August 2011

BNPP Investment Partners and FFTWFirm Overview

Firm Overview

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BNP Paribas Investment Partners Within BNP Paribas Group

BNP Paribas Personal Investors

BNP Paribas Real Estate

BNP Paribas Investment Partners

BNP Paribas

Assurance

BNP Paribas Wealth

Management

BNP Paribas SecuritiesServices

Retail Banking Investment Solutions Corporate and Investment Banking

BNP Paribas

● BNP Paribas Investment Partners: – Assets under management:

● US$783 billion*– International presence:

● 3,800 professionals worldwide in 43 countries

– Financial strength:● BNP Paribas rated AA by

Standard & Poor’s

FFTW is the U.S. and Global Fixed Income Partner for BNP Paribas Investment Partners

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Source: BNP Paribas Investment Partners, as of June 30, 2011. All figures, including AUM figures, are as of June 30, 2011. * Including assets under advisory.

Middle East29%

Africa3%

N. America30%

L. America & Caribbean

4%

Europe15%

Australia/NZ1%

Asia18%

Equities20%

Currency6%

Balanced1%

Money Markets18%

Commodities4%

Fixed Income51%

● Importance ─ BNPP IP client base includes 57 Central Banks, Supranationals and Sovereign Wealth Funds totalling

USD 67 billion in assets─ 28 clients at FFTW with USD 30 billion in assets under management

● FFTW Experience ─ Client relationships with Central Banks since 1975 and Official Institutions since 1976─ Longest relationship: 36 years─ Most recent relationship: 2011

Asset Class

Central Banks & Official Institutions Are An Important Part of Our Business

Client Domicile

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Source: BNP Paribas Investment Partners, as of June 30, 2011. Pies and figures include assets under advisory of US$13 billion.

Recognized Expertise in Asset Management - Solid Ratings

● Fitch awarded an M2+ rating to BNPP IP for global asset management activities, including the bond activities delegated to FFTW

● The rating was reaffirmed in April 2010 and January 2011

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FFTW Overview

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● Dedicated to fixed income since 1972

● Focused product range

● Specialised investment teams

● One central investment philosophy

● Committed to building long-term client relationships

● Backed by BNP Paribas

FFTW Has a Rich History Specializing in Fixed Income

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Source: FFTW.AUM (assets under management) data includes approximately US$12.5 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of May 31, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

2001Began managing segregated

inflation-linked accounts

2002Began managing first

segregated currency overlay account

2006Became a wholly-owned

subsidiary of BNP Paribas1999

Announced formation of strategic alliance with BNP

Paribas

1997Added Asian credit capability

1995Opened Singapore

office

2010Fortis Investment

Management’s fixed income unit merged with FFTW

1986Purchased first ABS security

1984Launched first mortgage only

account

1988Began managing

global fixed income

1989Opened London

office

1975Gained first central bank client

1974Started managing short-term

and cash management accounts

1972FFTW founded; began managing fixed income

portfolios

2006Established emerging market

local bond strategy

2010Introduced emerging market

corporate debt capability

2011Initiated diversified real

return strategy

2011As of May 31, 2011, $52.8

billion in assets under management and advisory

Central Banks, Official

Institutions & SWF59%

Public Institutions

2%

CDO1%

Corporate6%

Insurance6%

Subadvised/Other Funds

25%

Endowments, Foundations

and Non-Profits1%

Source: FFTW. Figures may not add to 100% due to roundingAUM (assets under management) data includes approximately US$12.1 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of March 31, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

FFTW’s Client Base Invests Across Multiple Sectors

Assets by MandateAssets by Mandate Assets by Client Domicile

Assets by Client Type

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Emerging Debt9%

US3%

US Short Term18%

Global Short Term10%

Alpha Strategies2%

Inflation-Linked10%

Global47%

CDO1%

Europe25%

Middle East10%

Australasia0.3%

Americas47%

Africa4%

Asia14%

Europe2%

Latin America & Caribbean

8%

Asia24%

Middle East16%

Africa6%

North America44%

Emerging Markets1%

Currency1%

Global Aggregate53%

Global Sovereign11%

US & Global Short Duration

20%

Inflation-Linked12%

Multi-Strategy Alpha

1%

Mortgages1%

Central Banks & Official Institutions are an Important Part of Our Business

● Importance– Client base includes 17 Central Banks and 11 Supranationals, Official Institutions and Sovereign Wealth Funds– AUM at June 30, 2011, of US$30 billion

