CACEIS BANK MONTPENSIER FINANCE 1-3 place Valhubert 58 ... · Bonds and similar securities are valued at the closing price notified by various financial service providers. Interest

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CACEIS BANK MONTPENSIER FINANCE 1-3 place Valhubert 58, avenue Marceau F-75013 Paris F-75008 Paris Dépositary Management company

M CONVERTIBLES

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CONTENTS

Informations about the Fund 31.

Changes affecting the UCI 112.

Management report 143.

Regulatory informations 294.

Statutory Auditor's certification 315.

Annual financial statements 366.

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1. INFORMATIONS ABOUT THE FUND

LEGAL FORM French Variable Capital Investment Company (SICAV). METHOD OF DETERMINATION AND ALLOCATION OF DISTRIBUTABLE INCOME Allocation of net income: For AC and IC shares: accumulation of all revenue. For AD and ID shares: distribution of all revenue. Allocation of net realised capital gains: For AD and ID shares: accumulation and/or distribution upon decision of the management company. MANAGEMENT OBJECTIVE The management objectives of the SICAV consist in obtaining performance linked to that of the European bond markets and equities markets. In particular the management objective of the UCITS consists in obtaining over the recommended investment duration, performance greater than that of the Exane Euro zone Convertible Bond benchmark index, net coupons reinvested, etc. BENCHMARK INDICATOR The UCITS is not an index-based fund. The reference to an index is not an element of a posteriori comparison. The benchmark indicator is the Exane Euro zone Convertible Bond (ICE-Euro) ticker Bloomberg EZCIEZCI Index. Exane Euro zone Convertible Bond is a euro zone capitalisation-weighted convertible bond index. This index is representative of the evolution of the convertible bond market in the euro zone and is made up of the main issues of companies in the zone. This index is used to the extent that it allows to assess the level of risk with respect to the equities market. It is also representative of the performance of convertible bonds. The Fund's objective is not to replicate the performance of this index: the composition of its portfolio can differ clearly from that of this latter. As the Fund's management does not follow index-based management, the Fund's performance of may differ both upward and downward from that of the benchmark.

Information on the benchmark used by the Fund in accordance with the provisions of EU Regulation 2016/1011. As at the date of the last update of this Prospectus, the benchmark index administrator is not yet listed on the Register of Administrators and Benchmarks kept by the ESMA.

The Register of Administrators and Benchmarks kept by the ESMA is available on the following website: https://registers.esma.europa.eu/publication/searchRegister?core=esma_registers_bench_entities.

In accordance with Regulation (EU) 2016/1011 of the European Parliament and of the Council of 8 June 2016, the management company has put in place the necessary provisions in the event of substantial changes to a benchmark or cessation of the provision of a benchmark. INVESTMENT STRATEGY : 1. Strategies used The M Convertibles SICAV invests in bonds convertible to equities, with a preponderance on the euro zone and OECD member states. The portfolio is thus doubly exposed, on the one hand to the risk of equities markets and, on the other hand, to bond risk (interest rate risk and credit risk) since it is composed of convertible bonds with this double sensitivity. The manager will modulate, depending on anticipations of future changes on the markets, two parameters, i.e.: primarily sensitivity to the equities markets and to a lesser extent, sensitivity to the bond markets.

The method of portfolio management consists, in a discretionary manner, in a multi-criteria approach for the selection of securities by the manager, combining the potential of the share in its universe, the credit risk and the use of technical analysis specific to convertible bonds.

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The strategy of the equities component of the portfolio consists in a process of discretionary selection of the securities in the portfolio. The manager will create the portfolio and choose the securities on the basis of technical criteria that are specific to convertible bonds. The objective of the UCITS is to hold convertible bonds that have sufficient equity sensitivity to benefit from the evolution of the underlying share.

In addition, the manager seeks to invest in financial instruments representing companies whose share prices present a potential for appreciation taking into consideration the company's business sector or for other specific reasons (growth of a market, opportunities linked to a market transaction completed, companies with low valuation, etc.)

The strategy of the interest rate component itself, may allow to mitigate the effects of an eventual decline in equity markets. Its object is to attenuate the equity risk of the portfolio during periods of pronounced declines in the indexes in the euro zone. The portfolio is invested in interest rate instruments whose sensitivity varies. The average sensitivity of the portfolio may change within a range from 0 to 5.

The asset allocation strategy is as follows:

The investment universe of "convertible bonds and other" and similar securities is centred mainly, for up to 60% at least of the assets, on bonds of all types such as those described in the "Assets" section hereinafter.

The UCITS may invest, depending on changes in the market, up to 10% of its assets in bonds denominated in other currencies than the euro.

Hedging against foreign exchange risk may be total: it is put in place according to the manager's anticipations. The shareholder may be subject to foreign exchange risk on the positions outside the euro zone.

The UCITS may also hold shares in particular issues of conversion. These shares associated with investments in equities funds that the manager will have made, will have an allocation that will represent a maximum of 10% of the portfolio. The issuers of such shares have their registered office in an OECD member state with a preponderance on the euro zone, of companies presenting all types of capitalisation.

In addition, to the extent that a convertible bond is one presenting an option for conversion, the manager may use derivatives aiming to hedge or accentuate a component of the convertible bond (sensitivity to shares or bonds). It results from this that the UCITS could invest in forward financial instruments or conditional instruments in order to hedge the portfolio against an anticipated decline in equities and bond markets, for example, or to expose it to an expected increase on these same markets through the use of instruments such as options on indexes and/or options on shares, futures contracts in the euro zone (CAC, Eurostoxx, Bund contracts, etc.).

The Fund's equities delta should be between 30% and 70%. The UCITS may invest up to 10% of its net assets in units or shares of French or European UCITS, in French AIFs (not alternative funds), meeting the criteria set by R214-13 of the Comofi rules, of any class, managed or promoted by Montpelier Finance or by outside management companies. These investments may be made by the manager as part of cash management of the UCITS, or as a compliment to direct investments in bonds and/or equities.

The investment in bond funds and other debt securities denominated in euros will be either to accentuate the bond component of the UCITS in particular in the case of the rarification of emissions of convertible bonds, or to place liquidities.

For cash management and/or optimisation of revenues, the UCITS may use cash deposit and borrowing transactions.

In order to place the liquidities, present in the portfolio, the UCITS may also hold debt securities and money market instruments, medium- and short-term TCN (negotiable debt securities), fixed- or variable-rate EMTN (Euro Medium-term Notes) as well as monetary UCITS.

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2. Assets (except for derivatives) Shares

As part of its management, the manager may invest in shares, within the maximum limit of 10% of the Fund's assets, in particular when no convertible bond exists on a given underlying. The M Convertibles SICAV may invest in the shares of companies whose registered office is located in an OECD member state with a preponderance on the euro zone, in all of economic sectors. The UCITS may invest in listed shares, and in similar securities (investment certificates, etc.). The Fund's level of investment in equities cannot exceed 10%. The Fund's equities delta should be between 30% and 70%. The delta is a sensitivity indicator that measures the variation in the price of a convertible bond compared to the 1% variation in the price of the underlying share.

Convertible bonds and other similar securities Concerning these investments, the portfolio is invested up to a minimum of 60% of its assets in all types of bonds that are transferable into shares or endorsed on shares and denominated in euros, such as: - bonds convertible or repayable in shares; - bonds with share or bond subscription warrants; - bonds indexed on variations of indexes; - all types of bonds; - equity securities; - structured products. The structured products may be synthetic convertible bonds used to allow the UCITS to invest in sectors or companies for which the convertible bonds are not available or are unsuitable. The UCITS may invest, depending on changes in the market, up to 10% of its assets in bonds, convertible bonds and similar securities denominated in other currencies than the euro. The issuers of these convertible bonds and similar securities have their registered office in an OECD member state, with a preponderance on the euro zone. No limit in terms of rating (or deemed equivalent) by the management company is in place. The management company conducts its own analysis to evaluate the credit quality of these assets, in the selection of securities to acquire and in the life cycle, as well as UCITS/AIFs exposed in interest rate securities. The management company does not mechanically use, nor does it exclusively base itself on the ratings provided by the rating agencies, and puts in place a credit risk analysis and procedures allowing to make management decisions. The breakdown public debt/private debt is not determined in advance and shall be made depending on market opportunities. No geographical allocation within Europe, or sector-based, is determined a priori by the manager. The UCITS may invest in convertible subordinated bonds. However, the UCITS will not invest in CoCos (Contingent Convertibles) issued by banks and insurers, which entail the forced conversion of debt into equity when certain conditions are met regarding the capital of the issuing financial institution. The maturity of the securities used may exceed one year. The sensitivity of the portion of the UCITS invested in interest rate instruments will vary. The sensitivity of the portfolio will not exceed 5.

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Debt securities and money market instruments For cash management, the UCITS may invest in debt securities and money market instruments: French and foreign negotiable trade securities, fixed- or variable-rate EMTN, Euro commercial paper (French or foreign), certificates, as well as monetary UCITS. The TCN may be short-term marketable securities with an initial maturity of up to 1 year or medium-term marketable securities with an initial maturity of more than one year. Management does not set a limit on the breakdown between sovereign and private issuers. The private debt/public debt breakdown is not determined in advance. It will be made by the manager depending on market opportunities and its convictions. No criterion relating to rating (or deemed equivalent by the management company) is imposed on the manager.

