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CORPORATE & INVESTMENT BANKING / INVESTMENT SOLUTIONS / SPECIALIZED FINANCIAL SERVICES

EQUITY MARKETS

OBJECTIVE

The NXS SHARPe Euro Equity strategy aims at giving an

exposure to the DJ Euro Stoxx 50 Total Return index (SX5T) that

varies over time according to regime levels observed on an in-

house risk perception indicator (ARPI) which is computed on a

daily basis. It is designed to outperform pure SX5T Beta indexed

portfolio by minimizing exposure to risky assets in times of

greater risk aversion so investors assets are protected in period

of volatile market.

OVERVIEW

The NXS SHARPe Euro Equity strategy is a balanced portfolio

exposed to both the DJ Euro Stoxx 50 Total Return index and

the Iboxx Sovereign Eurozone index (Total Return 1-3y duration).

The strategy is rebalanced in accordance with an allocation grid

which weightings depend on the Regime Level observed on the

ARPI. To benefi t from the capability of the ARPI to anticipate

global risk aversion in the market, the portfolio tends to be

less exposed to the SX5T when the ARPI shows high regime

and vice versa. Exposure to the SX5T varies between 0% and

100%. The portfolio is always fully invested, there is no leverage

or short position.

STRATEGY DESCRIPTION

RATIONALE

Traditional Asset Valuation Models have shown their limits in

term of market levels forecastings. Prices tend to move sharply

from equilibrium due to cyclical scenario (Bull and Bear) and

behavioural mimestism (Chartism). Anticipation of those cycles

around equilibrium would allow investor to limit exposure to

downside in bear market period and increase exposure in period

of bull market. The NXS SHARPe Euro Equity is designed to

overperform its reference beta (SX5T) and reduce tail risk. The

NXS SHARPe Euro Equity represents an optimised European

equity beta portfolio that includes an in-built downside

protection in bearish market.

Launch Date 1st July 2009

Currency EUR

Calculation / Publication Agent Natixis

CHARACTERISTICS

NXS Strategy Serie

NXS SHARPe Euro EquityEuro Equity Beta Optimized Strategy

COMPARISON OF MONTHLY RETURN(*) OF BOTH SHARPe EURO EQUITY AND EURO EQUITY PORTFOLIO(**)

Source : Bloomberg, Natixis(*) NXS Sharpe Euro Equity has been backtested since January 1999 and calculated since July, 1st 2009

15%

5%

0%

-5%

-10%

NXS SHARPe Euro Equity DJ Euro Stoxx 50 Total Return

1999 2000 2001 2002 2003 2004 2005 2006 2007 2008 2009

10%

-15%

2010

20%

-20%

PERFORMANCE COMPARISON

ARPI : BUILDING & REGIME IDENTIFICATION

The ARPI is a leading indicator of risk perception that had

been designed from three classes of market observables

measuring investors’ risk aversion :

Implied volatility of equity markets ;•

Indices of credit spreads ;•

The slope of the yield curve Euro.•

ARPI’s regime are identifi ed using a Hidden Markov Model

(HMM) developped by Natixis Research, which discretizes

the signals into four regimes.

STRATEGY INVESTMENT PROCESS

PORTFOLIO CONSTRUCTION

Management Profi le

NXS SHARPe Euro Equity strategy consists of an allocation plan

between the Euro Equity and the Risk Free Asset, based on the

identifi ed regimes of the ARPI indicator.

The sub-portfolios according to ARPI regime

PERFORMANCE ANALYSIS (*)

STATISTICS

Euro Equity : Dow Jones EURO STOXX 50 Return Index

Risk Free Asset : iBOXX & EZNOV TR 1-3 Index (Short Term

Eurozone Sovereign Bonds)

SHARPe PERFORMANCE SHARPe Euro Equity

Euro Equity

Average Annual Return 8.75% 3.20%

Volatility 9.91% 23.27%

Sharpe Ratio 0.62 0.01

Max Drawdown -25.29% -64.64%

Calmar Ratio(**) 0.36 0.04

Volatility / Max Drawdown 0.39 0.36

Average Monthly Return 0.69% 0.11%

Max Monthly Return 12.73% 16.77%

Min Monthly Return -7.03% -15.93%

Source : Natixis(**) Average Monthly Return / Max Drawdown

Source : Natixis(*) Computed from January 1999 to March 2010

Past performances are not predictive of future performances.

