OFI RS EUROPEAN CONVERTIBLE BOND Monthly Factsheet - Convertible Bonds - July 2019

Investment Policy :

OFI RS EUROPEAN CONVERTIBLE BOND is a European convertible bond fund. It allows investors to benefit from the convexity of convertible bonds and part of the performance of a selection of European stocks. The fund's objective is to participate in the growth of tomorrow's leading companies by investing in their convertible issues to help finance their development.

Registred in : FRA PRT

Key figures as of 31/07/2019 Return over 3 years Risk Profile 115 Fund Benchmark (1) NAV of the part C (EUR): 77,70 Level: 1 2 3 4 5 6 7 112,5 Net Assets of the part C (EUR M): 101,71 Total Net Assets (EUR M): 193,06 110 Monthly return 107,5 Delta: 26% Modified duration: 2,20 105 0,25% Fund 1,10% Current yield: 102,5 Number of holdings: 73 0,04% Benchmark (1) 100 Source: Europerformance 97,5 Characteristics YTD return 95

ISIN Code: FR0000011074 92,5 7,01% Fund Ticker: OFIMACC FP Equity 90 AMF Classification: Diversified 4,76% Benchmark (1) 29/07/2016 05/03/2017 10/10/2017 18/05/2018 23/12/2018 31/07/2019 Europerformance Classification: European convertible bonds Management Company: OFI Asset Management Source: Europerformance Source: Europerformance Benchmark (1): Thomson Reuteurs Europe Focus Hedged Convertibles Bond Index

Main Risks: Capital and performance Return & Volatility Market : equity, fixed income and credit Currency Fund Manager: Nancy Scribot Blanchet 5 Years (cum.) 3 Years (cum.) 1 Year YTD 6 Months 3 Months Legal Form: SICAV (UCITS IV) Return Volat. Return Volat. Return Volat. Return Volat. Return Return Distribution Policy: Capitalisation OFI RS EUROPEAN CONVERTIBLE BOND 9,61% 6,19% 5,24% 5,53% -1,99% 6,01% 7,01% 4,40% 4,87% -0,31% Currency: EUR Benchmark (1) 0,70% 5,88% 0,68% 4,50% -0,42% 4,03% 4,76% 2,94% 2,94% 0,30% Inception- investment management change date: 20/10/2003 - 31/12/2017 Source: Europerformance Recommended investment horizon: Over 3 years Valuation: Daily Subscription cut-off: D at 12h Monthly returns Redemption cut-off: D at 12h Settlement: D+2 Jan. Feb. Mar. Apr. May Jun. Jul. Aug. Sep. Oct. Nov. Dec. Year Benchmark Subscription fees Max/Real: 4%/None 2014 -0,41% 2,96% -0,35% 0,57% 1,11% -1,45% -1,42% 0,00% -1,51% -1,58% 1,47% 0,98% 0,26% 4,70% Redemption fees Max/Real: 1%/None 2015 2,51% 2,48% 0,22% 0,61% -0,16% -2,18% 2,36% -2,55% -1,47% 3,41% 0,57% -1,67% 3,98% 1,97% Outperformance fees: 15% above benchmark 2016 -3,55% -1,95% 2,67% 0,91% 1,48% -1,83% 3,32% 0,43% 0,67% -0,55% -0,70% 2,97% 3,69% -1,34% Ongoing charge: 1,05% 2017 -0,25% 1,64% 1,60% 2,07% 1,52% -1,33% 0,35% -0,77% 1,71% 1,58% -1,43% -1,09% 5,63% -0,03% Custodian: CACEIS 2018 1,81% -1,65% -1,22% 1,58% -0,62% -0,57% -0,39% -0,42% -0,25% -3,05% -2,31% -2,65% -9,44% -5,48% Administrative agent: CACEIS Fund Administration 2019 2,04% 1,67% 1,14% 2,30% -2,13% 1,61% 0,25% 7,01% 4,76% (1) Benchmark : Composite Index 50% Euro Stoxx + 50% FTSE 3-5 years then 60% JPM Credit Index BBB 3-5 years + 40% Stoxx Europe 50 since 31/12/2007 then Thomson Reuters Eurozone Focus Convertibles Hedged EUR since 01/04/2016

