EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT

French Mutual Fund

EDMOND DE ROTHSCHILD EURO SUSTAINABLE

CREDIT

ANNUAL REPORT

as at 29 December 2017

Management Company: Edmond de Rothschild Asset Management (France)

Custodian: Edmond de Rothschild (France)

Statutory auditor: Cabinet Didier Kling & Associés

Edmond de Rothschild Asset Management (France) – 47 rue du Faubourg Saint-Honoré – 75401 – Paris Cedex 08, France

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CONTENTS

1. Characteristics of the UCI .......................................................................................................... 3

2. Changes affecting the UCI ....................................................................................................... 11

3. Management Report ................................................................................................................ 12

4. Statutory information ............................................................................................................... 23

5. Statutory Auditor’s certification ................................................................................................ 25

6. Annual financial statements ..................................................................................................... 29

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1. CHARACTERISTICS OF THE UCI

● LEGAL FORM French Mutual Fund.

● CLASSIFICATION Bonds and other debt securities denominated in euros.

● PROCEDURES FOR DETERMINING AND ALLOCATING DISTRIBUTABLE INCOME

Distributable Income C, CR, E, I and S units D units

Allocation of net income Accumulation Distribution

Allocation of net realised gains or losses

Accumulation

Accumulation (in full or in part) or Distribution (in full or in part) or

Carried forward (in full or in part), at the discretion of the management

company

Where distribution units are concerned, the UCITS’ management company may decide to distribute one or more interim dividends on the basis of the financial positions certified by the statutory auditor.

● EXPOSURE TO OTHER FOREIGN UCITS, AIFS OR INVESTMENT FUNDS Up to 10% of its net assets.

● MANAGEMENT OBJECTIVE The UCITS aims to outperform its benchmark, the Barclays Capital Euro Aggregate Corporate Total Return index, over the recommended investment period, through investments on the corporate bond markets that seek to combine financial profitability and the implementation of a sustainable development policy in return for a risk of capital loss.

● BENCHMARK INDEX The Barclays Capital Euro Aggregate Corporate Total Return Index (Bloomberg code LECPTREU) is calculated and published by Barclays Bank. It is representative of fixed-rate bond issues, denominated in euros, issued by the issuers from industry, banking and local authority public services with a rating of at least BBB- and a residual maturity of more than one year. As the management of the UCITS is not index-linked, its performance may vary from that of its benchmark index, which serves only as a basis for comparison. The rates and indices used are annualised. Coupons are included in calculating the performance of this index.

● INVESTMENT STRATEGY . Strategies used: The management strategy consists of building a portfolio on the corporate bond markets by selecting securities based on an analysis that combines financial criteria (performance potential) with a sustainable development policy deemed conducive to securities appreciating over the term, as assessed in accordance with the management company’s internal rating of environment, social, corporate governance and stakeholder criteria.

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In order to achieve the management objective, the strategy will combine a sector-based approach using a “top-down” process and a credit analysis approach aimed at selecting the most attractive issuers by means of a “bottom-up” process. ). The weighting of securities within the portfolio is based on a combination between this financial analysis and a simultaneous analysis of issuers on the basis of sustainable development criteria.

Analysis of financial criteria Top-down approach The top-down approach is based primarily on a macroeconomic analysis of the various sectors or countries explored as part of the portfolio allocation. It leads to the determination of market scenarios created on the basis of the management team’s expectations.

This analysis makes it possible to define, in particular: - the degree of exposure to different economic sectors, - the distribution between the investment grade and high yield categories (speculative securities for which the risk of issuer default is greater, with a Standard & Poor’s or equivalent rating below BBB-, or an equivalent internal rating from the management company) and between the different ratings within these categories.

The selection of securities is not based automatically and exclusively on the rating criterion. It is mainly based on an internal analysis. Prior to each investment decision, the management company analyses each security on criteria other than its rating. In the event that an issuer in the high yield category has their rating downgraded, the management company must conduct a detailed analysis in order to decide whether to sell or retain the security, so as to maintain the rating objective.

The top-down analysis provides a comprehensive overview of the portfolio. This is complemented by a stock-picking process (Bottom-up approach).

Bottom-up approach The aim of this approach is to identify those issuers within a particular sector that provide better relative value than others and are therefore the most attractive.

The way issuers are selected is based on a fundamental analysis of each company. The fundamental analysis focuses on the evaluation of criteria such as: - the clarity of the company’s strategy - its financial health (consistency of cash flow through different economic cycles, ability to honour its debts, etc.) - the “strategic” nature of the company, to predict the likelihood of government intervention in the event of default or a significant deterioration of its financial situation.

Within the universe of the selected issuers, the choice of exposures will be based on characteristics such as the issuer’s rating, the liquidity of the securities, or their maturity.

The fundamental analysis model, intended to identify the securities with the highest upside potential, is based on a unit comprising manager-analysts specialising in credit markets. Following an in-depth analysis of the various companies, the bottom-up process is further refined. The process leads to the choice of preferred investment instruments (direct investments in securities, credit default swaps, Itraxx, etc.) for exposure to selected issuers.

Analysis of sustainable development criteria This involves a qualitative analysis for the purpose of selecting companies that best comply with sustainable development criteria. This analysis, carried out by a dedicated team within the management company, will result in an increase/decrease of stocks according to the management company’s own ESG rating, which is a system that categorises securities on the basis of environmental, social-societal, corporate governance and stakeholder responsibility and performance criteria. The UCITS may use derivatives traded on regulated markets (futures, listed options) or over-the-counter markets (options, swaps, etc.) in order to hedge its assets and/or achieve its management objective without seeking overexposure.

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In this context, the manager may create synthetic exposure or hedging on indices, business sectors or geographic areas. To this end, the UCITS may take up positions with a view to hedging the portfolio against certain risks (interest rate, credit or currency) or exposing itself to interest rate and credit risks. In this context, the manager may adopt strategies which primarily aim to anticipate or hedge the UCITS against the risk of default by one or more issuers or to expose the portfolio to the credit risks of one or more issuers. These strategies will be implemented by purchasing or selling protection via credit default swap credit derivatives, on a single reference entity or on indices (iTraxx or CDX).

It may also implement strategies that aim to mitigate currency risks and/or manage interest rate risk through the use of financial contracts, particularly futures, options, and forward or swap contracts.

The manager will also implement active management of the UCITS’ sensitivity to interest rates, which may vary between 0 and 8. The sensitivity will be reduced in order to protect the portfolio from the negative effects associated with an upward pressure on interest rates and increased in order to harness more widely the benefits associated with a lowering of interest rates. Additional remuneration will be obtained through active management of the interest rate risk.

Exposure to equity markets Up to 10% of the UCITS’ net assets may be exposed to equity markets through potential purchases of convertible bonds.

Currencies The UCITS may, on an ancillary basis, hold up to 10% of its net assets in securities issued in foreign currencies, for which the associated currency risk will be hedged. Nevertheless, a residual currency risk may remain. Exposure to currency risk is limited to 10% of the portfolio’s net assets.

. On assets: Debt securities and money market instruments (up to 100% of the net assets, with a maximum of 100% invested directly in securities)

General characteristics

Sensitivity to interest rates - [0 ; 8]

Geographic region of the issuers OECD, European Union,

European Economic Area, G20 100% maximum in private debt

Distribution of private debt/public debt Up to 100% of the “Debt securities” portfolio in private debt from issuers located in a member state of the OECD, the European Union, the European Economic Area or the G20. The portfolio will not invest in the public debt of a state or an entity of a Member State of the OECD, the European Union, the European Economic Area or the G20.

Ratings-related criteria At the time of purchase, the selected securities will have a minimum long-term rating of BBB- (Standard & Poor’s or equivalent, or an equivalent internal rating from the management company) or a short-term rating of A3 for a minimum of 70% of the Fund’s net assets. The securities selected do not necessarily need to be rated by a rating agency; however, they will be assigned an equivalent internal rating from the management company.

Up to 30% of the net assets may be invested in securities that have a lower rating, corresponding to that of the high yield category (speculative securities with a Standard & Poor’s or equivalent rating of below BBB- or an equivalent internal rating from the management company). Overall, the average rating of the portfolio will be a minimum of BBB- as awarded by Standard & Poor’s or another equivalent rating agency, or an equivalent internal rating from the management company.

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The selection of securities is not based automatically and exclusively on the rating criterion. It is mainly based on an internal analysis. Prior to each investment decision, the management company analyses each security on criteria other than its rating. In the event that an issuer in the high yield category has their rating downgraded, the management company must conduct a detailed analysis in order to decide whether to sell or retain the security, so as to maintain the rating objective.

Legal nature of the instruments used Debt securities of all kinds including, in particular: - Fixed, variable or adjustable rate bonds - Convertible bonds - Inflation-linked bonds - “Green Bonds” (bonds intended to finance projects with a positive environmental impact) - Negotiable debt securities - Savings certificates - Euro Commercial Papers (short-term negotiable securities issued in euros by a foreign entity) The portfolio may invest in callable bonds (bonds with a clause allowing the issuer to redeem the security prior to maturity). The portfolio may invest in PIK notes (payment-in-kind notes are bonds for which interest payments are not made systematically in cash).

Equities - Exposure through directly held equities: None - Exposure via convertible bonds: up to 10% of net assets The portfolio’s maximum exposure to the equity markets measured through the delta of convertible bonds may not exceed 10% of the UCITS’ net assets.

Shares or units of other French undertakings for collective investment or other foreign UCITS, AIFs or investment funds The UCITS may hold up to 10% of its assets in units or shares of French or foreign UCITS or French AIFs characterised as retail investment funds, regardless of their classification, in order to diversify exposure to other asset classes, including exchange-traded funds (ETFs), or money market or bond classes, particularly in order to invest cash. Within this 10% limit, the UCITS may also invest in shares or units of foreign AIFs and/or foreign investment funds that meet the regulatory eligibility criteria. These UCIs and investment funds may be managed by the management company or by an affiliated company.

Financial contracts In order to hedge its assets and/or achieve its management objective, without seeking overexposure, and subject to the limit of 100% of its net assets, the UCITS may use financial contracts traded on regulated markets (futures, listed options), or over-the-counter markets (options, swaps, etc.). For this purpose, the manager may obtain exposure or the synthetic hedging of indices, business sectors or geographical areas. To this end, the UCITS may take up positions with a view to hedging the portfolio against certain risks (interest rate, credit or currency) or exposing itself to interest rate and credit risks. In order to limit significantly the total counterparty risk of instruments traded over the counter, the management company may receive cash collateral which will be deposited with the custodian and will not be reinvested. Types of markets invested in - Regulated markets - Organised markets - Over-the-counter markets

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Risks in which the manager intends to trade for the purposes of portfolio hedging and exposure - Equity risk exclusively from potential exposure to convertible bonds - Interest rate risk - Currency risk - Credit risk

Types of trade (transactions must only be undertaken in order to achieve the management objective) - Hedging - Exposure - Arbitrage

Types of instruments used - Interest rate options - Forward rate agreements - Interest rate futures - Interest rate swaps - Credit derivatives (Credit Default Swaps). - Credit options - Currency options - Currency swaps - Currency futures - Warrants - Swaptions The UCITS will not use total return swaps.

Strategy of using derivatives to achieve the management objective - General hedging of certain risks (interest rate, credit, currency) - Exposure to interest rate and credit risks - Recreation of synthetic exposure to assets and risks (interest rate, credit) - Increasing market exposure The exposure to these financial instruments, markets, rates and/or some of their parameters or components resulting from the use of financial contracts cannot exceed 100% of the net assets. The manager may adopt strategies which principally aim to anticipate or hedge the UCITS against the risk of default by one or more issuers or to expose the portfolio to the credit risks of one or more issuers. These strategies will be implemented by purchasing or selling protection via credit default swap credit derivatives, on a single reference entity or on indices (iTraxx or CDX). In order to limit significantly the total counterparty risk of instruments traded over the counter, the management company may receive cash collateral which will be deposited with the custodian and will not be reinvested.

Securities with embedded derivatives (up to 100% of net assets) The UCITS may invest up to 100% of its net assets in securities with embedded derivatives. The strategy for use of securities with embedded derivatives is the same as that described for the use of derivatives. The UCITS may hold 10% of its net assets in convertible bonds.