ARPI & Regimes

Regime 1 Regime 4Regime 3Regime 2

Offensive Profi le

60%100%

Dynamic Profi le

75%

25%

Balanced Profi le

75%

25%

Conservative Profi le

60%100%

Source : Bloomberg, Natixis(**) Static Portfolio is compouned with 57% Euro Equity & 43% Risk Free Asset

1999 20092008200720062005200420032002 20012000

NXS SHARPe Eur o EquityStatic str ategyEur o Equity

300

100

200

NXS SHARPe Euro Equity

Euro Equity

Static Portfolio(**)

Risk Free Asset

2010

Source : Bloomberg, Natixis

CORRELATION MATRIX SHARPe Euro Equity vs

Euro Equity vs

SHARPe Euro Equity 100%

Euro Equity 42% 100%

Risk Free Asset 1% -37%

NXS SHARPe Euro Equity

Static Portfolio(**)

Euro Equity

Risk Free Asset

25%20%15%10%5%

Annual Return

Volatility

7%

1%

2%

3%

4%

5%

6%

8%

9%

0%

10%

201020082006200420022000

1

Regime 1

Regime 4

Regime 3

Regime 2

0,75

0,5

0,25

0

Natixis - 47, quai d’Austerlitz 75648 Paris cedex 13 - Tel: +33(0) 1 58 32 30 00 - www.natixis.com

DISCLAIMER

This document is a marketing presentation for discussion and information purposes only. It is highly confi dential and it is the property of Natixis. It should not be transmitted to any person other than its original addressee(s) without the prior written consent of Natixis. Distribution, possession or delivery of this document in, to or from certain jurisdictions may be restricted or prohibited by law. Recipients of this document are required to inform themselves of and comply with all such restrictions or prohibitions. Neither Natixis, nor any of its affi liates, directors, employees, agents or advisers or any other person accepts any liability to any person in relation to the distribution, possession or delivery of this document in, to or from any jurisdiction. This document is communicated to each recipient for information purposes only and does not constitute a personal recommendation. It is intended for general distribution to each recipient and the products or services described herein do not take into account any specifi c investment objective, fi nancial situation or particular need of any particular recipient. Therefore, it shall not be considered as a solicitation, an offer, or an undertaking of Natixis to complete a transaction subject to the terms and conditions set out in this document or subject to other terms and conditions. Any guarantee, funding, interest or currency swap, underwriting and more generally any undertaking provided for in this document requires, inter alia, that a formal approval be given by Natixis according to its prevailing internal procedures.

Natixis has neither verifi ed nor carried out independent analysis of the information set out in this document. Accordingly, no representation, warranty or undertaking, express or implied, is made to the recipients of this document as to or in relation to the accuracy or completeness or otherwise of this document or as to the reasonableness of any assumption contained in this document. Information does not take into account specifi c tax rules or accounting methods applicable to counterparties, clients or potential clients of Natixis. Therefore, Natixis shall not be liable for differences, if any, between its own valuations and those valuations provided by third parties; as such differences may arise as a result of the application and implementation of alternative accounting methods, tax rules or valuation models. Prices and margins are deemed to be indicative only and are subject to changes at any time depending on, inter alia, market conditions. Past performances and simulations of past performances are not a reliable indicator and therefore do not anticipate future results. The information contained in this document may include results of analyses from a quantitative model, which represent potential future events that may or may not be realised, and is not a complete analysis of every material fact representing any product. Information may be changed or may be withdrawn by Natixis at any time without notice. More generally, no responsibility is accepted by Natixis, nor any of their holding companies, subsidiaries, associated undertakings or controlling persons, nor any of their respective directors, offi cers, partners, employees, agents, representatives or advisors as to or in relation to the characteristics of this information.

Statements, assumptions and opinions contained in this document may be forward-looking statements, assumptions or opinions and as such involve risks and uncertainties. Actual results and developments may differ materially from those expressed or implied by such statements, assumptions or opinions, depending on a variety of factors and accordingly there can be no assurance that the projected results, projections or developments will be reached. No representation or warranty express or implied is given or made by Natixis as to the achievement or reasonableness of, and no reliance should be placed on any projections, targets, estimates or forecasts or the statements, assumptions and opinions expressed herein and nothing in this document is or should be relied on as a promise or representation as to the future. The information contained in this document should not be assumed to have been updated at any time subsequent to date shown on the fi rst page of this document and the delivery of this document does not constitute a representation by any person that such information will be updated at any time after the date of this document. Natixis shall not be liable for any fi nancial loss or any decision taken on the basis of the information disclosed in this document and Natixis does not provide any advice, including, inter alia, investment services. In any event, you should request any internal and/or external advice that you consider necessary or desirable to obtain, including from any fi nancial, legal, tax or accounting advisor, or any other specialist, in order to verify in particular that the transaction described in this document complies with your objectives and constraints and to obtain an independent valuation of the transaction, its risks factors and rewards.

Natixis is authorised in France by the Autorité de contrôle prudentiel (ACP) as a Bank – Investment Services Provider and subject to its supervision. Natixis is regulated by the AMF in respect of its investment services activities. Natixis is authorised by the ACP in France and subject to limited regulation by the Financial Services Authority in the United Kingdom. Details on the extent of our regulation by the Financial Services Authority are available from us on request. Natixis is authorised by the ACP and regulated by the BaFin (Bundesanstalt für Finanzdienstleistungsaufsicht) for the conduct of its business in Germany. Natixis is authorised by the ACP and regulated by Bank of Spain and the CNMV for the conduct of its business in Spain. Natixis is authorised by the ACP and regulated by Bank of Italy and the CONSOB (Commissione Nazionale per le Società e la Borsa) for the conduct of its business in Italy. This document is not intended for distribution in the United States, or to any US person, or in Canada, Australia, the Republic of Ireland, the Republic of South Africa or Japan.

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