● Experience – Client relationships with Central Banks since 1975 and Official Institutions since 1976– Longest Central Bank relationship: 36 Years– Most recent Central Bank relationship: 2011

Source: FFTW. Figures may not add to 100% due to roundingAUM (assets under management) data includes approximately US$12.5 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of June 30, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

GeographyMandate

Emerging Markets1%

Currency1%

Global Aggregate53%

Global Sovereign11%

US & Global Short Duration

20%

Inflation-Linked12%

Multi-Strategy Alpha

1%

Mortgages1%

Europe2%

Latin America & Caribbean

8%

Asia24%

Middle East16%

Africa6%

North America44%

FFTW Central Bank and Official Institution Business

GeographyFixed Income Mandate Type

Source: FFTW. Figures may not add to 100% due to roundingAUM (assets under management) data includes approximately US$12.5 billion in advisory assets and may as a result differ from AUM data disclosed on Form ADV. Further, AUM data is generally calculated based on current or recent market values. However, certain assets (including guaranteed investment contracts) are marked at book value. Such assets may represent a material portion of assets under management from time to time, so different asset pricing methodologies may result in different calculations of assets under management. As of June 30, 2011, the AUM data represents assets managed and/or advised by Fischer Francis Trees & Watts, Inc., Fischer Francis Trees & Watts UK Limited, Fischer Francis Trees & Watts Singapore Limited and fixed income assets of the Chicago office of Fortis Investment Management USA, Inc.

Central Banks & Sovereign Wealth Funds Official Institutions

As of May 31, 2011.

Central Banks & Official Institutions – A Range of Mandates

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Inception Date Benchmark1/1/1975 US 1 Year Treasury Bill9/1/1989 65% JPM 1-5 year USD + 35% BIS overnight call rate

10/15/1996 70% 3 Month T-Bill, 30% 2 Year T-Note8/5/1999 JPM GBI Hedged, 1 Year Governments

6/20/2003 US LIBOR 50% Hedged 1/1/1984 US 1 Year Treasury Bill6/5/2000 Barclays Mortgage Index

10/1/1984 Duration Adjusted US Treasury Index2/7/1996 Custom Weighted JPM GBI8/2/1999 50% JP GGBI US + 40% JP GGBI EUR + 10% BARCAP US TIP3/1/2001 Custom Blend of US Treasuries, Agencies, Reverse Repos and Time Deposits4/9/2001 JPM GGBI with 15% JPY cap, 100% USD Hedged

8/17/2001 Barclays Global Agg G6, A3/A-1/7/2002 Custom Weighted WGBI, 60% Hedged4/2/2002 ML Global Government Bond Index 1-3 ex-Japan 100% USD Hedged

10/31/2003 JPM Government Index Broad, 100% USD Hedged11/10/2003 ML 1-3 Index Customized Weights12/31/2004 Currency Overlay12/1/2005 JPM GGBI 1-3 yr with Fixed Weights: 75% USD, 20% German, 5% GBP1/22/2007 80% ML Global Govt 1-10 Year; 20% ML Mortgage NMA Master, 100% USD hedged 1/30/2007 ML Global Governments, Inflation-Linked 4/1/2007 Barclays Mortgage Index

2/29/2008 JPMorgan Government Bond Index2/29/2008 80% G7 Bond Index, Hedged + 20% Custom LIBID Weightings3/28/2008 ML Global Govt Bond Index G7, 1-3 Year, 100% USD Hedged3/19/2009 ML US Treasuries, Inflation-Linked8/4/2009 ML US Government Treasury 1-5 Years Index

11/1/2010 Customized ML Government Bill Index4/27/2011 Barclays Capital World Government Inflation-Linked Index ex JP 100% USD hedged5/2/2011 3-Month EURIBOR

Inception Date Benchmark1/1/1976 US 3 Month Treasury Bill

8/15/1998 80% JPM GGBI 1TO5 yrs + Custom Weighted USD, Euro, JPY and GBP cash indexes8/23/2004 Barclays Global Aggregate Index6/6/1986 ML 3 Month LIBOR

12/21/1990 Barclays Global Aggregate Index, 100% hedged into USD7/21/1995 Barclays Global Aggregate, ex US AGG, ex Euro Dollars & ex 144A, 100% USD Hedged8/3/1995 Barclays Global Aggregate Index, 100% hedged into USD

