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Citywire Montreux

Stephen Zinser – Chief Executive Officer / Chief Investment OfficerNicholas Cranston – Marketing DirectorJoao De Vasconcellos – Marketing DirectorAlfonso De Maqua – Marketing Director

11th – 13th May 2011

European Credit Management Ltd

Company Overview

3AUTHORISED AND REGULATED BY THE FSA

ECM credit funds offer diversified exposure to European credit on a duration neutral basis

ECM has expertise across full range of sectors within the European credit universe:

Investment Grade Corporates

Bank Capital

ABS

Senior Secured Loans

High Yield

European Emerging Markets

Distressed Debt / Special Situations

European Credit Management

Source: ECM. 4th May 2011

Asset Backed

Bank Capital

Senior Secured Loans

High Yield

Corporate Bonds

European Emering Markets

€ 2,345m

€ 1,108m

€ 3,091m

€ 445m

€ 863m

€ 1,565m

Credit Market Overview

Setting the scene


ECM 2011 view – constructive on credit markets and ability to generate outsized excess returns

ECM remains vigilant with respect to macro, sovereign and equity market “tail risks” and is well positioned for renewed volatility

U.S. / global macro-economy showing reasonable growth momentum

Credit technicals positive outside the European periphery

Corporate earnings expected to be supportive

Central bank policies still supportive of credit markets although ECB adopting a more hawkish stance and Fed’s QE2 measures expire in June

Ongoing risks associated with banking sector, government and individual de-leveraging

Interest rate and FX markets vulnerable to rising inflation and macro imbalances – ECM programmes hedged

Significant Q1 news flow including enlargement of EFSF facility, burden sharing legislation and BIS III clarifications


Q2 2011 ECM credit strategy –Retain near term cautious stance

Favour Lower Tier 2 on a selective basis avoiding peripherals. BIS III announcements are positive but we have reduced subordinated financials into strong market rally from Q3 2010 onwards

Hold/Add valuation stressed but ‘money good’ portfolio exposures - including selective ABS

Investment Grade Corporates: Bonds to remain a relative safe haven – fundamentals robust

Sub Investment Grade: Opportunistic. Favour Senior Leveraged Loans and better quality High Yield

Maintain de minimis leveraged exposure (where permitted) to market with significant financial flexibility to exploit market corrections

Credit markets should prove relatively resilient to equity / macro volatility

European Credit Fund SICAV: ELBE Sub-Fund

Fund Current Status & Performance Review


European Credit Fund SICAV: ELBE Sub-Fund

Elbe targets a net return of benchmark plus an excess return of 200-300 bps per annum over Euribor in the medium to long term

But because current spreads significantly overcompensate for credit quality deterioration and defaults, net annual excess returns in the short to medium term are targeted in the 6-8% pa range

Elbe provides broad diversification: Contains credit securities issued by 292 different European obligors AUM of €558 million Bond fund rating of BBB-/V3 from Fitch

Significant outperformance in 2010 with total excess return of 10.65%

Average portfolio credit rating of BBB+ with attractive carry and no direct long peripheral sovereign risk

The fund is regulated by the CSSF (Lux) and is UCITS III compliant

Source: ECM March month end 2011


Performance vs. market excess returns

Source: ECM 31st March 2011Source: ML indices as at 31st March 2011

Fund Average rating

2009 Excess return

2010Excess return

2011 YTDExcess Return

Elbe BBB+ 31.63% 10.65% 4.61%

Interlaken A 28.51% 10.13% 3.76%

Average rating

2009Excess swap return

2010Excess swap

return

2011 YTDExcess Swap

Return

ER 00 Broad EMU Corp A2 10.38% 0.674% 1.07%

EMU Corporates Non-Financial Index A3 12.0% 0.749% 0.557%

EMU Corporates BBB Index(Including Financials)

