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.