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Factsheet: 31/08/2021 STRUCTURED FINANCE IM NOVALTO - RHEA I-A-2 USD pf

Key Figures (USD)* Benchmark

The fund doesn't have a benchmark. Fund Cumulative Performance (%) Current NAV

YTD 1Y 3Y 10Y Launch Acc. +2.25 +4.32 +9.28 - +23.52 1235.23 ILS Assets Split (%)

Port Fund Annualized Performance (%) Assets Under Management (M) CAT bonds 93.34 3 Y. 5 Y. 10 Y. Launch USD Private ILS 6.66 +3.00 +2.64 - +3.14 111.91 Tradable ILS 0.00 Illiquid ILS 6.66 Total 100.00 Split based on Invested NAV

Performance & Risk

Performance Evolution (USD)

111 108 105 102 99 96 31/08/18 28/02/19 31/08/19 29/02/20 31/08/20 28/02/21 31/08/21 Portfolio* (9.28%)

Data is rebased to 100 by AXA IM on the graph start date. Past performance is not a reliable indicator of future results. Performance calculations are net of fees, based on the reinvestment of dividends. The benchmark, when there is one could be calculated on the basis of net or gross dividend. Please refer to the prospectus for more information.

Risk Analysis

1Y 3Y 5Y Launch Portfolio Volatility* (%) 1.58 2.73 5.15 4.44 Sharpe Ratio 3.24 1.03 0.47 0.71

* 1st NAV date: 31/10/2014

Source(s): AXA Managers as at 31/08/2021 For further information please visit www.axa-im.com 1 / 10 €

Rolling Performance (%)

31/08/20 31/08/19 31/08/18 31/08/17 31/08/16 1M 3M 6M YTD 3Y 5Y Launch 31/08/21 31/08/20 31/08/19 31/08/18 31/08/17 Portfolio* 0.07 0.95 1.96 2.25 9.28 13.95 4.32 6.22 -1.38 -1.12 5.45 23.52

Annual Calendar Performance (%)

2020 2019 2018 2017 2016 2015 2014 2013 2012 2011 Portfolio* 4.09 5.41 2.76 -3.27 5.79 4.66 - - - -

Monthly Performance (%)

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2014 ------0.12 -0.07 - 2015 0.53 0.32 0.33 0.24 0.01 0.00 0.47 0.91 1.08 0.13 0.48 0.06 4.66 2016 0.23 0.52 0.44 0.30 0.39 0.01 0.48 1.12 1.04 0.55 0.41 0.17 5.79 2017 0.34 0.30 0.43 0.05 0.12 0.46 0.71 0.74 -9.68 1.87 -0.16 2.04 -3.27 2018 1.52 0.39 0.54 0.52 0.26 0.47 0.67 1.00 0.54 -0.39 -1.78 -0.98 2.76 2019 0.65 0.42 0.01 -0.04 -1.20 0.71 0.39 0.31 2.24 1.66 -0.03 0.21 5.41 2020 0.69 0.52 -1.48 0.35 -0.31 0.42 0.79 1.04 1.55 -0.28 0.36 0.39 4.09 2021 0.29 -0.01 0.57 -0.04 0.46 0.49 0.39 0.07 - - - - 2.25

***The calculation period of the annual performance for 2014 starts from 31/10/2014, inception date of the class to 31/12/2014.

Past performance is not a reliable indicator of future results. Performance calculations are net of fees, based on the reinvestment of dividends. The benchmark, when there is one could be calculated on the basis of net or gross dividend. Please refer to the prospectus for more information.