Cash borrowings The UCITS is not intended to be a cash borrower. However, a liability position may exist from time to time as a result of transactions associated with the UCITS’ cash flow (investments and divestments in progress, subscription/redemption transactions, etc.), up to a limit of 10% of its net assets. Temporary purchases and sales of securities In order to achieve efficient portfolio management and without deviating from its investment objectives, the UCITS may make temporary purchases and sales of securities involving eligible financial securities or money market instruments, up to 25% of its net assets.

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More precisely, these transactions will consist of repurchase and reverse repurchase agreements linked to interest-rate and credit products of eurozone countries, and will be carried out in the context of cash management and/or the optimisation of the UCITS’ income. The expected proportion of assets under management that will be the subject of such a transaction will be 10% of the net assets. The counterparties of these transactions are first-rate credit institutions domiciled in OECD countries that have a minimum rating of investment grade (rating of BBB- or above according to Standard & Poor’s or equivalent, or a rating deemed equivalent by the management company). These counterparties do not have any influence on the composition or management of the UCITS portfolio. In order to limit significantly the total counterparty risk of instruments traded over the counter, the management company may receive cash collateral which will be deposited with the custodian and will not be reinvested. Further information on the remuneration for temporary sales and purchases of securities is provided in the ‘Charges and Fees’ section.

● RISK PROFILE Your money will be invested primarily in financial instruments selected by the management company. These instruments will be subject to market trends and fluctuations. The risk factors described below are not exhaustive. It is the responsibility of each investor to analyse the risk associated with such an investment and to form their own opinion independently of the Edmond de Rothschild Group by obtaining as much specialist advice on such matters as is necessary to ensure that this investment is appropriate for their financial and legal position and investment horizon.

- Risk of capital loss: The UCITS does not offer any guarantee or protection; investors may, therefore, not recover the full amount of the capital initially invested, even if they retain the units for the whole of the recommended investment period.

- Discretionary management risk: The discretionary management style is based on anticipating trends in the various markets (equities, bonds, money market, commodities and currencies). There is a risk that the UCITS may not be invested in the best-performing markets at all times. The performance of the UCITS may therefore fall below the management objective and the drop in its net asset value may lead to negative performance.

- Credit risk: The main risk linked to debt securities and/or money market instruments such as treasury bills (BTFs and BTANs) or short-term negotiable securities is that of issuer default, due either to the non-payment of interest and/or the non-repayment of capital. Credit risk is also associated with the downgrading of an issuer. Unitholders are reminded that the net asset value of the UCITS is likely to fall if a total loss is recorded on a financial instrument following default by an issuer. The inclusion of debt securities in the portfolio, whether directly or through UCIs, exposes the UCITS to the effects of variations in credit quality.

- Credit risk linked to investments in speculative securities: The UCITS may invest in issues from companies rated as non-investment grade by a rating agency (with a rating below BBB- according to Standard & Poor’s or equivalent) or with an equivalent internal rating issued by the management company. These issues are known as speculative securities and present a higher risk of issuer default. This UCITS should therefore be considered to be partly speculative and intended specifically at investors aware of the risks inherent in investing in such securities. As a result, the use of high yield securities (speculative securities with a higher risk of issuer default) may incur a greater risk of a fall in the net asset value. - Interest rate risk: Exposure to interest rate products (debt securities and money market instruments) makes the UCITS sensitive to interest rate fluctuations. Interest rate risk might result in a fall in the value of the security and, therefore, the net asset value of the UCITS, in the event of a change in the yield curve.

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- Risk associated with financial and counterparty contract commitments: The use of financial contracts may incur the risk of a sharper, more abrupt fall in the net asset value than in the markets in which the UCITS invests. Counterparty risk results from the use by the UCITS of financial contracts traded on over-the-counter markets and/or temporary purchases and sales of securities. Such transactions potentially expose the UCITS to the risk of counterparty default and the possible risk of a decrease in its net asset value.

- Liquidity risk: The markets in which the UCITS trades may occasionally be affected by a lack of liquidity. These market conditions may affect the prices at which the UCITS may have to liquidate, initiate or modify positions.

- Risk associated with derivatives: The UCITS may use of financial futures (derivatives). The use of financial contracts may incur the risk of a sharper, more abrupt fall in the net asset value than in the markets in which the UCITS invests.

- Risk associated with the SRI (socially responsible investment) selection: The UCITS may deviate from the benchmark index if it implements an SRI stock-picking strategy.

- Risk associated with hybrid products (convertible bonds): Given their possible conversion into shares, convertible bonds introduce an equity risk into a bond portfolio. They also expose the portfolio to the volatility of equity markets, which is higher than that of bond markets. Holding such instruments therefore results in an increase in portfolio risk, which may be mitigated by the bond component of hybrid securities, depending on market configurations.

- Risk associated with temporary purchases and sales of securities: The use of these transactions and the management of their collateral may involve certain specific risks such as operational risks or custody risk. These transactions may therefore have a negative effect on the net asset value of the UCITS.

- Legal risk: This is the risk of inadequately drafting contracts concluded with counterparties for temporary purchases and sales of securities.

• GUARANTEE OR PROTECTION None.

• TARGET SUBSCRIBERS AND TYPICAL INVESTOR PROFILE C, D and E units: All subscribers. CR units: All subscribers; these units may be marketed to retail investors (non-professional or professional) exclusively in the following cases: - Subscription as part of independent advice provided by a financial advisor or regulated financial entity, - Subscription as part of non-independent advice, with a specific agreement that does not authorise them to receive or retain trailer fees, - Subscription by a financial entity regulated on behalf of its client as part of a management mandate. In addition to the management fees charged by the management company, each financial advisor or regulated financial entity may be liable to pay the management or advisory fees incurred by each investor. The management company is not party to such agreements. Units are not registered for marketing in all countries. They are therefore not open to subscription for retail investors in all jurisdictions. I and S units: All subscribers, specifically legal entities and institutional investors.

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This UCITS is specifically intended for investors wishing to maximise their bond investments through the active management of credit instruments denominated in euros with an analysis combining financial and extra-financial criteria. Investors’ attention is drawn to the risks inherent to this type of security, as described in the “Risk Profile” section.

The person responsible for ensuring that the criteria related to the capacity of subscribers or purchasers have been observed and that they received the required information is the person entrusted with effectively implementing marketing for the UCI. The units of this UCITS are not and will not be registered in the United States under the US Securities Act of 1933 as amended (“Securities Act 1933”) or under any other law of the United States. These units may not be offered, sold or transferred to the United States (including its territories and possessions) or benefit, directly or indirectly, any US Person (as defined by Regulation S of the Securities Act 1933).

The amount which is reasonable to invest in this UCITS depends on your individual circumstances. To determine this amount, investors are advised to seek professional advice in order to diversify their investments and determine the proportion of their financial portfolio or assets to be invested in this UCITS, more specifically in view of: the recommended investment period; exposure to the aforementioned risks; their personal wealth; their requirements; and to their specific objectives. In any event, unitholders must diversify their portfolio sufficiently to avoid being exposed solely to the risks of this UCITS.

- Minimum recommended investment period: more than 2 years.

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2. CHANGES AFFECTING THE UCI

1- Various regulatory and other changes made, and performance updated to 31/12/2016, rates of charges and fees updated on 31/12/2016 and change to front-end fees on 07/02/2017.

2- Creation of CR units on 29/12/2017.

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3. MANAGEMENT REPORT

January The year 2017 got off to a better start than the previous year. The main financial markets ended in neutral to positive territory, with the exception of European government bonds. The increase in PMI indices confirmed a more upbeat mood amongst businesses and consumers alike, allowing cyclical stocks to retake centre stage. With results season upon them, it was full steam ahead for companies. It started well with positive growth across all regions and a majority of companies publishing better-than-expected figures. The weakness of European sovereign bonds was very pronounced this month. The market was surprised by some of the eurozone economic indicators (particularly inflation) which were better than expected, and uncertainties over Europe’s political future. The corporate investment grade market outperformed the sovereign debt market, but was unable to avoid being dragged into the general decline. Credit was supported by strong technical factors, high subscription rates in mutual funds and the Central Bank resuming its asset purchase programme at a steady pace following the festive lull at a weekly average of EUR 1.8 billion. Against this backdrop, credit indices traded on relatively tight margins, the Crossover was relatively stable over the month at 300 bps. The primary high yield market was not as dynamic as expected, which was partly of benefit to the “syndicated loans” market. However, the “scarcity” of new offers as an additional technical factor remained very strong in supporting credit risk premiums on the secondary market. Of note was Jaguar Land Rover’s inaugural euro-denominated issue (EUR 500 million, 7 years) followed by a “tap” on its existing 2021 bond in GBP. Telecom Italia and Ardagh both issued “jumbos”: the former for EUR 1 billion, maturing in 2023, and the latter for USD 1 billion, maturing in 2025. In general, we note that issuers took advantage of this environment to refinance their existing debt and extend their repayment profile. Elsewhere, the European Commission approved the Areva bailout plan (EUR 4.5 billion by the French government) subject to conditions, which notably included the sale of its reactors business. A number of mergers and acquisitions were announced, including the merger of Essilor and Luxottica, and Safran’s acquisition of Zodiac Aerospace. Loxam eventually bought Lavendon for close to EUR 720 million as TVH withdrew from the bidding process. The lowest-rated loans outperformed and financial bonds outperformed industrial bonds. The subordinated financials market posted positive performance, with the exception of Tier 2 banks which were penalised by the rate rise in Europe (+1.05% for the EUR CoCo index, -0.03% for the Tier 2 banking index, and +0.35% for the Tier 2 insurance index). In the primary market, the AT1 segments (EUR 3.5 billion in issues) and the insurance sector (EUR 4.5 billion in issues) were very active in the first half of January.

February In February, the markets were caught between two opposing forces, specifically increasing political risk on the one hand and the publication of good fundamentals and macroeconomic data on the other. While investors worried about the campaign promises of President Trump, the S&P 500 and the Dow Jones continued to achieve record highs and Janet Yellen suggested that the US economy could withstand rate hikes. In Europe, concerns increased about the possibility of victory for the far right in the French and Dutch elections. At the same time, leading indicators remained strong (consumer confidence in the US, business confidence in the eurozone, IFO). Sound technical factors continued to support the credit market and the high yield segment, in particular. Performances had been very good since the beginning of the year, with +1.9% for the BB- segment and +1.6% for the B- segment and an iTraxx Crossover index which stood at 291 bps at the end of February (-9 bps over the month). Annual results reflected an improvement in credit ratios, including a fall in default rates and leverage. The results of the Fnac-Darty group were better than expected and the synergies initially announced for the end of 2019 were brought forward to 2018. The were more mixed results for BUT, which experienced a decline in its margins and free cash flow, and for Vallourec, which saw a drop in revenue of 22%, with its EBITDA for 2016 falling to -EUR 220 million. S&P decided to downgrade Vallourec from B+ to B on the back of these results. Another merger/acquisition of note took place between Opel, the European arm of General Motors, and Peugeot (Ba2) for EUR 2.2 billion. The new group will become Europe’s second largest car manufacturer, with a 17% market share. This acquisition should allow PSA to achieve major economies of scale. Primary issues were driven chiefly by refinancing transactions. The volumes for January and February 2017 – EUR 6 billion and EUR 7.7 billion, respectively – greatly exceeded 2016 levels.

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Two euro issues replaced dollar stubs: Levi Strauss (Ba2/BB+), which issued a 10-year NC5 bond for EUR 450m to replace the USD 2022 bond at 6.875%, and Rexel (Ba2/BB), which issued a senior unsecured NC3 bond for EUR 300m at 2.625% to refinance its USD 2020 5.25% bond. The two major issues were those of Quintiles IMS Inc. (Ba2/BBB-) at EUR 1,425m 3.25% 2025 and Thyssenkrupp AG (Ba2/BB) at EUR 1,250m 1.375% 2022. Investment grade corporate credit spreads narrowed significantly in February (by approximately -6 bps). In spite of everything, the European credit market underperformed its US counterpart in February, to such an extent that for the first time since the European sovereign debt crisis, corporate debt spreads were wider in Europe than the USA. And yet, the ECB continues its programme of corporate bond purchases. This underperformance is partially attributable to the rise of political risk with concerns about the outcome of the forthcoming elections in France and the Netherlands. Against this backdrop of risk aversion, German 10-year sovereign yields fell sharply over the month, from just about 0.5% to 0.21%.

