OFI RISK ARB ABSOLU I Monthly Factsheet - Absolute Return - March 2019

OFI RISK ARB ABSOLU I Monthly Factsheet - Absolute Return - march 2019

OFI Risk Arb Absolu is an investment vehicle that benefits from arbitrage opportunities created by inefficiencies in the valuation of companies that are in the process of a public merger offer. This fund also invests in holding company and share class discounts and long/short strategies.

Key Figures as of 31/03/19 3 years cumulative return Risk Profile (SRRI)

108 Net Asset Value (EUR): 113,26 1 2 3 4 5 6 7 Fund Benchmark (1) Level : Net Assets of the unit (EUR M): 216,24 106 Total Net Asset (EUR M): 275,25 Monthly return 104 45 Number of strategies: 102 0,27% Fund Gross investment (2): 49,84% Benchmark (1) 100 -0,03%

98 Characteristics Source: Europerformance 96 YTD return ISIN Code: FR0011025188 OFIRKXL FP Equity 94 Ticker: 0,48% Fund AMF classification: Mixed Fund 92 -0,09% Benchmark (1) Europerformance classification: Absolute Return 29/03/2016 03/11/2016 10/06/2017 15/01/2018 22/08/2018 29/03/2019 Benchmark (1): Compounded EONIA Main risks: Uncertainties inherent in M&A deals Source: Europerformance Source: Europerformance Cyclicality of M&A portfolio Strategy less favourable in a high interest rate environment No capital guarantee Management Company: OFI ASSET MANAGEMENT Return & Volatility Fund manager(s): Jean Charles NAUDIN Legal form: French FCP (Mutual Fund, UCITS IV) Since inception (cum.) 3 years (cum.) 1 year YTD 6 months 3 months Distribution policy: Capitalisation Return Volat. Return Volat. Return Volat. Return Volat. Return Return Currency: EUR OFI RISK ARB ABSOLU I 13,26% 1,98% 2,63% 1,04% 1,57% 1,06% 0,48% 0,80% 0,26% 0,48% Inception date: 25/03/2011 Benchmark (1) -0,09% 0,05% -1,07% 0,00% -0,37% 0,00% -0,09% 0,00% -0,18% -0,09% Recommended investment horizon: 18 months Source: Europerformance Valuation: Daily Subscription cut-off: D at 11h Redemption cut-off: D at 11h Monthly returns Settlement: D+3 Subscription fees: None Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. Year Benchmark Redemption fees: None 2014 0,15% 0,50% -0,12% 0,63% 0,78% 0,28% 0,10% 0,21% 0,13% 0,03% 0,55% 0,51% 3,83% 0,10% Outperformance fees: None 2015 0,01% 0,39% -0,04% 0,06% 1,04% -1,02% 0,43% -0,16% -0,60% 0,58% 0,05% 0,68% 1,41% -0,11% 2016 0,43% 0,17% 0,42% -0,26% -0,05% -0,23% -0,01% 0,05% 0,37% -0,43% 0,27% 0,32% 1,06% -0,32% Ongoing charge: 0,79% 2017 -0,40% 0,06% 0,20% 0,77% 0,24% 0,31% 0,07% 0,11% 0,12% 0,06% -0,02% 0,12% 1,66% -0,36% Custodian: SOCIETE GENERALE PARIS 2018 0,16% -0,29% -0,51% -0,01% 0,52% 0,38% 0,14% 0,04% 0,22% -0,20% 0,40% -0,42% 0,44% -0,37% Administrative agent: SOCIETE GENERALE SECURITIES SERVICES 2019 0,05% 0,15% 0,27% 0,48% -0,09% Source: Europerformance

(1) Compounded EONIA (2) Sum of long positions.

