Is There More Upside in High Yield? DC Finance Institutional Investor Conference May 24, 2010

2 Global Credit Strategy Par is not a ceiling The key is what happens to the default rate Economic trend favors a lower default rate Diverse approaches point to a default rate decline Wall of Maturities: An overstated problem

3 Par Is Not a Ceiling

4 After This Big a Rally, Can We Expect Good Performance? Source: BofA Merrill Lynch Global Research.

5 There Is Upside from 100 U.S. High Yield YearIndex Beginning Price Income Price Gain Total Return Key: Source: BofA Merrill Lynch Global Research. Total Return for the Year

6 The Key Is What Happens to the Default Rate

7 Change in Default Rate versus High Yield Price Return 1987 – 2009, Annually Sources; BofA Merrill Lynch Global Research, Moodys Investors Service. In 17 out of 23 years, the default rate and the high yield index price moved in opposite directions

8 Economic Trend Favors a Lower Default Rate

9 Real Growth in GDP – Germany 2008 – 2010, Quarterly Sources; Bloomberg.

10 Real Growth in GDP – U.S – 2010, Quarterly Sources; Bloomberg.

11 Real Growth in GDP – U.K – 2010, Quarterly Sources; Bloomberg.

12 Diverse Approaches Point to a Default Rate Decline

13 Global Default Rate , Quarterly Sources: BNP Global Credit, Moodys Investors Service Moodys projection Moody;s employs a time-tested econo- metric model

14 Liquidity Correlates with Default Rate Source: Moody's Investors Service. The least liquid companies default at a much higher rate than the others

15 Liquidity Improvement Points to Default Rate Decline Source: Moody's Investors Service. The number of highly illiquid companies has fallen dramatically

16 Market-Based Default Rate Forecast Source: BofA Merrill Lynch Global Research. As of May 6, 2010 The proportion of companies with spreads greater than +1,000 basis points has declined from a peak of 84% in December 2008

17 Wall of Maturities: An Overstated Problem

18 Distribution of U.S. Debt Maturities , Annually Source: BofA Merrill Lynch Global Securities. Maturing debt is not a significant problem in

19 Projected Resolution of $770 Billion Leveraged Loan Maturities Source: Fitch Ratings. Fitch sees 90% of maturities being resolved before taking into account equity issuance or acquisitions

20 Fitchs Key Assumptions Loan issuance at level (before CLO boom) Only modest CLO new issuance 45% of loan issuance used to refinance loan maturities $125 billion annual high yield issuance – below peak levels, which are considered unsustainable Non-refinancing uses of high yield issuance at levels consistent with historical experience

21 Conclusion We cannot travel backward in time to buy the high yield market at 54, But among the opportunities available today, high yield remains attractive. High Yield should outperform conventional fixed income over the next 12 months.

22 Disclaimer This document is issued by BNP Paribas Asset Management, Inc. (the Firm) which is a wholly owned subsidiary of BNP Paribas. Within BNP Paribas, the Firm is the North American investment management arm registered with the Securities and Exchange Commission. The Firm is an affiliate of BNP Paribas Asset Management (BNP PAM), an investment manager registered with the Autorité des Marchés Financiers in France. This document is produced for information purposes only and does not constitute 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 be taken as investment advice. Past performance is not a guide to future performance. The value of a portfolio may go down as well as up. Returns may be affected by, among other things, investment restrictions, strategies or objectives of the portfolio and material market or economic conditions. Performance figures do not reflect the deduction of management fees. The investors return will be reduced by management fees and any other expenses which may be incurred in the management of its portfolio. Management fees are described in Part II of the Firms Form ADV. Management fees compounded over a period of years may effect the total value of an investors portfolio (e.g. a 0.40% fee over five years, compounded quarterly, would reduce performance by 2.02%).