BBB2 22.3% 1.768% 2.125%

Euro Sub-Debt Lower Tier 2 A2 12.45% - 1.071% 2.542%


Elbe Asset Class and peripheral Europe allocation shifts

Allocation % of DENAV

Asset Class 31-Dec-09 31-Mar-2011 Shift

Asset Backed 17.3% 21.0% 3.7%

Bank Capital 37.7% 16.1% -21.6%

Corporate Bonds (Inv. Grade) 70.7% 47.0% -23.7%

High Yield 12.0% 8.0% -4.0%

Leveraged Loans 2.5% 2.9% 0.4%

Emerging Markets 7.9% 8.2% 0.3%

Sovereign 0.0% 0.0% 0.0%

Total 147.9% 103.2% -44.7%

Country Risk 31-Dec-09 31-Mar-2011 Shift

Greece 1.3% 0.0% -1.3%

Ireland 2.3% 0.8% -1.5%

Italy 14.2% 6.9% -7.3%

Portugal 1.8% 1.0% -0.8%

Spain 9.2% 3.2% -6.0%

Total Peripheral Europe 28.8% 11.9% -16.9%

Source: ECM. Data as of 31st March 2011.


ELB – Attribution Analysis

Source: ECM. Fund Snapshots. Data as of 31st March 2011.

ELB YTD Net Increment to Euribor Breakdown

461

112

726

(447)

670

117

1,065

195 146

(1,000)

(500)

0

500

1,000

1,500

Emerging Markets (Non-Inv. Grade) 9 (4) 6 2 13 1 1 1 3

Total Leveraged Loans 10 (1) 4 9 24 9 4 2 14

High Yield 34 (40) 65 29 89 26 14 (6) 28

Asset Backed (High Yield) 22 11 18 26 81 7 11 12 31

Emerging Markets (Inv. Grade) 29 (28) 20 18 39 (0) (1) 10 10

Non-Financial Corporates (Inv. Grade) 23 (102) 67 37 22 38 24 10 71

Financials (Inv. Grade) 86 (166) 122 (16) 17 47 18 7 75

Bank Capital 270 (279) 255 (85) 140 42 42 21 108

WBS (Inv. Grade) 9 14 26 (1) 50 0 (2) 10 9

Asset Backed (Inv. Grade) 234 148 88 97 590 27 35 45 112

Q1 '10 Q2 '10 Q3 '10 Q4 '10 2010 Total Jan-11 Feb-11 Mar-11 Q1 '11


ELB – Current Status

Def initions: (i) Net (% TP) = Euro-equiv alent exposure div ided by total Euro-equiv alent exposure(ii) Net (% DENAV) = Euro-equiv alent exposure div ided by total DENAV = Net (% TP) * Lev erage(iii) Long / Short (% DENAV) = Long (short) Euro-equiv alent exposure div ided by total DENAV(iv ) Net Duration = Weighted av erage (unlev eraged) duration f or each asset class (weighted by Euro market v alue).(v ) Net Duration Contribution = Net Duration * Net (% DENAV) = contribution of each asset class to the f und’s total, lev eraged duration. (v i) Net Credit Spread = Weighted av erage credit spread (unlev eraged) f or each asset class (Euro-equiv alent market v alue weighting)(v ii) Net Credit Spread Contribution = Net Credit Spread * Net (% DENAV) = contribution of each asset class to the total, lev eraged credit spread. (v iii) Av erage Price = Weighted av erage asset price f or each asset class (Euro-equiv alent market v alue weights)

Source: ECM. Fund Snapshots. Data as of 31st March 2011.

SectorLevel1 SectorLevel2Net

(%TP)Net

(% DENAV) Net DurationNet Duration

Contrib.Net Credit

Spread

Net Credit Spread Contrib. Avg Price

Asset Backed (Inv. Grade) Asset Backed (Inv. Grade) 17.4% 18.0% 2.6 0.5 917 165 76WBS (Inv. Grade) WBS (Inv. Grade) 1.6% 1.6% 4.0 0.1 1,297 21 84Financials (Inv. Grade) Insurance 5.8% 6.0% 4.6 0.3 380 23 95

Senior Banks 6.4% 6.6% 5.9 0.4 156 10 101iTraxx Senior Financial (0.5%) (0.5%) 4.2 0.0 152 -1 98Covered Bonds 0.9% 0.9% 9.8 0.1 101 1 102

Bank Capital Lower Tier 2 & Tier 3 9.7% 10.0% 3.4 0.3 411 41 97Upper Tier 2 1.9% 1.9% 2.8 0.1 481 9 95Tier 1 3.5% 3.6% 2.7 0.1 839 30 92

