CURRENCY MANAGEMENT SOLUTIONS

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1 FOR PROFESSIONAL CLIENTS ONLY. NOT TO BE DISTRIBUTED TO RETAIL CLIENTS. This strategy is offered by Pareto Investment Management Limited (PIML) in the United States. PIML is part of the Insight Group of companies. Please see important disclosures for information on the Insight Group. CURRENCY MANAGEMENT SOLUTIONS OPPORTUNITY Hidden risk. The global market can be viewed as a complex system, populated by a broad range of diverse participants, each pursuing different investment objectives and with varying time horizons. Currencies are prone to extreme moves, owing to structural breaks in drivers of or market cycles. Sources of returns and generators of losses can shift rapidly with significant portfolio consequences. Currencies exhibit multi-year trends that can erode an international asset portfolio (Figure 1). Managing unintended risks and seeking additional returns. While it is generally accepted that unmanaged developed market exposure has no expected return, its susceptibility to exogenous factors can leave investors vulnerable to losses from unintentional risk. Equally, skillful investors can exploit these opportunities to capture value. At Insight, we have dedicated significant resources and intellectual capital over many years to developing specific expertise and delivering solutions to our clients. snapshot Long-standing philosophy: Actively managing risk since 1991 Risk management expertise: Informs our investment philosophy, process and business systems Resilient alpha generation: Currency alpha approach offers the potential to add value in all market conditions Flexibility of framework: Robust, integrated infrastructure supported by proprietary, market-leading trading system built to customize client-specific solutions Strategy assets: $44.6bn in risk management exposures and $18.7bn of managed in fixed income portfolios 1 Availability: Separate account Strategy offered by: Pareto Investment Management Limited 1 As of September 30, Assets under management (AUM) are represented by the value of cash securities and other economic exposure managed for clients. Reflects the AUM of Insight. See footnote on page 3 for more information. Figure 1: Currencies experience large protracted moves creating possible opportunities and costs Cumulative returns (%) lost 40% gained 45% Jul 95 Jul 00 Jul 05 Jul 10 Jul 15 } stronger Every 10% move is a potential gain/loss of 1.5% at the fund level 2 Unhedged return Source: Insight. Monthly data from November 2, 1993 to September 30, Currency contribution to returns for US investor with typical developed market allocation; does not reflect interest rate differential. A typical US investor developed market allocation is comprised of currencies from Euro Region, United Kingdom, Japan, Switzerland and Australia. 2 Currency effect on a portfolio with 15% allocation to international based on unhedged passive position from exposure and does not take account of investment fees. HYPOTHETICAL PERFORMANCE RESULTS HAVE MANY INHERENT LIMITATIONS, SOME OF WHICH ARE DESCRIBED AT THE BACK OF THIS DOCUMENT. USD stronger Subject to multi-year trends and sharp reversals Creates an asset/liability mismatch and timing uncertainty Adds risk with no expected return Separable from asset exposure Provides alpha (return-seeking) opportunities

2 Customized solutions to meet a range of risk and return objectives Currency risk management is a core activity, and passive mandates benefit from the same competitive pricing and trading efficiency as active mandates. They are supported by state-of-theart infrastructure and a dedicated trading desk. Proprietary models monitor hedge levels and calculate adjustment trades. Tight operational and risk controls are embedded in the systems and processes. Passive hedging assignments receive the oversight of our experienced team, with client portfolio managers assigned to each account. Currency Risk Management (CRM) CRM, our flagship risk management strategy, has a 24-year track record. CRM is an active hedging program that is tailored to manage each client s foreign exposure and risk sensitivity. By applying hedges when the base strengthens and reducing them on weakness to allow foreign strength to flow into the portfolio, CRM seeks to add value over the fund s passive strategic benchmark. CRM is a systematic program that is supported by state-of-the-art infrastructure and an experienced London trading desk, with dedicated client portfolio managers in New York. Pre-existing risk embedded in international portfolios is managed passively using Insight s experienced trading desk and risk management infrastructure. Passive Plus expands the opportunity set to capture value unrelated to the underlying asset exposures. Passive Plus is scalable and can provide diversification benefits to the international portfolio. Passive Plus is managed on a unified trading and reporting platform and with stringent risk controls seeking the dual objective of risk management and absolute return. Absolute Return Currency (ARC) ARC has delivered positive net of fee returns in seven of eight years since its inception. 3 Results are expected to have low correlation with asset markets and peers. ARC is focused on liquid markets to construct a widely diversified portfolio. The investment approach is absolute return, discretionary macro, with an emphasis on downside risk control. It aims to provide a diversifying source of alpha with limited drawdowns. ARC is managed by an experienced team within a large, well-resourced specialist fixed income group. Insight provides a range of solutions that offers a holistic approach to management Active return Offsets foreign exposures and neutralizes translation impact Static hedge ratio Seeks to protect against foreign losses while capturing gains Dynamically alters hedges Currency Risk Management Aims to add return to complement hedges Risk management plus scalable absolute return Absolute Return Currency Seeks positive returns in developed and liquid emerging markets in all market conditions Scalable absolute return orientation Active risk Source: Insight. 