* 1st NAV date: 31/10/2014

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com 2 / 10 €

Portfolio Analysis Event Breakdown (% of NAV)

Event Portfolio U.S. Southeast, Gulf of Mexico, Caribbean Hurricane 65.64 U.S. Northeast Hurricane 58.10 California Earthquake 54.84 Other U.S. Hurricane 53.37 Other U.S. Earthquake 50.86 New Madrid Earthquake 46.28 Canada Earthquake 34.00 Caribbean Earthquake 30.71 Other U.S. Wind 22.34 Europe Windstorm 16.34 Any Other perils 14.11 US Wildfire 12.62 Japan Earthquake 8.65 Australia Cyclone 6.90 Australia Earthquake 6.90 Japan Typhoon 6.73 Eastern Mediterranean Earthquake 6.32 Western Mediterranean EQ 6.32 Mexico Earthquake 5.91 Pacific Mexico Hurricane 5.61 Any Other Non-Nat Cat 5.42 Any Second Event 5.08 UK Flood 4.62 Central Europe Flood 4.62 China Earthquake 4.62 Taiwan EQ 4.62 Taiwan TY 4.62 Mortality, Morbidity 1.73

The sum of all the percentage may not be equal to 100% as the fund may hold assets accounting for more than one event defined above. For example, an asset which covers both an Europe windstorm and a Japan typhoon will enter into both events definition. However, for avoidance of any doubt, the fund is only exposed to the size of its invested amount on such asset. Subject business of the assets held by the fund shall not include man-made insurance written as such, but may include incidental man-made coverage.

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com

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Trigger Type Breakdown (% of ILS Assets) Term to Maturity Breakdown (% of NAV)

Term Portfolio 60 50 0 - 1 Year 31.58 40 1 - 2 Years 23.20 30 2 - 3 Years 29.96 20 3 - 4 Years 14.67 10 4 - 5 Years 0.58 0 Indemnity Industry Parametric Other > 5 Years 0.00 Index Total 100.00 Port. 48.59 43.10 7.17 1.15

Key Information Other Information (%)

Portfolio With Cash Without Cash Number of Holdings 110 Annual Expected Loss 3.10 3.34 Cash (%) 7.30 Annual VaR 90% -1.93 -2.09 Gross Average Purchase Discount Margin (%) 7.33 Annual VaR 95% -11.05 -11.91 Weighted Average Maturity 1.79 Annual VaR 99% -42.82 -46.19

AXA/XL deals (% of NAV) 1.37 VaR includes coupon.

Gross average is calculated on purchased assets, excluding cash.

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com

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Expected Loss on Invested Assets Breakdown (%)

Event Portfolio North America Hurricane 64.62 North America Earthquake 20.19 Europe Windstorm 2.97 Asia Earthquake 1.97 Caribbean Hurricane 1.66 Central America Hurricane 1.46 North America Tornado 1.38 North America Wildfire 1.17 Asia Typhoon 1.11 Europe Earthquake 0.96 Oceania Earthquake 0.70 Central America Earthquake 0.43 South America Earthquake 0.30 Europe Flood 0.25 North America Winter Storm 0.19 Any Other Non-Nat Cat 0.11 Oceania Cyclone 0.10 North America Flood 0.07 Oceania Pandemic 0.07 Oceania Tornado 0.07 North America Health Cost 0.06 North America Pandemic 0.05 Europe Pandemic 0.05 Caribbean Earthquake 0.04 Oceania Wildfire 0.02 Asia Flood 0.01 Caribbean Health Cost 0.00

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com

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Expected Maturity Date Breakdown (% Of NAV)

14 12 10 8 6 4 2 0 Q 2 Q 1 Q 3 Q 2 Q 1 Q4 Q 1 Q 1 Q 3 Q4 Q 3 Q4 Q 2 Q 3 Q 1 Q 2 Q 3 Q 2 Q4 Mar-20 2022 2023 2021 2023 202 4 202 4 2021 2022 2022 2022 2023 2023 202 4 202 4 2025 2025 2025 202 6 2021

Tradable Assets Illiquid Assets

Impact of Major Historical Events

Estimated Fund Loss (% of NAV)

Port. -30.46 -26.31 -16.63 -7.90 -7.40 -5.99 -4.19 -3.61 -3.48 -2.24 -0.14 -0.03 San K anto Island Madrid G reat Miami (192 6 ) G reat Francisco (190 6 ) Montreal (1 7 32) New Se q uence (1811-1812) Long Express (1938) Charleston (188 6 ) G reat (1923) Andrew (1992) Lothar (1999) Tracy (19 74 ) Cascadia (1 7 00) To k ai (185 4 ) 0 -10 -20 -30 -40