Non-Financial Corporates (Inv. Grade) Industrials (Inv. Grade) 23.0% 23.8% 5.7 1.3 142 34 103Telecommunications (Inv. Grade) 3.6% 3.7% 5.8 0.2 144 5 105Utilities (Inv. Grade) 6.3% 6.5% 6.7 0.4 180 12 100

Emerging Markets (Inv. Grade) Emerging Markets (Inv. Grade) 7.0% 7.2% 4.7 0.3 221 16 105Asset Backed (High Yield) Asset Backed (High Yield) 1.4% 1.5% 2.0 0.0 2,701 39 41Bank Capital (High Yield) Lower Tier 2 & Tier 3 0.0% 0.0% 2.2 0.0 1,879 1 18

Upper Tier 2 0.3% 0.3% 3.4 0.0 1,439 4 47Tier 1 0.3% 0.3% 5.0 0.0 1,727 5 62

High Yield Senior Secured (High Yield) 2.1% 2.1% 2.7 0.1 532 11 101Unsecured (High Yield) 6.5% 6.7% 3.7 0.3 322 22 104iTraxx Crossover (0.8%) (0.9%) 3.9 0.0 387 -3 104

Total Leveraged Loans Structured Notes 2.8% 2.9% 2.9 0.1 0 0 135Emerging Markets (Non-Inv. Grade) Emerging Markets (Non-Inv. Grade) 0.9% 1.0% 1.5 0.0 341 3 106Grand Total 100.0% 103.2% 4.4 4.5 435 449 93


The Investment Case for Elbe in 2011

Elbe is an investment grade fund which has an expected return profile similar to or greater than high yield

Elbe is fully hedged against Interest Rates & FX

Declining credit asset class correlations bringing back the benefits of diversification

Portfolio has been actively positioned focusing on those asset classes/credits with best risk adjusted returns in what is likely to be a low growth environment with significant macro, sovereign and equity market “tail risks”

No direct long peripheral sovereign risk

Although currently the fund is unleveraged, it has the ability to use modest leverage to facilitate market timing and boost returns

European Corporate Fund (“ECF”)

A Sub Fund Of The European Credit Fund SICAV II


European Corporate Fund (“ECF”)

ECF targets a net return of benchmark plus an excess return of 175 – 225 bps per annum over Euribor in the medium to long term

Average portfolio credit rating of A- with attractive carry and no direct long peripheral sovereign risk

Unleveraged investment grade diversified credit risk

Predominantly investing in European corporates

Up to 100% of assets can be invested in non financial corporates.

Exposure to banks is limited to 45%. A sub limit set at 15% exists for exposure to lower tier II debt.

The fund is regulated by the CSSF (Lux) and is UCITS III compliant

Source: ECM March month end 2011


Air TransportBuilding MaterialsBuilding, Development & Real EstateCable & Satellite TelevisionCommunications TechnologyConglomeratesContainers & PackagingCorporatesEnergy, Oil & GasFood & Drug RetailersLeisure Goods, Recreation, EntertainmentMining, Metals & MineralsOther (non-Bank) Financial

European Corporate Fund

Portfolio comprises 76 investment grade European credits

Allocation at the issuer level is based on credit strength, liquidity, relative value and yield considerations, all which are part of the rigorous investment process that is ECM’s core strength.

Source: ECM. 31st March 2011

Portfolio by Industry – Breakdown of Others

Portfolio by Industry

Portfolio Data SummaryCredit Obligors 76

Exposure by Currency (pre hedging)EUR 67.7%

GBP 15.4%

USD 17.0%

Current Carry over Euribor1.4%

5%20%3%9%6%4%

16%36%

Automotive & Automotive PartsBanksBeveragesInsuranceTelecommunicationsTobaccoUtilitiesOther

7%6%5%8%5%6%5%7%8%6%3%4%7%


European Corporate Fund

Credit risk

Investment grade diversified credit portfolio composed mainly of corporate bonds.

Each bond purchased for the portfolio must be rated BBB- or above by one of Moody’s, Standard & Poor’s or Fitch.