March The Dutch elections, the start of Brexit and unrest in the US administration barely had any impact on credit spreads. The forthcoming French elections added to the volatility on the government bond markets. Results season drew to a close and, generally speaking, there were no unpleasant surprises to be had. The Investment Grade euro credit market was negatively affected by the fall in the price of government bonds. Credit spreads nevertheless narrowed slightly during March as a result of positive economic figures, and a slight lessening of political anxiety. A notable exception was the energy sector, where spreads widened slightly due to a fall in crude oil prices. European corporate debt outperformed its US counterpart in terms of credit spread on the back of investor doubts about Mr Trump’s ability to get his fiscal reforms voted through following the failure of the healthcare reforms. The HY credit market remained largely driven by quantitative easing, which decreased from EUR 80 billion to EUR 60 billion of purchases per month from April, and technical factors largely to the benefit of issuers. The primary market was supported in March by more than EUR 13 billion of new issues that mostly served to refinance existing bonds. Despite outflows from some high-yield funds in this month, credit spreads remained low and the impression of a shortage persisted. Subordinated financials have outperformed the credit market since the beginning of the year and posted positive performance in March (+0.69% for CoCos, +1.83% for insurance perpetuals). Deutsche Bank’s Additional Tier 1s were the best-performing bonds in March (+5pts), following the announcement of a capital increase of EUR 8 billion and a review of its strategy. Credit Suisse is also believed to be discussing a capital increase of CHF 3 to 5 billion instead of an IPO for its Swiss subsidiary.

April The main credit indices were in positive territory in April. Although the month began with the Fed and Mario Draghi giving reassuring speeches, volatility gradually increased ahead of the first round of the French presidential elections. On 23 April, the market was reassured by the vote of the French people. Banking and cyclical stocks were amongst the big winners as the European markets rallied. Economic momentum was positive in April with the publication of confidence indexes in the eurozone up and the IMF raising its global growth forecast to 3.5% in 2017. European investment grade corporate bonds held up well throughout the month. Between positive economic figures, the meeting of the ECB where no exit from unconventional measures was planned for the moment, and especially, the easing of political fears, the environment was advantageous for investment grade credit in the eurozone. European spreads narrowed by 9 basis points during the month, and outperformed US IG credit. The best performers were peripheral corporates and the energy sector. Performances were good across all high yield segments during the month, with the BB sub-fund at +1.0%, the B sub-funds at +0.8% and finally the CCC sub-funds at +1.6%. On average, the HY market was up +1.2%. The primary market continued to gain value against a backdrop of European issuers looking to take advantage of the very low European core rates. Loxam (BB-), Nomad Foods, Netflix (B1/B) and Atalian (B2/B) are particularly worthy of note. Investors’ appetites remained strong with books many times oversubscribed and coupons often sold at the lower end of the advertised range. In much the same vein as the 2016 annual results, Q1 2017 publications were generally good. The results season for financials got off to a very positive start in both the United States and Europe. The Scandinavian banks, Santander, UBS and RBS announced results above expectations, contributing to the outperformance of equities and credit from financial issuers compared to the rest of the market.

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Primary market activity remained very modest, caught between the pending French elections and the start of results and the black-out period. Only Santander and Erste issued Additional Tier 1 bonds. Additional Tier 1s from French banks gained between 3 and 5 points and subordinated debt from French insurers gained between 2 and 3 points during the month.

May One of the most feared obstacles for the European bond credit market was overcome in May: French political populism. The election of Emmanuel Macron – with 66.1% of the vote versus Marine Le Pen’s 33.9% – allowed credit risk premiums to return to their lows: 65 bps and 250 bps respectively for the iTraxx Main and CrossOver indices. And for the time being, there was nothing to suggest a short-term widening. Eurozone economic indicators were encouraging; quarterly results were good and volatility had slumped. Technical parameters were strong enough to see off other political dangers, such as the risk of Donald Trump’s impeachment or the scandals surrounding the Brazilian president Michel Temer. It seemed as if only a sudden change in the ECB’s quantitative easing programme or an unfavourable outcome in the Italian elections would be able to reshape the outlook for high-yield credit. The various market classes continued to perform well, albeit at a slower pace. May was a positive month in the different subordinated financial debt segments. The insurance sector outperformed during the month. CoCos also performed well, particularly those denominated in dollars. The weakest performance of a euro-denominated CoCo (+0.71%), meanwhile, can be linked to Banco Popular, which is experiencing strong market pressure and is considering two primary solutions. The first is expected to be a capital increase and the second, its takeover by another entity. The difficulties encountered by Banco Popular affected Spanish AT1s such as Santander, BBVA and Sabadell. May was a positive month for the European investment grade corporate bond market. The election of Mr Macron in France led to a significant reduction of political risk in Europe and had a positive effect on credit. Investment grade corporate spreads narrowed slightly across all sectors (although the majority of gains were recorded immediately after the first round elections in April). The Itraxx Europe investment grade CDS index fell from 67 to 62. Macroeconomic figures in the eurozone were pretty good during May, with figures for growth, jobs, confidence and manufacturing output continuing to show progress. There was little change in the 10-year Bund yield, however, as inflation figures were weaker than expected. Despite the improved economic environment, the ECB gave no indication of a change in monetary policy.

June While the business climate in Europe reached levels not seen since 2011, with a sharp increase in the most cyclical sectors (building and retail), the end of June was to be marked by the ECB’s change of tone. Eurozone rates underwent a particularly noticeable correction in Germany and France. Mario Draghi suggested that the ECB would be considering a gradual end to Quantitative Easing, indicating that deflationary forces were being replaced by inflationary forces. European sovereign bonds (especially core bonds) were weak during June. The 10-year and 5-year Bund yields rose from 0.30% to 0.46% and from -0.43% to -0.23% respectively. Corporate investment grade spreads narrowed again in June, partially offsetting the effect of benchmark weakness. The compression was widespread. There was relief for the credit market in the form of the banking resolutions in Italy and Spain. Investment grade spreads in the eurozone have now reached their lowest levels for several years. Against this backdrop, the European High Yield market fared quite well. Over the month, high yield was up +0.3%, buoyed by the single-B sub-fund (up +0.5%) while the double-BB sub-fund was up +0.2%. The momentum in the primary market was unaffected. June saw no fewer than EUR 12.5 billion in new issues – the biggest month of issues since April 2017 and September 2016. The first part of the month was marked by numerous events: the Banco Popular resolution, the ECB speech, the elections in Great Britain and the French parliamentary elections. Rather than resulting in sharp volatility, however, they created renewed optimism which was reflected in a narrowing of spreads. This extended through the second half of the month in spite of the Italian banks Veneto and Vicenza and a somewhat volatile oil price. June was characterised by the outperformance of the Insurance sector, where we saw spreads for insurance perpetuals narrow by 31 bps.

15

EUR and USD CoCos posted strong performance, although the EUR CoCos index suffered from the negative performance of the Banco Popular stubs and by contagion from some other peripheral stocks. The Banco Popular resolution was declared by the SRB on 7 June and the bank was transferred to Santander for the symbolic amount of one euro, following write-down of the shares and AT1s, and conversion of the T2s. We saw the liquidation of two banks – Banca Veneto and BP Vicenza – in accordance with Italian national rules. They were split into two different entities: a good bank and a bad bank, with a buyout of the good bank by Intesa for the symbolic amount of one euro.

July There were positive signs in the economic news in July, particularly the data for industrial output, business confidence, jobs and property. The ECB reassured investors as to the reduction of quantitative easing measures in 2018. The ECB again emphasised the weakness of inflation data. The sharp recovery of the euro also indicated that the ECB could afford to wait before reducing its programme of quantitative easing. In the United States, there was no announcement of a rate rise at the Fed’s monthly meeting, but it clarified that the process of reducing its balance sheet was expected to begin “shortly”. Inflation data remain moderate. The investment grade corporate bonds market also posted good performance in July, with credit spreads narrowing. These solid results can be explained in particular by the growth of the global economy and corporate results and by the relative absence of new securities offerings. The financial and peripheral segments turned in a remarkable performance. Over the month, the iTraxx credit indices tightened slightly, with the Main and Crossover standing at 52 bps (-3 bps over the month) and 234 bps (-9 bps over the month), respectively. The double-BB segment was up +0.46%; the single-B, +0.57%; and Investment Grade, +0.38%. Technical factors are still favourable in the European High Yield credit market, despite the primary market being less dynamic in July than in June. Among the noteworthy issues over the month, there were High Yield offerings from two maritime transport operators, Hapag-Lloyd and CMA CGM. Furthermore, numerous issuers went out to investors via variable rate instruments: InfoPro Digital (IT services), United Group (Slovenian telecoms operator), Hema (consumer discretionary) and ANACAP (bad debt purchaser). Half-yearly results announcements continue and are better than expected: 70% of the Stoxx 600 companies have published their results and 57% of them have outperformed expectations. Lastly, in the area of mergers and acquisitions, Artemis sold its equity interest in Fnac Darty to the German group Ceconomy (Baa3/BBB-), the former specialist retail arm of Metro. WorldPay and Vantiv announced that they had concluded an agreement in principle on the characteristics of a potential merger. Spie signed an agreement to acquire Ziut (the market leader in public street lighting services in the Netherlands). Performance was positive in July in most of the various subordinated financial debt segments. The insurance sector outperformed during the month; we saw spreads tighten by 35.5 bps for insurance perpetuals. CoCos also fared well (with performance of 2.57% for EUR CoCos and 1.90% for USD CoCos). Primary market activity was not terribly strong over the month. Bankia issued its first AT1 bond (with a 6% coupon) while Caixabank and Nationwide issued Tier 2 subordinated bonds.

August The trend in the global markets was slightly more cautious in August. Benchmark sovereign bonds posted positive performance, with a fall of 20 basis points for yields on 10-year treasury bonds and 10-year Bunds as well. The market dismissed the prospect of the tightening of central bank monetary policy. In the eurozone, investors are increasingly less concerned about a drastic reduction of the ECB’s easing policy, despite solid economic data. The strength of the single currency could reduce the pressure on the ECB. The next rate hike by the Fed anticipated by the market is now planned for 2018, due to the market’s disappointment at constant inflation data. The Jackson Hole meeting was reasonably uneventful. In fact, neither Janet Yellen or Mario Draghi gave indications of any change in monetary policy. August saw a lull in the near-constant narrowing of corporate spreads this year. Geopolitical tensions were amplified, the VIX skyrocketed mid-month and equity markets were sluggish or even fell, depending on the region. Investment grade category spreads increased slightly. While the month of July was favourable to risk-taking – with the stock market recovery and the continuous tightening of credit spreads – the momentum in August shifted. Credit spreads widened as a result of tensions concerning North Korea. Spreads on US high-yield bonds widened to 35 bps, compared to 20 bps for their European equivalents.

16

Despite the excellent economic environment justifying the medium to long-term reduction in risk premiums, central bank purchases brought about insufficient risk differentiation for different sectors. Expectations of an announcement by the ECB regarding a gradual tapering of its securities purchases and quantitative easing programmes were to be monitored carefully in the coming weeks. Data relating to confidence in the eurozone remained sound. August’s yields were positive, albeit lower than in the previous month. The Construction & Materials and Oil & Gas sectors (both at +0.6% over the month) achieved the best results. The BB (+0.20%) and B (+0.33%) ratings managed similar performances, although the decline in 10-year Bund yields (16 bps) had a beneficial effect on long-duration assets. The CCC ratings recorded a performance that was slightly up, which caused them to outperform (+0.40%). August was characterised by the underperformance of EUR and USD CoCo bonds and insurance perpetuals, counterbalanced by the mildly positive performance of the Tier 2 banking and insurance segment. There were several developments during the month relating to the process of cleaning up the banking system. At the start of the month, Banca Carige announced its plan to improve its solvency. In Portugal, Novo Banco adopted a plan to optimise its liabilities. There were few primary issues during the month. Barclays issued an AT1 bond for GBP 1.25 billion with a coupon of 5.875%, while UBS issued a dollar-denominated Senior bond in two tranches with fixed and floating coupons, maturing in 6 years.