Units or shares of other UCITS or AIFs The UCITS may invest a maximum of 10% of its assets in units or shares of UCITS or AIFs. The rate of investment in French or European approved UCITS may vary between 0% and 10% of net assets. The rate of investment in French or European AIFs, meeting the four criteria in Article R214-13 of the Comofi, may vary between 0% and 10% of net assets. The AIFs in which the UCITS will invest are AIFs intended for non-professional investors. The UCITS may invest in Exchange Traded Funds (ETF) approved in compliance with Directive 2009/65/EC for up to between 0% and 10% of its net assets, exposed to equities or interest rate products. These investments may be made by the manager for cash management of the UCITS, or as a compliment to direct investments in bonds and/or equities. The UCITS may invest in shares or units of UCITS, in order to diversify the portfolio and to access specific management skills that may be, for example quantitative, or management styles, or linked to specific sectors or geographical areas. The UCITS reserves the right to invest in UCITS of any classification that are managed or promoted by outside management companies. 3. Derivatives The UCITS may invest in forward financial instruments. Type of markets involved: The UCITS may invest in firm or conditional forward financial instruments traded on French or foreign regulated markets, and in over-the-counter forward currency transactions. - firm forward markets, - conditional, - regulated, - over-the-counter (forward currency contracts). Risks on which the manager wishes to intervene: - equity, transferable securities and similar instruments risk, - bond risk, interest rate risk, - foreign exchange risk. Types of investments: The manager may invest in derivatives aiming to hedge or accentuate a component of the convertible bonds (sensitivity to equities or to bonds). As such, the manager may take positions in order to hedge the portfolio and/or expose it to risks linked to changes in bonds and/or equities, securities and similar transferable securities, as well as to risks linked to changes in equities or interest rate markets and, for hedging only, to foreign exchange risks. Depending on the manager's anticipations, overexposure to bond and/or equity risk may be sought.

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The UCITS can hedge all or part of the foreign exchange risk through forward currency transactions traded over-the-counter on currencies of the OECD member countries (or those participating in the European Economic Union). The UCITS can thus invest in forward financial instruments or on conditional instruments through the use of options on indexes and/or options on equities or futures contracts in the euro zone (CAC, Eurostoxx, Bund contracts, etc.), for example... Types of instruments used: Transactions on firm and conditional forward markets shall be the following: - purchase and sale of forward contracts on indices (equities indices and those related to equities (volatility,

dividends, etc.) and interest rates/bonds) and on securities of European markets, - purchase and sale of options on indexes and European securities, - rate swap, exchange swap, - purchase and sale of forward currency contracts, - forward purchase and sale of currencies. The Fund will not use Total Return Swaps (TRS). 4. Securities with embedded derivatives The manager may also invest in warrants and structured products (Negotiable Medium-Term Notes, Euro Medium Term Notes, etc.), short- or medium-term, traded on regulated markets or over-the-counter, in order to hedge the portfolio and/or to expose it to bond and/or equities risk. Warrants shall be mainly used for hedging and/or exposure of the portfolio. Structured products shall be mainly used for the purpose of exposure of the portfolio, while seeking risk control associated with an investment made. The use of securities with embedded derivatives may have the effect of increasing the Fund's exposure to the risk of the underlying, within the limit of the degrees of exposure specified in this prospectus. The use of this type of instrument may vary from 0% to 10% of the Fund's assets. By their nature the convertible bonds are similar to securities with embedded derivatives. The investment strategy, described in this prospectus, allows the manager to use convertible bonds and similar instruments for up to 100% of the net assets, and therefore the 10% limit of assets mentioned in the previous paragraph is thus not applicable to them. 5. Deposits The UCITS may occasionally, for cash management and optimisation of the Fund's revenue, make deposits held with the custodian for up to 10% of its net assets. 6. Cash borrowings The UCITS may occasionally borrow cash for up to 10% of its net assets, without intending to be a structural cash borrower. This case may essentially result from the discrepancy between the value dates of transaction settlements. 7. Transactions for the temporary purchase and sale of securities None. 8. Contracts constituting financial guarantees In the case of derivatives traded over the counter, the Fund may accept financial assets such as cash as a financial guarantee (collateral) to reduce exposure to counterparty risk. The guarantees received will be valued on a market price basis (mark-to-market) whenever net asset value is calculated. Cash financial guarantees will be reinvested in accordance with the applicable regulations. The risks associated with the reinvestment of cash depend on the type of assets and/or the type of transactions and may be counterparty risk or liquidity risk.

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RISK PROFILE : Your money will be invested primarily in financial instruments selected by the management company. These instruments will be subject to market fluctuations. Each investor, prior to making any investment decision, should analyse the risk inherent in the investment and make sure that it consistent with the investor's objectives, constraints, and investment horizon. Risk linked to discretionary management: The Fund's performance will depend on the securities chosen by the manager. There is a risk that the manager does not select the best performing securities. In that case, the performance of the UCITS may be less than the management objective, and the net asset value of the UCITS may even have a negative performance. Risk of capital loss: Capital loss occurs when a share is sold at a lower price than its purchasing value. The net asset value of the UCITS may moreover have a negative performance. The UCITS does not provide any guarantee or protection of capital. The initially invested capital may not be fully returned. The investor should be aware that the Fund's performance may not meet the investor's objectives and that the invested capital (minus any subscription fees) may not be totally returned to the investors. Risk associated with holding convertible bonds: The degree of exposure to convertible bonds will be a maximum of between 60% and 100%, inclusive, of assets. The UCITS may have a direct or indirect equity or interest rate/credit risk, linked to direct investment in convertible bonds. The value of the convertible bonds depends on several factors: interest rate levels, changes in the prices of underlying shares, changes in prices of the derivative embedded in the convertible bond, (i.e. value of the conversion option corresponding to the possibility of converting the bonds to shares.). These different elements may lead to a decrease in the Fund's net asset value. Equity risk: The UCITS invests in bonds convertible to shares. The Fund's equities delta should be between 30% and 70%. Equities markets many experience major changes and fluctuations in the prices of securities and markets to which the portfolio is exposed may lead to a significant decrease in the net asset value. The Fund's net asset value may fall in the case of a decline in equities markets and in particular any decline in the underlying of the convertible bonds. Volatility risk: As the investment strategy consists in investing primarily in convertible bonds, the Fund's net asset value is likely to experience changes linked to the evolution of the value of the conversion option (the possibility of converting the bond into shares). In the case of a decline in the volatility of the convertible bonds held by the UCITS, the net asset value could decline Interest rate risk: The UCITS is exposed to interest rate risk that could lead to a decline in the net asset value of the UCITS. The portfolio is sensitive to changes in interest rates whose evolution depends on economic political or market conditions or on the specific situation of the issuer. I Interest rate risk is the risk associated with a rise in rates on bond markets, that causes a decline in bond prices and thus a decline in the Fund’s net asset value. Credit risk: In the case of failure or the deterioration in the signature quality of the issuers, for example of downgrading by financial rating agencies, or if the issuer is not able to repay or to pay the specified interests on the contractual date, the value of the bonds in which the UCITS is invested, directly or indirectly by the intermediary of an undertaking for collective investment (UCI), will fall, leading to a decrease in the net asset value. Risk associated with speculative securities: Investors’ attention is drawn to the fact that investment in speculative securities, whose ratings are not rated at all or low, may be traded on markets where operating procedures, in terms of transparency and liquidity, are appreciably different than the standards accepted in regulated European financial centres. Consequentially, this product is intended for investors who are adequately experienced to be able to evaluate their merits and risks.

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Risk on subordinated securities: This is the risk associated with the payment features of securities in the event of default by the issuer: a Fund that is exposed to subordinated securities will not be a priority and the repayment of the principal and the payment of coupons will be ‘subordinated’ to those of creditors who are more senior bondholders. Therefore, the redemption amount of the security may be less than that received by more senior bondholders. The use of subordinated bonds can result in a more significant risk of a fall in net asset value than that associated with the issuer’s other bonds. Risks linked to the use of derivatives: The UCITS may invest in derivative instruments. The manager may take on equity and interest rate risk for exposure and/or hedging, as well as currency risk for hedging purposes. The UCITS presents a risk of overexposure in view of the use of derivative products. Entering into such contracts could lead to a risk of a decrease in the net asset value of the UCITS that is more significant and more rapid than that of the markets on which the UCITS is invested. The use of derivative financial instruments may lead to significant changes in the net asset value, upward as well as downward. Generally speaking, entering into such contracts could involve a risk of a greater and more rapid decline in the Fund's net asset value than that of the markets on which the Fund is invested. The use of forward financial instruments for hedging has the consequence of underexposing the UCITS with respect to its level of investment. Consequently, in the case of a rise in the markets, the UCITS could have performance below that of the markets on which it is invested, even negative. The use of forward financial instruments for exposure has the consequence of overexposing the UCITS with respect to its level of investment, which in the case of a decline in the markets in which the UCITS is invested, could lead to a more rapid and more significant fall than that of the markets on which the UCITS is invested. Counterparty risk: The UCITS uses over-the-counter forward currency transactions. These transactions, entered into with one or more counterparties (such as bank establishments), potentially expose the UCITS to the risk of the default of one of these counterparties that could lead to a default of payment. In such a case, the net asset value could fall. Exchange rate risk: The UCITS may invest up to 10% of the net assets in instruments denominated in currencies other than those of the euro zone, and the maximum exposure of the foreign exchange risk cannot exceed 10% of the Fund's net assets. Fluctuations in these currencies with respect to the euro may have a positive or negative influence on the value of these instruments. The net asset value of your UCITS can thus fall if the foreign exchange rate changes. Liquidity risk: This represents the risk that a financial market, when the volume of traits are low or in the case of tension on this market, cannot absorb the volumes of transactions (purchases or sales) without significant impact on the price of the assets. These market disturbances can impact the price conditions in which the UCITS could be led to liquidate, initiate or modify positions. The net asset value could fall when the UCITS is exposed to this risk. GUARANTEE OR PROTECTION None. SUBSCRIBERS CONCERNED AND TYPICAL INVESTOR PROFILE: Subscribers concerned:

- AC shares: All subscribers - AD shares: All subscribers - IC shares: All subscribers, particularly institutional investors, and investors who have opted for

discretionary management or who subscribe through intermediaries who cannot receive remuneration other than through their clients.