Portfolio by Credit Rating

Portfolio by CountryMain holdings by Obligor

1 VIRGIN MEDIA 2.6%2 ABN AMRO 2.4%3 STANDARD CHARTERED 2.3%4 BP 2.2%5 AVIVA PLC 2.2%6 MORGAN STANLEY 2.2%7 IMPERIAL TOBACCO 2.2%8 VEOLIA 2.1%9 CASINO GUICHARD 2.1%10 EDF 2.1%

Source: ECM 31st March 2011

AAAAA+AAAA-A+AA-BBB+BBBBBB-

4%1%1%

10%12%17%14%12%14%15%

DenmarkFranceGermanyGlobal CompaniesLuxembourgNetherlandsSwitzerlandUnited KingdomOther

7%16%8%7%3%8%8%

31%11%


ECF Asset Class and peripheral Europe allocation shifts

Allocation % of DENAV

Asset Class 31-Mar-10 31-Mar-2011 Shift

Bank Capital 11.4% 9.6% -1.8%

Corporate Bonds (Inv. Grade) 87.3% 78.7% -8.6%

Sovereign 0.0% -0.5% -0.5%

Total 98.7% 87.8% -10.9%

Country Risk 31-Mar-10 31-Mar-2011 Shift

Greece 0.0% 0.0% 0.0%

Ireland 0.5% 0.0% -0.5%

Italy 6.7% 2.7% -4.0%

Portugal 0.9% 0.0% -0.9%

Spain 6.2% 2.0% -4.2%

Total Peripheral Europe 14.3% 4.7% -9.6%

Source: ECM. Data as of 31st March 2011.


Daily liquidity / daily valuation - available on Bloomberg(EUCORIC LX <EQUITY> GO)

Source: Bloomberg. As at 4th May 2011


The investment case for ECF in 2011:

Exposure to inherent value in credit spreads in a regulated fund format with daily liquidity and valuations

The fund is designed to provide safe, liquid and duration neutral credit exposure

Safe: Exposure only to Investment Grade Non Financial Corporate and Financial credit risk. No

HY, EM, ABS or Leveraged Loans risk. No perpetual financials No leverage

Liquid: Daily valuation and liquidity

Duration Neutral: All material interest rate risk and FX Risk is hedged

Appendix


ECM UCITS III – ECF/ ECF II

European Credit Fund SICAV European Credit Fund SICAV II

Umbrella Fund European Credit Fund SICAV European Credit Fund SICAV IINumber of sub funds 4 1Sub Fund Elbe, Danube, Interlaken + 1 Segregated Account European Corporate FundStatus UCITS III UCITS IIIClassification Sophisticated non-sophisticatedBase Currency EUR EURTypes of share classes Institutional and Non Institutional Institutional, Distributor and RetailHedging Hedged ( Non –Eur investors hedged) Hedged ( Non –Eur investors hedged)Dealing Bi -Monthly DailyOfficial Valuations Bi-Monthly DailyType of Valuation One NAV produced per series One NAV produced per share classSwing Pricing applied No YesNAV Issued at mid swing factor depending on net flowsNotice Period T-3 T-1Dividend Frequency Semi-annual ( Distributing and Non -Distributing) Annual ( Distributing and Non -Distributing)

Dividend typeBase dividend (Euribor/ Libor or equivalent) + performance

Based on proportionate entitlement of net income of the sub-fund

Leverage Capacity to moderately use leverage UnleveragedShare Class/Series Concept Shares issued at a series level Shares issued at a share class level

Minimum intial investment €125 Different per share classPerformance Fee Different per sub fund NoneManagement Fee Fixed per Sub Fund Different per share classDistribution fee N/A Different per share class

Investment Process & Professionals


ECM investment process

C r e d i t a n d i n v e s t m e n t s t r a t e g y

F U N D A M E N T A L R E S E A R C H

BOTTOM UP SELECTION

Determine relative attractiveness of sectors and individual names

within a given sector

Industry and country specific

expertise

Swap hedging allowsvalue to be soughtacross international

bond markets

One on One meetings

with senior management of

issuers

Credit investments: Bonds, Loans, CDS

MACRO-ECONOMIC

FUNDAMENTALS

EQUITYMARKET

VOLATILITY

STATE OF BANKING SYSTEM

CREDIT FUNDAMENTALSAND RELATIVE

VALUE

MARKET TECHNICALS

I N V E S T M E N T D E C I S I O N S

T O P D O W N ‘ D R I V E R S ’

