H2O ALLEGRO

French UCITS

H2O ALLEGRO

ANNUAL ACCOUNTS

on 28 June 2019

Management Company: H2O AM LLP

Custodian: Caceis Bank

Auditor: Kpmg Audit

H2O AM LLP 10 Old Burlington Street – London W1S 3AG, United Kingdom - Tél. : +44 (0) 20 7292 1616 Limited Liability Partnership incorporated in England and Wales, authorised by the Financial Services Authority, Under number 529105

www.h2o-am.com

Marketing agent: Natixis Invesment Managers International 43 avenue Pierre Mendès France – 75013 Paris France – Tél. : +33 (0)1 78 40 80 00

www.im-natixis.com

H2O ALLEGRO 2

Contents

31. Management Report

a) Investment policy 3

Management policy

b) Information on the mutual fund 7

Principal movements during the period

Substancial changes during the period and upcoming

Mutual fund index

Target hedge funds

Efficient portfolio management (EMP) techniques and financial derivative instruments

Acces to the mutual fund documentation

SFTR regulation

c) Risk information 15

Global risk calculation method

Securisation exposure

Risk management

Liquidity management

Treatment of non-liquid assets

d) Environmental, social and governance criteria (« ESG ») 16

e) Energy transition for green growth low 17

182. Governance and compliance obligations

203. Fees and Tax

224. Auditor's Certification

285. Annual financial statements

Page


H2O ALLEGRO 3

a) Investment policy Management policy

Over the period under review (29/06/2018 – 28/06/2019), after fees, the performances of the different share classes

compared to their corresponding money market rates split as follow:

Share classes Launching date ISIN code 1-year performance3-year annualized performance (*)

5-year annualized performance (*)

I-C (EUR) 16/03/2011 FR0011006188 8.43% 23.29% 17.84%EONIA -0.37% -0.36% -0.27%R-C (EUR) 16/03/2011 FR0011015460 8.03% 22.81% 17.50%EONIA -0.37% -0.36% -0.27%M-D (EUR) 15/07/2016 FR0013076973 7.89%EONIA -0.37%N-C (EUR) 11/10/2017 FR0013186673 7.99%EONIA -0.37%

HUSD-I C 06/02/2015 FR0011973635 11.85% 25.71%LIBOR USD 1 Month 2.37% 1.56%HUSD-R C 30/09/2014 FR0011973627 11.39% 25.18%LIBOR USD 1 Month 2.37% 1.56%

HCHF-I C 10/08/2015 FR0012518389 8.48% 23.45%LIBOR CHF 1 Month -0.78% -0.79%HCHF-R C 11/09/2014 FR0011973585 8.08% 22.60%LIBOR CHF 1 Month -0.78% -0.79%

HSGD-R C 29/07/2014 FR0011973601 9.89% 24.35%LIBOR SGD 1 Month 1.70% 1.18%HSGD-I C 17/05/2018 FR0011973619 8.99%LIBOR SGD 1 Month 1.70%

HGBP-I C 08/03/2012 FR0011192327 11.82% 30.85% 23.02%LIBOR GBP 1 Month 0.71% 0.47% 0.49%

HAUD-I C 29/06/2018 FR0013186632 10.90%30-day Aus Bank Bills 1.97%(*) geometrical annualization.

The fund’s prospectus sets out the hedging of the share classes denominated in different currencies as follows:

For the HGBP-I share class, denominated in GBP, a currency hedging is set up and aims to reduce the impact of the

EUR/GBP pair evolution on the FCP’s performance. This share’s objective is thus to restore as best as possible, during

the FCP’s life span, the strategy’s performance by hedging the EUR/GBP currency risk likely to affect the NAV evolution.

For the HCHF-I and HCHF-R share classes, denominated in CHF, a currency hedging is set up and aims to reduce the

impact of the EUR/CHF pair evolution on the FCP’s performance. These shares’ objective is thus to restore as best as

possible, during the FCP’s life span, the strategy’s performance by hedging the EUR/CHF currency risk likely to affect the

NAV evolution.


H2O ALLEGRO 4

For the HUSD-I and HUSD-R share classes, denominated in USD, a currency hedging is set up and aims to reduce the

impact of the EUR/USD pair evolution on the FCP’s performance. These shares’ objective is thus to restore as best as

possible, during the FCP’s life span, the strategy’s performance by hedging the EUR/USD currency risk likely to affect the

NAV evolution.