3 Inception date February 28, Past performance is not a guide to future performance. Investment in this strategy involves substantial risk of loss. The value of investments and the income from them can fall as well as rise and are not guaranteed, investors may not get back the original amount invested. the team The Currency Group comprises 27 investment professionals globally including seven portfolio managers with an average industry experience of 22 years 4, and is divided into a quantitative risk management team, a global macro alpha team and a dedicated trading team. Client Portfolio Management is headed in North America by Carl Mastroianni. The team is responsibile for monitoring client portfolios and communicating results. Gavin Francis heads the London team which supports solution implementation. Carl and Gavin have been with the firm for 10 and 18 years 4 respectively. Constantine Ponticos heads the Research team from London and has been with the firm since The Research Team is responsible for maintaining and enhancing the models which inform our risk management solutions as well as undertaking proprietary research into the structure and characteristics of the global markets. Paul Lambert, with 25 years industry experience 4, leads the alpha team in London. The team undertakes fundamental and technical research to develop views and construct return-seeking portfolios The solution design trading desk is led by Richard Purssell in London, a 17 year veteran of the team. 4 Richard also sits on various advisory panels that address implementation of global regulatory changes. 4 As of September 30, 2015.

3 Investment Approach Our objective for passive hedging is to reduce the foreign exchange risk from the client s international investments and to limit trading costs. Insight s long-standing active approach to managing risk has driven the development of an integrated trading, risk management and reporting infrastructure, facilitating an institutional quality passive solution. We provide this service to institutional investors, either on a stand-alone basis or as a complement to an active strategy. Currency Risk Management (CRM) CRM employs a proprietary, quantitative model with highly flexible framework to accommodate a range of client requirements. These include managing against any benchmark hedge ratio from 0% to 100%, adherence to a strict downside loss constraint and inclusion of a variety of value adding elements. This is achieved by adopting a modular approach that allows an overall strategy to be constructed from component parts. We believe one of Insight s key competitive advantages lies in the ability to understand and model risk. The evaluation of risk with CRM is a highly quantitative process that is built upon certain prior knowledge about the time-dependent nature of movements. Passive Plus marries the infrastructure we employ to deliver a high quality passive hedging solution with our absolute return approach. The resulting seamless package benefits from our long history of managing underlying exposures since 1991, access to our best ideas in developed and emerging market currencies and oversight of dedicated client portfolio managers. Absolute Return Currency We aim to build portfolios that target precisely sources of return that reflect our prevailing investment views. We include only those elements of market risk we consider attractive and seek to eliminate unintended risks. We believe good, consistent long-term performance is generated by covering a wide range of opportunities, and allowing no single source of alpha to dominate returns over time. Our investment process combines long-term valuation, cyclical economic and volatility analysis, along with timing tools in a single process. Quantitative tools support the fundamental decision-making process. Insight offers experience, partnership culture and customized solutions Outcome oriented investment philosophy Collaborate with clients on risk sensitivity and performance targets, build resilient portfolios aimed at achieving desired outcome and emphasize downside protection across all strategies Experience and skill to tailor and execute program Over 24-year track record 5 managing risk for US institutions, dedicated hedging and alpha teams and specialist trading team in London Institutional quality infrastructure and risk controls Oversight by North American client portfolio management team, integrated trading, risk management and reporting and competitive pricing and efficient trade execution 5 As of September 30, about insight investment Insight Investment is a group of leading investment managers with key operations in London, New York and Sydney. Through its predecessor companies, Insight has a 24-year history in North America and manages $605 billion globally. 6 It is built on three main pillars: fixed income; absolute return and unconstrained investment; and risk management solutions: Insight s global fixed income team has a strong track record Insight has a decade-long history of applying institutional both for performance and innovation. quality processes and governance to absolute return and Risk management solutions have played a significant role in the unconstrained mandates. Insight story. In Europe, members of Insight were pioneers in Insight has been managing unrewarded risk for liability-driven investment. two decades. 2 We understand the complex requirements of insurers through As of March 31, Assets under management are represented by the value of cash securities and other economic exposure managed for clients. Reflects the AUM of the Insight Group (Insight), which includes Insight Investment Management (Global) Limited, Pareto Investment substantive Management team Limited, experience. Insight Investment Funds Management Limited, Cutwater Investor Services Corporation and Cutwater Asset Management Corporation (Cutwater Asset Management). Cutwater Asset Management is owned by BNY Mellon 6 and As operated of September by Insight. 30, History Assets is of affiliated under management entities that (AUM) became are part represented of Insight by in the value of cash securities and other economic exposure managed for clients. Reflects the AUM of the Insight Group (Insight), which includes Insight Investment Management (Global) Limited, Pareto Investment Management Limited, Insight Investment Funds Management Limited, Cutwater Investor Services Corporation (CISC) and Cutwater Asset Management Corporation (CAMC). CISC and CAMC are owned by The BNY Mellon Corporation and operated by Insight. Please refer to disclosures at the back of this document for more information.