Key Variables: Asset Class Allocation, Credit Duration, Leverage, Industry, Rating, Liquidity, Country Risk


Integrated investment process

Weekly (Monday)

Investment Committee (attended by all Investment Professionals)

Top down review of market

Economy & strategy

Funding & risk management

Portfolio positioning following Peer Reviews, Credit Strategy

Monthly

Credit Strategy Review Peer Review

Top down credit strategy including overall market outlook , asset class allocation, assessment of external risk factors

Lead PMs, Lev Loans PMs review absolute & relative performance, implementation of credit strategy & sector

allocation, exchange trade ideas

Portfolio Review Sector Allocation Review

Lead PMs, CIO, Head of Credit Research and Head of HY Research review treasury & risk themes, cross portfolio

issues

Asset Class teams recommend to Lead PMs, CSG sub-asset class sector allocations, top picks & pans

Bi-weekly

Asset Class Sub Committees

Review thematic issues affecting asset classes, detailed picks and pans updates

Corporate High Yield ABS

Financials Leveraged Loans EM

Daily

Research & PMs review of day’s events, preparation for key events expected for next

day

Ad-Hoc

Informal meetings, buy/sell discussions, one-on-one meetings with issuers


Investment professionals

Portfolio ManagementLeveraged

Loans

Matthew CrastonHead of Alternative

Investments Torben Ronberg

Head of LoansAlex WoolrichPortfolio Manager

Sam McGairlPortfolio Manager

& Loan Trader Stuart Fuller

Portfolio ManagerSenior Investment Analyst*

Daniel HarrisPortfolio Analyst

Credit Strategy

Stephen ZinserChief Executive Officer /Chief Investment Officer

Frances HutchinsonHead of Business and

Strategic Planning

Ross PamphilonHead of Investments

Alastair ThomasHead of Market Risk

Mgmt

Matthew CrastonHead of Alternative

Investments

Investment Strategist*

Portfolio Management

Derek HynesLead Portfolio Manager

Henrietta PacquementLead Portfolio Manager

Jens VanbrabantLead Portfolio Manager

Jon Mawby Lead Portfolio Manager

Andre MazzellaLead Portfolio Manager - HY

Andrew Li Spec. Asset Class PM – Fin.

George FlynnSpec. Asset Class PM – Corp..

James FielderSpec Asset Class PM - Corp.

Sahil KhanPortfolio Analyst

STEPHEN ZINSER

CEO/CIO

Credit Research

CorporatesDuncan Warwick-Champion

Lead Analyst IG Corporates Lead Analyst High Yield*Sr. Investment Analyst*

Michie YanaSr. Investment Analyst

Carter HolloranInvestment AnalystInvestment Analyst*

Amit StaubHigh Yield Research Analyst

Sam BarkerAssociate Investment Analyst

FinancialsSatish Pulle

Sr. Investment AnalystInvestment Analyst*

Market Risk& Treasury

ManagementAlastair Thomas

Head of Market Risk Mgt.

Alex TempleSenior Market Risk

ManagerDavid Jones

Market Risk ManagerAdam Gibson

Jr. Market Risk ManagerTreasury Manager*

Adam HicksJr. Treasury Manager

STEVEN BLAKEY

Chairman

Special Situations

Milos BrajovicSenior Portfolio Manager

Sohail MalikSenior Portfolio Manager

ABSAndrew Lennox

ABS Spec, Lead PM ABS fundsJonathan Wyles

ABS Spec, PM ABS FundsMaddi RowlattABS Specialist As at March 2011

* Pending hires

Ross PamphilonHead of Investments


Recent New Hires at ECM

Andre Mazzella, CFA – Lead Portfolio Manager, High YieldAndre joined ECM in October 2010 from CQS, where he was a member of the portfolio management team and senior credit analyst focusing mainly on US and European High Yield and Crossover credits. Prior to CQS, Andre was a High Yield Fund Manager at Morley Fund Management overseeing life insurance and retail funds invested in US and European High Yield bonds. Previously hewas a member of the High Yield Group at Abbey National Treasury Services after having begun his career in various finance andresearch positions at Putnam Investments and Bankers Trust. Andre holds an MBA from the Stern School of Business at New YorkUniversity and a B.S. in Business Administration from Montclair State University. He is a CFA charterholder.