5/31/2006 ML 3 Month LIBOR7/1/1992 JPM 3-month Cash Index

8/21/1992 JPM Global Bond Index ex Japan12/10/1996 JPM Global Bond Index ex Japan3/1/1994 Barclays Global Aggregate G4 (EUR, GBP, JPY, USD)

12/11/1996 JPM Global Bond Index, 100% hedged into USD6/2/1998 Barclays Global Aggregate Index (LGA 300), 75% Hedged

7/31/2003 Citi WGBI 1-3 year, ex-Japan7/28/2000 Barclays Global Agg,ex-JPY AA or Better, 50% Hedged7/28/2000 Barclays Global Agg, ex-JPY AA or Better, 50% Hedged4/2/2001 JPM Global Bond Index, 100% hedged3/1/2002 JPMorgan Global Government Bond Index

12/1/2003 JPM GBI Hedged, 1 Year Governments11/16/2005 60% Barclays Global Inflation Linked Index + 40% Barclays Global Agg, 100% Hedged1/22/2007 1 Month LIBOR6/1/2007 6 Month LIBOR8/1/2008 50% ML US Treasury Notes, 50% ML US Govt/Corp 1-3 Year

12/3/2009 ML 3 Month US Treasury Bill Index5/3/2010 3 Month LIBOR

11/1/2010 Customized Barclays Global Aggregate Index

FFTW Investment Organization Chart

GLOBAL CIO, FFTW

CEO, FFTW

INVESTMENT RISK & PERFORMANCE TEAM

CREDIT RESEARCH

• Sourced from FFTW affiliate BNP Paribas Asset Management’s credit analyst resources

PRODUCT SOLUTIONS DIVISION

GLOBALUSSHORT DURATION & ABSOLUTE RETURN

PORTFOLIO MANAGEMENT

ALPHA TEAMS

CURRENCIESGLOBAL RATES

EMERGING DEBT

SECTOR ROTATION

MONEY MARKETS

STRUCTURED SECURITIES

EMERGING DEBT

QUANTITATIVE RESEARCH

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Services for Central Banks & Official Institutions

Broad experience with training programs● Adviser/manager to central banks for over 30 years● Specialize in designing programs to meet client requirements● Work collaboratively with clients to ensure optimal relevance

Multiple program types ● General or topic specific programs● Junior to senior level trainees● Several days to one week

FFTW Annual New York Central Bank Training Weeks

● Two intensive training programs requiring focus and dedication from the participants─ One week program focusing on portfolio management ─ Four day program on operations and back office topics specific to central banks

● Small group size to maximize interaction● Focus on developing skills specific to the needs of those involved in reserve management● Lectures, discussions, quizzes and homework ensure knowledge retention

Training is an ongoing and interactive process ● Continued communication via telephone, e-mail, the Internet or video conference● Client access to investment professionals for questions, discussions or larger projects

Dedicated Training for Central Bank & Official Institution Clients

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● > 600 participants

● 21 Client Training Programs:– 6 One week Seminars– 4 Seminars of 1 -2 days– 10 Half-day Workshops– 2 Internships of 2-3 weeks

● 9 Locations: Paris, Amsterdam, Hong Kong, New York, Brussels, Frankfurt, Toronto, Montreal, Lagos

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2010 Training Events at a Glance: BNP Paribas Investment Academy

● Deep understanding of reserve management

● Firm experience through 30+ years of working with central banks and official institutions

● Dedicated coverage team who have worked with central banks and official institutions for over 20 years

● Conservative portfolio management skills for central bank and official institution reserve portfolios– Investment management team includes former central bankers

● Training for front office AND back office

● An understanding of the need to teach our clients and not present to them

● Full Range of BNP Paribas Banking Services Includes:– Deposits– Treasury functions – FX trades

BNP Paribas / FFTW Services for Central Banks and Official Institutions

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Why FFTW & BNPP IP

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Why FFTW and BNPP IP● Focus exclusively on fixed income mandates for institutional investors with nearly 40 years of

experience in institutional asset management

● Systematic usage of multiple, diversified and distinct sources of alpha, generated by our specialized alpha teams, delivers customized client solutions

● Independent and sophisticated risk management processes monitor and control risk at every step of the investment process

● Global portfolio management team together with dedicated client service professionals facilitate building long-term relationships

● Part of the BNP Paribas organization providing the financial stability and global resources to strengthen our capabilities

Appendix & Disclaimers

Additional Disclosures

Opinions expressed are current as of the date appearing in this document only. This document is confidential and may not be reproduced or redistributed, in any form and by any means, without FFTW’s prior written consent.