Estimated Insurance Market Losses as of Today

Event Description Losses New Madrid Sequence (1811-1812) US earthquakes, 1811-1812, magnitude 8.1 and below USD 210Bn Great San Francisco (1906) California earthquake, 1906, magnitude 7.9 USD 80Bn Great Kanto (1923) Japan earthquake, 1923, magnitude 7.9 USD 120Bn Great Miami (1926) US hurricane, 1926, category 4 USD 140Bn Vera (1959) Japan typhoon, 1959, category 5 USD 15Bn Daria (1990) Europe windstorm, 1990 EUR 13Bn Andrew (1992) US hurricane, 1992, category 5 USD 70Bn Northridge (1994) California earthquake, 1994, magnitude 6.7 USD 25Bn Kobe (1995) Japan earthquake, 1995, magnitude 6.8 USD 8Bn Lothar (1999) Europe windstorm, 1999 EUR 12Bn Katrina (2005) US hurricane, 2005, category 5 USD 65Bn

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com

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Fund Manager's Comment

ILS Markets:

The cat bond primary market was quiet in August with no deals issued.

With many market players on vacation, the secondary cat bond market was very quiet too. Most of the trades were done above the market mid-price indicating that the number of potential buyers continue to exceed the number of sellers.

The private markets (Industry Loss Warranty and Collateralized Reinsurance) have not been active at all which is normal during the peak of the US hurricane season. Some activity took place end of August when Ida intensified before making landfall for live ILWs even if probably no trade occurred. Market trends and conditions for the next renewals will start to be discussed between ILS and (re)insurers during the Monte Carlo Rendez-Vous at the beginning of September (which will be virtual this year again).

Events:

The Covid-19 pandemic continued to spread all around the world during the month. The number of confirmed cases is close to 220 million and the death toll is over 4.5 million. With more than 70% of Europe’s adult population being vaccinated and more than 60% in the United States, the number of serious cases in the thoses regions continued to drop during the month. With a lower rate of vaccination, some other countries such as Indonesia, Iran and Russia continued to suffer from a significant number of deaths.

Multi-year drought conditions in California and a crippling heatwave with near-record temperatures in Russia and Southern Europe have cast a series of severe wildfires. In California, around 7,000 fires burnt close to 0.8 million ha destroying close to 3,000 buildings and injuring 9 people. In Greece, 2 people were killed and 20 more injured and at least 125,000 ha of forest and arable land has been burnt. In neighboring Turkey, 170,000 ha of forest disappeared in flames, 9 people got killed and more than 800 injured. In Siberia, 300 fires have burnt more than 17 million ha since the beginning of the year.

Several countries experienced exceptional floods and landslides, including Biha, eastern India with 12 casualties and 2.7 million people affected, western Venezuela states which were placed in a state of emergency with 20 deaths and more than 50,000 people affected, black sea region of Turkey with 34 deaths and Saga in Japan’s Kyushu island with 12 casualties. Insured cost for the July flood event in Germany inflated to EUR 7 billion according to the German Insurance Association.

A category 1 hurricane on the Saffir-Simpson Hurricane Wind (SSHW) scale called Henri made landfall near Westerly, Rhode Island, United States after downgrading to a tropical storm. It brought wind gusts of up to 95km/h as well as storm surges in the states of New-York, New-Jersey, and Connecticut. Massive precipitation and inland floods have also been reported in the states crossed by Henri due to its rather slow movement. Material damages were noted from New York to Maine and 140,000 inhabitants lost power. Insured losses are limited to around USD 150 million according to Karen Clark & Co.