- ID shares: All subscribers, particularly institutional investors, and investors who have opted for discretionary management or who subscribe through intermediaries who cannot receive remuneration other than through their clients.

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Investor type profile: The UCITS is intended for all subscribers. The UCITS is diversified and exposed to equity risks on the convertible bonds with greater equity sensitivity than interest rate sensitivity. The amount that it is reasonable to invest in this UCITS depends on each investor’s personal situation. To determine the reasonable amount to invest, investors need to consider their personal estate, current needs, the recommended duration of this investment but also their desire to take risks in view of the inherent volatility in the equities market. Investors are also advised to adequately diversify their investments so that they are not solely exposed to the risk(s) of this UCITS. All investors are therefore advised to study their particular situation with their usual financial adviser. Recommended investment period: Longer than three years.

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2. CHANGES AFFECTING THE UCI

SIGNIFICANT EVENTS OCCURRED DURING THE FINANCIAL YEAR

Harmonization of the articles of incorporation in the context of AMF Instruction DOC-2011-19, which governs UCITS: 19 April 2019

Marketing authorization in Italy: 29 July 2019 SIGNIFICANT EVENTS OCCURRED SINCE THE END OF THE FISCAL YEAR

N/A

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CORPORATE GOVERNANCE REPORT EXECUTIVE MANAGEMENT STRUCTURE In accordance with the provisions of articles L225-51.1 and R225-102 of the French Commercial code, please note that the Board of directors has opted to combine the functions of the President of the Board of directors and CEO. The Board of directors has appointed Mrs Mahshid DUMANOIS as President of the Board of directors and CEO. The Board of directors have applied no restrictions to her powers.

AGREEMENTS COVERED BY ARTICLE L.225-37-4 PARAGRAPH 2° OF THE FRENCH COMMERCIAL

CODE Concerning agreements concluded, directly or via intermediaries, between on the one hand, directors or shareholders owning more than 10% of the voting rights in a company and, on the other hand, a company in which the former company directly or indirectly owns over 50% of the capital, with the exception of agreements relating to current operations and concluded on normal terms and conditions. Please note that no agreements covered by this article have been concluded, or were in force, during the year. AGREEMENTS COVERED BY ARTICLE L.225-38 OF THE FRENCH COMMERCIAL CODE You will be presented with the statutory auditor’s report. You will also be required to approve the statutory auditor’s special report regarding regulated agreements as defined in article L.225-38 of the French Commercial code. Please note that no agreements covered by this article have been concluded, or were in force, during the year. DELEGATION OF POWERS TO THE BOARD OF DIRECTORS The extraordinary shareholders’ meeting held on 17 November 2017, in accordance with article L.225-36 of the French Commercial code, granted power of attorney to the Board of directors to modify the corporate articles in order to comply with legal and regulatory provisions, pending ratification of these modifications at the next extraordinary shareholders’ meeting. DELEGATION OF POWERS CURRENTLY GRANTED BY APPLICATION OF ARTICLES L. 225-129-1 AND

L. 225-129-2 Not applicable to a SICAV fund.

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COMPANY ADMINISTRATION AND CONTROL MANDATE EXPIRY DATES Please note the following mandate expiry dates in the table below:

Name Functions Mandate expiry date following

the AGM ratifying accounts closing on

Mahshid DUMANOIS President and CEO 31 December 2019

Philippe de LA CHAISE Director 31 December 2019

Amélie BURTIN Director 31 December 2019

Cabinet DELOITTE & ASSOCIES Auditor 31 December 2021

The members of the Board of directors note the expiry dates of their mandates which will be proposed for renewal. LIST OF POSTS AND OFFICES HELD BY DIRECTORS In accordance with the provisions of article L.225-37-4 ALINÉA 1° of the French Commercial code, please note the following corporate mandates and functions exercised by directors during the year:

Name Functions Other mandates

Mahshid DUMANOIS Président Directeur Général

- Director of SICAV Equilibre Patrimoine - President of SICAV Best Business Models - President of SICAV Great European Models - President of SICAV Quadrator

Philippe de LA CHAISE Administrateur

- Director of SICAV BBM V-Flex - Director of SICAV Best Business Models - Director of SICAV Great European Models - Director of SICAV Quadrator

Amélie BURTIN Administrateur

- Director of SICAV BBM V-Flex - Director of SICAV Best Business Models - Director of SICAV Great European Models - Director of SICAV Quadrator

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3. MANAGEMENT REPORT

ECONOMIC ENVIRONMENT AND FINANCIAL MARKETS Global growth Despite the support of monetary policies that have become more accommodative since the beginning of 2019, Global Economic Momentum deteriorated sharply in the early summer, following renewed trade tensions between China and the United States. A more constructive climate at the end of the year, the gradual lifting of Brexit-related uncertainty and the announcement of a significant monetary and fiscal stimulus plan by the Chinese authorities helped to restore momentum to activity indicators. The world economic momentum is picking up

The Economic Momentum Indicator considers the latest publications on unemployment, retail sales, trade balance, GDP leading indicator, consumer confidence, PMI, economic confidence and industrial production.

Source: Bloomberg / Montpensier Finance as at 10 January 2020

The economic key thread of this second semester remains the difficulties of the industrial sector in all regions of the world, fortunately offset by the strength of the services sector and above all by the dynamism of consumption, particularly in the United States.

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Euro zone economic momentum

The Economic Momentum Indicator considers the latest publications on unemployment, retail sales, trade balance, GDP leading indicator, consumer confidence, PMI, economic confidence and industrial production.


Europe, and especially Germany, has suffered a lot from this manufacturing languor that is hitting the automotive sector, which is very important across Germany. German manufacturing PMI

43,7

févr.-17 août-17 févr.-18 août-18 févr.-19 août-1940

45

50

55

60

65


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Equity markets Prospects of a sharp rise in tariffs between China and the United States eroded the market, which corrected sharply in August. Hopes of a positive outcome - even temporary - on this issue boosted investor sentiment at the end of the year, allowing the US index to set new all-time records. Evolution of the S&P500 rdr since January 1st, 2018 (in $)

Source: Bloomberg / Montpensier Finance as at 31 December 2019

Europe has also benefited from this optimism, with the visibility provided by the new UK elections coupled with the return of liquidity injections by the European Central Bank. However, sector rotation was very strong throughout the half-year. Earnings per share, expected to rise by nearly 10% at the beginning of the year, did not help to accelerate the trend: pending the results for the fourth quarter, they should finally end up with a symbolic increase of around 1%. Emerging markets also ended the first half of the year on an upward trend, even though the decline in world trade and the gradual slowdown in activity in China limited the rise in the indices.

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Evolution of the MSCI Emerging Markets rdr since January 1st, 2018 (in $)


Following this increase, valuation levels are now tighter, higher than their historical averages, particularly in the United States, but not excessively so in Europe... provided that corporate earnings pick up again in 2020.

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Raw Materials Oil prices moved throughout the half year due to fears of an economic slowdown and potential geopolitical shocks. Fears of a global recession via the industrial sector drove prices down in August. Following the attack on Saudi oil facilities in Abqaiq and Khurais, prices tightened sharply in September before being corrected as production resumed. Oil Returns to Recent High Levels


In the last quarter of the year, rising tensions between the United States and Iran and social unrest in Iraq allowed black gold to resume its advance, while remaining well below the $80 a barrel Brent, at which point inflationary fears could arise. Industrial metal prices remained largely flat, with the notable exception of iron, which suffered greatly from the decline in infrastructure investment in China. Conversely, gold, which had long been stable, benefited at the end of the year from its status as a haven in the face of tensions with Iran, reaching over $1,500 per ounce.