This document is provided for your reference on a private and confidential basis to discuss an existing or potential advisory relationship. You are invited to meet with FFTW to discuss any of the information provided herein or otherwise, including any and all terms (including fees) that may apply to the relationship.

Past performance is not indicative of future results. The value of investments and the income derived from those investments may fluctuate over time such that the value of a portfolio at any given point in time may be more or less than its original value.

No warranty is provided as to the performance or profitability of any portfolio or any part thereof, nor is any guarantee made that the investment objectives, expectations or targets described in this presentation or anywhere else will be achieved, including without limitation any risk control, risk management or return objectives, expectations or targets. A portfolio may suffer loss of principal, and income, if any, may fluctuate. The value of investments may be affected by a variety of factors, including, but not limited to, economic and political developments, interest rates and issuer-specific events, market conditions, sector positioning, and other factors. Performance results presented reflect the reinvestment of earnings.

Performance results presented are gross of all fees, including management fees and, if applicable, performance fees. A portfolio’s returns will be reduced by all applicable fees and expenses. A description of management and performance fees is included in Part II of FFTW’s Form ADV.

Below is an illustration of the effect of management and performance fees (where applicable) on portfolio returns. The illustration assumes that (i) the portfolio had a steady excess return, gross of fees, of 1% per year (examples A & B), (ii) the portfolio was subject to a yearly management fee of 15 basis points of the market value of the portfolio (examples A & B), (iii) the portfolio was subject to an annual performance fee of 20 percent of the net excess return of the portfolio for the year (example B only), and (iv) there were no cash flows during the period (examples A & B). The illustration shows the compounding effect of management and performance fees (where applicable) on portfolio returns over time, assuming that other factors such as investment return and fees remain constant. The illustration below is simplified. The difference between gross-of-fees and net-of-fees performance return will in practice depend on a variety of factors. The illustration below is cumulative and not annualized.

These performance results may be presented by consultants to clients (or prospective clients) only in accordance with applicable law, including on a one-on-one basis and with required disclosures.

Target/expected returns represent results of statistical modeling of return ranges of asset classes. They are provided for informational purposes only as of a certain date. There is no assurance that the target/expected returns set forth in this presentation will be achieved. Target/expected returns are subject to high levels of uncertainty regarding future economic and market factors that may affect actual future performance. Accordingly, target/expected returns are hypothetical and should be viewed as merely representative of a broad range of possible returns. Target/expected returns should not be construed as providing any assurance or guarantee as to returns that may be realized in the future from investments in any asset or asset class described herein. Target/expected returns are based on a number of assumptions, they are subject to significant revision and may change materially with changes in underlying assumptions that may occur, among other things, as a result of changes in economic and market conditions. FFTW has no obligation to provide recipients hereof with updates or changes to this data as assumptions, economic and market conditions, models or other matters change.

The calculation of target/expected returns includes observations and/or assumptions and involves significant elements of subjective judgment and analysis. No representations are made as to the accuracy of such observations and/or assumptions and there can be no assurances that actual events will not differ materially from those assumed. In the event any of the assumptions used in this presentation do not prove to be true, results are likely to vary from those discussed herein.

Example A: Base Management Fee Example B: Base Management and Performance Fee

Period:Gross Cumulative

Excess Return:Net Return: Period:

Gross Cumulative Excess Return:

Net Return:

1 year 1.00% 0.85% 1 year 1.00% 0.68%

2 years 2.01% 1.71% 2 years 2.01% 1.33%

5 years 5.10% 4.32% 5 years 5.10% 3.32%

Example A: Base Management Fee Example B: Base Management and Performance Fee

Period:Gross Cumulative

Excess Return:Net Return: Period:

Gross Cumulative Excess Return:

Net Return:

1 year 1.00% 0.85% 1 year 1.00% 0.68%

2 years 2.01% 1.71% 2 years 2.01% 1.33%

5 years 5.10% 4.32% 5 years 5.10% 3.32%

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Additional Disclosures

The past performance of the representative portfolio is shown for illustrative purposes only in connection with a consideration of the proposed strategy. It represents performance of a portfolio with a fundamental investment objective that is similar to the investment objective of the strategy under consideration. Past performance is not indicative of future performance, and, in addition, the past performance of the representative portfolio does not represent the past or future performance of any other portfolio. The performance of the portfolio under consideration may differ from the performance of the representative portfolio due to a number of factors including, without limitation, potentially differing rates of fees and expenses applicable to each such portfolio, cash levels, investment timing issues, and regulatory considerations that could impact the performance of each portfolio relative to the other.