Another category 1 hurricane on the SSHW scale, called Grace, made two separate landfalls. The first one in Yucatan as a category 1 hurricane and the second one as a category 3 in the state of Veracruz. 14 people have been killed in Mexico and 700,000 affected in the Yucatan region. Damages in the Veracruz region were reported to be even more severe. Insured losses are limited to around USD 350 million according to Karen Clark & Co.

A much more severe category 4 hurricane on the SSHW scale, called Ida made landfall in Port Fourchon, Louisiana, 16 years after Hurricane Katrina’s landfall in New-Orleans. Ida previously made two separate landfalls in Cuba at reduced speed and, after crossing the US at a reduced tropical depression speed arrived in New York city at the very end of the month, with a large potential to cause damage and losses related to flash flooding. Ida caused heavy infrastructural damage in southeastern Louisiana and extremely heavy flooding in coastal areas, but did not break Orleans’ levees. New Jersey and New York state governors declared the state of emergency in all their counties. In addition to the numerous flash floods, New York, Connecticut, Maryland, and New Jersey experienced several local tornadoes that weakened and destroyed some constructions. Overall, at least 78 people were killed, including 27 in New-Jersey, 19 in New-York, and 20 in Louisiana, primarily because of wind and flood damages. Nearly 1 million homes have been shut off power near the Gulf Coast (930,000 in Louisiana, 25,000 in Mississippi). Oil production has been temporarily halted in the Louisiana refineries as well as in the offshore platforms of the Gulf of Mexico representing respectively 12% and 15% of the national production. AIR estimated the insured losses for wind damages and storm surge to range between USD 17 billion and USD 25 billion.

A 7.2 magnitude earthquake struck the Tiburon Peninsula in Haiti, killing 2,207 people and injuring 12,000 inhabitants. More than 130,000 buildings were damaged or destroyed. Haitian prime minister declared a state of emergency and accepted foreign assistance to address part of the large humanitarian crisis building up as a result of the earthquake.

Several earthquakes hit the Ring of Fire including a 7.1 magnitude earthquake in Mindanao, Philippines, a 7.5 magnitude earthquake in the South Sandwich Islands region and a 6.9 magnitude earthquake in the Alaska Peninsula. Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com

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As already mentioned a couple of months ago, Group AG (CS) suffered major losses related to activities with two companies called Greensill and Archegos. A portion of these losses could potentially be transferred to the insurance and reinsurance markets if the underlying cause of both events is qualified as being operational risk. For now, the Archegos losses are considered a credit risk. The Greensills losses do not have a categorization, but the amount at stake is gradually being reduced after the are repaid.

Potential impact:

We do not expect the fund to sustain any loss from the earthquakes in the Ring of Fire, Haiti and the Philippines. Wildfires in Californian, floods in Western Europe in July and hurricane Henri could moderately erode the cushion of some aggregate deals and one sidecar. Hurricane Ida could significantly erode some aggregate deals and lead to some real losses on aggregate and occurrence cat bonds plus one sidecar in the fund. Floods recorded in August around the world, wildfires in Russia and in Europe, and hurricanes Henri and Grace could potentially have a small impact on one sidecar in RHEA. Our RHEA fund is invested in two cat bonds covering CS’s operational risks (3.0% of the NAV). According to the latest official report received from the sponsor, no losses are yet taken as provision related to operational risk for these two events. Last, some sidecars of the fund could potentially be further impacted negatively or positively by some Business Interruption (BI) related to the Covid-19 for some of their reinsurance layers. The final impact will depend on the robustness of the wordings for the BI component.

Performance:

RHEA’s return has been positive in August. The performance of the fund was however impacted by a mark-to-market decrease on the two bonds exposed to operational risks. Valuation of most of the cat bonds exposed to hurricane Ida was slightly negatively impacted at the end of the month.

