1 SECURITIES LIMITED Kiev Q1 2011 Version 1.1. 2 Agenda ARMAJARO SECURITIES subsidiary of Armajaro Holdings Defining structured products Changes to the

1

SECURITIES LIMITED

Kiev Q1 2011

Version 1.1

2

Agenda

• ARMAJARO SECURITIES subsidiary of Armajaro Holdings

• Defining structured products

• Changes to the landscape

• The evolution process

• Trends in structured products

• Strategies to benefit from current climate

• Products

• Armajaro … Final Details

3

Overview of the Armajaro Group

The Group• Armajaro has over 1,000 people working for its various Group and subsidiary companies around the world. Armajaro has operations in Europe, North America, West Africa and Asia.

• Armajaro Asset Management LLP is an alternative asset management partnership that specialises in the management of commodity hedge funds and other alternatives assets.

• Armajaro Trading Ltd is a leading supplier of cocoa and coffee beans to the worlds’ major chocolate manufacturers and coffee roasters.

• Founded in 1998, Armajaro Securities Ltd provides financial instruments to a broad range of UK, European and Asian institutional clients and “family” offices.

• In addition Armajaro has investments in cocoa processing, wine production, wine distribution and a number of start-up businesses.

• For more information please go to : www.armajaro.com

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

4

Corporate Structure

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

5

Africa

Cote d’IvoireCote d’Ivoire

GhanaGhana

NigeriaNigeria

South AfricaSouth Africa

Asia / Pacific

IndonesiaIndonesia

MalaysiaMalaysia

SingaporeSingapore

VietnamVietnam

Europe & Middle East

EnglandEngland

Germany (Petra Armajaro)Germany (Petra Armajaro)

France (Petra Armajaro)France (Petra Armajaro)

North & South America

USAUSA

BrazilBrazil

Armajaro Locations

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

6

Armajaro Asset Management

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

Armajaro Asset Management LLP (AAM) specialises in the management of Hedge Funds. AAM has in excess of US$2bn of assets under management in hedge fund products and currently operates the following specialist Funds:

• Armajaro Commodity Fund (ACF) invests across the main commodity sector (also on the Lyxor platform of funds)

• CC+ Fund specialises in soft commodities, mainly Cocoa & Coffee

• Armajaro Emerging Markets Fund Invests in Emerging equity, derivative & fixed income with a macro focus

• Armajaro STS Commodities Fund trades systematically in both Long & short exchange traded commodity futures

• Armajaro Natural Resources Fund just launched in March 2011

• BNP Paribas Armajaro Agricultural Index (ARAGER) strategy uniquely combines Armajaro’s discretionary management with the benefits of BNP’s systematic Quantitative risk modelling

7

SECURITIES LIMITED

Founded in 1998, Armajaro Securities Limited (ASL) provides bespoke financial services to a broad range of UK, European

and Asian institutional clients and family offices.

ASL preserves the independence of its advice by not taking positions as a principal in any underlying security.

Armajaro Securities Limited is authorized and regulated in the UK by the Financial Services Authority

Our Philosophy…

•Reliability - Permanent market coverage, a partner you can rely on.

•Anonymity – Each interest is dealt with particular discretion, that’s our priority.

•Market experience and knowledge - Understand your expectations is our force.

•Technology - Latest and accurate trading tools, in constant improvement in order to provide efficient, intelligent execution.

Armajaro Securities Limited

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

8

Structured Products

Our Devoted Structured Products

Structured Note Product RangeArmajaro Securities Limited creates tailor-made Structured Notes using a

combination of derivative and cash instruments, enabling its clients to gain exposure to equity, foreign exchange, commodity and fixed income markets,

with various degrees of capital risk. Armajaro Securities has established trading relationships with derivative market makers and note issuers in the City of

London and across Europe, enabling us to offer our clients an extensive and innovative range of Structured Notes.

Secondary MarketsArmajaro Securities provides significant added value on secondary market

pricing and portfolio restructuring. By applying our own valuation models to secondary issues held in clients' portfolios, we have often been able to identify additional value when compared to the valuation provided by the original bank issuer. This immediately unlocks potential value in the clients' investments at

minimal cost in terms of time and effort on behalf of the client.