This is a non-contractual document provided for information only. This document is intended solely for unitholders or shareholders in the Fund. The information contained in this document is of no contractual value. Only the Fund’s full prospectus and latest financial statements shall be deemed legally binding. Past performance is no guarantee of future performance and is not constant over time. Stated performance includes all fees with the exception of subscription and redemption fees. Investors in this fund are exposed to risks associated with changes in the value of units or shares in the Fund arising from market fluctuations. As such, the value of an investment may rise or fall, and investors may consequently lose some or all of their initial investment. This document is provided for information purposes only and is not intended to be either legally binding or contractual in nature. The investor acknowledges having received a copy of the prospectus filed with the AMF prior to investing. In spite of the care taken in preparing this document, the management company cannot guarantee that the information it contains is accurate, complete and up to date. The company may not be held liable for any losses incurred by investors who base their investment decisions solely on this document. The information in this document may not be reproduced in full or in part without the prior consent of its author. All requests for further information about the Fund should be directed to OFI Asset Management, 22 rue Vernier, 75017 Paris, France. CONTACT • Sales Department • 01 40 68 17 17 • [email protected]

OFI Asset Management • A portfolio management company authorised by the AMF under number GP 92-12 • Intracommunity VAT no.: FR 51384940342 • Public limited company with capital of €42,000,000 • Principal activity (APE) code 6630Z 22 rue Vernier 75017 Paris • Tel.: + 33 (0)1 40 68 17 17 • Fax: + 33 (0)1 40 68 17 18 • www.ofi-am.fr OFI RISK ARB ABSOLU I Monthly Factsheet - Absolute Return - march 2019

Since OFI Risk Arb Absolu is a feeder fund, the following data is the same as the master fund Top 5 Holdings Solvency Capital Requirement (1) Asset Management Strategy

Name Weight SCR Market (EUR) : 38 314 214 Performance analysis: GOLDCORP INC 3,60% 20,00% OFI Risk Arb Absolu gained 27 bps (“I” units) in March 2019. GEMALTO 3,46% Performance in March was mainly driven by the following: 13,92% 14,05% NAVIGATORS GROUP INC 3,40% 13,77% The narrowing of the discount on Celgene/Bristol Myers. The recommendation by proxy advisors ISS and BTG PLC 2,98% Glass Lewis to Bristol Myers shareholders to vote in favour of the deal, together with Starboard’s decision to 10,00% USG CORP 2,85% drop its opposition, resulted in the discount narrowing sharply. The narrowing of the discount on Panalpina/DSV on rumours that talks between the two parties had resumed. 0,02% 0,18% 0,08% The rise in the Versum share price as the bidding war between Merck and Entregris continued. 0,00% The narrowing of the discount on Goldcorp/Newmont. The discount was particularly volatile in the month, but SCR ∑ SCR SCR SCR SCR SCR Market Market Interest Equity Spread Currency Barrick’s decision to drop its hostile bid for Newmont after the two firms negotiated a joint venture involving TOTAL 16,29% Rate their Nevada assets, and payment of an extraordinary dividend by Newmont, put the chaotic merger back on track. Source: CANDRIAM (1) Quarterly data as of 31/03/2019 Source: CANDRIAM Market overview:

SCR Informations Around 15 deals were announced in March. While half of them are in the US and fall below the $5 billion The aggregate SCR represents the total of all underlying risks. It does not take into account the effects of diversification. threshold, a few are noteworthy: Brookfield Asset Management’s $15 billion takeover of Oaktree Capital. The SCR Market represents the capital requirement taking into account the various risk factors (cf. correlation matrix arising from Consolidation in the healthcare sector with Centene’s $12 billion offer for Wellcare Health Plans. Delegated Regulation 2015/35). Fidelity National Information Services’ $35 billion acquisition of Worldpay in the financial services sector. Lastly, in Europe, a year after EchoStar dropped its hostile bid, a consortium of investment funds made a $3 billion friendly bid for satellite operator Inmarsat.