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com

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Additional Information Risk Characteristics

Administration: I-A-2 pf USD 1 2 3 4 5 6 7 Legal form FCP-SIF UCITS Compliant No Lower risk Higher risk AIF Compliant Yes Potentially lower reward Potentially higher reward Legal country Luxembourg 1st NAV date 31/10/2014 Fund currency USD Shareclass currency USD Subscription Redemption Valuation Monthly Redemption notice shall be delivered to the Administrative Agent no Share type Accumulation later than 12:00 noon (Luxembourg time) on the day falling thirty (30) ISIN code LU1083839172 Business Days before the last Business Day of each month. Maximum initial fees 5% Subscription Form shall be delivered to the Administrative Agent no later than 12:00 noon (Luxembourg time) on the day falling two (2) Maximum exit fees 5% Business Days preceding the last Business Day of each month. Management fees 0.95% Financial 0.95% How to Invest Maximum management fees 2% Retail Investors Performance fee : yes (refer to prospectus) Retail investors should contact their Financial intermediary. Minimum initial subscription 1 000 000 USD Management company AXA Funds Management S.A. Disclaimers (Sub) Financial delegation AXA IM Paris Not for distribution or dissemination to US investors Delegation of account State Street Bank International administration GmbH (Luxembourg Branch) This document is for informational purposes only and does not State Street Bank Luxembourg constitute investment research or financial analysis relating to Custodian S.C.A transactions in financial instruments as per MIF Directive (2014/65/EU), nor does it constitute on the part of AXA Investment Managers or its As disclosed in the most recent Annual Report, the ongoing charges calculation affiliated companies an offer to buy or sell any , products excludes performance fees, but includes management and applied services fees. or services, and should not be considered as solicitation or The effective Applied Service Fee is accrued at each calculation of the Net Asset investment, legal or tax advice, a recommendation for an investment Value and included in the ongoing charges of each Share Class. strategy or a personalized recommendation to buy or sell securities. The information contained herein is intended solely for the entity Fund Objectives and/or person(s) to which it has been delivered, unless otherwise allowed under applicable agreements. AXA Investment Managers hereby disclaims any responsibility for any subsequent reproduction, The investment objective of Rhea is to seek to achieve, over the life of redistribution or transmittal, along with any liability stemming from Rhea, an absolute return in the reference currency of each Class, in such activities. compliance with the investment policy described in the prospectus supplement. Due to its simplification, this document is partial and opinions, The main strategy is to create a diversified portfolio of insurance risks, estimates and forecasts herein are subjective and subject to change through various eligible financial instruments. without notice. There is no guarantee forecasts made will come to pass. Data, figures, declarations, analysis, predictions and other Investment Horizon information in this document is provided based on our state of knowledge at the time of creation of this document. Whilst every care 7-8 years is taken, no representation or warranty (including liability towards third parties), express or implied, is made as to the accuracy, reliability or completeness of the information contained herein. Reliance upon information in this material is at the sole discretion of the recipient. This material does not contain sufficient information to support an