AdviceArmajaro Securities is an independent securities business that does not take

market positions, ensuring its independence. Our Structured Notes professionals, each with considerable experience, assess clients’ needs in terms

of strategy, capital at risk and investment portfolio allocation.

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

9

Structured Products

Our Devoted Structured Products

PriceOur independence combined with a systematic process of price discovery and

analysis enables us to provide our clients with pricing that successfully competes with the largest international banks.

Service In both the primary and secondary markets, we support clients with a reliable

and prompt service through a dedicated contact. In particular, our service extends across the entire life cycle of a product. In the primary market, our

breadth of market knowledge and access can save investors time and money. In the secondary market Armajaro Securities aims to provide continuous

liquidity, bid/offer spreads and prices based on fair values.

SettlementAll trade settlements are effected by SG Hambros, a 100% owned subsidiary of

Société Générale, (AA1 rated), which also acts as principal to each trade.

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

10

Defining structured products

• An investment that bundles up a portfolio of securities and other derivatives to create a single product.(Source: The ABC of Equity Derivatives and Structured Products)

• Created to meet specific needs that cannot be met from standard financial instruments available in the markets

• Can be used as an alternative to a direct investment, as part of the asset allocation process to reduce risk exposure of a portfolio, or to utilize the current market trend

• A structured product appeals to the investor who has a view on the market and a good idea of their risk/reward appetite

• More cost efficient for retail investors

11

Traditional structured products

• Capital Protected equity structures— Up to 100% protection on a wide range of listed shares

• Capital Protected Commodities structures

• Capital Protected Income structures

• Capital protected managed investments— CPPI – allocating between asset and bond, usually over manage funds— Bond + call option – fixed allocation, usually over an index, existing products have been assisted by the fall in interest rates but new ones are difficult

• Structured products have been evolving to suit market environment…..why?

12

Changes to the landscape

• Market volatility at record high levels across most asset classes— Cost of protection has increased due to higher risks— Some CPPI strategies have cashlocked— Increased demand for lower volatility underlyings e.g. Index-based ETFs

• Counterparty risk to the fore— Bear Stearns/ Lehman collapses— Bank/Issuer funding rates increased— Need for diversification

• Interest Rates turned sharply down— High break costs on fixed rate loans— Increases cost of Bonds and Bond Floor rises— Investors seeking returns above cash— Inflation catching up

• Competitive landscape— Large losses in some trading books => risk appetite diminished

13

Higher Volatility => Higher cost of Protection

Source: Bloomberg 15/03/2011

14

… World Equity Index

Source: Bloomberg 15/03/2011

15

Traditional Managed Fund investments

• Psychology of investors often gets in the way of rational investment decisions – reluctance to take profits• Time poor investors – no time to “manage” their exposures• Many years of accumulated gains can disappear quickly in a year such as 2008• Dynamic ERI: measures market sentiment, investor risk appetite, and equity positioning

Source: Bloomberg & UBS Q12011

16

The “Simplicity” and “Optimisation” phases

• Back to basics— What am I investing in? How will my investment perform? Can I exit early?

• Low risk appetite— Seeking to preserve capital— Reduced demand for leverage

strategies— Looking to take advantage of

lower prices— Focus on counterparty risk

• Income is a high priority— Certainty of returns— Strategies may deliver a

minimum fixed return or a regular income stream

— Low interest rate environment makes it difficult to achieve income objectives

Simplicity &

Transparency

Increased

Leverage

More Complex

Structures

Access to

Diversified

markets

Yield

Enhancement

Start of Cycle

End of Cycle

17

Trends in structured products

• Shift towards capital preservation

• Investment terms of traditional capital protected products becoming longer

• Underlying investment exposures— Equity indices, ETFs— Less thematic and alternative investment exposures

• Mechanisms changing— Shift away from traditional CPPT techniques— Option on CPPT— Lower levels of capital protection

• Demand for leverage is decreasing— No capital gains to offset— Reduced risk appetite

Source: Barclays Equity & Structured Market Survey Jan 2011

18

How do we adapt?