Distributor and paying agent: BEST - BANCO ELECTRONICO DE SERVICO TOTAL, Praça Marquês de Pombal, 3-3º, 1250-161 Lisboa, Portugal

OFI Asset Management • A portfolio management company authorised by the AMF under number GP 92-12 • Intracommunity VAT no.: FR 51384940342 • Public Limited company (société anonyme) 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 RS EUROPEAN CONVERTIBLE BOND Monthly Factsheet - Convertible Bonds - July 2019

TOP 10 Holdings Solvency Capital Requirement Asset management strategy

Name Weight SCR Market (en EUR): 24 733 436 US statistics were robust last month: Q2 GDP growth came out at 2.1% annualised, beating expectations thanks to consumer demand; new nonfarm payroll employment grew; industrial SIEMENS/JP MORGAN CHASE 0 2022_05 3,38% 20,0% QIAGEN 1.000 2024_11 3,08% production stabilised in June; and retail sales were up 0.4%. The Fed nevertheless cut interest rates 15,1% by 25 bps due to persistent uncertainties over global growth. In Europe, the ECB announced that, in STMICROELECTRONICS 0.250 2024_07 2,79% 15,0% light of the low levels posted by various indicators, it would also be adopting a more accommodative SIKA 0.150 2025_06 2,63% policy at its September meeting: the eurozone composite flash PMI came in lower than expected in VALEO 0 2021_06 2,17% 10,0% 7,0% July at 51.5, the manufacturing sector posted a further decline and GDP growth slowed quarter on SYMRISE 0.238 2024_06 2,15% 6,1% quarter in Q2. In the United Kingdom, Boris Johnson’s appointment as leader of the Conservative DEUTSCHE POST 0.050 2025_06 2,13% 5,0% Party, and thus prime minister, has heightened the risk of a no-deal Brexit. Lastly, the prolonged 1,9% COVESTRO/BAYER 0.050 2020_06 2,11% 0,1% US/China trade war is hampering Chinese GDP growth, with annualised growth coming in at its 0,0% lowest since 2008. KERING/ARCHER OBLIGATIONS 0 2023_03 2,07% ∑ SCR SCR SCR Equity SCR SCR VALLOUREC 4.125 2022_10 2,04% Market Interest Spread Currency Rate In this environment, European equity markets held steady overall, with the Stoxx 600 up 0.3% and the TOTAL 24,55% Euro Stoxx 50 down 0.1%. Meanwhile, the S&P 500 gained 1.3%. In credit, the 5-year Crossover was unchanged at 254 bps, while German 10-year yields sank further to -0.44% (down 11 bps). In Source: OFI AM *Quaterly data as of 28/06/2019 Source: OFI AM currencies, the euro rose against sterling (up 1.7%) but lost ground against the dollar (down 2.6%) and the Swiss franc (down 0.8%). Against this backdrop, European convertible bonds hedged against SCR informations foreign exchange risk rose slightly, with the Thomson Reuters Europe Focus Hgd (EUR) up 0.04% in the month, while OFI RS European Convertible Bond gained 0.25%. The aggregate SCR represents the total of all underlying risks. It does not take into account the effects of diversification. The European primary market saw a total of €800 million issued in the month, through two issues: The SCR Market represents the capital requirement taking into account the various risk factors (see correlation matrix arising under Cembra Money Bank 0% 2026 (CHF 250m; Switzerland; banking) and Worldline 0% 2026 (€600m; regulation n°2015/35). France; industrial goods and services). This brings total issues in the year to date to €5.7 billion.

