Implementing Solvency II The Asset side of the business

1. Implementing Solvency IIThe Asset side of the business Presented by Philippe Denis January 27th, 2011

2. Agenda • BNP Paribas – a brief introduction • Expected capabilities for Solvency II • Summary

3. BNP Paribas Group: Introduction • Retail Banking • Investment Solutions • Asset Management • Securities Services • Corporate & Investment Banking • BNP Paribas Group • 2nd bank in the Euro zone1 • 5th largest global custodian (in AUC) • 3rd most valuable international banking brandin Europe, 6th worldwide2 • Among the world’s strongest banks3 • One of the lowest CDS spreads in the industry • Ranks 9th among the world’s safest banks4 • Present in 85 countries worldwide • 205, 000 employees 1 ‘Global 2000 Forbes, 2009’ Brand finance February 2010 According to Standard & Poor’s, Moody’s and Fitch Global Finance world’s safest banks 2009 Access to multiple channels in a full service bank

4. BNP Paribas Securities Services:

5. Agenda • BNP Paribas – a brief introduction • Expected capabilities • Summary

6. Five capabilities relating to Asset Management: Solvency II Processes Insurance Company Mutual Society Decision & Implementation Asset Management Financial Engineering Capability 5 S-II “Middle Office”

7. A view of BNP Paribas in context: Solvency II Measurement Strategy Decision and Implementation Insurance Risk Office Asset Allocation Committee Solvency II Governance office Indicators Actuarial Perspectives Finance Office Decision BNP Paribas Corporate Investment Bank BNP Paribas Investment Partners Analytical Services ALM / LDI Mandate Overlay Asset Mgt Other strategy Structured Product Inflation Swap Other Derivative Capability 4 Enrichment & Standardisation Capability 3 Capability 5 Capability 5 Aggregation Capability 2 Capability 1 Data & Information BNP Paribas Securities Services Your Asset Management Platform In House Pooled Fund 1 Pooled Fund 2 AM4 AM5 Segregated

8. A Solvency II “Middle Office” Capability 1 Capability 2 Capability 3 Data & Information Aggregation Enrichment & Standardisation • Project managing collection • Portfolio list • Properties held • Derivatives • Collective scheme values • Hedge Funds • Market associated data • Evidence of governance • Multiple fund managers • Multiple outsource providers • Look through of fund of fund • Consolidated view of assets • A dynamic view of assets • Additional S-II information • Make consistent for analysis • Map to standard dictionary • A dynamic view of assets • Basis for clean data for all types of analysis • Not restricted to Solvency II • For example stock-level attribution • Ability to look through your underlying investments • Can show evidence of handling multiple Fund Managers and their respective outsource partners • Has evidence of data governance in their processes • Can evidence the Solvency II universe catalogue • Has capability of “attribution” as this typically drives the requirement for consistency and standardisation Provider Characteristics Expected Benefits

9. Provision of Analytical Services for Pillar I & Pillar II Capability 4a Capability 4b Capability 4c Pillar 1: Scenario Testing Pillar I: SCR Calculation Pillar II: Market & Credit Risk • Market risk • Back & Stress testing • Counterparty failure • Market shock • Market Up and Down • Attribution • Versus performance • Market • Interest rate • Equity • Spread • Currency • Concentration • Illiquidity • Counterparty Risk • Market risk reporting: • Asset classes • Manager • Volatility • Value at risk • Risk v Contribution • A “DNA” view of assets • Has capability to manage the data middle office • Can handle “multi-manager” and “multi-outsource” providers in the above model • Skills in place for risk (& performance measurement) • Flexible reporting, decision support, web delivered • Integrates with any downstream Asset Management capability to support a particular risk resolution • Independent view of risk versus known events • Understanding of assets to provide a complete Market SCR calculation • Remain focussed on your business products risks: • Health Risk • Life Insurance Risk • P&C Insurance Risk Provider Characteristics Anticipated Benefits

10. Stress UP Example of Capability 4: Asset Allocation, Stress Testing, Risk: Stress DOWN Measuring the risk perspectives….

11. Event / Market Stress Testing Capability 4: Joining-up Assets to the liabilities Asset side Stress UP Stress DOWN Liability side Stress DOWN Stress UP

12. Extending beyond Market Risk: Solvency II Processes Insurance Company Mutual Society Decision & Implementation Capability 4d… Support full SCR Analysis • Health • Life • Non-Life • Default • Other S-II “Middle Office” Provide for the full analysis life-cycle as a “toolset service provider” complementing your existing risk & actuarial capabilities

13. Agenda • BNP Paribas – a brief introduction • Expected capabilities • Summary

14. Summary: • E&Y and JP Morgan Asset Management continue • E&Y – more on Capability 1 – 3 • JP Morgan Asset Management – Capability 5 • For consideration: • Asset Manager service providers supporting your Solvency II challenges: • Must have solid capability in performance, attribution and risk analysis • Have the expected governance processes in place for detailed data • Have the tools to step beyond just the “Market SCR” analysis • Have Asset Management overlays / skills to implement Solvency II change

15. The information contained within this document (‘information’) is believed to be reliable but BNP Paribas Securities Services does not warrant its completeness or accuracy. Opinions and estimates contained herein constitute BNP Paribas Securities Services’ judgment and are subject to change without notice. BNP Paribas Securities Services and its subsidiaries shall not be liable for any errors, omissions or opinions contained within this document. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument. For the avoidance of doubt, any information contained within this document will not form an agreement between parties. Additional information is available on request. BNP Paribas Securities Services is incorporated in France with limited liability and is authorised by the CECEI and supervised by the AMF. BNP ParibasSecurities Services' London branch is subject to limited regulation by the Financial Services Authority for the conduct of its investment business in the United Kingdom and is a member of the London Stock Exchange.BNP Paribas Trust Corporation UK Limited and Investment Fund Services Limited are wholly owned subsidiaries of BNP Paribas Securities Services, incorporated in the UK and are authorised and regulated by the Financial Services Authority. Details on the extent of our regulation by the Financial Services Authority are available from us on request. The services described in this document, if offered in the U.S., are offered through BNP Paribas and its subsidiaries and its affiliates. Securities products are offered through BNP Paribas Securities Corp., a subsidiary of BNP Paribas, a broker-dealer registered with the Securities and Exchange Commission and a member of SIPC, the Financial Industry Regulatory Authority, New York Stock Exchange and other principal exchanges.