20

40

60

80

100

120

janv.-09 mai-10 sept.-11 janv.-13 mai-14 sept.-15 janv.-17 mai-18 sept.-19

OPEP reduces its production between end of 2008 and early 2009

OPEP decides to slow down its production in 2016

OPEP doesn’t reduce its production in a global overproduction context

Financial crisis of 2008, price collapse from 140USD to 40USD

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Central banks, interest rates, exchange rates The turnaround in banks' positions in the first half of the year was amplified in the second semester. Not only the rate cuts continue, but the Fed - via the money market - and the ECB resumed their liquidity injections at the end of the year. So much so that the Washington institution wiped out in barely three months half of the fall in its balance sheet between 2015 and mid-2019. The Fed's balance sheet has skyrocketed over the past few months

80

85

90

95

100

105

80

100

120

140

160

180

200

220

240

déc.-14 déc.-15 déc.-16 déc.-17 déc.-18 déc.-19

Bilan de la BCE Bilan de la Fed


This voluntarism was a key factor in supporting equity markets and led sovereign rates to historic lows in October, before more cautious statements by Christine Lagarde, the new president of the ECB, about the impact of negative rates on the banking system, led to a correction of these excesses at the end of the year. Thus, after hitting an all-time low of -0.71% on the 28th of August, the German 10-year Bund ended the year at -0.19%, while the French OAT, at -0.44% in mid-August, slightly exceeded the +0.10% threshold on the 31st December. The US 10-year OAT stood at 1.92% at the end of the year. In this context of joint Fed-ECB easing, the Euro-Dollar exchange rate moved in a narrow channel throughout the half-year, fluctuating between 1.09 and 1.12 dollars to the euro. The Yuan has been much more volatile, evolving in response to doubts about Chinese growth and trade tensions with the United States: the Chinese currency was on a par with the 7.20 Yuan to the dollar in August, before returning below the psychological and political threshold of 7 Yuan to the dollar.

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M Convertibles: Data & Performances as of 31/12/2019

Fund Total Assets: 537.41 millions Euros 31/12/2018 31/12/2019

148.26 158.24 6.73%

2 089.47 2 211.00 6.73%

533.57 571.77 7.16%

479.92 509.89

Net Asset Value - share class AC (€) Yearly Return

Net Asset Value - share class AD* (€) Yearly Return

Net Asset Value - share class IC (€) Yearly Return

Net Asset Value - share class ID** (€) Yearly Return

7.16%

Exane Eurozone Convertible Bond 3 607.65 3 880.78

Yearly Return 7.57%

* on 16/04/2019, share class AD paid a dividend of 18.81 € by unit.

** on 16/04/2019, share class ID paid a dividend of 4.32 € by unit.

120

115

110

105

100

95

90 déc.-18 mars-19 juin-19 sept.-19 déc.-19

Source : Bloomberg / Montpensier Finance

The figures provided relate to previous years. Past performance is not indicative of current or future results.

M Convertibles AC

Exane Eurozone Convertible Bond

21

Synthetic Risk Indicator:

Global Risk as of 31/12/2019

Fund Global Risk calculated according to the engagment method is 27.90%

Indicative Exposure and Fund Total Asset Evolution

As of 31/12/2019, the SICAV exposure to Convertibles Bonds was 96.21%

31/12/2018 31/12/2019 Variation

Fund Total Assets

542 886 457.17

537 406 060.34

-1.01%

Number of unit AC 392 705.0190 487 601.3290

Share class assets 58 225 741 77 161 923

Number of unit AD 174.0000 157.0000

Share class assets 363 568 347 129

Number of unit IC 907 553.7050 804 317.5780

Share class assets 484 249 155 459 886 811

Number of unit ID 100.0000 20.0000

Share class assets 47 993 10 198

Indicative quantitative data 31/12/2018 31/12/2019

Yield to Maturity 0.96% 0.39%

Maturity 4.02 4.17

Equity sensitivity * 0.25 0.33

Modified Duration 3.42 3.82

*measuring the variation of convertible bond price related to a variation of 1% of the underlying stock price (Bloomberg hypothesis).

22

Main investments & disposals over the period

The main net purchases (Money market excluded) from 31/12/2018 to 31/12/2019 are as follows (ordered by decreasing amounts, in Euros)

Name Amount in EUR %*

Orpea - 0.375% - 05/2027 16 938 473 3.18%

Cellnex Telecom - 0.5% - 07/2028 16 900 000 3.17%

Worldline SA - 0% - 07/2026 16 580 972 3.11%

Ubisoft - 0% - 09/2024 13 174 961 2.47%

Edenred - 0% - 09/2024 11 893 991 2.23%

MTU Aero Engines - 0.05% - 03/2027 11 811 004 2.22%

Air France-KLM - 0.125% - 03/2026 9 073 192 1.70%

Deutsche Wohnen - 0.325% - 07/2024 9 062 849 1.70%

Gn Store Nord - 0% - 05/2024 8 966 550 1.68%

JPMorgan Chase Bank (LVMH) - 0% - 09/2022 8 850 000 1.66%

* average total assets from 31/12/2018 to 31/12/2019

The main net disposals (Money market excluded) from 31/12/2018 to 31/12/2019 are as follows (ordered by decreasing amounts, in Euros)

Name Amount in EUR Weight (%)*

Gn Store Nord - 0% - 05/2022 12 841 317 2.41%

Bayer (Covestro) - 0.05% - 06/2020 12 474 201 2.34%

Citigroup (Telekom Austria) - 0.5% - 08/2023 12 087 465 2.27%

MTU Aero Engines - 0.125% - 05/2023 11 902 429 2.24%

LEG Immobilien - 0.5% - 07/2021 11 777 590 2.21%

Airbus - 0% - 07/2022 11 655 117 2.19%

TechnipFMC - 0.875% - 01/2021 10 741 714 2.02%

Safran - 0% - 06/2023 9 832 600 1.85%

Symrise - 0.2375% - 06/2024 7 527 947 1.41%

Eni - 0% - 04/2022 6 785 580 1.27%

* average total assets from 31/12/2018 to 31/12/2019

23

Top holdings

as of 31/12/2018 :

Name Weight (%)

Deutsche Post - 0.05% - 06/2025 4.74%

Safran - 0% - 06/2023 4.64%

Archer (Kering) - 0% - 03/2023 4.60%

Airbus (Dassault Aviation) - 0% - 06/2021 4.54%

Telecom Italia - 1.125% - 03/2022 4.32%

Top 5 22.84%

Number of holdings 56

as of 31/12/2019 :

Name Weight (%)

Deutsche Wohnen - 0.325% - 07/2024 4.90%

Adidas AG - 0.05% - 09/2023 4.56%

Archer (Kering) - 0% - 03/2023 4.41%

Telecom Italia - 1.125% - 03/2022 4.30%

Airbus (Dassault Aviation) - 0% - 06/2021 4.27%

Top 5 22.45%

Number of holdings 56

Evolution of geographical breakdown from 31/12/2018 to 31/12/2019

The evolution of the indicative geographical breakdown of underlying securities from 31/12/2018 to 31/12/2019 is as follows:

31/12/2018 31/12/2019

Total 100.00% 100.00%

Germany 44.95% 40.67%

France 30.80% 40.44%

Italy 7.50% 5.86%

Spain 2.65% 5.25%

Netherlands 3.53% 2.13%

Denmark 2.20% 1.76%

Luxemburg 0.56% 1.22%

Austria 3.29% 1.01%

Ireland 1.03% 0.95%

Belgium 1.39% 0.71%

United Kingdom 2.11% 0.00%

Source : Montpensier Finance / Bloomberg

24

Evolution industry breakdown from 31/12/2018 to 31/12/2019

The evolution of the indicative industry breakdown of underlying securities from 31/12/2018 to 31/12/2019 is as follows :

31/12/2018 31/12/2019

Total 100.00% 100.00%

Industrial Goods & Services 21.84% 22.51%

Real Estate 15.18% 17.22%

Healthcare 12.17% 11.51%

Personal & Household Goods 7.24% 10.09%

Telecommunications 7.10% 8.11%

Chemicals 10.09% 7.94%

Retail 6.42% 6.00%

Technology 4.69% 5.08%

Food & Beverages 3.27% 2.77%

Utilities 0.00% 2.71%

Travel & Leisure 0.00% 1.76%

Oil & Gas 4.90% 1.39%

Automobile & Parts 1.12% 1.10%

Financial Services 1.39% 1.06%

Basic Resources 4.58% 0.74%

Constructions & Materials 0.00% 0.00%

Media 0.00% 0.00%

Banks 0.00% 0.00%

Insurance 0.00% 0.00%

Source Montpensier Finance / Bloomberg

Portfolio performance from 31/12/2018 to 31/12/2019

Exane Eurozone Convertible Bond Index returned a performance of 7.57% over the period, to be compared to a

performance of 7.16% for the SICAV (class « IC »).