As regards performance, the main negative contributors were Kering 2023 (-10 bps; down 4.6% on interim results highlighting weak sales at Gucci), Siemens/JPM 2022 (-9 bps; down 2.7%), Sika 2025 Main movements of the month (-8 bps; down 3.1% on downgrades by various analysts) and Qiagen 2024 (-8 bps; down 2.7% as a result of the company downgrading its guidance after reporting its quarterly results). Meanwhile, the Buy / Increase Sell / Decrease top positive contributors were MTU 2023 (+13 bps; up 7.4% after the company upgraded its operating Name Weight M-1 Weight M Name Weight M-1 Weight M margin forecast), Vallourec 2022 (+11 bps; up 6.1% on strong interim results), Adidas shares (+7 bps; SIEMENS/JP MORGAN CHASE 0 2022_05 Buy 3,30% SIEMENS 1.650 2019_08 2,68% Sell up 6.6%), Ubisoft 2021 (+7 bps; up 5.3% after the company unveiled the list of games available via its QIAGEN 1.000 2024_11 Buy 3,02% QIAGEN 0.875 2021_03 2,24% Sell Uplay+ service) and STM 2024 (+7 bps; up 2.5% after the company returned to revenue growth in Q2). WORLDLINE 0 2026_07 Buy 1,86% COVIVIO 0,13% Sell MTU AERO ENGINES HLDG 0.125 2023_05 1,86% 1,54% In terms of changes, with the aim of continuing to reduce the fund’s overall sensitivity in line with the LVMH 0 2021_02 2,23% 1,45% conclusions of the OFI Allocation Committee, we: sold Siemens 2019 and Qiagen 2021 and bought EURAZEO/CA 0 2019_10 2,17% 1,24% Siemens/JPM 2022 and Qiagen 2024; sold some Eurazeo/CA 2019, AXA 12/2019 calls, MTU 2023 Source: OFI AM Source: OFI AM and LVMH 2021; and sold our entire holding of Covivio shares (lowering overall sensitivity by 3.8 points). Finally, we participated in primary issue Worldline 2026. The month-end cash position Statistical indicators (compared to the benchmark on a 1 year rolling basis) was 3%.

(2) Portfolio equity sensitivity was 26% at end July, the current yield was 1.1% for an average maturity of Bêta Alpha Tracking Error Sharpe Ratio Information Ratio Frequency of profit Worst draw down 3.3 years and the modified duration was 2.2. 1,40 -0,04 2,65% -0,27 -0,79 51,78% -8,95% Source: Europerformance

Nancy Scribot Blanchet - Fund Manager(s)

(2) Risk free rate: compounded EONIA

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]

Sector breakdown (invested part) Geographical breakdown (invested part)

Industrial Goods & Services 17,5% France 34,8% Health Care 14,1% Technology 11,0% Germany 22,9% Chemicals 8,5% Switzerland 9,3% Personal & Household Goods 7,3% Real Estate 6,1% Netherlands 8,8% Telecommunications 5,6% Spain 6,4% Oil & Gas 5,4% Automobiles & Parts 5,2% United Kingdom 5,6% Food & Beverage 5,1% Belgium 5,5% Construction & Materials 4,0% Italy 3,0% Retail 3,7% Basic Resources 3,2% Ireland 1,5% Financial Services 1,3% South Africa 1,1% Travel & Leisure 1,2% Insurance 0,9% Denmark 1,0% 0% 2% 4% 6% 8% 10% 12% 14% 16% 18% 20% 0% 5% 10% 15% 20% 25% 30% 35% 40%

Source: OFI AM Source: OFI AM

Rating breakdown (invested part) Delta evolution (monthly) Currency breakdown

40% 60% 36,43% 80% 73,12% 70% Exposure Hedging 35% 50% 60% 30% 40% 50% 25,04% 25% 40% 30% 30% 20% 18,11% 16,98% 20% 26% 20% 15% 6,02% 11,87% 10% 3,89% 10% 0% 10% 5,18% -10% -6,04% -3,88% 3,38% 0% 5% -20% -17,15% 0% -30% AA A BBB BB B NR USD CHF GBP

Source: OFI AM Source: OFI AM Source: OFI AM

Processus de sélection ISR ESG profile of a stock in the portfolio : Maison du Monde SRI category : Involved