September September was marked by some weakness in euro-denominated first class bonds, primarily due to rates, with the 10-year rate rising from 0.35% to 0.45% during the month. The ECB said nothing about the future of the quantitative easing programme at its meeting of 7 September. However, the market is expecting clarification at the next meeting in late October. Inflation figures in the eurozone were slightly below expectations in September, with the CPI reaching 1.5% and the base index at 1.1%. Meanwhile, the Fed reiterated its interest rate forecasts for December and 2018, despite a low rate of inflation, and announced the start of the process of normalising its balance sheet. Detailed information about the government’s tax reform package also emerged. Investors raised the possibility that a package could potentially become law. Eurozone investment grade spreads fell during the month, due to the relative compression of all the index sectors. The investment grade corporate bonds market thus outperformed the sovereign bonds in the benchmark indices. High-yield European bond spreads continued to narrow at a slow pace in September after a slight widening in August. The market generated a total yield of 0.5% in September. The best-performing sectors in September were metals and mining (1.22%) and construction materials (0.99%), whereas the worst-performing sectors were aerospace/defence (-0.42%) and food (-0.35%). CCC bonds and longer maturities continued to post the best performances. The Crossover S27 index stood at 214 bps (narrowing 20 bps during the month), while liquidity spreads narrowed by 15 bps to 270 bps over the month. It was an eventful month on the primary market. It closed the month at nearly EUR 8 billion, the second best month of the year. This brought the total for the year to almost EUR 51 billion – much more than the EUR 42.8 billion achieved over the same period in the previous year. Conversely, Bombardier’s credit spread (B2/B-) widened after the US Department of Commerce imposed significant customs duties on its C-series aircraft following Boeing’s complaint about government subsidies. There were also solid performances in September from CCBs in euros and in dollars (0.73% and 0.46%, respectively) and for insurance perpetuals. The Class 2 banking and insurance segments, meanwhile, turned in modestly positive performances (0.07% and 0.15%). Nordea announced its decision to transfer its registered office from Sweden to Finland, thereby bringing it under the supervision of the ECB. In Portugal, Novo Banco announced the preliminary results of its debt restructuring. The quorum required to force the buyback of 76% of the EUR 8.3 billion of nominal bonds outstanding covered in the plan was not achieved (the second round will take place in October). In Italy, the shareholders of Banca Carige approved the capital increase of EUR 560 million. The primary market was very active this month. Julius Baer, Jyske Bank, NIBC and Investec issued additional Class 1 (AT1) equity in small amounts (less than EUR 300 million). The Santander and ABN Amro banks also issued AT1s, of EUR 1 billion each. In parallel, KBC, the Bank of Ireland, ING and Banco BPM issued Class 2 bonds. The Fund announced a positive performance in September, to which the CCB segment was a significant contributor.

17

One thing to take note of is the holding in Unilever, which is known for its commitment to sustainable development, and in particular for its long-term strategy, environmental policy and developments in the oversight of the supply chain.

October European credit enjoyed a good performance throughout October despite investors’ expectations regarding the ECB’s monetary policy meeting at the end of the month. The nine-month extension to the quantitative easing programme at half of its current rate, as announced by Mario Draghi, was favourably received by the credit markets and allowed the tightening of credit spreads to gather pace. The ECB also suggested that the programme could be extended if necessary. The stand-off between Madrid and Catalonia hit the headlines this month, albeit without managing to substantially disrupt credit markets. Investment grade corporate bonds posted good performances during the month: the CDS index and cash bonds tightened by 7 bps, high-yield corporate cash bonds tightened by 23 bps, and the iTraxx XOver by 27 bps. Credit also benefited from the fall in benchmark index yields, helped by the relief in relation to the ECB (10-year Bund yields fell by 10 bps, from 0.46% to 0.36%). On the supply side, European high-yield bonds saw the strongest-ever monthly offering. The refinancing of Wind Tre is undoubtedly the operation of the year, with the issue of a guaranteed bond of EUR 7.3 billion, in five tranches. 2017 is already considered to be the best-ever year for high-yield bond issues in Europe with a total amount currently equivalent to EUR 80 billion, exceeding the previous record of EUR 73.7 billion set in 2014. The conciliatory tone adopted by the ECB at the end of October and the increase in Italy’s rating by the S&P index drove financial debt in October. During this time, the uncertainties around independence for Catalonia triggered a wave of sales of Spanish securities, which regularly underperformed this month, before ultimately bouncing back at the end of October (when Article 155 was invoked by the Spanish government). October also saw excellent performance by EUR CoCo bonds, as well as perpetuals from the insurance sector (+3.61% and +2.82% respectively). At the same time, the Tier 2 banking and insurance sectors (+1.16% and +2.29%) and USD CoCo bonds (+2.13%) also turned in strong performances. The quarterly results published to date have been largely positive. However, Barclays and Deutsche Bank revealed that they still had a long way to go on the road to restructuring. In Italy, Banca Carige announced the preliminary results of its bond exchange, which seemed sufficiently positive for the debt optimisation transaction to be deemed a success. The primary market was relatively active during the month. Scotiabank issued additional core capital (AT1) for an amount of USD 1.25 billion, with a coupon of 4.65%. ASR offered a restricted core capital issue (RT1), the first in euros, for EUR 300 million, with a coupon of 4.625%. At the same time, Tier 2 bonds were issued by Nationwide, Prudential and Crédit Mutuel Arkéa. In October, we strengthened our holdings in the telecommunications services and consumer goods sectors, which present fewer risks for environmental, social and governance matters than the average for the economy.

November November was another month of strong economic data for the eurozone with, in particular, growth figures that surprised on the upside. The figures also showed that the recovery in Europe was becoming increasingly widespread. Given the expected stability of short-term ECB policy, economic figures had a limited impact on reference rates, with the 10-year Bund yield remaining unchanged. The market flattened slightly, however, with a 2-year Bund up by 7 basis points during the month, reflecting the flattening seen in the US Treasury bond market. Credit markets experienced some volatility during the month, while economic momentum remained sound and corporate income in the eurozone exceeded expectations for the third quarter of 2017. During this same period, eurozone GDP recorded significant quarter-on-quarter growth of 0.6% in a positive and forward-looking economic climate, with the manufacturing sector achieving its highest levels since April 2000. Spreads on investment grade corporate bonds managed to close the month practically unchanged, after widening mid-month. IG corporate bond spreads remain close to multi-year narrowing. Euro-denominated corporate offerings are still on track to beat the record for 2017.

18

High-yield securities posted a more diversified performance in November than during previous months against a backdrop of idiosyncratic risks and under the effect of external factors (in the United States) of widening credit spreads, triggering a temporary consolidation. The iBoxx HY Non-Financial index fell 0.4% in November and underperformed the Financials Index (0.2%), leaving the overall index (iBoxx HY, -0.3%) also in the red. Influenced by Astaldi’s sharp fall, the construction and materials sector incurred the highest losses, wiping out the gains made in October. The telecommunications sector (-1.4%), including Altice, also posted an underperformance, which in turn affected Media (-0.9%). The healthcare sector (+0.3%) was alone in posting a positive performance while consumer and utilities services remained stable. CCC bonds (+0.2%) continued to outperform while BB (-0.15%) and B (-1.3%) bonds suffered losses. The first half of the month was marked by profit-taking after a substantial upturn following a meeting at which the ECB adopted a conciliatory approach in mid-October, and strong outperformance by bank bonds compared to banking stocks after a disappointing results announcement season compared to previous quarters. Some specific circumstances also drew attention, including the challenging recapitalisation exercises of Credito Valtellinese and Banca Carige in Italy. On the regulatory front, expectations are increasing that an agreement on Basel 4 reforms will be concluded by the end of the year. The primary market was active, with T2 issues from Talanx and BFCM and a T3 bond from BNP Cardif. Crédit Logement announced a public tender on its T1 bonds with a premium of 3% to 4% (which we accepted) and issued a new T2 structure. We took a stake in two new euro-denominated green bond issues: the first was from Japanese car manufacturer Toyota, the world leader in hybrid vehicles; and the second was from Westpac, an Australian bank whose green bonds target the financing of renewable energy, green buildings and railway infrastructure.

December During the first two weeks of December, the main central banks gave their assessments on the state of the economy, growth prospects and inflation expectations. Essentially, what was interesting was that, in both the eurozone and the United States, central bank governors predict that growth will pick up in 2018 thanks to better fundamentals in Europe and the fiscal reform adopted by the US Congress. However, central bank governors no longer believe that inflation will reach higher levels in 2018, which is fairly surprising. This attitude may explain a rise in global interest rates, notably from 0.30% to 0.43% on the 10-year German Bund and from 2.14% to 2.22% on 5-year US Treasury bonds. In Europe, the investment grade corporate bond market ended the month down slightly. Although IG bond spreads contracted slightly, the market was unable to overcome the weakness of the Bund. In the United States, the IG corporate bond market rose slightly, with Treasury bond yields having risen less than yields on Bunds. Spreads for the segment reached their lowest level since the financial crisis at the end of 2017. The high-yield market was static during the month with the Crossover index opening and closing at 230 bps. In this month, construction and materials contributed the most to performance whereas technology and healthcare weighed down on the yield the most. B-rated bonds bounced back (+0.3%), thereby outperforming BB- (0.20%) and CCC-rated (-0.3%) bonds. At the end of the year 2017, the high-yield market posted a sound performance of 5.8%, in what was a record year for the primary market (EUR 100 billion gross). The credit markets remained stable over the month, with the narrowing of spreads offsetting the rise in interest rates. The results of the regional elections in Catalonia, with the separatist bloc out in front, did not affect the valuation of our Spanish holdings. Italian positions underperformed at the end of the month when the dissolution of parliament was announced in view of the elections to be held on 4 March 2018. In regards to environmental, social and governance matters, in December we sold our positions in Lafarge and Fortum in full and invested in Suez Environnement hybrid bonds. These measures had a very positive impact on the carbon footprint of the Fund.

C units denominated in EUR posted a performance of 4.21% over the year, compared with 2.41% for its benchmark index. D units denominated in EUR posted a performance of 4.21% over the year, compared with 2.41% for its benchmark index. I units denominated in EUR posted a performance of 4.73% over the year, compared with 2.41% for its benchmark index.

19

S units denominated in EUR posted a performance of 4.94% over the year, compared with 2.41% for its benchmark index. E units denominated in EUR posted a performance of 4.00% over the year, compared with 2.41% for its benchmark index.

Past performance is not an indication of future performance.

Main changes to the portfolio during the financial year

Securities Changes (“Accounting currency”)

Purchases Sales

Edmond de Rothschild Credit Very Short Term R 51,487,324.08 50,180,901.95

WIND TRE SPA 3.125% 20-01-25 1,005,278.89 988,002.87

WESTPAC BANKING 0.625% 22-11-24 1,488,180.00 498,468.51

ZIMMER BIOMET 2.425% 13-12-26 925,682.51 836,469.68

AT T 1.8% 04-09-26 1,197,946.00 501,489.59

FRESENIUS FINANCE IRELAND 2.125% 01-02-27 801,279.10 829,040.07

CELLNEX TELECOM 2.875% 18-04-25 1,110,497.15 419,570.94

SMITHS GROUP 2.0% 23-02-27 999,964.00 503,968.00

CAIXABANK 1.125% 12-01-23 EMTN 998,520.00 495,549.51

CNH INDUSTRIAL FINANCE EUROPE 1.75% 12-09-25 994,584.25 361,503.04

20

Efficient portfolio management techniques and derivative financial instruments

a) Exposure obtained through efficient portfolio management techniques and derivative financial instruments

● Exposure obtained through efficient management techniques: None.

● Underlying exposure achieved through derivatives: None.

b) Identity of the counterparty/counterparties to efficient portfolio management techniques and derivative financial instruments

Efficient management techniques Derivatives (*)

(*) Except listed derivatives

c) Financial guarantees received by the UCITS to reduce counterparty risk

Types of instruments Amount in the portfolio currency

Efficient management techniques

. Term deposits

. Equities

. Bonds

. UCITS

. Cash (**)

Total

Derivative financial instruments

. Term deposits

. Equities

. Bonds

. UCITS

. Cash

Total

(**) The Cash account also includes liquidity resulting from repurchase transactions.