Analysis of indicative holdings contribution

The major positive and negative contributors to the portfolio return over the period are:

Top 5 Contribution

MTU Aero Engines - 0.125% - 05/2023 1.30%

Archer (Kering) - 0% - 03/2023 0.93%

Adidas AG - 0.05% - 09/2023 0.70%

Safran - 0% - 06/2023 0.42%

BE Semiconductor Industries - 2.5% - 12/2023 0.37%

Bottom 5 Contribution

Fresenius - 0% - 09/2019 -0.09%

Airbus (Dassault Aviation) - 0% - 06/2021 -0.11%

Biocartis - 4% - 05/2024 -0.13%

Ubisoft - 0% - 09/2021 -0.28%

Argentum (Wirecard) - 0.5% - 10/2024 -0.30%

Source Montpensier Finance / Factset

Portfolio carbon footprint as of 31/12/2019

Portfolio weigthed average carbon intensity (Tons of CO2 eq. / € million) :

31/12/2018 31/12/2019

M Convertibles 101.0 113.8

Portfolio coverage : 98.6% The figures above are calculated on the basis of company provided data (annual reports) as well as estimations provided by third party data providers (Bloomberg, MSCI): Total Greenhouse gas emissions:

Company total emissions, in thousands of tons. Greenhouse gas are those that contribute to the accumulation of heat in the atmosphere. They include include carbon dioxide (CO2), methane and nitrogen oxide. In this figure, the total GHG emissions sums the total of Scope 1 (direct emissions from the company) and Scope 2 (indirect emissions associated with the generation of electricity, heat or steam imported for the company’s activities). Scope 3 emissions (other indirect emissions related to the company’s activity but from other companies) are not considered. For companies from which such data is not available, it will be replaced by an estimation provided by MSCI ESG.

The resulting GHG emission volume is normalised by each company Sales amount. The carbon intensity of the portfolio is calculated as the weighted average of each company carbon intensity.

Past performance is no guarantee of future performance. Movements in portfolio listing during the period

Movements (in amount) Securities

Acquisitions Transfers

AMUNDI 3 M E 19,983,434.52 43,582,028.97

FRESEN 0% 24/09/2019 0.00 18,259,700.00

UBISOFT ZCP 27-09-21 5,475,410.00 11,559,600.00

ORPEA 0.375% 17-05-27 CV 16,928,428.95 0.00

CELLNEX TELECOM 0.5% 05-07-28 CV 16,900,000.00 0.00

WORLDLINE ZCP 30-07-26 CV 16,580,972.34 0.00

GN GREAT NORDIC LTD AS ZCP 21-05-24 12,573,700.00 3,607,150.00

RAG STIFTUNG ZCP 18-02-21 CV EMTN 10,478,750.00 4,005,000.00

UBISOFT ZCP 24-09-24 CV 13,174,960.86 0.00

GN GREAT NORDIC LTD AS ZCP 31-05-22 0.00 12,841,316.60

Regarding funds not governed by the SFTR - In the accounting currency of the UCI (EUR) Over the course of the reporting period, the UCI was not involved in any transactions governed by the Securities Financing Transactions Regulation (SFTR).

27

ESMA

EFFICIENT PORTFOLIO MANAGEMENT (EPM) TECHNIQUES AND FINANCIAL DERIVATIVE INSTRUMENTS a) Exposure obtained through the EPM techniques and Financial derivative instruments Exposure obtained through the EPM techniques and Financial derivative instruments :

o Securities lending : o Securities loan : o Reverse repurchase agreement : o Repurchase :

Underlying exposure reached through financial derivative instruments :

o Forward transaction : o Future : o Options : o Swap :

b) Identity of the counterparty(ies) to EPM techniques and Financial derivative instruments

Identity of the counterparty(ies) to EPM techniques Financial derivative instruments (*)

(*) Excepted derivative listed.

28

c) Type and amount of collateral received by the UCITS to reduce counterparty risk

Types of financial instruments Amount portfolio currency

EPM

. Term Deposit

. Equities

. Bonds

. UCITS

. Cash (**)

Total

Financial derivative instruments

. Term Deposit

. Equities

. Bonds

. UCITS

. Cash

Total

(**) The Cash account also includes liquidity resulting from repurchase deals. d) Revenues and operational cost/fees from EPM

Revenues and operational cost/fees Amount portfolio currency

. Revenues (***)

. Other revenues

Total revenues

. Direct operational fees

. Indirect operational fees

. Other fees

Total fees

(***) Revenues received from loans, repurchase and reverse repurchase agreements.

29

4. REGULATORY INFORMATIONS

BEST SELECTION POLICY FOR MARKET INTERMEDIARIES In accordance with the current regulations and the transposition of the MIFID 2004/39/EC Directive, dated April 21st 2004 concerning Markets in Financial Instruments, Montpensier Finance has put in place a policy for selecting market intermediaries, in compliance with its obligation to act in the best interest of clients and the UCITS that it manages. Montpensier Finance has delegated order management for its managed portfolios to Amundi Intermédiation, considering that this intermediary takes all reasonable measures to ensure the best achievable results. Amundi Intermédiation is authorised by the CECEI as an investment service provider to receive and transmit orders on behalf of third parties for most financial instruments referred to in article L. 211-1 of the Code Monétaire et Financier. Executing-broker selection is agreed jointly between Amundi Intermédiation and Montpensier Finance, through the application of Amundi Intermédiation's selection policy. Furthermore, Montpensier Finance has implemented a best selection procedure for counterparties and intermediaries based on its requirements in terms of « investment decision-making support ». Montpensier Finance Best Selection policy is available on Montpensier Finance website: https://www.montpensier.com/en-FR/regulatory-information. • VOTING POLICY Montpensier Finance considers that the exercise of voting rights is an integral part of the investment management process and should be carried out in the best interest of its clients. Montpensier Finance voting rights policy aims to promote the long-term valuation of its UCITS investments, by encouraging the best governance practices and promoting professional ethics. In application of articles (314-100 and 319-21) of the AMF General Regulations, Montpensier Finance voting policy is available on https://www.montpensier.com/en-FR/regulatory-information. ESG POLICY In accordance with article L.533-22-1 of the Code Monétaire et Financier the following information concerns the respect of social, environmental and governance (ESG) criteria. Information concerning criteria relating to the respect of social, environmental and governance (ESG) objectives has been published on the investment management company website since July 1st 2012 and in the annual reports relating to financial years since the year starting on January 1st 2012. Montpensier Finance is a signatory to the United-Nations Principles for Responsible Investment initiative (PRI). As a result, several measures have been put in place by Montpensier Finance in order to adapt its investment management processes and implement procedures and an organisational structure aiming to respect the Principles for Responsible Investment, by taking into account environmental, social and governance factors. Montpensier Finance SRI approach is described on the responsible Investment page of Montpensier Finance website: https://www.montpensier.com/en-FR/responsible-investment.

30

COMPLAINTS HANDLING PROCEDURE POLICY Montpensier Finance has implemented and maintains operational a procedure to reasonably and quickly process eventual complaints made by its clients. The policy is available on: https://www.montpensier.com/en-FR/regulatory-information For any complaints, the client can send a mail to Montpensier Finance to the following address: Montpensier Finance Responsable Conformité et Contrôle Interne 58 avenue Marceau 75008 Paris France TOTAL RISK CALCULATION METHOD The method for calculating the total risk ratio is the commitment method. REMUNERATION POLICY Investment management team remuneration policy The company remuneration policy aims at promoting a sound and efficient risk management that do not incitate teams to take inappropriate risks with regards to the funds and management company risk profiles and that ensures that measures are set up to prevent potential conflicts of interest. The quality of each individual work is an important factor to determine the remuneration level. The remuneration policy is available on the management company website (https://www.montpensier.com/en-FR/regulatory-information) and can be provided free of charge in hard copy on simple request to the management company Amount of compensation paid by the manager to his staff Compensation policy indication (fixed and variable): - Number of beneficiaries: 41 people, including 16 'risk takers', whose professional activities have a substantial impact on the risk profile of Montpensier Finance or the risk profiles of the AIF or UCITS managed. - Amounts of fixed and variable deferred and non-deferred remuneration (fixed 2019 and variable under 2018): 6 841K euros, of which 3 619K is fixed remuneration paid to all staff. - Aggregate amount of fixed and variable remuneration of 'risk takers': 4 105K. NB: Compensation data were not audited by the OPC Auditor. OTHER INFORMATION The last annual reports and the assets composition of the fund can be provided within 8 business days upon written request at: MONTPENSIER FINANCE 58, avenue Marceau 75008 PARIS FRANCE Téléphone : 01 45 05 55 55 e-mail : [email protected] The fund prospectus and KIID are available on the management company website: www.montpensier.com

31

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36

BALANCE SHEET

6. ANNUAL ACCOUNTS STATEMENTS

in EUR•

ASSETS

Fixed Assets, net

12/31/19 12/31/18

Deposits Financial instruments 517,063,123.06 522,189,987.75

Equities and similar securities Traded in a regulated market or equivalent

Not traded in a regulated market or equivalent

Bonds and similar securities 517,063,123.06 498,524,220.46Traded in a regulated market or equivalent 517,063,123.06 498,524,220.46


Credit instruments Traded in a regulated market or equivalent

Negotiable credit instruments (Notes)

Other credit instruments


Collective investment undertakings 23,665,767.29General-purpose UCITS and alternative investment funds intendedfor non-professionals and equivalents in other countries 23,665,767.29

Other Funds intended for non-professionals and equivalents inother EU Member States

General-purpose professional funds and equivalents in other EUMember States and listed securitisation entities

Other professional investment funds and equivalents in other EUMember States and listed securitisation agencies

Other non-European entities

Temporary transactions in securities Credits for securities held under sell-back deals