• Employ more conservative gearing strategies— Lower LVR’s and internal leverage— Protected lending

• Accept upside caps on performance— Lower risk, lower potential return

• Invest in less volatile underlyings— Index vs. direct investment— Choose funds which target lower volatility, and construct lower volatilityportfolios— Risk overlays

• Consider strategies designed to benefit from current conditions— Take advantage of high volatility— Sell option volatility— Optimisation strategies, vol target strategies, reverse convertibles— Sell volatility

• Consider payoffs which are suited to your client objectives— Minimum and fixed return structures— Limited protection— Performance caps to improve participation/protection

19

Each Class has its own Risk versus Return Profile

20

Example: Optimisation strategy

• High fixed income, paid regardless of underlying share performance

• Basket of 3-4 underlying shares

• Investment term of say 6 months perhaps up to 2 years

• Limited capital protection provided shares remain above a certain level (e.g. 60% of initial price)

• Investors forgo dividends and upside growth above the fixed return

• If barrier is breached (e.g. 60%) worst performing share delivered at Maturity, plus income

• If barrier is not breached (e.g. > 60%) capital protection at Maturity, plus income

Potential Payoff – Capped Upside

21

Summarised results on optimised strategy

• Optimisation strategies can compliment traditional portfolios

• Some downside protection to traditional investment portfolios

• Diversification of strategies within the same asset class

• Helps to meet investor objectives— Capital preservation— Minimum return or income stream

• Tax efficiencies— Potential for returns on capital account at maturity

• May outperform other investments in sideways, slightly positive and slightly bearish markets

22

USD 6 year Armajaro Commodity Fund (ACF) SUNRISE Note

...full capital protection

If held to maturity.

Investor seeks:

Full principal protection at maturity

Commodity exposure via one of the world’s top performing Commodity Hedge Fund

Investor can accept:

6 year investment term

Potential for losses of principal invested if note is sold prior to maturity

Credit risk of the Issuer and Guarantor

Underlyings Armajaro Commodity Fund (Societe Generale Lyxor Platform)

Tenor 6 years

Payoff 100% participation in the upside performance of the Armajaro Commodity Fund, without a cap or averaging, by giving up the best monthly performance of the shares, within each yearly period.

Soft Protection 100% Capital Protected

Currency USD

Minimum Subscription USD 1,000,000

Secondary Market Issuer ensures a secondary market daily during the life of the product with a maximum bid-offer spread of 1.0%, under normal market conditions.

Issuer The Issuer’s senior debt as at 01/01/2011 is rated Aa3/A+ S&P

23

Armajaro Commodities Fund

24

EUR 2 year Incremental Autocall 13%p.a. Russian Equity Index Note

Early redemption mechanism... If on anniversary date, the level of the basket is over its initial level, the invested capital is fully reimbursed & increased by a coupon of 6.50% multiplied by the number of semesters

...with conditional capital protection

After 2 years, if the level of the basket has not declined by over 30% from its initial level, the capital is entirely reimbursed. If the contrary applies, the capital will be lessened by the (negative) performance of the basket.

Investor seeks:

Soft principal protection at maturity

Russian Equity exposure


Two year investment term

Potential for losses of principal invested if note is sold prior to maturity or if on maturity the underlying is below a 70% European barrier


Underlyings(Bloomberg)

Basket of Russian shareso ROSNEFT (ROSN LI)o MMC NORILSK NICKEL (MNOD LI)o SBERBANK (SBER RU)o MAGNIT (MGNT LI)o MOBILE TELESYSTEMS (MBT UN)o URALKALI (URKA LI)

Tenor 2 years

Payoff Semi-annual. The product is cancelled if at the end of any 6 month period the basket has a positive performance compared to date 0.

In this case, the product pays 6.50%*the number of the relevant semester.

Soft Protection 70% European Barrier so if on maturity the underlying index closes below the barrier the investor is exposed 1:1 on the downside

Currency EUR

Minimum Subscription 1,000,000 EUR

Secondary Market Issuer ensures a secondary market daily during the life of the product with a maximum bid-offer spread of 1.0%, under normal market conditions.


25

Soft Principal Protected Note On Brazilian Equity Index - Euros

Early redemption mechanism... If at a quarterly anniversary date, the level of the Index is over its initial level, the invested capital is fully reimbursed in anticipation and increased by a coupon of 14.0%p.a multiplied by the number of quarters of ownership.