21

d) Operating income and expenses relating to efficient management techniques

Operating income and expenses Amount in the portfolio currency

. Income (***)

. Other income

Total income

. Direct operating expenses

. Indirect operating expenses

. Other expenses

Total expenses

(***) Income received on loans and repurchase agreements

22

SECURITIES FINANCING TRANSACTION REGULATION (“SFTR”)

During the year, the UCI was not involved in transactions subject to Regulation (EU) 2015/2365 on the transparency of securities financing transactions and of reuse (“SFTR Regulation”).

23

4. STATUTORY INFORMATION

● METHOD FOR CALCULATING TOTAL RISK (AMF INSTRUCTION No. 2011-15 – ARTICLE 16) The UCITS uses the commitment method to calculate the total risk associated with financial contracts.

● INFORMATION ON TRANSACTIONS INVOLVING SECURITIES IN WHICH THE GROUP HAS SPECIAL INTERESTS This information is available in the annual financial statements in the section: GROUP FINANCIAL INSTRUMENTS HELD IN THE PORTFOLIO.

● POLICY ON SELECTION OF INTERMEDIARIES AND COUNTERPARTIES In accordance with Article 314-72 of the AMF General Regulations, the management company has set up a ‘Best Selection/Best Execution policy’ for intermediaries and counterparties. The purpose of this policy is to select, according to various predetermined criteria, the brokers and intermediaries whose execution policy will achieve the best possible results when executing orders. The policy is available for consultation on the Edmond de Rothschild Asset Management (France) website at www.edram.fr.

● REPORT ON INTERMEDIATION FEES In accordance with Article 314-82 of the AMF General Regulations, the management company has drawn up a “Report on intermediation fees”. This document is available on the Edmond de Rothschild Asset Management (France) website: www.edram.fr.

● COMMUNICATION OF ENVIRONMENTAL, SOCIAL AND GOVERNANCE QUALITY (ESG) CRITERIA Information on ESG criteria is available in the Fund’s Code of Transparency, available at www.edram.fr.

● REMUNERATION POLICY AND PRACTICES APPLICABLE TO THE MANAGER’S PERSONNEL Edmond de Rothschild Asset Management (France) has a remuneration policy that complies with the provisions of European Directive 2009/65/EC (“UCITS V Directive”) and Article 314-85-2 of the AMF General Regulations which apply to UCITS funds. The remuneration policy promotes the sound and effective management of risks and does not encourage risk-taking that would be inconsistent with the risk profiles of the UCITS it manages. The management company has implemented adequate measures to prevent any conflict of interest.

For all employees of the management company considered to have a material impact on the risk profile of UCITS funds (“MRT” or material risk-takers), and annually identified as such through a process involving the Human Resources, Risk, and Compliance teams, the remuneration policy specifies that part of their variable remuneration (which must remain in reasonable proportion to their fixed remuneration) is deferred over three years. This deferral, for employees exceeding a minimum threshold, varies from a minimum of 40% to 60% depending on the variable level. Furthermore, a portion of the variable remuneration for these employees will be indexed to the change in the value of a mixed basket of financial instruments that is representative of the AIFs and UCITS managed by the management company and its affiliates. The deferred variable remuneration will therefore comprise, for MRT employees, at least 50% of cash indexed to the basket of instruments, and at most 50% of other deferred elements (Group Long Term Incentive Plan or, as applicable, deferred cash).

24

Information in the management company’s annual report as at 31/12/2016:

Total amount of remuneration

In accordance with Article 107 of delegated regulation 231/2013 of 19 December 2012, the total amount of remuneration corresponds to the total remuneration of the entire staff of the management company with 191 beneficiaries. This total amount for the financial year 2016-2017 was €27,719,370 including a fixed component of €18,039,441, a variable component of €9,679,928 and a profit share in capital gains of €0.

Aggregate amount of remuneration

In accordance with Article 33 of AMF Instruction 2011-20 and Article 22 of Directive 2011/61/EU of 8 June 2011, the aggregate amount of the remuneration, broken down between senior executives and staff members of the management company whose activities have a material impact on the risk profile of the AIF, corresponds for financial year 2016-2017 to:

- Senior executives: €2,180,039 - Staff members: €16,082,695

25

5. CERTIFICATION BY THE STATUTORY AUDITOR

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT 2

Statutory auditor’s report on the annual financial statements

Annual financial statements - Financial year ended 29 December 2017

Dear Sir, Madam,

Opinion

In execution of the mission entrusted to us by the management company, EDMOND DE ROTHSCHILD

ASSET MANAGEMENT (FRANCE), we carried out the audit of the annual financial statements of the

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CRÉDIT MUTUAL FUND for the year ended 29

December 2017, as attached to this report.

We certify that the annual financial statements are, in conformity with French accounting rules and

principles, accurate and consistent, and give a true and fair view of the financial performance of the

previous financial year as well as the financial situation and assets of the Mutual Fund at the end of

the financial year.

Basis of opinion

Audit terms of reference

We conducted our audit in accordance with the professional auditing standards applicable in France.

We believe that the evidence that we have obtained is sufficient and appropriate to provide a basis

for our opinion.

Our responsibilities pursuant to these standards are set out in the “Statutory auditor's responsibilities

relating to the audit of annual financial statements” section of this report.

Independence

We conducted our audit mission covering the period from 31 December 2016 until the date of issue

of our report in line with the rules of independence that apply to us, and, in particular, we did not

provide any services prohibited by the French Code of Ethics for Statutory Auditors.

Justification of assessments

In accordance with the provisions of Articles L. 823-9 and R. 823-7 of the French Commercial Code

relating to the justification of our assessments, we would inform you that our most significant

assessments, in our professional opinion, were based on the appropriateness of the accounting

principles applied in accordance with ANC regulation no. 2014-01 and the significant estimates

used, and on the overall presentation of the financial statements.




The assessments were made as part of our audit of the annual financial statements, taken as a whole,

and therefore contributed to the formation of the opinion expressed in the first part of this report. We

do not express an opinion on items in the annual financial statements taken individually.

Audit of the management report and other documents sent to unitholders

We have also performed the specific verifications as required by law in accordance with professional

auditing standards applicable in France.

We have no observations to make concerning the accuracy and consistency with the annual financial

statements of the information provided in the management report from the management company

and in the documents provided to unitholders concerning the financial position and the annual

financial statements.

Responsibilities of the management company relating to the annual financial statements

It is the management company’s responsibility to prepare annual financial statements that give a true

and fair view, in accordance with French accounting rules and principles, and to implement the

internal controls it deems necessary for the preparation of annual financial statements that are free

from material misstatement, whether due to fraud or error.

In preparing the annual financial statements, it is the management company’s responsibility to assess

the mutual fund’s ability to continue as a going concern and, if need be, to present in these financial

statements the necessary information relating to its viability as a going concern, and to apply the

going concern accounting policy, unless the mutual fund is scheduled to be wound up or closed.

The annual financial statements were prepared by the management company.

Statutory Auditor’s responsibilities relating to the audit of the annual financial statements

It is our responsibility to draft a report on the annual financial statements. Our aim is to obtain

reasonable assurance that the annual financial statements, taken as a whole, are free from material

misstatement. Reasonable assurance corresponds to a high level of assurance, but does not guarantee

that an audit performed in accordance with the standards of professional practice will systematically

detect any material misstatement. Misstatements may arise from fraud or error and are considered

material where it can reasonably be expected that, taken individually or together, they may influence

the economic decisions made by users of the financial statements that are based upon such

misstatements.

As specified by Article L. 823-10-1 of the French Commercial Code, our mission is to certify the

financial statements, and not to guarantee the viability or the quality of the management of your

Mutual Fund.




As part of an audit conducted in accordance with the professional practice standards applicable in

France, the Statutory Auditor exercises their professional judgement throughout this audit. In

addition:

• they identify and assess the risks that the annual financial statements may contain material

misstatements, whether due to fraud or error, set out and implement the audit procedures

intended to counter these risks, and collate the items that they deem sufficient and

appropriate to justify their opinion. The risk of not detecting a material misstatement arising

from fraud is greater than that of a material misstatement resulting from an error, since fraud

may involve collusion, forgery, deliberate omissions, misrepresentation or the circumvention

of internal control processes;

• They take note of the internal control processes relevant to the audit so as to set out audit

procedures that are appropriate to the circumstances, and not to express an opinion on the

effectiveness of the internal control processes;

• They assess the appropriateness of the accounting policies used and the reasonableness of

the accounting estimates made by the management company, as well as the information

provided in their regard in the annual financial statements;

• They assess the appropriateness of the application by the management company of the going

concern accounting policy and, based on the evidence gathered, whether or not significant

uncertainty exists relating to events or circumstances that may affect the Mutual Fund’s

ability to continue as a going concern. This assessment is based on the information gathered

up to the date of their report, on the understanding that subsequent events or circumstances

may affect its viability as a going concern. If they conclude that significant uncertainty

exists, they draw the report reader’s attention to the information provided in the annual

financial statements about this uncertainty or, if this information is not provided or is not

relevant, they issue a certification with reserve or a refusal to certify;

• They assess the overall presentation of the annual financial statements and whether they

reflect the transactions and underlying events so as to provide a true and fair view thereof.

Neuilly-sur-Seine, France, 12 April 2018

Cabinet DIDIER KLING & ASSOCIÉS

[Signature]

DIDIER KLING

Statutory Auditor Compagnie de Paris

29

6. ANNUAL FINANCIAL STATEMENTS

• BALANCE SHEET in EUR

ASSETS

29/12/2017 30/12/2016

Net fixed assets

Deposits

Financial instruments 100,418,108.32 73,182,776.79

Equities and equivalent securities

Traded on a regulated or equivalent market

Not traded on a regulated or equivalent market

Bonds and similar securities 94,884,818.78 68,955,760.71

Traded on a regulated or equivalent market 94,884,818.78 68,955,760.71


Debt securities

Traded on a regulated or equivalent market

Negotiable debt securities

Other debt securities


Undertakings for collective investment 5,524,615.25 4,227,016.08

Retail UCITS and AIFs intended for non-professionals and equivalent investors in other countries

5,524,615.25 4,227,016.08

Other funds intended for non-professionals and equivalent investors in other EU Member States

Professional investment funds and their equivalents in other EU Member States and listed special purpose vehicles

Other professional investment funds and their equivalents in other EU Member States and unlisted special purpose vehicles

Other non-European undertakings

Temporary securities transactions

Receivables on securities received under repurchase agreements

Receivables on loaned securities

Borrowed securities

Securities assigned under repurchase agreements

Other temporary transactions

Financial futures 8,674.29

Transactions on a regulated or equivalent market 8,674.29

Other transactions

Other financial instruments

Receivables 148,606.13 837,776.86

Forward currency transactions

Other 148,606.13 837,776.86

Financial accounts 2,135,511.31 1,629,705.63

Cash and cash equivalents 2,135,511.31 1,629,705.63

Total assets 102,702,225.76 75,650,259.28

LIABILITIES

30

29/12/2017 30/12/2016

Share capital

Capital 99,943,821.47 71,957,717.70

Undistributed prior net gains and losses (a) 654,441.26 528,977.40

Balance carried forward (a) 320.15 54.57

Net gains and losses for the financial year (a, b) 727,639.24 1,848,753.49

Profit/loss for the financial year (a, b) 1,234,394.47 1,016,879.29

Total share capital (= amount corresponding to net assets) 102,560,616.59 75,352,382.45

Financial instruments 2,974.29

Sales of financial instruments


Payables representing securities received under repurchase agreements

Payables representing borrowed securities

Other temporary transactions

Financial futures 2,974.29

Transactions on a regulated or equivalent market 2,974.29

Other transactions

Payables 138,634.88 297,876.83

Forward currency transactions

Other 138,634.88 297,876.83

Financial accounts

Current bank borrowings

Borrowings

Total liabilities 102,702,225.76 75,650,259.28

(a) Including adjustments (b) Less interim dividends paid over the financial year

31

• OFF-BALANCE SHEET ITEMS in EUR

29/12/2017 30/12/2016

Hedging transactions

Commitment on regulated or equivalent markets

Futures contracts

EUR XEUR FGBX B 0318 491,580.00

Commitment on over-the-counter markets

Other commitments

Other transactions

Commitment on regulated or equivalent markets

Commitment on over-the-counter markets

Other commitments

32

• INCOME STATEMENT in EUR

29/12/2017 30/12/2016

Income from financial transactions

Income from deposits and financial accounts

Income from shares and similar securities

Income from bonds and similar securities 1,862,255.39 1,215,597.24

Income from debt securities

Income from temporary purchases and sales of securities

Income from forward financial instruments

Other financial income

Total (1) 1,862,255.39 1,215,597.24

Expenses relating to financial transactions

Expenses relating to temporary purchases and sales of securities

Expenses relating to forward financial instruments

Expenses relating to financial debt 7,496.87 965.30

Other financial expenses

Total (2) 7,496.87 965.30

Profit/loss on financial transactions (1 - 2) 1,854,758.52 1,214,631.94

Other income (3)

Management fees and amortisation charges (4) 807,759.80 484,859.21

Net profit/loss for the financial year (L. 214-17-1) (1 - 2 + 3 - 4) 1,046,998.72 729,772.73

Income equalisation for financial year (5) 187,395.75 287,106.56

Interim dividends paid over the financial year (6)

Profit/loss (1 - 2 + 3 - 4 +5 - 6) 1,234,394.47 1,016,879.29

33

NOTES TO THE FINANCIAL STATEMENTS

ACCOUNTING METHODS AND RULES

The annual financial statements are presented in the form provided for by ANC Regulation 2014-01 (Autorité des normes comptables – the French accounting standards authority) repealing CRC Regulation 2003-02 (Comité de réglementation comptable – the French accounting regulation committee) as amended.