Tracking volatility is one possible measurement of the dispersion of a portfolio’s returns from its stated benchmark. More specifically, it is the standard deviation of such excess returns. Tracking volatility is a figure that represents statistical expectations falling within a normal distribution of returns. Dependent on the measurement period, normal statistical distributions of returns suggests that approximately two thirds of the time the annual gross returns of the accounts will lie in a range equal to the benchmark return plus or minus the tracking volatility if the market behaves in a manner suggested by historical returns. Targeted tracking volatility therefore applies statistical probabilities (and the language of uncertainty) and so cannot be predictive of actual results. The returns that will actually be achieved may inherently lie outside of the range suggested by the historic tracking volatility. The actual tracking volatility is the result of many factors (including but not limited to market volatility, company specific anomalies, instability of correlation between benchmark holdings, timing differences between the calculation of the portfolio value and the valuation of the benchmark by the index provider). In addition, past tracking volatility is not indicative of future tracking volatility and there can be no assurance that the tracking volatility actually reflected in a portfolio will be at levels specified in the investment objectives.

Comparisons to a benchmark are provided for informational purposes only. While FFTW seeks to design a portfolio that reflects appropriate risk and return characteristics, including in respect of sector weights, credit quality and duration, it should be understood that such characteristics, as well as portfolio volatility, may deviate to varying degrees from those of the benchmark.

The risk management process described herein includes an effort to monitor and manage risk, but should not be confused with and does not imply low risk.

This document is not to be construed as an offer to buy or sell any financial instrument. It is presented only to provide information on investment strategies and current financial market trends. The analyses and opinions contained in this document are those of Fischer Francis Trees & Watts, and are based upon information obtained by Fischer Francis Trees & Watts from sources which are believed to be reliable. Fischer Francis Trees & Watts provides no assurance as to the completeness or accuracy of the information contained in this document. Statements concerning financial market trends are based on current market conditions, which will fluctuate. Investment strategies which utilize foreign exchange may entail increased risk due to political and economic uncertainties. The views expressed in this document may change at any time. Information is provided as of the date indicated and Fischer Francis Trees & Watts assumes no duty to update such information. There is no guarantee, either express or implied, that these investment strategies work under all market conditions. Past performance is not a guarantee of future results. Readers should independently evaluate the information presented and reliance upon such information is at their sole discretion.

The information contained herein (and any calculation of targeted/expected returns) includes estimates and assumptions and involves significant elements of subjective judgment and analysis. No representations are made as to the accuracy of such estimates and assumptions, and there can be no assurance that actual events will not differ materially from those estimated or assumed. In the event that any of the estimates or assumptions used in this presentation prove to be untrue, results are likely to vary from those discussed herein.

Please note that FFTW utilizes pricing sources and methodologies which reflect market practice, including its own valuations if FFTW determines that valuation data from independent sources is not available or is unreliable. However, your custodian, who maintains the official books and records for your portfolio, may utilize different pricing sources resulting in deviations between FFTW’s and the custodian’s valuations. Further, from time to time financial markets may suffer periods of illiquidity caused by unusual volatility or extreme disturbances and prices realized could vary widely from recent valuations.

Fischer Francis Trees & Watts, Inc. is registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended.

Fischer Francis Trees & Watts UK Limited is authorized and regulated by the Financial Services Authority. Registered in England No: 979759, registered office: 5 Aldermanbury Square, London, England, EC2V 7BP, United Kingdom. FFTW UK is also registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended.

Fischer Francis Trees & Watts Singapore Limited is registered with the Monetary Authority of Singapore for the conduct of Fund Management business and is the holder of a Capital Markets Services Licence. FFTW Singapore is also registered with the US Securities and Exchange Commission as an investment adviser under the Investment Advisers Act of 1940, as amended.

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