For the HSGD-R share class, denominated in SGD, a currency hedging is set up and aims to reduce the impact of the

EUR/SGD pair evolution on the FCP’s performance. This share’s objective is thus to restore as best as possible, during

the FCP’s life span, the strategy’s performance by hedging the EUR/SGD currency risk likely to affect the NAV evolution.

Considering the variations that happened on the OPCVM’s liabilities, the size of the net assets hedged, and the

calculation methods of the management fees for each share class, performance differences between share classes can

be observed.

The mutual fund falls under the French AMF category of “International bonds and other debt securities”. The fund’s

objective is to outperform the daily compounded EONIA for the EUR denominated shares, the LIBOR CHF 1 month for

the CHF denominated shares, the LIBOR USD 1 month for the USD denominated shares, the LIBOR SGP 1 month for

the SGD denominated share, the LIBOR GBP 1 month for GBP denominated share and the 30-day Bank Accepted Bills

for the AUD denominated shares over a recommended investment period of 4 years and after deduction of management

fees.

The UCITS’s investment policy is compliant with European standards and based upon a global, very active, top-down

investment process in order to achieve performance on global debt and currency markets under all markets conditions.

The management team implements directional strategies (corresponding to the general direction of these markets) as

well as relative value and arbitrage strategies (to play the relative markets trends) on debt and forex markets.

The management of the mutual fund is entrusted to the Management Company H2O AM LLP, which acts on behalf of the

holders and in their exclusive interests. The shares of the mutual fund are nominative. They do not carry any voting rights.

The management company’s policy may be consulted at the management company’s registered office or on the website

of H2O AM LLP at www.h2o-am.com.

The Management Company conducts an assessment process for the selection of intermediaries that takes into account

such objective criteria as research, execution quality as well as commercial monitoring. This procedure is available on the

H2O AM LLP’s website, at www.h2o-am.com.


H2O ALLEGRO 5

The fund’s absolute performance management process is based upon all the investment team’s views on global

sovereign bonds, credit bonds (corporate and EM), and currencies. Their contribution to the fund’s performance over the

fiscal year is the following:

1. Government and sovereign bonds H2O’s global bond market strategies posted positive returns over the period. They split as

follows:

a. G4 duration: This actively managed directional strategy achieved a negative

contribution over the period due to the overall short duration stance of the portfolio.

Over the period under review, US and European government-bond yields dropped

sharply, especially in 2019 as the Fed maintained its accommodative stance in the

face of the slowdown in global growth, and of inflationary pressures remaining muted

in the US.

b. Relative allocation among the G4 10 year sovereign bond market: during the

period, the “transatlantic arbitrage” (short 10 year US T-Notes versus German

Bunds) generated a negative contribution as a result of the widening of the 10-year

spread;

c. Curve strategies: German curve flattening: positive contribution as a result of the

flattening of the German yield curve over the period (short 2 year & long 10 year), in

particular during Q1 2019, as German 10-year government debt dropped into

negative territory in March for the first time since 2016;

d. Non-G4 sovereign bonds: very positive contribution overall, resulting from the long

“GIPS” bonds. In particular, the Italian BTPs yields contracted by approx. 100 bps

over the period, especially in June 2019, on the back of dovish tone from the

European Central Bank. The Greek and Portuguese spreads tightening vs. the Bund

over the period also contributed positively to performance.

2. Currencies The strategies on currency markets posted very positive returns over the period:

a. Long directional USD exposure: positive contribution over the period (especially

during Q4 2018). The USD strengthened mostly against the euro, while retreating

against the yen and the Canadian dollar;

b. Inter-bloc allocation: slightly positive contribution overall, in part due to the long JPY

strengthening vs. the euro, especially in Q4 2018. The long JPY was reduced during

Q1 2019 and transitioned to a long EUR during Q2 2019;

c. Intra-bloc allocation: strongly positive contribution.

Euro bloc: the short CHF position posted losses over the period on the back of

safe-haven repatriation flows. The long NOK position also detracted slightly over


H2O ALLEGRO 6

the period;

Commodity currencies bloc: strongly positive contribution from the Canadian

dollar’s strength versus the Aussie and the Kiwi;

d. Emerging currencies strategy: positive contribution. The long Mexican peso vs. US

dollar delivered a strong return over the period. The short positions on a basket of

Asian currencies (including the Korean won and the Taiwanese dollar) against the US

dollar also contributed positively, while the short positioning across South American

currencies (including the Brazilian real & Columbian peso) against the greenback was

more neutral as the losses from the short Brazilian real were absorbed by the gains of

the short Columbian peso. Finally, the long Turkish lira detracted slightly over the

period.