General accounting principles apply: - A true and fair view, comparability and operational continuity; - Lawfulness and fairness; - Prudence; - Consistency in accounting methods from one financial year to the next.

The recognition method selected for recording the income from fixed-income securities is the interest received method.

Purchases and sales of securities are recognised exclusive of costs. The portfolio’s base currency is the Euro. The length of the financial year is 12 months.

Asset valuation rules

Financial instruments are recorded in the financial statements according to the historical cost method and on the balance sheet at their current value as determined by the last known market value or, where no market exists, by any external means or by the use of financial models. Differences between the current values used to calculate the net asset value and the historical costs of transferable securities when first included in the portfolio are recorded in “valuation differentials” accounts. Investments that are not in the portfolio currency are valued in accordance with the principle set out below, and then converted to the portfolio currency on the basis of the exchange rate on the valuation date.

Deposits:

Deposits with a residual maturity of three months or less are valued according to the straight line method.

Shares, bonds and other securities traded on a regulated or equivalent market:

For the purpose of calculating the net asset value, shares and other securities traded on a regulated or equivalent market are valued on the basis of the day’s closing market price.

Bonds and equivalent securities are valued at the closing price supplied by various financial service providers. Interest accrued on bonds and assimilated securities is calculated up to the net asset value calculation date.

Shares, bonds and other securities not traded on a regulated or equivalent market:

Securities which are not traded on a regulated market are valued by the management company using methods based on market value and yield, taking into account the prices used for recent significant transactions.

Negotiable debt securities:

Negotiable debt securities and equivalent securities which are not traded in large volumes are valued using an actuarial method based on a reference rate, defined below, which is increased, where applicable, by a differential that is representative of the intrinsic characteristics of the issuer: Transferable debt securities with a maturity of less than or equal to one year: Euro Interbank Offered Rate (Euribor);

34

Transferable debt securities with a maturity exceeding one year: rates for French treasury bills (BTAN and OAT) with similar maturity dates for the longest durations

Negotiable debt securities with a residual maturity of three months or less may be valued using the straight line method.

French treasury bills are valued at the market rate, as published daily by the Banque de France.

UCIs held:

Units or shares of UCIs will be valued at the last known net asset value.

Temporary securities transactions:

Securities received under repurchase agreements are recorded as assets under the “Receivables on securities received under repurchase agreements” heading at the contracted amount, plus any accrued interest.

Securities transferred under a repurchase agreement are recorded as securities purchased at their current value. Payables representing securities transferred under a repurchase agreement are recorded as securities sold at the contracted value, plus any accrued interest payable.

Loaned securities are valued at their current value and are entered under assets at their current value, plus accrued interest receivable, under the “Receivables on loaned securities” heading.

Borrowed securities are recorded as assets under the “Borrowed securities” heading at the contracted amount, and as liabilities under the “Payables representing borrowed securities” heading at the contracted amount, plus any accrued interest payable.

Financial futures:

Financial futures traded on a regulated or equivalent market:

Financial futures traded on regulated markets are valued at the day’s settlement price.

Financial futures not traded on a regulated or equivalent market:

Swaps:

Interest rate and/or currency swaps are valued at their market value according to the price calculated by discounting future interest payments at the prevailing interest rate and/or the currency market exchange rate. This price is adjusted to take into account the risk associated with the issuer.

Index swaps are valued on an actuarial basis using a benchmark rate provided by the counterparty.

Other swaps are valued at their market value or at a value estimated in the manner established by the management company.

Off-balance sheet commitments:

Firm futures contracts are recorded as off-balance sheet commitments at their market value at the price used in the portfolio. Options transactions are converted into the equivalent underlying. Swap commitments are recorded at their nominal value or, where there is no nominal value, at an equivalent amount.

35

Costs of management

Management fees are calculated on each valuation date on the basis of net assets. These fees are recorded in the income statement for the UCI. Management fees are paid in full to the management company responsible for all of the UCI’s operating costs. The costs of management do not include transaction fees.

The rate applied on the basis of the net assets is: - 1.20% incl. taxes for the E unit; - 1.00% incl. taxes for the C and D units; - 0.50% incl. taxes for the I unit, - 0.30% incl. taxes for the S unit.

Allocation of distributable income

Definition of distributable income:

Distributable income comprises:

Income:

Net income for the financial year is equal to the amount of interest, arrears, premiums and bonuses, dividends, directors’ fees and all other revenues generated by the securities held in the portfolio, plus income generated by temporary cash holdings, less management fees and borrowing costs. It is increased by the balance carried forward and increased or reduced by the balance of the income adjustment account.

Gains and losses:

Realised gains (net of fees), minus realised losses (net of fees), recorded during the financial year, plus any net gains of the same type recorded during previous financial years that have not been distributed or accumulated, plus or minus the balance of the capital gains adjustment account.

Methods for allocating distributable income:

Distributable Income C, E, I and S units D units

Allocation of net income Accumulation Distribution

Allocation of realised net gains or losses Accumulation Accumulated (in full or in part) and/or distribution (in full or in part) and/or

carried forward (in full or in part)

36

• CHANGE IN NET ASSETS in EUR

29/12/2017 30/12/2016

Net assets at the beginning of the financial year 75,352,382.45 45,886,783.51

Subscriptions (including subscription fees paid to the UCI) 48,433,593.18 58,379,267.21

Redemptions (less redemption fees paid to the UCI) -24,576,679.46 -31,083,255.92

Realised gains on deposits and financial instruments 783,448.45 1,508,573.50

Losses realised on deposits and financial instruments -141,179.59 -293,216.28

Gains realised on forward financial instruments 54,666.07 129,560.57

Losses realised on forward financial instruments -80,192.29 -186,799.66

Transaction fees -11,663.79 -19,341.09

Foreign exchange differences -4,171.97 1,013.99

Changes in valuation differential on deposits and financial instruments 1,759,524.86 305,334.98

Valuation differential for financial year N 2,602,092.97 842,568.11

Valuation differential for financial year N-1 -842,568.11 -537,233.13

Changes in valuation differential on forward financial instruments 8,674.29 -900.00

Valuation differential for financial year N 8,674.29

Valuation differential for financial year N-1 -900.00

Dividends paid in the previous financial year on net gains and losses

Dividends paid in the previous financial year on income -64,784.33 -5,539.55

Net profit/loss for financial year prior to income equalisation account 1,046,998.72 729,772.73

Interim dividend(s) paid over the financial year on net gains and losses

Interim dividend(s) paid over the financial year on income

Other items* 1,128.46

Net assets at the end of the financial year 102,560,616.59 75,352,382.45

*N-1: Result of merger following the absorption in October 2016 of the Millésima October 2016 and EdR Millésima October 2016 funds

37

● BREAKDOWN OF FINANCIAL INSTRUMENTS BY LEGAL OR ECONOMIC TYPE

Amount %

Assets

Bonds and similar securities

Fixed-rate bonds traded on a regulated or equivalent market 93,849,961.82 91.51

Variable/adjustable rate bonds traded on a regulated or equivalent market 1,034,856.96 1.01

TOTAL Bonds and similar securities 94,884,818.78 92.52

Debt securities

TOTAL Debt securities

Liabilities


TOTAL Sales of financial instruments

Off-balance sheet items


Interest rates 491,580.00 0.48

TOTAL Hedging transactions 491,580.00 0.48

Other transactions

TOTAL Other transactions

• BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE SHEET ITEMS BY INTEREST RATE TYPE

Fixed rate % Floating rate % Adjustable rate % Other %

Assets

Deposits

Bonds and similar securities 93,849,961.82 91.51 1,034,856.96 1.01

Debt securities


Financial accounts 2,135,511.31 2.08

Liabilities


Financial accounts


Hedging transactions 491,580.00 0.48

Other transactions

38

● BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE SHEET ITEMS BY RESIDUAL MATURITY

< 3 months % ]3 months -

1 year] % ]1–3 years] % ]3 - 5 years] % > 5 years %

Assets

Deposits


1,566,742.34 1.53 9,094,506.38 8.87 23,092,036.55 22.52 61,131,533.51 59.61

Debt securities



Liabilities


Financial accounts


Hedging transactions 491,580.00 0.48

Other transactions

● BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE SHEET ITEMS BY LISTING OR VALUATION CURRENCY

USD Other currencies

Amount % Amount % Amount % Amount %

Assets

Deposits

Equities and equivalent securities


Debt securities

UCIs


Receivables

Financial accounts 30,129.26 0.03

Liabilities



Financial accounts



Other transactions

39

• RECEIVABLES AND PAYABLES: BREAKDOWN BY TYPE

Type of debit or credit 29/12/2017

Receivables Subscriptions receivable 124,919.77

Cash collateral deposits 15,908.62

Cash dividends and coupons 7,777.74

Total receivables 148,606.13

Payables Redemptions payable 63,283.75

Costs of management 75,351.13

Total payables 138,634.88

40

• NUMBER OF SECURITIES ISSUED OR REDEEMED

Units Amount

E Units

Units subscribed during financial year 144.777 14,898.49

Units redeemed during financial year -15,026.973 -1,507,046.57

Net balance of subscriptions/redemptions -14,882.196 -1,492,148.08

C Units

Units subscribed during financial year 90,234.370 32,438,908.63

Units redeemed during financial year -48,627.477 -17,346,547.59

Net balance of subscriptions/redemptions 41,606.893 15,092,361.04

I Units

Units subscribed during financial year 1,118.459 15,509,389.31

Units redeemed during financial year -379.741 -5,259,349.33

Net balance of subscriptions/redemptions 738.718 10,250,039.98

D Units

Units subscribed during financial year 4,285.006 470,396.75

Units redeemed during financial year -4,280.831 -463,735.97

Net balance of subscriptions/redemptions 4.175 6,660.78

S units

Units subscribed during financial year

Units redeemed during financial year

Net balance of subscriptions/redemptions

• SUBSCRIPTION AND/OR REDEMPTION FEES

Amount

E Units

Redemption fees received

Subscription fees received

Total fees received

C Units



Total fees received

I Units



Total fees received

D Units



Total fees received

S units



Total fees received

41

• MANAGEMENT FEES

29/12/2017

C Units

Guarantee fees

Fixed management fees 710,065.03

Percentage of fixed management fees 1.00

Variable management fees

Trailer fees

E Units

Guarantee fees




Trailer fees

I Units

Guarantee fees




Trailer fees

D Units

Guarantee fees




Trailer fees

S units

Guarantee fees

Fixed management fees 39.95



Trailer fees

• COMMITMENTS RECEIVED AND GIVEN

Guarantees received by the UCI

None.