Credits for loaned securities

Borrowed securities

Securities sold under buy-back deals

Other temporary transactions

Hedges Hedges in a regulated market or equivalent

Other hedges

Other financial instruments Receivables 734,638.43 278,929.71

Forward currency transactions Other 734,638.43 278,929.71

Financial accounts 20,117,779.02 21,580,210.81Cash and cash equivalents 20,117,779.02 21,580,210.81

Total assets 537,915,540.51 544,049,128.27

37

Shareholders' funds

12/31/19 12/31/18

Capital 536,881,925.45545,671,670.70Allocation Report of distributed items (a) 6,711.907,168.96Brought forward (a) 0.83 Allocation Report of distributed items on Net Income (a,b) 7,563,525.11-6,075,874.19Result (a,b) -1,565,706.12-2,196,905.13

Total net shareholders' funds (net assets) 542,886,457.17537,406,060.34Financial instruments

Transfers of financial instruments Temporary transactions in securities

Sums owed for securities sold under buy-back deals

Sums owed for borrowed securities

Other temporary transactions

Hedges Hedges in a regulated market or equivalent

Other hedges

Payables 1,162,671.10509,480.17Forward currency transactions Other 1,162,671.10509,480.17

Financial accounts Short-term credit Loans received

Total liabilities 544,049,128.27537,915,540.51

LIABILITIES

(a) Including adjusment(b) Decreased interim distribution paid during the business year

38

12/31/19 12/31/18

Hedges

Contracts in regulated markets or similar

OTC contracts

Other commitments

Other operations

Contracts in regulated markets or similar

OTC contracts

Other commitments

Off-Balance Sheet in EUR•

39

12/31/19

Revenues from financial operations

12/31/18

Revenues from deposits and financial accounts

Revenues from equities and similar securities 25,502.66

2,425,415.24Revenues from bonds and similar securities 3,088,646.78

Revenues from credit instruments

Revenues from temporary acquisition and disposal of securities

Revenues from hedges

Other financial revenues

2,425,415.24Total (1) 3,114,149.44

Charges on financial operations Charges on temporary acquisition and disposal of securities

Charges on hedges

84,175.54Charges on financial debts 112,507.08

Other financial charges

84,175.54Total (2) 112,507.08

2,341,239.70Net income from financial operations (1 - 2) 3,001,642.36 Other income (3)

4,542,603.48Management fees and depreciation provisions (4) 4,399,367.39

-2,201,363.78Net income of the business year (L.214-17-1) (1-2+3-4) -1,397,725.034,458.65Revenue adjustment (5) -167,981.09

Interim Distribution on Net Income paid during the business year (6)

-2,196,905.13Net profit (1 - 2 + 3 - 4 + 5 + 6) -1,565,706.12

Income Statement in EUR•

40

ACCOUTING ANNEX

ACCOUTING RULES AND METHODS The annual accounts are presented as provided by the ANC Regulation 2014-01 amended. General accounting principles apply, viz: - fair picture, comparability, ongoing business, - proper practice & trustworthiness, - prudence, - no unreported change in methods from one period to the next. - Revenues from fixed-yield securities are recognized on the basis of interest actually accrued. Acquisitions and disposals of securities are recognized exclusive of costs. The accounting currency of the portfolio is the EURO. The accounting period reported on is 12 months. Asset valuation rules: Financial instruments are initially recognized at historic cost and carried on the Balance Sheet at their current value: this is their latest known market value or, in the absence of a market, is determined by any external means or by recourse to financial models. Differences between the securities’ current values determined as above and their original historic cost are recognized in the accounts as “differences on estimation”. Securities denominated in a currency other than that of the portfolio are valued in accordance with the above principle and then converted into the currency of the portfolio at the exchange rate obtained on the valuation date. Deposit: Deposits maturing in three months or sooner are valued according to the linear method. Equities, bonds and other securities traded in a regulated market or equivalent: When calculating the NAV, the equities and other securities traded in a regulated market or equivalent are valued based on the day’s closing market price. Bonds and similar securities are valued at the closing price notified by various financial service providers. Interest accrued on bonds and similar securities is calculated up to the date of asset valuation. Equities, bonds and other securities not traded in a regulated market or equivalent: Securities not traded in a regulated market are valued by the Board of Directors using methods based on net equity and yield, taking into account the prices retained in significant recent transactions. Negotiable credit instruments (Notes): Negotiable credit instruments which are not actively traded in significant amounts are actuarially valued on the basis of a reference rate as specified below, plus any enhancement to represent the issuer’s intrinsic characteristics: Notes maturing in one year’s time or less: euro interbank offered rate (Euribor); Notes maturing in more than one year’s time: the prevailing rate on medium-term interest-bearing Treasury notes (BTAN) or, for the longest Notes, on near-term fungible Treasury bonds (OAT); Negotiable credit instruments maturing in three months or sooner may be valued according to the linear method. French Treasury notes are valued using the market rate published daily by the Banque de France.

41

UCITS held: UCITS units or shares are valued at the latest known NAV. Temporary transactions in securities: Securities held under sell-back deals are carried in Assets under “credits for securities held under sell-back deals” at the amount provided for in the contract, plus accrued interest receivable. Securities sold under buy-back deals are booked to the buying portfolio at their current value. The corresponding debt is booked to the selling portfolio at the value set in the contract plus accrued interest payable. Loaned securities are valued at their current value and carried in Assets under “credits for loaned securities” at their current value plus accrued interest receivable. Borrowed securities are carried in Assets under “borrowed securities” at the amount provided for in the contract, and in Liabilities under “debts for borrowed securities” at the amount provided for in the contract plus accrued interest payable. Hedges: Hedges traded in a regulated market or equivalent: Hedge instruments traded in regulated markets are valued at the day’s settlement price. Hedges not trades in a regulated market or equivalent: Swaps: Rate swaps and/or forward currency transactions are valued at their market value according to the price calculated by discounting future interest streams at market interest (and/or exchange) rates. This price is adjusted for default risk. Index swaps are valued actuarially on the basis of a reference rate provided by the counterparty. Other swaps are valued at their market value or are estimated as specified by the Board of Directors. Off-Balance Sheet Commitments: Firm hedging contracts are stated among “Off-Balance Sheet Commitments” at their market value at the rate used in the portfolio. Conditional hedges are converted into their underlying equivalents. Swap commitments are stated at their nominal value or at an equivalent amount, where there is no nominal value. Management fees: Management fees are calculated on the nominal capital on each valuation. These fees are imputed to the fund’s Income Statement. Management fees are paid in full to the Fund Manager, which bears all the fund’s operating costs. The management fees do not include dealing costs. The percentage of nominal capital charged is of: -Shares IC: 0,80% including taxes, -Shares ID: 0,80% including taxes, -Shares AC: 1,20% including taxes, -Shares AD: 1,20% including taxes,

42

Allocation of net profit: The net profit (loss) for the period is the total of interest, arrears, premiums, allotments and dividends, attendance fees, plus income on ready cash, minus management fees and financial dealing costs. Latent or realised capital gains or losses are not counted as revenue; nor are subscription/redemption fees. The amounts available for distribution are the net profit for the period, plus any sums brought forward, plus or minus the balance of any revenue adjustment accounts relating to the financial period in question. Gains and losses: The net realised gains (deducted from management fees and realised losses) from the financial year will increase the same type of net realized gains from earlier financial years, if the fund hasn’t distributed or accumulated its gains and will also increase or reduce the equalization accounts for realised gains. Appropriation methods for the distributable amounts:

Distributable amounts Shares IC and AC: Shares ID and AD:

Allocation of the net income Accumulation Distribution

Allocation of the net realized

gains and losses Accumulation Accumulation and/ or distribution a

decision taken by the management

43

12/31/19

542,886,457.17Net assets in start of period 397,213,194.58

12/31/18

145,626,418.92Subscriptions (including subscription fees received by the fund) 311,187,261.58

-188,128,333.74Redemptions (net of redemption fees received by the fund) -125,203,203.93

12,361,245.23Capital gains realised on deposits and financial instruments 12,713,638.26

-17,814,012.36Capital losses realised on deposits and financial instruments -6,122,205.04

Capital gains realised on hedges

Capital losses realised on hedges

-920,267.16Dealing costs -1,190,976.12

Exchange gains/losses

45,598,955.63Changes in difference on estimation (deposits and financial instruments) -44,303,340.37

15,811,885.14Difference on estimation, period N -29,787,070.49

29,787,070.49Difference on estimation, period N-1 -14,516,269.88

Changes in difference on estimation (hedges)

Difference on estimation, period N

Difference on estimation, period N-1

-3,039.57Net Capital gains and losses Accumulated from Previous business year -10,097.76

Distribution on Net Capital Gains and Losses from previous business year -89.00

-2,201,363.78Net profit for the period, before adjustment prepayments -1,397,725.03