... with conditional protection of the capital

After 1 year, if the level of the Index has not declined by over 40% from its initial level, the capital is entirely reimbursed. If the contrary applies, the capital will be lessened by the (negative) performance of the basket.

Investor seeks:


Brazilian Equity exposure


One year investment term

Potential for losses of principal invested if note is sold prior to maturity or potential loss of capital on maturity if the underlying is below a 60% European barrier on maturity


Underlyings iSHARES-BRAZIL in EUR

Tenor 1 years

Payoff Early Redemption (Every 3 months): If on any Observation Date, the underlying closes at or above 100% of its initial spot price, You are early redeemed and receive a coupon payment of 14.0% p.a. plus 14.0% p.a. for each Quarter previously unpaid.At Maturity (no redemption): one of the following scenarios will occur:(i)If on the final Observation Date the underlying closes at or above 100% of its initial spot price You receive 114.6%(ii)If on the final Observation Date the underlying closes at or above 60% and below 100% of its initial spot price You receive 100% of your nominal(iii)If the underlying closes below 60% of its initial spot price You receive the performance of the underlying in shares

Soft Protection 60% European Barrier so if on maturity the underlying index closes below the barrier the investor is exposed 1:1 on the downside

Currency EUR

Minimum Subscription

1,000,000 EUR

Secondary Market

Issuer ensures a secondary market daily during the life of the product with a maximum bid-offer spread of 1.0%, under normal market conditions.


26

USD 1 year Booster 15%p.a. Russian Equity Index Note

Investment Summary

Leveraged performance on the upside (x 200%) but capped

Leveraged performance on the downside (x111%) if the index closes below 90% of the initial value

Investor seeks:


Russian Equity exposure


One year investment term

Potential for losses of principal invested if note is sold prior to maturity or potential loss of capital on maturity in a geared fashion if the underlying is below a 90% European barrier on maturity


Underlyings Russian Depositary Index (RDX)

Tenor 1 years

Payoff On maturity: Long 200% the underlying index with a cap of max 16%

Soft Protection 10% European Barrier so if on maturity the underlying index closes below the barrier the investor is

exposed Short x1.1111 on the downside

Currency USD

Minimum 1,000,000 USD

Secondary Market

Issuer ensures a secondary market daily during the life of the product with a maximum bid-offer

spread of 1.0%, under normal market conditions.


27

USD 5 year 100% Principal Protected Note Floored Floating Rates

Underlyings(Bloomberg)

USD LIBOR 3M with a minimum of 2.90% p.a. and a maximum of 6.5% p.a., paid quarterly, 30/360, adjusted

Tenor 5 years

Currency USD

Issue Date April 6th, 2011

Maturity Date April 6th, 2016

Minimum Subscription

50,000 USD

Secondary Market

Issuer ensures a secondary market daily during the life of the product with a maximum bid-offer spread of 1.0%, under normal market conditions.

Redemption 100% of the principal invested on maturity

Issuer The Issuer’s senior debt as at 01/01/2011 is rated Aa2/A+

...full capital protection

If held to maturity.

Investor seeks:

Full principal protection at maturity

Predefined Interest Rate Returns


5 year investment term

Potential for losses of principal invested if note is sold prior to maturity


28

Global Bond Trading

Cash Bonds

PriceOur independence combined with a systematic process of price discovery and

analysis enables us to provide our clients with pricing that successfully competes with the largest international banks.

Service

We offer institutional investors a platform for Global Fixed Income execution services across Investment Grade Credit and High Yield markets. We trade directly with asset managers around the world and have access to significant trading books covering the USA, Europe & Emerging Markets.

Trading is enhanced by our Emerging Market Hedge fund overseeing equity derivatives, fixed income, mainly in Russia, Greece , S. Africa , Israel , Middle East , Czech Republic , Poland , Hungary and Turkey

SettlementAll trade settlements are effected by SG Hambros, a 100% owned subsidiary of

Société Générale, (AA1 rated), which also acts as principal to each trade.