Duncan Warwick-Champion – Lead Corporate AnalystDuncan has joined the firm from Vanguard where he was a senior credit analyst. Prior to joining Vanguard in 2009, Duncan spent seven years at UBS where he was a highly regarded TMT analyst and Head of the European Research Team. Prior to UBS he spent six years at Standard & Poor's, latterly as Head of the European Telecoms team. He is a graduate of Macquarie University.

Satish Pulle – Senior Investment Analyst, FinancialsSatish Pulle joined ECM in mid-November 2010 as the Senior Investment Analyst for financials. Satish joins from Merrill Lynch where he traded and analyzed European and US banks and insurers, most recently a Director & Senior Trader for Credit Flow Trading. Prior to joining Merrill Lynch in 2007, Satish spent five years as a credit analyst for European financials and ABS at Schroders Plc in London. He started his career at Tata Consultancy Services in India before moving to London in 1996 as an Associate and laterAssociate Director for Barclays Capital’s Infrastructure Investment Banking team. Satish holds a Masters in Finance from the London Business School, an M.Sc. in International Accounting and Finance from the London School of Economics as well as an MBA with a specialization in Finance and Operations from the Indian Institute of Management, Calcutta, India, and a Bachelor of Engineering, Mechanical Engineering from Osmania University, Hyderabad, India.

Sahil Khan – Portfolio Analyst Sahil has joined the firm from Barings Asset Management where he was a Quantitative Analyst responsibile for the update and enhancement of the firm’s tools for scenario forecasting as well as the application of these tools in optimal portfolio construction and risk management. Sahil holds a MSc in Economics & Finance and an MA (HONS) in Economics, both from Edinburgh University. Sahil also earned a Certificate in Quantitative Finance (CQF) in January 2008.


Pending new hires

Joiners

Sally Tankard – Senior Loans Analyst joins in June 2011 Sally has spent the last seven years as Director of Loans at Henderson Global Investors where she has been an

integral part of the growth of the loans business Sally has 18 years credit research experience, buy side and sell side, including loan originations with CSFB

Rhys Foulkes- ResearchAnalyst joins July 2011 Joins from Threadneedle Rhys will cover IG/HY: Retail/Consumer/Beverage sectors Previously Rhys was a research assistant at the Bank of England

Henry Craik-White - ResearchAnalyst joins July 2011 Henry will be High Yield focused Joins from Blue Mountain where he has been covering TMT, Retail & Building Previous experience came at RBS and Cazenove

Leavers

Nancy Utterback, Senior Credit Analyst, left in Q1 2011


This document is:(1) issued by ECM for information only; it is not investment advice and is confidential and should not be disclosed other than to yourprofessional advisers;

(2) directed at persons (“Investment Professionals”) having professional experience in matters relating to investments and anyinvestment or investment activity to which this document relates is available only to and will be engaged in only with such persons.

If you are not an Investment Professional you should not read this document or participate in any meeting or other communicationrelating to it.

ECM accepts no liability for and gives no warranty or guarantee and makes no representation relating to the performance of anyinvestments referred to in this document or to the accuracy and/or completeness of the information contained in this document. Anyinformation contained in this document relating to any securities or issuer thereof is subject to the offering document relating thereto.

This document may be distributed only to persons permitted to receive it under applicable law and may not be distributed or passed toany person in any jurisdiction in which such distribution would violate any applicable law.

This document may not be distributed other than: (1) within the USA, to investors that are Qualified Institutional Buyers; and (2) outsidethe USA, to non-US persons in offshore transactions in reliance on Regulation S under the Securities Act.

ECM and its affiliates do not provide tax advice. Please note that: (1) any discussion of tax matters contained in this document(including any attachments) cannot be used by you for the purpose of avoiding tax penalties; (2) this document was written to supportthe promotion or marketing of the matters addressed herein; and (3) you should seek advice based on your particular circumstancesfrom an independent tax advisor.

EUROPEAN CREDIT MANAGEMENT LIMITED34 Grosvenor Street, London W1K 4QUTel: +44 (0) 20 7529 7400Fax: +44 (0) 20 7529 7411

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