 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 financial instruments may have a significant effect on the results presented 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. This document is directed only at person(s) who have professional experience in matters relating to investments ( relevant persons ). Any investment or investment activity to which this document relates is available only to and will be engaged in only with Professional Clients as defined in the rules of the Financial Conduct Authority. Any person who is not a relevant person should not act or rely on this document or any of its contents. All information referred to in the present document is available on 02/10/

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