4 Find out more Insight Investment 200 Park Avenue, 7th Floor New York, NY Call charges may vary by provider. Institutional Business Development Consultant Relationship Management Client Service Management Important Disclosures Past performance is not a guide to future performance. The value of investments and any income from them will fluctuate and is not guaranteed (this may partly be due to exchange rate changes) and investors may not get back the amount invested. Transactions in foreign securities may be executed and settled in local markets. Performance comparisons will be affected by changes in interest rates. Investment returns fluctuate due to changes in market conditions. Investment involves risk, including the possible loss of principal. No assurance can be given that the performance objectives of a given strategy will be achieved. The information contained herein is for your reference only and is being provided in response to your specific request and has been obtained from sources believed to be reliable; however, no representation is made regarding its accuracy or completeness. This document must not be used for the purpose of an offer or solicitation in any jurisdiction or in any circumstances in which such offer or solicitation is unlawful or otherwise not permitted. This document should not be duplicated, amended, or forwarded to a third party without consent from Insight. This is a marketing document intended for professional clients only and should not be made available to or relied upon by retail clients. Investment advisory services in North America are provided through four different SEC-registered investment advisers using the brand Insight Investment: Cutwater Asset Management Corp. (CAMC), Cutwater Investor Services Corp. (CISC), Pareto New York LLC (PNY) and Pareto Investment Management Limited (PIML). The North American investment advisers are associated with a broader group of global investment managers that also (individually and collectively) use the corporate brand Insight Investment and may be referred to as Insight, Insight Group or Insight Investment. The investment adviser offering these advisory services is Pareto Investment Management Limited (PIML), an investment adviser registered with the Securities and Exchange Commission (SEC), under the Investment Advisers Act of 1940, as amended. Registration with the SEC does not imply a certain level of skill or training. You may request, without charge, additional information about Insight. Moreover, specific information relating to Insight s strategies, including investment advisory fees, may be obtained from PIML s Form ADV Part 2A, which is available without charge upon request. This document is distributed in the United States by Pareto Investment Management Limited (PIML) using the brand Insight Investment. PIML is one of the subsidiaries of Insight Investment Management Limited (IIML), a UK company, and the strategies outlined in this document may be offered outside the United States and implemented by another affiliate of IIML (the Affiliate ). Performance presented is that of the Affiliate and should not be viewed as the performance of PIML. The performance of the Affiliate is being presented to show the historical performance of the portfolio management team responsible for managing the Strategy. The track records presented include all accounts managed by the Affiliate with substantially similar investment objectives, policies and strategies for which the Strategy management teams were responsible. The Strategy portfolio management teams may concurrently manage portfolios at the Affiliate and PIML under dual employment arrangements. The advisory services and investment products advised by Affiliate are not offered in the US and are not available to US persons. Advisory services referenced herein are available in the US only through PIML. PIML and the Affiliate are part of the GIPS firm Insight Investment, which claims compliance with GIPS. Performance presented is that of Insight Investment Management (Global) Limited, an affiliate of Pareto Investment Management Limited, both of which are part of the Insight Group. Please refer to the disclosures and index definitions at the back of this document. Unless otherwise stated, the source of information is Insight. Any forecasts or opinions are Insight s own at the date of this document (or as otherwise specified) and may change. Material in this publication is for general information only and is not advice, investment