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com 9 / 10 €

investment decision. FINANCIEROS). ESTA OFERTA SE REFIERE A VALORES NO INSCRITOS Before making an investment, investors should read the relevant EN EL REGISTRO DE VALORES O EN EL REGISTRO DE VALORES Prospectus and the Key Information Document / scheme EXTRANJEROS QUE LLEVA LA COMISIÓN DE MERCADOS FINANCIEROS, documents , which provide full product details including risks, POR LO QUE TALES VALORES NO ESTÁN SUJETOS A LA investment charges and fees associated with the purchase of one of FISCALIZACIÓN DE ÉSTA; POR TRATARSE DE VALORES NO INSCRITOS the mentioned products and risks. The information contained herein NO EXISTE LA OBLIGACIÓN POR PARTE DEL EMISOR DE ENTREGAR EN is not a substitute for those documents or for professional external CHILE INFORMACIÓN PÚBLICA RESPECTO A LOS VALORES SOBRE LOS advice. QUE SE REFIERE ESTA OFERTA; ESTOS VALORES NO PODRÁN SER OBJETO DE OFERTA PÚBLICA MIENTRAS NO SEAN INSCRITOS EN EL The products or strategies discussed in this document may not be REGISTRO DE VALORES CORRESPONDIENTE. registered nor available in your jurisdiction. Please check the countries For Peruvian Investors: AXA Investment Managers is not licensed and of registration with the asset manager, or on the web site it is not legally required to be licensed by the Peruvian Securities https://www.axa-im.com/en/registration-map, where a fund Regulator (Superintendencia del Mercado de Valores – SMV) for these registration map is available. activities. Consequently, the Peruvian Securities Regulator does not exercise any kind of supervision regarding this fund, strategy and/or Past performance is not a guide to current or future performance, and service; and, the information furnished to the investors and the rest of any performance or return data displayed does not take into account the services rendered by AXA Investment Managers are subject to its commissions and costs incurred when issuing or redeeming units. The exclusive responsibility. In Peru, this document is only for the exclusive value of investments, and the income from them, can fall as well as use of persons or entities qualifying as “Invesionistas Institucionales” rise and investors may not get back the amount originally invested. under Peruvian Law. This document is not for public distribution. AXA Exchange-rate fluctuations may also affect the value of their Investment Managers no tiene y no está legalmente obligada a tener investment. Due to this and the initial charge that is usually made, an una autorización por parte de la Superintendencia del Mercado de investment is not usually suitable as a short term holding. Valores para estas actividades. En consecuencia, la Superintendencia Commissions and costs have an adverse effect on the performance of del Mercado de Valores no ejerce ningún tipo de supervisión sobre el the fund. fondo, la estrategia, y/o los servicios; y la información proporcionada a The Fund referenced herein has not been registered under the United los inversionistas y los demás servicios que les presta son de exclusiva States Investment Company Act of 1940, as amended, nor the United responsabilidad de AXA Investment Managers. En el Perú, este States Securities Act of 1933, as amended. None of the shares may be documento es para el uso exclusivo de personas o entidades que offered or sold, directly or indirectly in the United States or to any US califiquen como “Inversionistas Institucionales” bajo las leyes Person unless the securities are registered under the Act, or an peruanas. Este documento no es para distribución al público. exemption from the registration requirements of the Act is available. A For Uruguayan Investors: The sale of the shares/units qualifies as a US Person is defined as (a) any individual who is a citizen or resident of private placement pursuant to section 2 of Uruguayan law 18,627. The the United States for federal income tax purposes; (b) a corporation, shares/units must not be offered or sold to the public in Uruguay, partnership or other entity created or organized under the laws of or except in circumstances which do not constitute a public offering or existing in the United States; (c) an estate or trust the income of which distribution under Uruguayan laws and regulations. The shares/units is subject to United States federal income tax regardless of whether are not and will not be registered with the Financial Services such income is effectively connected with a United States trade or Superintendency of the Central Bank of Uruguay. The shares/units business. In the United States, this material may be distributed only to correspond to investment funds that are not investment funds a person who is a “distributor,” or who is not a “U.S. person,” as regulated by Uruguayan law 16,774 dated September 27, 1996, as defined by Regulation S under the U.S. Securities Act of 1933 (as amended. amended).

Depending on the recipient’s respective jurisdiction or region, the following additional disclosures may apply: Glossary For Chilean Investors: This private offer avails itself of the General Regulation No. 336 of the Superintendence of Securities and Any terms that you're uncertain of? Insurances (currently the Financial Markets Commission). Visit the glossary page on our website. This offer relates to securities not registered with the Securities axa-im.com/glossary Registry or the Registry of Foreign Securities of the Financial Markets Commission, and therefore such securities are not subject to oversight by the latter; Being unregistered securities, there is no obligation on the issuer to provide public information in Chile regarding such securities; and these securities may not be subject to a public offer until they are registered in the corresponding Securities Registry. Para inversionistas chilenos: ESTA OFERTA PRIVADA SE ACOGE AL REGLAMENTO GENERAL Nº 336 DE LA SUPERINTENDENCIA DE VALORES Y SEGUROS (ACTUALMENTE COMISIÓN DE MERCADOS

Source(s): AXA Investment Managers as at 31/08/2021 For further information please visit www.axa-im.com 10 / 10