Allocation Report of distributed items on Net Income

Interim Distribution on Net Income paid during the business year

Other items

537,406,060.34Net assets in end of period 542,886,457.17

CHANGES IN NET ASSETS in EUR•

44

BREAKDOWN OF FINANCIAL INSTRUMENTS BY LEGAL OR COMMERCIAL TYPE

Amount %

Assets

Bonds and similar securities


Convertible bonds traded on a regulated or similar market 517,063,123.06 96.21

TOTAL Bonds and similar securities 517,063,123.06 96.21

Credit instruments

Credit instruments

TOTAL Credit instruments

Liabilities

Transactions involving transfer of financial instruments

Equities and similar securities

TOTAL Transactions involving transfer of financial instruments

Off-balance sheet

Hedges

Equities

TOTAL Hedges

Other operations

Equities

TOTAL Other operations

BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY TYPE

Fixed rate % Variable rate % Rate subject to review % Other %

Assets

Deposits Bonds and similar securities 517,063,123.06 96.21

Credit instruments Temporary transactions in securities

Financial accounts 20,117,779.02 3.74

Liabilities Temporary transactions in securities

Financial accounts

Off-balance sheet

Hedges

Other operations

45

BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY TIME TO MATURITY < 3 Months % ]3 Months - 1

Year] % ]1 - 3 Years] % ]3 - 5 Years] % > 5 Years %

Assets

Deposits

Bonds and similar securities 11,059,389.24 2.06 11,979,251.69 2.23 141,794,370.61 26.38 206,151,569.67 38.36 146,078,541.85 27.18

Credit instruments

Temporary transactions in securities

Financial accounts 20,117,779.02 3.74

Liabilities


Financial accounts

Off-balance sheet

Hedges

Other operations

All hedges are shown in terms of time to maturity of the underlying securities. BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY LISTING OR

EVALUATION CURRENCY

Others currencies

Amount % Amount % Amount % Amount %

Assets

Deposits

Equities and similar securities


Credit instruments

Mutual fund units


Liabilities

Financial accounts

Liabilities

Transactions involving transfer of financial instruments


Financial accounts

Off-balance sheet

Hedges

Other operations

46

RECEIVABLES AND PAYABLES: BREAKDOWN BY TYPE•

Subscription receivable 734,638.43

12/31/19Type

ReceivablesTotal receivables 734,638.43

Redemptions to be paid 27,714.23PayablesManagement fees 403,038.69Other payables 78,727.25

Total of Payables 509,480.17

47

NUMBER OF UNITS ISSUED OR REDEEMED•

Shares subscribed during the period 231,334.431 35,914,353.47

Net Subscriptions / Redemptions 94,896.310 14,692,409.05

ACShare

Shares redeemed during the period -136,438.121 -21,221,944.42

Shares subscribed during the period 196,560.939 109,690,800.25

Net Subscriptions / Redemptions -103,236.127 -57,119,668.46

ICShare

Shares redeemed during the period -299,797.066 -166,810,468.71

Shares subscribed during the period 10.000 21,265.20

Net Subscriptions / Redemptions -17.000 -35,786.61

ADShare

Shares redeemed during the period -27.000 -57,051.81

Shares subscribed during the period

Net Subscriptions / Redemptions -80.000 -38,868.80

IDShare

Shares redeemed during the period -80.000 -38,868.80

Shares Value

SUBSCRIPTION AND/OR REDEMPTION FEES•

Total of subscription fees received Total of redemption fees received

ACShare

Total of subscription and/or redemption fees received


ICShare



ADShare



IDShare


Value

MANAGEMENT FEES•

12/31/19

ACShare

1.20Percentage set for fixed management fees859,113.36Fixed management fees

Variable management feesTrailer fees

Underwriting commission

ICShare

0.80Percentage set for fixed management fees3,679,293.91Fixed management fees



48

MANAGEMENT FEES•

12/31/19

ADShare

1.20Percentage set for fixed management fees4,103.47Fixed management fees



IDShare

0.80Percentage set for fixed management fees92.74Fixed management fees



COMMITMENTS RECEIVED AND GIVEN•

Guarantees received by the UCI:None.

Other commitments received and/or given:None.

49

STOCK MARKET VALUES OF TEMPORARILY ACQUIRED SECURITIES•

Securities held under sell-back dealsBorrowed securities

12/31/19

STOCK MARKET VALUES OF PLEDGED SECURITIES•

Financial instruments pledged but not reclassifiedFinancial instruments received as pledges but not recognized in the Balance Sheet

12/31/19

GROUP FINANCIAL INSTRUMENTS HELD BY THE FUND•

12/31/19Name of securityIsin code

Equities

Bonds

Notes

UCITS

Hedges

50

TABLE OF ALLOCATION OF THE DISTRIBUTABLE SHARE OF THE SUMS CONCERNED TOPROFIT (LOSS)

•

Distribution

Brought forward

Allocation

Capitalized -575,186.27 -391,518.38

Total -575,186.27 -391,518.38

12/31/19 12/31/18

Sums not yet allocatedBrought forward 0.83

Profit (loss) -2,196,905.13 -1,565,706.12

Total -2,196,905.13 -1,565,705.29

12/31/19 12/31/18

ACShare

Distribution

Brought forward

Allocation

Capitalized -1,619,088.68 -1,171,610.06

Total -1,619,088.68 -1,171,610.06

12/31/19 12/31/18

ICShare

Distribution

Brought forward

Allocation

Capitalized -2,593.93 -2,460.54

Total -2,593.93 -2,460.54

12/31/19 12/31/18

ADShare

Distribution

Brought forward

Allocation

Capitalized -36.25 -116.31

Total -36.25 -116.31

12/31/19 12/31/18

IDShare

51

TABLE OF ALLOCATION OF THE DISTRIBUTABLE SHARE OF THE SUMS CONCERNED TOCAPITAL GAINS AND LOSSES

•

Distribution

Allocation

Capitalized -875,093.86 816,526.64

Total -875,093.86 816,526.64

12/31/19 12/31/18

Sums not yet allocatedNet Capital gains and losses Accumulated from Previous business year 7,168.96 6,711.90

Total -6,068,705.23 7,570,237.01

Net Capital gains and losses of the business year -6,075,874.19 7,563,525.11

Allocation Report of distributed items on Net Capital Gains and Losses

12/31/19 12/31/18

ACShare

Net capital gains and losses accumulated per share

Distribution

Allocation

Capitalized -5,196,689.11 6,741,113.98

Total -5,196,689.11 6,741,113.98

12/31/19 12/31/18

ICShare

Net capital gains and losses accumulated per share

Distribution 2,950.03 3,272.94

Allocation

Capitalized 0.85

Total 2,950.88 10,948.67

Details of shares with dividend entitlementNumber of shares 157.000 174.000

Dividend per unit 18.79 18.81

12/31/19 12/31/18

ADShare

Net capital gains and losses accumulated per share 7,675.73

52

Distribution 107.00 432.00

Allocation

Capitalized 0.04

Total 126.86 1,647.72

Details of shares with dividend entitlementNumber of shares 20.000 100.000

Dividend per unit 5.35 4.32

12/31/19 12/31/18

IDShare

Net capital gains and losses accumulated per share 19.82 1,215.72

53

TABLE OF PROFIT (LOSS) AND OTHER TYPICAL FEATURES OF THE FUND OVER THE PASTFIVE FINANCIAL PERIODS

•

Global Net Assets in EUR

12/30/16

263,155,825.52

12/29/17

397,213,194.58

12/31/18

542,886,457.17

12/31/19

537,406,060.34

Net Capital Gains and LossesAccumulated per share in EUR 3.01

-0.15Net income Accumulated pershare in EUR

NAV per share/unit in EUR 152.02

Number of shares/units 150,791.000

Net assets in EUR 22,924,401.94

M CONVERTIBLES AC

5.12

-0.34

159.53

281,327.000

44,880,809.90

2.07

-0.99

148.26

392,705.019

58,225,741.42

-1.79

-1.17

158.24

487,601.329

77,161,922.60

Net Capital Gains and LossesAccumulated per share in EUR 1,074.32

131.99Net income Accumulated pershare in EUR

NAV per share/unit in EUR 54,273.92

Number of shares/units 4,417.802

Net assets in EUR 239,771,464.82

M CONVERTIBLES IC

18.36

0.97

571.80

615,340.200

351,856,622.40

7.42

-1.29

533.57

907,553.705

484,249,154.95

-6.46

-2.01

571.77

804,317.578

459,886,811.40

Net Capital Gains and LossesAccumulated per share in EUR

Net capital gains and lossesaccumulated per share in EUR 10.74

-2.27Net income Accumulated pershare in EUR

Distribution on Net Capitalgains and losses per share inEUR

33.37


Number of shares/units 184.000

Net assets in EUR 409,278.22

M CONVERTIBLES AD

33.03

-5.05

51.74

2,299.74

184.000

423,153.00

44.11

-14.14

18.81

2,089.47

174.000

363,567.99

-16.52

18.79

2,211.00

157.000

347,128.51

54

TABLE OF PROFIT (LOSS) AND OTHER TYPICAL FEATURES OF THE FUND OVER THE PASTFIVE FINANCIAL PERIODS

•

Global Net Assets in EUR

12/30/16

263,155,825.52

12/29/17

397,213,194.58

12/31/18

542,886,457.17

12/31/19

537,406,060.34

Net Capital Gains and LossesAccumulated per share in EUR

Net capital gains and lossesaccumulated per share in EUR 367.48

Net income Accumulated pershare in EUR

Distribution on Net Capitalgains and losses per share inEUR

635.86


Number of shares/units 1.000

Net assets in EUR 50,680.54

M CONVERTIBLES ID

124.35Distribution on Net Incomeper share in EURUnit brought forward in EURon the result