3. Credit markets

The strategies implemented on the credit markets posted a negative contribution over the

period.

a. Selection of corporate bonds: very negative contribution due to the substantial

markdown of the exposure to non-rated European corporate bonds in the wake of the

significant redemptions set off by the June 18th Financial Times article. The fund’s

exposure thereto dropped to 4.0% of managed assets at the end of the period;

b. Selection of EM sovereign bonds: slightly positive contribution of five Turkish

sovereign bonds (7% of managed assets at the end of the period).

Past performance is no guarantee of future performance.


H2O ALLEGRO 7

b) Information on the mutual fund Principal movements in portfolio listing during the period

Movements ("Accounting currency") Securities

Acquisitions Transfers

ITALIE 4.75% 01/09/2028 639,364,471.82 349,080,157.44

MEXICAN BONOS 5.75% 05-03-26 226,910,015.17 264,554,995.72

MEXICAN BONOS 8.5% 31-05-29 235,074,518.98 207,919,740.03

RUSSIAN FEDERAL BOND OFZ 6.9% 23-05-29 129,566,712.40 104,330,387.40

TENNOR FINANCE BV 5.75% 17-06-24 116,450,273.23 86,085,908.47

REPUBLIC OF SOUTH AFRICA 117,982,799.35 58,973,939.20

TURKEY GOVERNMENT INTL BOND 7.625% 26-04-29 82,367,958.27 53,000,665.64

DUTC TREA CERT ZCP 30-11-18 63,067,471.33 63,011,342.04

ITALY BUONI POLIENNALI DEL TESORO 2.8% 01-12-28 120,671,794.94 0.00

KINGDOM OF BELGIUM ZCP 11-07-19 56,107,595.67 56,099,430.01

Substancial changes during the period and upcoming

This fund has not undergone substantial changes.

Mutual fund index This fund does not fall within the classification of index funds. Target hedge funds This fund does not fall within the classification of funds of hedge funds.


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Efficient portfolio management (EMP) techniques and financial derivative instruments in EUR a) Exposure obtained through the EPM techniques and financial derivative instruments

Exposure obtained through the EPM techniques: 582,468,681.51 o Securities lending: 0.00 o Securities loans: 0.00 o Reverse repurchase agreement: 0.00 o Repurchase: 582,468,681.51 Underlying exposure reached through financial derivative instruments: 31,751,141,689.46 o Forward transaction: 17,288,080,941.48 o Future: 8,006,437,410.94 o Options: 124,373,337.04 o Swap: 6,332,250,000.00


H2O ALLEGRO 9

b) Identity of the counterparty(ies) to EPM techniques and financial derivative instruments

EPM techniques Financial derivative instruments (*)

CREDIT AGRICOLE CIB

BNP PARIBAS FRANCE

JP MORGAN SECURITIES PLC

1599 CABOTO HOLDING SPA MILAN

BARCLAYS BK PLC WHOLESALE LONDRES

BNP PARIBAS FRANCE

MORGAN STANLEY & CO INTL LONDRES

MERRILL LYNCH INTERNATIONAL (GLOBAL FOREIGN

EXCHANGE)

STANDARD CHARTERED PLC

CREDIT SUISSE INTERNATIONAL

BK OF NEW YORK AV PRO BRUXELLES

HSBC BANK PLC

UBS EUROPE SE

NOMURA INTL LONDRES

GOLDMAN SACHS INTL LTD

DEUTSCHE BANK AG LONDRES

SOCIETE GENERALE SA


CACIB LONDON

THE TORONTO DOMINION BANK

CREDIT AGRICOLE SA

MERRIL LYNCH INTERNATIONAL LIMITED


GOLDMAN SACHS INTL LTD

(*) Excepted derivative listed.


H2O ALLEGRO 10

c) Type and amount of collateral received by the UCITS to reduce counterparty risk

Types of financial instruments Amount portfolio currency

EPM

. Term deposit

. Equities

. Bonds

. UCITS

. Cash (**)

Total

0.00

0.00

0.00

0.00

610,744,707.51

610,744,707.51

Financial derivative instruments

Term deposit

. Equities

. Bonds

. UCITS

. Cash

Total

0.00

0.00

0.00

0.00

1,461.28

1,461.28

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

d) Revenues and operational cost/fees from EPM

Revenues and operational cost/fees Amount portfolio

. Revenues (***)

. Other revenues

Total revenues

. Direct operational fees

. Indirect operational fees

. Other fees

Total fees

186,726.64

0.00

186,726.64

894,058.19

0.00

0.00

894,058.19

(***) Revenues received from loans, repurchase and revers repurchase agreements.