Main positions set up and unwound on the month Investment decisions: We invested in 11 new positions, while ten deals exited the portfolio. We also increased some positions Main set up Main unwound already in the portfolio. Name Weight Name Weight Thanks to deals announced in the first quarter, we were able to maintain an investment ratio of 49.8% at end March (compared with 45.4% at end February). WORLDPAY INC-CLASS A 1,73% MB FINANCIAL INC 1,39% We have maintained a high level of diversification, with 45 positions in the portfolio. SPARK THERAPEUTICS INC 1,19% CLARION CO LTD 1,39% WABCO HOLDINGS INC 1,01% INVESTMENT TECHNOLOGY GROUP 0,86% Outlook and exposure: ACANDO AB 0,95% BENEFICIAL BANCORP 0,82% Market optimism translated into strong M&A activity over the first quarter of 2019. According to Refinitiv, OAKTREE CAPITAL GROUP LLC MEDICX FUND LTD 0,50% 0,78% while M&A activity in Q1 was down 17% on the same period last year (which received a boost from the Source: CANDRIAM Source: CANDRIAM announcement of tax reform), it was up 22% quarter on quarter. Note that this volume was mainly the result of a small number of large deals, with the total number of deals down. Main mergers announced during the month However, we feel caution is still required: macroeconomic concerns have not been dispelled, notably in China, where growth is slowing, but also in Europe, with Brexit and Italy. Target Acquirer Target sector Size (EUR M) Country We remain convinced that 2019 will see renewed volatility across most asset classes. In implementing our WORLDPAY INC-CLASS A FIDELITY NATIONAL INFO SERV Industrial Goods & Services 29 361 UNITED STATES risk arbitrage strategy, we are therefore maintaining our cautious approach based on rigorous selection of OAKTREE CAPITAL GROUP LLC BROOKFIELD ASSET MANAGE-CL A Financial Services 13 398 UNITED STATES M&A deals and continued portfolio diversification. WELLCARE HEALTH PLANS INC CENTENE CORP Health Care 10 187 UNITED STATES WABCO HOLDINGS INC Zeppelin-Stiftung Ferdinand gGmbH Automobiles & Parts 6 202 UNITED STATES MELLANOX TECHNOLOGIES LTD NVIDIA CORP Technology 5 339 ISRAEL Source: CANDRIAM Jean Charles NAUDIN

Since OFI Risk Arb Absolu is a feeder fund, the following data is the same as the master fund Sector breakdown (cash excluded) (1) Geographical breakdown (cash excluded) (1)

Technology 10,2% United States 27,1% Health Care 6,3% Insurance 5,3% United Kingdom 16,3% Industrial Goods & Services 5,1% Financial Services 4,2% Netherlands 5,3% Basic Resources 3,6% Construction & Materials 3,3% Canada 3,6% Banks 2,9% Japan 1,9% Real Estate 1,3% Chemicals 1,2% Germany 1,6% Oil & Gas 1,1% Utilities 1,1% Sweden 0,9% Automobiles & Parts 1,0% Media 0,9% China 0,5% Travel & Leisure 0,7% Telecommunications 0,5% Finland 0,4% Food & Beverage 0,5% Switzerland 0,4% Household Goods & Home Construction 0,4% 0% 2% 4% 6% 8% 10% 12% 0% 5% 10% 15% 20% 25% 30%

Source: CANDRIAM Source: CANDRIAM

Exposure by risk level (invested part) (3) Strategy / Type of acquirer (invested part) Historical exposure by strategy

70% 100% 93,0% Mergers and Acquisitions Cash 63,7% 70% 62% 57% 59% 58% 90% 60% 54% 49% 51% 50% 47% 50% 60% 50% 45% 80% 40% 40% 50% 70% 30% 20% 60% 10% 40% 0% 31,8% 50% 30% 40%

30% 20% Source: CANDRIAM 20% 10% 4,5% 10% 7,0% Statistical Indicators (weekly)

0% 0% Sharpe ratio (2) Frequency of profit Worst drawdown Drawdown period Payback period A B C Financial Strategic 1,81 57,69% -0,58% 8 week(s) 9 week(s) Source: CANDRIAM Source: CANDRIAM Source: Europerformance

(1) Sum of long positions. (2) Risk free rate: EONIA (3) A, B and C: internal ratings representing the degree of risk inherent in a deal with A: least risky deals and C: most risky.