Other commitments received and/or given

None.

42

• CURRENT VALUE OF SECURITIES SUBJECT TO A TEMPORARY PURCHASE TRANSACTION

29/12/2017

Securities received under repurchase agreements

Borrowed securities

• CURRENT VALUE OF SECURITIES REPRESENTING GUARANTEE DEPOSITS

29/12/2017

Financial instruments given as a guarantee and retained under their original entry

Financial instruments received as a guarantee and not recorded on the balance sheet

• GROUP FINANCIAL INSTRUMENTS HELD IN THE PORTFOLIO

ISIN code Denomination 29/12/2017

Equities

Bonds

Negotiable debt securities

UCIs 5,524,615.25

FR0011031392 Edmond de Rothschild Credit Very Short Term R 5,524,615.25

Financial futures

Total Group securities 5,524,615.25

43

• ALLOCATION TABLE FOR DISTRIBUTABLE INCOME

29/12/2017 30/12/2016

Amounts still to be allocated

Balance carried forward 320.15 54.57

Profit/loss 1,234,394.47 1,016,879.29

Total 1,234,714.62 1,016,933.86

29/12/2017 30/12/2016

E Units

Allocation

Distribution

Balance carried forward for financial year

Accumulation 2,592.30 5,054.40

Total 2,592.30 5,054.40

29/12/2017 30/12/2016

C Units

Allocation

Distribution


Accumulation 953,791.60 904,802.55

Total 953,791.60 904,802.55

29/12/2017 30/12/2016

I Units

Allocation

Distribution


Accumulation 219,129.16 37,681.03

Total 219,129.16 37,681.03

44

29/12/2017 30/12/2016

D Units

Allocation

Distribution 58,671.33 68,828.64

Balance carried forward for financial year 282.64 301.35

Accumulation

Total 58,953.97 69,129.99

Information concerning units eligible for distribution

Number of units 46,197.895 46,193.720

Distribution per unit 1.27 1.49

Tax credits

Tax exemption relating to the distribution of income

29/12/2017 30/12/2016

S units

Allocation

Distribution


Accumulation 247.59 265.89

Total 247.59 265.89

• ALLOCATION TABLE FOR THE PORTION OF DISTRIBUTABLE INCOME CORRESPONDING TO NET GAINS AND LOSSES

29/12/2017 30/12/2016

Amounts still to be allocated

Undistributed prior net gains and losses 654,441.26 528,977.40

Net gains and losses for the financial year 727,639.24 1,848,753.49

Interim dividends paid on net gains and losses for the financial year

Total 1,382,080.50 2,377,730.89

29/12/2017 30/12/2016

E Units

Allocation

Distribution

Undistributed net gains and losses

Accumulation 1,948.81 3,488.88

Total 1,948.81 3,488.88

45

29/12/2017 30/12/2016

C Units

Allocation

Distribution


Accumulation 593,699.37 1,652,926.25

Total 593,699.37 1,652,926.25

29/12/2017 30/12/2016

I Units

Allocation

Distribution


Accumulation 95,365.96 66,608.33

Total 95,365.96 66,608.33

29/12/2017 30/12/2016

D Units

Allocation

Distribution

Undistributed net gains and losses 690,970.09 654,382.06

Accumulation

Total 690,970.09 654,382.06

29/12/2017 30/12/2016

S units

Allocation

Distribution


Accumulation 96.27 325.37

Total 96.27 325.37

46

• TABLE OF RESULTS AND OTHER SIGNIFICANT ITEMS OVER THE LAST FIVE FINANCIAL YEARS

31/12/2013 31/12/2014 31/12/2015 30/12/2016 29/12/2017

Total net assets in EUR 80,762,845.92 77,763,625.01 45,886,783.51 75,352,382.45 102,560,616.59

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT C

Net assets in EUR 76,443,509.76 71,940,198.41 44,111,587.09 65,716,497.23 83,675,776.68

Number of units 240,370.649 214,412.369 133,142.454 187,508.649 229,115.542

Net asset value per unit in EUR 318.02 335.52 331.31 350.47 365.21

Accumulation per unit on net gains and losses in EUR

12.02 7.14 16.19 8.81 2.59

Accumulation per unit on income in EUR

9.35 8.04 5.38 4.82 4.16

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT E

Net assets in EUR 1,751,542.10 274,367.39

Number of units 17,521.271 2,639.075

Net asset value per unit in EUR 99.96 103.96


0.19 0.73


0.28 0.98

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT I

Net assets in EUR 4,008,980.72 5,380,238.26 1,270,003.95 2,891,256.27 13,477,713.80

Number of units 332.166 420.425 100.000 214.050 952.768

Net asset value per unit in EUR 12,069.20 12,797.14 12,700.03 13,507.38 14,145.85


454.76 271.83 618.20 311.18 100.09


413.36 368.64 269.75 176.03 229.99

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT D

Net assets in EUR 298,829.04 430,942.53 493,015.19 4,980,115.28 5,119,146.92

Number of units 2,848.563 4,010.636 4,759.828 46,193.720 46,197.895

Net asset value per unit in EUR 104.90 107.44 103.57 107.80 110.80

Undistributed net gains and losses per unit in EUR

4.04 6.33 11.45 14.16 14.95

Distribution per unit on income in EUR

3.13 2.60 1.70 1.49 1.27

Balance carried forward per unit on income in EUR

Tax exemption per unit in EUR *

47

31/12/2013 31/12/2014 31/12/2015 30/12/2016 29/12/2017

Total net assets in EUR 80,762,845.92 77,763,625.01 45,886,783.51 75,352,382.45 102,560,616.59

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT S

Net assets in EUR 11,526.40 12,245.81 12,177.28 12,971.57 13,611.80

Number of units 1.000 1.000 1.000 1.000 1.000

Net asset value per unit in EUR 11,526.40 12,245.81 12,177.28 12,971.57 13,611.80


433.83 259.87 591.95 325.37 96.27


417.57 376.00 282.90 265.89 247.59

* The tax exemption per unit will be determined on the date of distribution, in accordance with tax provisions in force.