1. Management Report SFTR regulation in EUR

Securities lending

Securities loan

Repurchase Reverse

repurchase agreement

Total Return Swap (TRS)

H2O ALLEGRO 11

a) Securities and commodities on loan Amount

% of Net Assets*

*% excluding cash and cash equivalent

b) Assets engaged in each type of SFTs and TRS expressed in absolute amount Amount 602,599,106.44

% of Net Assets 53.90%

c) 10 largest collateral issuers received (excluding cash) across all SFTs and TRS

d) Top 10 counterparties expressed as an absolute amount of assets and liabilities without clearing (2nd_levels

CREDIT AGRICOLE CIB FRANCE

252,213,271.74

(2nd_levels

JP MORGAN SECURITIES LONDRES UNITED KINGDOM

192,027,453.91

(2nd_levels

1599 CABOTO HOLDING SPA MILAN ITALY

100,726,264.20

(2nd_levels

BNP PARIBAS FRANCE FRANCE

57,632,116.59

e) Type and quality (collateral) Type

- Equities

- Bonds

- UCITS

- Notes

- Cash 582,583,097.13

Rating

Currency of the collateral

- EURO 496,500,208.90

- MEXICAN PESO 86,082,888.23

f) Settlement and clearing Tri-party

Central counterparty

Bilateral X X


Securities lending

Securities loan

Repurchase Reverse



H2O ALLEGRO 12

g) Maturity tenor of the collateral broken down maturity buckets < 1 day

[1 day - 1 week]

]1 week - 1 month]

]1 month - 3 months]

]3 months - 1 year]

> 1 year

Open

h) Maturity tenor of the SFTs and TRS broken down maturity buckets < 1 day

[1 day - 1 week]

]1 week - 1 month] 490,598,257.10

]1 month - 3 months] 18,132,779.35

]3 months - 1 year] 93,868,069.99

> 1 year

Open

i) Data on reuse of collateral Maximum amount (%)

Amount reused (%)

Cash collateral reinvestment undertaking in euro

j) Data on safekeeping of collateral received by the collective investment undertaking Caceis Bank

Securities

Cash

k) Data on safekeeping of collateral granted by the collective investment undertaking Securities

Cash


Securities lending

Securities loan

Repurchase Reverse



H2O ALLEGRO 13

l) Data on return and cost broken down Revenus

- OPC 181,368.96

- Gestionnaire

- Tiers

Coûts

- OPC 885,037.44

- Gestionnaire

- Tiers

e) Type and quality (collateral)

The Collateral is managed in accordance with the Collateral management policy of H2O in order to ensure a high level

of safety and liquidity and a low correlation with the counterparty to the transaction. In addition, the collateral

management policy of H2O defines haircuts adapted to each type of security to cope with their market price variation. A

daily margin call monitoring is in place in order to manage the daily mark to market variation of securities.

i) Data on reused of collateral Ucits should always reinvest all their cash Collateral (ie. maximum amount = maximum amount used = 100%), but

cannot re use their collateral under the form of securities. (ie. maximum amount = amount used = 0%).

In case of cash Collateral, it should be under the conditions defined by the regulation, invested exclusively in the

following:

- cash deposits;

- high Investment grade sovereign bonds;

- used in reverse repo transaction;

- invested in short term money market Ucit or equivalent.

Regarding the transactions carried out by H2O, both as principal and agent, the amounts received as cash collateral of

temporary sale of securities are invested in investment grade sovereign bonds.

k) Data on safekeeping of collateral granted by the collective investment undertaking All collateral cash or securities given by the Ucits are fully transferred, with all rights and proxy rights attached.


H2O ALLEGRO 14

l) Data on return and cost broken down

All income generated by repos and reverse repos as well as securities lending, net of associated operational costs,

are paid to the UCITS.

Those transactions are undertaken with counterparties selected by H2O. H2O never receives any remuneration

associated with the transactions.

The income generated by those transactions is disclosed in the annual report of the UCITS.

Access to the mutual fund documentation The mutual fund documentation (KIID, prospectus, periodic reports, etc …) is available from the management company,

at its registered office or by writing to the following email address: [email protected].


H2O ALLEGRO 15

c) Risk information Global risk calculation method The calculation methodology used by the management company for the evaluation of the global risk of the portfolio is as

follows: VAR: absolute Value at risk.

