1. Panel: Strategies for managing interest rate and currency risk Evariste Lefeuvre Head of Global Macro Natixis Jim Leahy Chief Financial Officer Marathon Asset Management Frederic Garnier Managing Director, Emerging Markets Tishman Speyer Brian Conly Managing Director, Real Estate Chatham Financial Corp.

2. The bumpy road to recovery Evariste Lefeuvre Head of Global Macro Natixis

3. Macro / Market themes for 2010 1.The real side: recovery is fragile (weak wages and deleveraging), no genuine decoupling. 2.The money side: early exit strategies. Impact of (excessive) quantitative easing. The death of Fiat Money ? Inflation is threatening ? 3.Soaring public deficits and Debt: impacting the yield curve ? What about private deleveraging ? FX aspect of fiscal inconsistency (foreign debt) 4.FX market as an asset class: correlation breaks and the role of the dollar: safe haven or new carry trades vehicle ? 5.Conclusion: living in a world with excess liquidity.

4. Last exit to 2010 (our view)

5. Does everyone agree? (markets view)

6. Quantitative easing and fiat money risk: genuine ? Why should CB exit so early as growth is lackluster Asset providing liquidity => Liability excess reserves hoarding !

7. Is inflation always and everywhere a monetary phenomenon ? Credit growth collapsing (lower credit multiplier), excess capacities worldwide (unemployment) and flat commodity prices curves: no danger !

8. Public debt is always bad for long term interest rates ? It all depends on the behavior of private agents (private deleveraging can harm growth for a (very) long time) and offset the supply effect of public debt

9. The behavior of the (sovereign) yield curve A short end of long end effect ? There is a macro carry trade going on: cheap repo at the central bank and steep curve !

10. Correlations breaks Gold message is weird : higher risk aversion ? Long term inflation risk… Dollar bears ? Do we have a story here ?

11. The USD: a safe haven trade?

12. The USD: a new funding currency? Ex ante Sharpe ratios: the higher the more attractive the carry trade Why is the yen soaring ?

13. FX as an asset class Tracking correlations and… regime switches

14. FX regime switch Correlation breakdowns: mean reversion or regime switch ? I guess USD/JPY takes the early signal lead…

15. A new conundrum ? Everything's up ! USUAL SUSPECT: GLOBAL LIQUIDITY ! Whos to blame ? FX Pegs…

16. Tracking the cycle to forecast risk aversion

17. VIX and Global liquidity explains many things ! An example: Modeling the EUR/USD

18. To conclude The cycle has changed: structural impact of the crisis on the functioning of economies: deleveraging, public debt… Dont be afraid of inflation: at least in the short run. There is no hurry to exit Huge amounts of liquidity due to stockpiling of FX reserves, to a much lesser extent to Quantitative Easing Volatility tracks the cycle and the W is looming FX to be treated as an asset class (all but YEN) Rates to remain low at the short end Long end more and more capped by Banks carry, maturity transformation strategies…

19. Hot Topics – Open Discussion How best to execute a hedging strategy in the current difficult credit markets. Liquidity management strategies for FX hedge portfolios. Managing counterparty credit risk in a post-Lehman world. FX Hedging in currency pairs where the FX forward curve is stacked against you (e.g. BRL, MXN, INR). Hedging the interest rate risk associated with the acquisition of debt securities such as whole loans, CMBS paper, CDO/CLOs, etc. Hedging interest rate risk in a challenging steep yield curve environment.

20. Tables