Tax credits per share/unit in EUR

9.63

10.95

526.09

100.000

52,609.28

0.89

12.15

-1.16

4.32

479.92

100.000

47,992.81

0.99

-1.81

5.35

509.89

20.000

10,197.83

*

55


Listed bonds and similar securitiesAUSTRIA

AUSTRIAMICROSYSTEMS AG ZCP 05-03-25 EUR 7,400,000 5,199,980.00 0.97TOTAL AUSTRIA 5,199,980.00 0.97

Currency Quantity Market value %Name of security

BELGIUMBEKAERT ZCP 09-06-21 EUR 2,000,000 1,931,420.00 0.36BIOCARTIS GROUP NV 4.0% 09-05-24 EUR 2,500,000 1,742,084.89 0.32

TOTAL BELGIUM 3,673,504.89 0.68

DENMARKGN GREAT NORDIC LTD AS ZCP 21-05-24 EUR 9,000,000 9,123,120.00 1.70

TOTAL DENMARK 9,123,120.00 1.70

EIREGLAN CO OP 1.375% 09-06-21 CV EUR 5,000,000 4,905,496.04 0.91

TOTAL EIRE 4,905,496.04 0.91

FRANCEAIR FRANCE KLM 0.125% 25-03-26 EUR 500,000 9,099,500.00 1.69AIRBUS GRO ZCP 14-06-21 EMTN EUR 21,500,000 22,954,045.00 4.27ARCHER OBLIGATIONS ZCP 31-03-23 EUR 16,000,000 23,701,280.00 4.41EDENRED ZCP 06-09-24 CV EUR 180,000 11,897,460.00 2.21GENFIT 3.5% 16-10-22 EUR 110,000 2,560,580.00 0.48INGENICO ZCP 26/06/22 CV EUR 28,808 4,937,979.28 0.92KERING ZCP 30-09-22 CV EMTN EUR 5,000,000 5,401,400.00 1.01KORIAN SA 2.5% PERP CV EUR 50,000 2,449,200.00 0.46NEOEN SPA 1.875% 07-10-24 CV EUR 203,016 7,469,770.70 1.39NEX 0.125% 01-01-23 CV EUR 130,000 8,602,230.00 1.60NEXITY 0.25% 02-03-25 CV EUR 60,000 4,155,360.00 0.77ORPEA 0.375% 17-05-27 CV EUR 110,000 17,823,740.00 3.32REMY COIN 0.125% 07-09-26 EUR 70,000 9,442,720.00 1.76SAFRAN SA ZCP 21-06-23 CV EUR 109,000 17,643,285.00 3.28SOITEC SA ZCP 28-06-23 CV EUR 62,000 7,447,316.00 1.39UBISOFT ZCP 24-09-24 CV EUR 110,000 13,164,250.00 2.45VALLOUREC 4.125% 04-10-22 CV EUR 470,000 2,551,160.00 0.47VEOLIA ENVIRONNEMENT SA ZCP 01-01-25 EUR 209,261 6,558,239.74 1.22WORLDLINE ZCP 30-07-26 CV EUR 150,000 16,321,950.00 3.04

TOTAL FRANCE 194,181,465.72 36.14

GERMANYADIDAS AG 0.05% 12-09-23 CV EUR 20,000,000 24,521,287.43 4.56ADLE REAL 2.5% 19-07-21 CV EUR 386,000 6,114,626.00 1.14BAYER 0.05% 15-06-20 EUR 7,000,000 6,990,101.69 1.30CONSUS REAL ESTATE 4.0% 29-11-22 EUR 1,700,000 1,619,124.46 0.30DEUTSCHE POST AG 0.05% 30-06-25 EUR 22,000,000 22,481,111.15 4.18DEUTSCHE WOHNEN AG 0.325% 26-07-24 EUR 25,000,000 26,344,741.12 4.90DEUTSCHE WOHNEN AG 0.6% 05-01-26 EUR 5,300,000 5,602,667.75 1.04FRES MEDI 1.125% 31-01-20 CV EUR 11,000,000 11,059,389.24 2.06FRESENIUS SE ZCP 31-01-24 EUR 6,500,000 6,397,365.00 1.19

PORTFOLIO LISTING in EUR•

56

HANI FINA DEUT ZCP 12-05-20 CV EUR 5,000,000 4,989,150.00 0.93

Currency Quantity Market value %Name of security

KLOE CO FIN S 2.0% 08-09-23 EUR 2,000,000 1,920,357.14 0.36LEG IMMOBILIEN AG 0.875% 01-09-25 EUR 9,000,000 10,414,446.92 1.94MTU AERO ENGI 0.125% 17-05-23 EUR 5,000,000 10,306,344.67 1.92MTU AERO ENGINES GMBH 0.05% 18-03-27 EUR 11,300,000 12,236,613.78 2.28RAG STIFTUNG ZCP 02-10-24 CV EUR 7,000,000 7,152,600.00 1.33RAG STIFTUNG ZCP 16-03-23 EUR 13,500,000 13,984,515.00 2.60RAG STIFTUNG ZCP 18-02-21 CV EMTN EUR 9,000,000 9,217,440.00 1.72SYMRISE AG 0.2375% 20-06-24 EUR 3,100,000 3,709,423.88 0.69TAG TEGERNSEE IMMOBILIEN 0.625% 01-09-22 EUR 6,900,000 8,671,775.93 1.61

TOTAL GERMANY 193,733,081.16 36.05

ITALYBENI STABILI 0.875% 31-01-21 EUR 11,000,000 11,245,181.63 2.09ENI ZCP 13-04-22 EMTN EUR 7,000,000 7,175,770.00 1.34TELECOM ITALIA SPA EX OLIVETTI 1.125% 26-03-22 EUR 23,000,000 23,128,794.31 4.30

TOTAL ITALY 41,549,745.94 7.73

LUXEMBURGCORESTATE CAPITAL HOLDING 1.375% 28-11-22 EUR 3,000,000 2,564,369.67 0.48GRAN CITY PRO 0.25% 02-03-22 EUR 3,500,000 3,729,021.73 0.69

TOTAL LUXEMBURG 6,293,391.40 1.17

NETHERLANDSBE SEMICONDUCTOR INDUSTRIES NV 0.5% 06-12-24 EUR 3,000,000 3,033,315.00 0.56BE SEMICONDUCTOR INDUSTRIES NV 2.5% 02-12-23 EUR 3,200,000 5,669,096.89 1.06CAPITAL STAGE FINANCE BV 5.25% PERP EUR 4,000,000 5,484,895.38 1.02SHOP APOTHEKE EUROPE NV 4.5% 19-04-23 EUR 2,100,000 2,321,726.95 0.43

TOTAL NETHERLANDS 16,509,034.22 3.07

SPAINALMIRALL 0.25% 14-12-21 CV EUR 8,100,000 8,341,676.56 1.55CELLNEX TELECOM 0.5% 05-07-28 CV EUR 16,900,000 18,808,117.13 3.50

TOTAL SPAIN 27,149,793.69 5.05

USAJPMORGAN CHASE BANK N A ZCP 18-09-22 EUR 8,000,000 9,061,040.00 1.68MORGAN STANLEY FINANCE LLC ZCP 17-12-21 CV EUR 5,700,000 5,683,470.00 1.06

Total listed bond and similar securities 517,063,123.06 96.21

Total bonds and similar securities 517,063,123.06 96.21

TOTAL USA 14,744,510.00 2.74

Receivables 734,638.43 0.14Debts -509,480.17 -0.09Financial accounts 20,117,779.02 3.74Net assets 537,406,060.34 100.00

M CONVERTIBLES IC 804,317.578 571.77EURM CONVERTIBLES AC 487,601.329 158.24EURM CONVERTIBLES ID 20.000 509.89EURM CONVERTIBLES AD 157.000 2,211.00EUR

57

ADDITIONAL INFORMATION CONCERNING THE FISCAL REGIME OF THE COUPON•

UNIT NETINCOME CURRENCYCURRENCYTOTAL NET

INCOME

18.79 EUREUR2,950.03TOTAL

Revenue qualifying for the withholding tax option

Shares entitling a deduction

Other revenue not entitling a deduction or withholding tax

: ADBREAKDOWN OF THE COUPON SHARE

Non-distribuable and non-taxable income

18.79 EUREUR2,950.03Amount distributed on capital gains and losses

UNIT NETINCOME CURRENCYCURRENCYTOTAL NET

INCOME

5.35 EUREUR107.00TOTAL

Revenue qualifying for the withholding tax option

Shares entitling a deduction

Other revenue not entitling a deduction or withholding tax

: IDBREAKDOWN OF THE COUPON SHARE

Non-distribuable and non-taxable income

5.35 EUREUR107.00Amount distributed on capital gains and losses

Documents

CACEIS BANK MONTPENSIER FINANCE 1-3 place Valhubert 58 ... · Bonds and similar securities are valued at the closing price notified by various financial service providers. Interest