48

• PORTFOLIO BREAKDOWN in EUR

Security name Currency Quantity or

nominal amount Current value

% Net assets


Bonds and equivalent securities traded on a regulated or assimilated market

GERMANY

ALLIANZ SE 5.625% 17-10-42 EUR 600,000 739,152.33 0.72

BERT AG 3.0% 23-04-75 EUR 800,000 862,679.12 0.84

CTC BONDCO GMBH 5.25% 15-12-25 EUR 800,000 804,352.67 0.78

LANX 1.0% 07-10-26 EMTN EUR 200,000 198,970.19 0.19

LBBW 2.875% 28-09-26 EUR 400,000 427,780.16 0.42

RAPID 3.875% 25-10-22 EUR 1,000,000 963,633.61 0.94

SCHA VERW ZWE FIX 15-09-26 EUR 1,000,000 1,079,430.00 1.06

TALANX AG 2.25% 05-12-47 EUR 700,000 690,373.37 0.67

TOTAL GERMANY 5,766,371.45 5.62

AUSTRALIA

WESTPAC BANKING 0.625% 22-11-24 EUR 1,000,000 991,079.18 0.97

TOTAL AUSTRALIA 991,079.18 0.97

CANADA

BOMBARDIER 6,125%10-150521 EUR 500,000 539,768.33 0.53

TOTAL CANADA 539,768.33 0.53

DENMARK

ISS GLOB 1.125% 07-01-21 EMTN EUR 900,000 931,272.04 0.91

TOTAL DENMARK 931,272.04 0.91

SPAIN

AMAD CAP 1.625% 17-11-21 EMTN EUR 600,000 630,949.48 0.62

BANCO NTANDER 1.375% 09-02-22 EUR 800,000 835,324.93 0.81

BANKINTERSA 2.5% 06-04-27 EUR 500,000 524,130.07 0.51

CAIXABANK 1.125% 12-01-23 EMTN EUR 500,000 500,771.44 0.49

CAIXABANK 1.125% 17-05-24 EMTN EUR 700,000 707,853.90 0.69

CELLNEX TELECOM 2.875% 18-04-25 EUR 700,000 737,302.62 0.72

INMOBILIARIA COLONIAL 1.45% 28-10-24 EUR 1,000,000 1,001,331.64 0.97

MAPFRE SA 4.375% 31-03-47 EUR 600,000 703,927.15 0.69

TELEFONICA EMISIONES 3.961% 26/03/2021 EUR 400,000 461,308.53 0.45

TOTAL SPAIN 6,102,899.76 5.95

UNITED STATES OF AMERICA

ALBEMARLE 1.875% 08-12-21 EUR 451,000 475,221.23 0.46

AMGEN INC 4.375% 05/12/2018 EUR 800,000 836,740.82 0.82

APPLE INC 1.0% 10-11-22 EMTN EUR 800,000 831,431.56 0.81

ATT 1.8% 04-09-26 EUR 700,000 712,898.99 0.70

BELDEN CDT 2.875% 15-09-25 EUR 200,000 202,629.11 0.20

49


nominal amount

Current value % Net assets

CE 3 1/4 10/15/19 EUR 600,000 638,281.71 0.62

CELA US HOLD 1.125% 26-09-23 EUR 300,000 303,024.41 0.30

EQUINIX 2.875% 01-02-26 EUR 625,000 626,223.18 0.61

FEDEX 1.0% 11-01-23 EUR 750,000 771,833.12 0.75

HUNTSMAN INTERNATIONAL 5.125% 15/04/2021 EUR 500,000 567,707.08 0.55

IMS HEALTH 3.25% 15-03-25 EUR 500,000 522,120.00 0.51

IRON MOUNTAIN 3.0% 15-01-25 EUR 600,000 623,402.00 0.61

JOHNSON CONTROLS INTERNATIONAL PLC ZCP 04-12-20 EUR 500,000 498,335.00 0.49

JPM 2.625% 04/23/2021 EUR 1,000,000 1,100,379.04 1.08

KHC 1 1/2 05/24/24 EUR 650,000 669,159.06 0.65

KRONOS INTERNATIONAL INC 3.75% 15-09-25 EUR 500,000 523,359.17 0.51

LEVI STRAUSS CO 3.375% 15-03-27 EUR 1,000,000 1,060,845.00 1.03

MDLZ 1 03/07/22 EUR 500,000 516,686.99 0.50

MORGAN STANLEY CAPITAL SERVICE 1.375% 27-10-26 EUR 900,000 904,708.48 0.88

TIME WARNER 1.95% 15-09-23 EUR 300,000 318,770.01 0.31

TOYOTA MOTOR CREDIT 0.0% 21-07-21 EUR 600,000 597,564.00 0.58

UNIT TECH COR 1.125% 15-12-21 EUR 1,000,000 1,033,865.62 1.01

WMG ACQUISITION 4.125% 01-11-24 EUR 500,000 532,282.08 0.52

ZIMMER BIOMET 1.414% 13-12-22 EUR 200,000 205,112.71 0.20

ZIMMER BIOMET 2.425% 13-12-26 EUR 400,000 419,778.08 0.41

TOTAL UNITED STATES OF AMERICA 15,492,358.45 15.11

FINLAND

NOKIA 2 03/15/24 EUR 500,000 512,616.78 0.50

TOTAL FINLAND 512,616.78 0.50

FRANCE

ADP 1.5% 24-07-23 EUR 400,000 424,875.45 0.41

ADP3.886%10-100520 EUR 500,000 559,184.42 0.55

ARKEMA 1.5% 20-04-27 EMTN EUR 400,000 414,101.10 0.40

ASF 4.125% 13/04/20 EMTN EUR 500,000 562,194.32 0.55

ATOS ORIGIN 2.375% 02-07-20 EUR 500,000 530,873.84 0.52

BNP 4.032 12/31/49 EUR 1,000,000 1,136,458.16 1.10

BVIFP 3 1/8 01/21/21 EUR 900,000 997,388.01 0.97

CA ASSURANCES 4.25% PERP EUR 700,000 813,606.93 0.79

CAPGEMINI 1.75% 01-07-20 EUR 800,000 837,526.25 0.82

CARMILA SAS 2.375% 18-09-23 EUR 600,000 648,355.40 0.63

CNP ASSURANCES 1.875% 20-10-22 EUR 700,000 741,938.92 0.72

EDF SA TF/TV 29/12/2049 EUR 300,000 354,327.37 0.35

EDF 4.25% 29/12/2049 EUR 500,000 550,741.30 0.54

FRANCE TELECOM 3% 15/06/22 EUR 800,000 907,786.19 0.89

FROMAGERIES BEL LA VACHE QUI RIT 1.5% 18-04-24 EUR 800,000 822,787.95 0.80

50


nominal amount Current value

% Net assets

GECINA E3R+0.38% 30-06-22 EMTN EUR 700,000 702,524.96 0.68

GROUPE DANONE 1.75% PERP EMTN EUR 900,000 907,979.79 0.89

GROUPE FNAC 3.25% 30-09-23 EUR 550,000 582,381.71 0.57

ILIAD 2.125% 05-12-22 EUR 700,000 740,423.85 0.72

JCDECAUX 1.0% 01-06-23 EUR 1,000,000 1,023,627.81 1.00

K 0.875% 28-03-22 EMTN EUR 800,000 824,861.04 0.80

KERFP 2 1/2 07/15/20 EUR 700,000 752,675.58 0.73

LA BANQUE POSTALE 2.75% TF/TV 19/11/27 EUR 800,000 863,232.33 0.84

LOXAM 3.5% 15-04-22 EUR 375,000 398,615.00 0.39

LOXAM 7.0% 23-07-22 EUR 600,000 636,882.00 0.62

MWDP 1 04/20/23 EUR 500,000 508,984.25 0.50

PAPREC 5.25% 01-04-22 EUR 500,000 525,608.33 0.51

PICARD GROUPE E3R+3.0% 30-11-23 EUR 330,000 332,332.00 0.32

PLASTIC OMNIUM SYSTEMES URBAINS 1.25% 26-06-24 EUR 900,000 900,612.99 0.88

PUBLICIS GROUPE 1.125% 16/12/21 EUR 1,000,000 1,029,904.79 1.00

RENA CRE 1.0% 17-05-23 EMTN EUR 750,000 764,556.58 0.75

SEB 1.5% 31-05-24 EUR 1,000,000 1,023,527.81 1.00

SOCI GENE 2.5% 16-09-26 EUR 700,000 748,437.03 0.73

SOGECAP SA 4.125% 29-12-49 EUR 900,000 1,050,697.23 1.02

SPIE 3.125% 22-03-24 EUR 600,000 646,075.15 0.63

SUEZ SA 2.875% PERP EUR 300,000 324,114.21 0.32

TDF INFR SAS 2.875% 19-10-22 EUR 500,000 548,463.15 0.53

TIKEHAU CAPITAL 3.0% 27-11-23 EUR 900,000 891,873.99 0.87

TOT 3.369% PERP EMTN EUR 600,000 664,274.89 0.65

TOT 3.875% PERP EMTN EUR 400,000 458,875.12 0.45

VALLOUREC 2.25% 30-09-24 EUR 400,000 335,474.47 0.33

VALLOUREC 6.625% 15-10-22 EUR 400,000 423,971.72 0.41

VIVENDI 0.75% 26-05-21 EUR 900,000 918,298.48 0.90

TOTAL FRANCE 29,831,431.87 29.08

IRELAND

SMUR KAPP ACQ 2.75% 01-02-25 EUR 300,000 322,149.33 0.31

TOTAL IRELAND 322,149.33 0.31

ITALY

AEROPORTI DI ROMA 1.625% 08-06-27 EUR 675,000 696,576.24 0.68

ASSICURAZIONI GENERALI 4.125% 04/05/2026 EUR 400,000 477,142.14 0.47

ASSICURAZIONI GENERALI 7.75% 12/42 EUR 400,000 518,824.49 0.51

ATLANTIA EX AUTOSTRADE 1.875% 13-07-27 EUR 300,000 309,152.51 0.30

AUTO PER L IT 1.625% 12-06-23 EUR 200,000 212,161.34 0.21

A2A SPA EX AEM SPA 2.875% 01-11-24 EUR 150,000 155,251.58 0.15

CAMPARI 2.75% 09/30/20 EUR 300,000 322,376.26 0.31

51


nominal amount


INTESA SANPAOLO 7.75% PERP EUR 400,000 502,450.09 0.49

INTESA SANPAOLO 8.375% 09-PERP EUR 900,000 1,036,427.05 1.01

RADI ITAL SPA 1.5% 28-05-20 EUR 400,000 416,820.44 0.41

TELECOM ITALIA 5.25% 17/03/55 EUR 400,000 485,506.47 0.47

TITIM 3 09/30/25 EUR 450,000 486,287.20 0.47

UNICREDIT SPA 1.5% 19-06-19 EUR 700,000 721,578.89 0.70

TOTAL ITALY 6,340,554.70 6.18

JAPAN

SOFTBANK GROUP 3.125% 19-09-25 EUR 500,000 498,903.89 0.49

TOTAL JAPAN 498,903.89 0.49

JERSEY

ADIE GLOB HOL 3.5% 15-08-24 EUR 350,000 379,778.11 0.37

LHC THREE PLC 4.125% 15-08-24 PIK EUR 700,000 730,070.25 0.71

TOTAL JERSEY 1,109,848.36 1.08

LUXEMBOURG

CNH INDUSTRIAL FINANCE EUROPE 1.375% 23-05-22 EUR 150,000 155,772.90 0.15

CNH INDUSTRIAL FINANCE EUROPE 1.75% 12-09-25 EUR 650,000 673,600.08 0.66

CRYSTAL ALMOND SA RL 10.0% 01-11-21 EUR 650,000 735,950.94 0.72

OLIVETTI 7.75% 01/33 EUR 200,000 322,172.22 0.31

TOTAL LUXEMBOURG 1,887,496.14 1.84

NORWAY

NASSA TOPCO AS 2.875% 06-04-24 EUR 500,000 518,991.46 0.51

TOTAL NORWAY 518,991.46 0.51

NETHERLANDS

ACHMEA BV 4.25% PERP EMTN EUR 700,000 790,995.78 0.77

AXAL COAT 3.75% 15-01-25 EUR 700,000 759,647.00 0.74

CONSTELLIUM NV 4.25% 15-02-26 EUR 200,000 202,585.00 0.20

CRH FINANCE BV 5% 25/01/2019 EUR 500,000 550,478.15 0.54

DELHAIZE GROUP 3.125% 27/02/2020 EUR 500,000 546,455.55 0.53

EDP FIN 1.875% 29-09-23 EMTN EUR 700,000 749,456.05 0.73

GRUP ANTO DUT 5.125% 30-06-22 EUR 300,000 315,404.13 0.31

ING GROEP NV 3.0% 11-04-28 EUR 900,000 1,006,681.68 0.98

KONI AHOL DEL 4.25% 19-10-18 EUR 700,000 730,001.52 0.71

NYRSTAR NETHERLANDS HOLDINGS BV 6.875% 15-03-24 EUR 400,000 432,274.00 0.42

RABO NEDE 6.625% PERP EUR 1,000,000 1,159,700.03 1.13

RELX FIN 2.5% 24-09-20 EMTN EUR 500,000 536,478.90 0.52

ROYAL PHILIPS ELECTRONICS NV 0.5% 06-09-23 EUR 600,000 602,796.08 0.59

SWIS REIN CO VIA 2.6% PERP EUR 200,000 211,956.58 0.21

TELE EURO BV 3.75% PERP EUR 400,000 434,114.19 0.42

TELEFONICA EUROPE BV 2.625% PERP EUR 300,000 299,458.75 0.29

52


nominal amount


UNANA 0 07/31/21 EUR 1,000,000 996,790.00 0.97

UPC HOLDING BV 3.875% 15-06-29 EUR 800,000 784,877.33 0.77

TOTAL NETHERLANDS 11,110,150.72 10.83

PORTUGAL

BRI CONCESO RODOVIARIA 2.375% 10-05-27 EUR 900,000 970,646.67 0.95

TOTAL PORTUGAL 970,646.67 0.95

UNITED KINGDOM

BRAMBLES FINANCE 1.5% 04-10-27 EUR 500,000 508,829.86 0.50

BXBAU 2 3/8 06/12/24 EUR 600,000 665,603.42 0.65

CASA LONDON 1.875% 20-12-26 EUR 500,000 526,564.59 0.51

COMPASS GROUP 3.125% 13/02/2019 EUR 200,000 212,815.95 0.21

CRED SUI 1.0% 07-06-23 EMTN EUR 1,000,000 1,030,003.42 1.01

DS SMIT 2.25% 16-09-22 EMTN EUR 900,000 965,087.26 0.94

GSK CAP 0.0000010% 12-09-20 EUR 800,000 799,224.00 0.78

HSBC HOLDINGS PLC 4.75% PERP EUR 475,000 516,102.19 0.50

HSBC 3.125% 07-06-28 EMTN EUR 900,000 1,021,157.51 1.00

ITV 2.0% 01-12-23 EUR 700,000 728,229.75 0.71

SMITHS GROUP 1.25% 28-04-23 EUR 500,000 518,530.82 0.51

SMITHS GROUP 2.0% 23-02-27 EUR 500,000 527,652.74 0.51

VIRIDIAN GRP FINANCECO PLC 4.0% 15-09-25 EUR 500,000 505,104.44 0.49

WPP FINA 0.75% 18-11-19 EMTN EUR 600,000 609,207.12 0.59

WPP 3%11/23 EUR 300,000 338,221.93 0.33

TOTAL UNITED KINGDOM 9,472,335.00 9.24

SWEDEN

INTRUM JUSTITIA AB 3.125% 15-07-24 EUR 250,000 255,463.16 0.25

SVEN KULL AB 1.625% 02-12-22 EUR 800,000 836,139.73 0.81

TOTAL SWEDEN 1,091,602.89 1.06

SWITZERLAND

UBS GROUP FUNDING 1.5% 30-11-24 EUR 500,000 520,843.63 0.51

UBS 4.75% 12/02/2026 EUR 750,000 873,498.13 0.85

TOTAL SWITZERLAND 1,394,341.76 1.36

TOTAL Bonds and assimilated securities traded on regulated or assimilated markets

94,884,818.78 92.52

TOTAL Bonds and similar securities 94,884,818.78 92.52

53


nominal amount


Undertakings for collective investment

Retail UCITS and AIFs intended for non-professionals and equivalent investors in other countries

FRANCE

Edmond de Rothschild Credit Very Short Term R EUR 55 5,524,615.25 5.39

TOTAL FRANCE 5,524,615.25 5.39

TOTAL Retail UCITS and AIFs intended for non-professionals and equivalent investors in other countries

5,524,615.25 5.39

TOTAL Undertakings for collective investment 5,524,615.25 5.39

Financial futures

Firm forward commitments

Firm forward commitments on a regulated or assimilated market

EUR XEUR FGBX B 0318 EUR -3 8,674.29 0.01

TOTAL Firm forward commitments on a regulated market

8,674.29 0.01

TOTAL Firm forward commitments 8,674.29 0.01

TOTAL Forward financial instruments 8,674.29 0.01

Margin call

Appels de marges ROTHSCHILD en euro EUR -2,974.29 -2,974.29

TOTAL Margin calls -2,974.29

Receivables 148,606.13 0.14

Payables -138,634.88 -0.14


Net assets 102,560,616.59 100.00

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT D EUR 46,197.895 110.80

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT S EUR 1.000 13,611.80

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT E EUR 2,639.075 103.96

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT C EUR 229,115.542 365.21

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT I EUR 952.768 14,145.85

54

• ADDITIONAL INFORMATION ABOUT THE COUPON TAX SYSTEM

BREAKDOWN OF THE COUPON, UNIT: D

OVERALL NET CURRENCY PER UNIT CURRENCY

Income subject to compulsory, non-definitive withholding tax

58,671.33 EUR 1.27 EUR

Shares giving entitlement to reductions and subject to compulsory, non-definitive withholding tax

Other income not giving entitlement to reductions and subject to compulsory, non-definitive withholding tax

Unreportable and untaxable income

Amount distributed on gains and losses

TOTAL 58,671.33 EUR 1.27 EUR

Documents

EDMOND DE ROTHSCHILD EURO SUSTAINABLE CREDIT