Overview

Armajaro Securities

Limited

Global Bond Trading

Cash Equity

Futures & Options

Locations

Contacts

Structured Products

Settlements

29

Cash Equity

Cash Equity Business Has Been Launched

Armajaro Securities Ltd now provides wide and complete range of advisory and execution services, on both Developed and Emerging Markets, with

sophisticated single stock, pair and basket trading specialties.

We provide to Institutional Investors, from renowned Hedge Fund to small Asset Managers a global investment and execution solutions.

We have developed a deep expertise on Emerging and Commodities markets, synergy from our asset management and physical trading so-called divisions.

Transparency of our investment advice guarantees the sole interest of our clients:

No proprietary trading,

No security transaction (no IPO, no ABB, no placement),

No credit line or loan proposed to corporate.

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

30

Cash Equity

Our capabilities tend to be wider as possible; we propose bespoke solutions matching each client’s demands:

Slippage reduced to achieve Best Execution,

Algorithms (% volume, VWAP, TWAP, Stop, Stop Loss linked to Profit Taking, and many others),

Multi-Trading Facilities : All trading will use our Smart Order Router to enable access to liquidity on Chi-X, NASDAQ OMX, BATS, Turquoise and BLINK (crossing

engine) unless client specifies otherwise.

DMA connectivity, CFDs.

Ideas origination and Market Colours

We originate trade ideas every day and, as Armajaro Securities Ltd is a principal outsourced trading desk for large fund managers, the significant traded volume and flow allow us to identify market, sector, and thematic trends which help our

execution decision process.

Cash Equity Business Has Been LaunchedOverview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

31

Futures & Options

Derivatives Brokerage Service

•Armajaro Securities Ltd has launched a derivatives brokerage platform to provide institutional clients and hedge funds with a real-time market insight

from research to execution.

•Our brokerage desk covers major futures exchanges & provides personalized execution across a wide range of listed derivatives from commodities to

equities, energy and fixed income.

•Our brokerage-unit is an independent body, therefore guarantees complete anonymity of service to its clients. Armajero Securities Limited does nono

proprietary trading.

•Our office will always be striving the best it can to provide its clients with a multitude of bespoke OTC structured products thus ensuring a permanent

coverage of the market.

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Global Bond Trading

Settlements

32

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Settlements

ARMAJARO SECURITIES LIMITED: Settlement process

SG Hambros acts as principal for settlement trades.

Armajaro has a dedicated Euroclear account through SG Hambros: 11064 for its use only

PriceInvestors

Insurance CompaniesCorporate Treasuries

Private Banks etc.

Depositary

SG Hambros

100% owned Subsidiary by Société

Générale

Physical flowPhysical Flow

Investment Banks

Market Makers

Issuer of EMTN Global Bond Trading

33

Contacts

Overview

Armajaro Securities

Limited

Structured Products

Cash Equity

Futures & Options

Locations

Contacts

Andrej GustinAndrej Gustin

Structured Products Solutions

Tel: +44 207 647 3100

Email: [email protected]

Group: [email protected]

Tony MyersTony Myers

Operations Manager

Tel: +44 207 647 3118



Giuseppe ArditoGiuseppe Ardito


Tel: +44 207 255 7929



Sofiane MegharbiSofiane Megharbi

European Head of Sales

Tel: +44 207 255 7913



Theodore PitsillidesTheodore Pitsillides


Tel: +44 207 255 7920



Tim ManningTim Manning

Structured Product Solutions

Tel: +44 207 647 3143



Helmut KleinschrodHelmut Kleinschrod


Tel: +44 207 647 3100



Benjamin ChekrounBenjamin Chekroun

Cross Asset Solutions

Tel: +44 207 529 3679



Guillaume RoyGuillaume Roy

Commodity Broker

Tel: +44 207 529 3688



Terry ManningTerry Manning

Chief Executive Officer

Tel: +44 207 529 3662



Rex HillRex Hill

Aid Compliance

Tel: +44 207 255 7936



Global Bond Trading

mailto:[email protected]











Documents

1 SECURITIES LIMITED Kiev Q1 2011 Version 1.1. 2 Agenda ARMAJARO SECURITIES subsidiary of Armajaro Holdings Defining structured products Changes to the