advice, or the recommendation of any purchase or sale of any security. Insight makes no implied or expressed recommendations concerning the manner in which an account should or would be handled, as appropriate investment strategies depend upon specific investment guidelines and objectives and should not be construed to be an assurance that any particular security in a strategy will remain in any fund, account, or strategy, or that a previously held security will not be repurchased. It should not be assumed that any of the security transactions or holdings referenced herein have been or will prove to be profitable or that future investment decisions will be profitable or will equal or exceed the past investment performance of the securities listed. Telephone calls may be recorded. Insight does not provide tax or legal advice to its clients and all investors are strongly urged to consult their tax and legal advisors regarding any potential strategy or investment. Pareto Investment Management Limited is a UK limited company registered in England and Wales with the Company No Its registered office is The Bank of New York Mellon Centre, 160 Queen Victoria Street, London, EC4V 4LA, United Kingdom. Pareto Investment Management Limited is authorized and regulated by the Financial Conduct Authority (FCA) with FRN in the United Kingdom and is registered with the Securities and Exchange Commission (SEC) in the United States as an investment adviser; the Ontario Securities Commission (OSC), Alberta Securities Commission (ASC), British Columbia Securities Commission (BCSC), Manitoba Securities Commission (MSC), Nova Scotia Securities Commission (NSSC), Authorities des Marches Financiers and Saskatchewan Financial Services Commission (SFSC) in Canada, the Financial Services Agency in Japan; the Commodity Futures Trading Commission (CFTC) as a Commodity Pool Operator and a Commodity Trading Advisor and is a member of the National Futures Authority (NFA). Insight Investment Australia Pty Ltd is regulated by the Australian Securities & Investments Commission (ASIC) with AFSL Pareto New York LLC (PNY) is registered as an investment adviser with the SEC and with the CFTC as a Commodity Trading Advisor and is a member of the NFA. PNY markets all of Insight s strategies and provides client servicing for its North American clients. PNY does not recommend any investment or provide advice in the course of marketing Insight strategies. PNY is not independent of Insight and PNY s interests are generally aligned with those of Insight.

5 Insight is a group of wholly owned subsidiaries of The Bank of New York Mellon Corporation. BNY Mellon is the corporate brand of The Bank of New York Mellon Corporation and may also be used as a generic term to reference the Corporation as a whole or its various subsidiaries generally. Products and services may be provided under various brand names and in various countries by subsidiaries, affiliates and joint ventures of The Bank of New York Mellon Corporation where authorized and regulated as required within each jurisdiction. Unless you are notified to the contrary, the products and services mentioned are not insured by the FDIC (or by any governmental entity) and are not guaranteed by or obligations of The Bank of New York Mellon Corporation or any of its affiliates. The Bank of New York Corporation assumes no responsibility for the accuracy or completeness of the above data and disclaims all expressed or implied warranties in connection therewith. WHERE MODEL OR SIMULATED RESULTS ARE PRESENTED, THEY HAVE MANY INHERENT LIMITATIONS. CLIENTS ACTUAL RESULTS MAY BE MATERIALLY DIFFERENT THAN THE RESULTS PRESENTED. UNLIKE AN ACTUAL PERFORMANCE RECORD, MODEL RESULTS DO NOT REPRESENT ACTUAL TRADING AND MAY NOT REFLECT THE IMPACT THAT MATERIAL ECONOMIC AND MARKET FACTORS MIGHT HAVE HAD ON INSIGHT PARETO S DECISION-MAKING IF ACTUAL CLIENT FUNDS WERE BEING MANAGED. ALSO, SINCE SUCH TRADES HAVE NOT BEEN EXECUTED, THE RESULTS MAY HAVE UNDER OR OVER-COMPENSATED. FOR THE IMPACT, IF ANY, OF CERTAIN MARKET FACTORS, SUCH AS LACK OF LIQUIDITY. SIMULATED TRADING PROGRAMS IN GENERAL ARE ALSO SUBJECT TO THE FACT THAT THEY ARE DESIGNED WITH THE BENEFIT OF HINDSIGHT. MODEL RESULTS ARE ACHIEVED THROUGH THE RETROACTIVE APPLICATION OF A MODEL. MODEL RESULTS SHOWN REFLECT THE REINVESTMENT OF DIVIDENDS AND OTHER EARNINGS BUT DO NOT REFLECT MANAGEMENT FEES, TRANSACTION COSTS AND OTHER EXPENSES THAT WOULD REDUCE RETURNS Insight Investment. All rights reserved