As part of its management objectives, the fund incorporates the results of the SRI analysis at three Catégories ISR de l'Univers* (en % du nombre de sociétés) Maisons du Monde is on track to become a benchmark player in CSR terms. The group has implemented a consistent CSR levels: At least 15% of the companies that are lagging behind in the management of CSR issues are excluded strategy, with strong commitments covering key issues and stakeholders. Its communications demonstrate a high level of from the investment universe (SRI category ‘under surveillance’). commitment, as do its membership of the “1% for the Planet” club, which it joined in 2013, and its foundation, established in 2016. - Issuers in the ‘under surveillance’ category that are in the portfolio either because they were already held during the integration of the SRI process, or following a downgrade in their SRI rating, are the Leaders Improving suppliers’ employment practices: in response to a high level of exposure to this issue due to the number of suppliers, Watchlist subject of a commitment action, in order to encourage them to improve their CSR practices. Details are 21% their location, etc., Maisons du Monde has put in place a vigilance plan and adopted best practice. “Purchase like partners” is one of 15% described in the ‘Code of Transparency’ available on the website www.ofi-am.fr) the four strands of its CSR strategy, with the group putting in place an improvement process for its suppliers. By 2020, the group The maximum weighting per issuer depends on its SRI category: aims to have all suppliers signed up to its supplier code, carry out social audits of all strategic suppliers every two years, and train all product managers in responsible purchasing. Uncertain Uncertain + Monitor + Incertain + Watchlist 22% Upstream/downstream carbon emissions: a member of the Climate Solidarity Ambassadors club since 2017, Maisons du Monde Watchlist Watchlist has identified its risks relating to climate change and monitors its carbon footprint, which it has committed to reduce, supported by Involved 10 % maximum 25 % maximum 50 % maximum targets. It has taken action to cut emissions by 50% since 2016 (LED lighting, electricity from renewable sources, rail transport for 21% products, etc.). The group is also working to assess risks relating to its supply chain. Furthermore, in 2019 it committed to defining Proponents At the end of the month, 100% of the issuers in the portfolio were covered by an SRI analysis. an indirect carbon emissions trajectory (Scope 3) compatible with the IPCG’s 1.5° C or 2° C scenarios. 21% Environmental impact of raw materials: the group has worked to identify the environmental and social impacts of its raw materials (wood, cotton, leather, etc.), implemented a “sustainable natural resources management” roadmap in 2017, is working on traceability SRI assessment of the fund and has put in place a wood purchasing policy. It has strengthened its “responsible offering” through an eco-design approach in place since 2011, as well as through products made from FSC/PEFC-certified or recycled wood (with the latter accounting for 60% of furniture products in 2018 – a ratio that is set to increase).It is also pursuing initiatives in favour of re-employment and recycling. 60% Breakdown of issuers Protection of personal data: to meet challenges relating to the protection of client data, the group rolled out a CRM system in 2013 By SRI score level and, in 2018, committed to work to comply with GDPR (the EU’s General Data Protection Regulation).However, there is room for 40% 32% improvement as regards the disclosure of information about prevention and control measures. 21% 22% 23% 21% 21% 21% 17% 20% 15% 3%

% % encours 0%

-20% Watchlist Uncertain Proponents Involved Leaders Multi-product retail

2,4 OFI RS EUROPEAN CONVERTIBLE BOND Univers* Protection of personal data 3,9 6,8 Environmental impact of raw materials 4,7 2,3 SRI issuer assessment process Upstream/downstream carbon emissions 3,3 8 Improving suppliers’ employment practices 5 The SRI research team performs extra financial analysis: 0 2 4 6 8 10 - private issuers: Identification of key sector ESG issues and analysis of CSR practices of issuers Maison du Monde Average sector - public issuers: Identification of the main ESG issues of European states and analysis of their practices. The results of this analysis are translated into an SRI Score, based on a scale of 0 to 5, reflecting the issuer's ranking within each ICB super sector. According to this SRI Score, an SRI category is allocated to each issuer: Leaders: The most advanced in taking ESG issues into account You can find more information on the SRI analysis and selection process on the Code of Transparency available Involved: Active in taking ESG issues into account on the website www.ofi-am.fr, under the heading ‘Products,’ ‘Money Market’ and then on the ‘Documentation’ tab Proponents: Medium managed ESG issues of the Fund. Uncertain: Low management of ESG issues Watchlist: Delay in taking ESG issues into account.

* The analyzed universe consists of approximately 2600 issuers (companies of the MSCI World, STOXX Europe 600, as well as unquoted private bond issuers and European States). * SRI : Socially Responsible Investments

OFI Asset Management • Société de gestion de portefeuille agréée par l’AMF sous le numéro GP 92-12 • N° de TVA intra-communautaire : FR 51384940342 • APE 6630Z 22 rue Vernier 75017 Paris • Tél. : + 33 (0)1 40 68 17 17 • Fax : + 33 (0)1 40 68 17 18 • www.ofi-am.fr