- Leverage of the portfolio: indicative average level:

The indicative average leverage of the Fund is 3/4. However, the Fund may possibly reach a higher leverage. The Fund’s

indicative leverage is calculated as the sum of the nominal positions in all financial contracts held in the Fund.

- Var level during the annual period:

The maximum level of absolute VAR was: 19.44%.

The minimum level of absolute VAR was: 13.89%.

The average level of absolute VAR was: 15.53%.

The calculation methodology used by the management company for the evaluation of the global risk of the portfolio is the parametric 20 days with a Var confidence interval of 99%. It is based on six years of historical data with a half life of two years.

Securisation exposure This fund is not affected by exposure to securitisation. Risk management None.


H2O ALLEGRO 16

d) Environmental, social and governance criteria (« ESG ») This fund does not take into account the three ESG criteria simultaneously.


H2O ALLEGRO 17

e) Energy transition for green growth low This UCIT does not report on article 173.


H2O ALLEGRO 18

Procedure for the selection and evaluation of brokers and counterparties – Execution of orders To enable the management company to fulfil its best execution obligation, the selection and the follow up of brokers and

counterparties on interests rates, bonds, equities, is governed by a specific procedure.

The management company’s policy for the selection of brokers and counterparties for the execution of orders of the

management company is available on its website: http://www.h2o-am.com (rubrique “A propos de H2O AM/Governance

and compliance”). Voting policy Details of the conditions under which the management company intends to exercise the voting rights attached to the

securities held by the mutual funds it manages, as well as the latest annual report, are available from the company’s

registered adress and on its website at: http://www.h2o-am.com (rubrique “A propos de H2O AM/Governance and

compliance”). Remuneration policy The funds managed by H2O are compliant with the UCITS regulation. The management company implements the new

regulation that apply to remunerations in the wake of the implementation of UCITS V regulations.

The remuneration policy is under the supervision and approval of a remuneration Committee comprising a majority of

members who are not employed by H2O.

Regarding the remuneration policy, H2O AM makes a distinction between two categories of personnel: employees and

partners.

• employees are remunerated based on a fixed salary in line with market practice in the United Kingdom, as well as an

annual bonus. This bonus is a function of the individual as well as the collective performance of the company.

• Partners are also remunerated based on a fixed income and annual bonus. They are also entitled to dividends

depending on their share allocation in the capital of H2O, and depending thus on the profitability of H2O.

The supervision and the principles applying to the remuneration policy have not been subject to material modifications

since the launch of H2O in July 2010.

In addition, portfolio managers are authorised to invest in the funds managed by H2O, provided that they disclose the

information to the compliance department of H2O.


H2O ALLEGRO 19

3. Fees and Tax

H2O ALLEGRO 20

Intermediation costs Details of the conditions under which the management company made use of services to assist with investment decisions

and order execution in the last financial year are available on its website at: http://www.h2o-am.com (rubrique “A propos

de H2O AM/Governance and compliance”). Withholding tax This fund is not affected by the withholding tax.

H2O ALLEGRO 21

ADDITIONAL INFORMATION CONCERNING THE FISCAL REGIME OF THE COUPON

UNIT NETINCOME

CURRENCYCURRENCYTOTAL NET

INCOME

10.76 EUREUR27,379.11TOTAL

2.42 EUREUR6,157.76Revenue qualifying for the withholding tax option

Shares entitling a deduction

8.34 EUREUR21,221.35Other revenue not entitling a deduction or withholding tax

: DBREAKDOWN OF THE COUPON UNIT

Amount distributed on capital gains and losses

Non-distribuable and non-taxable income

UNIT NETINCOME

CURRENCYCURRENCYTOTAL NET

INCOME

3.28 EUREUR918.40TOTAL

1.32 EUREUR369.60Revenue qualifying for the withholding tax option

Shares entitling a deduction

1.96 EUREUR548.80Other revenue not entitling a deduction or withholding tax

: BREAKDOWN OF THE COUPON UNIT

Amount distributed on capital gains and losses

Non-distribuable and non-taxable income

3. Fees and tax

4. Auditor’s certification

H2O ALLEGRO 22

H2O ALLEGRO 28

Annual financial statements5.

FIXED ASSETS, NET 0.00 0.00

06/28/19 06/29/18

DEPOSITS 0.00 0.00FINANCIAL INSTRUMENTS 1,604,618,117.23 1,124,399,734.60

Equities and similar securities 0.00 0.00Traded in a regulated market or equivalent 0.00 0.00Not traded in a regulated market or equivalent 0.00 0.00

Bonds and similar securities 865,079,992.99 752,648,817.50Traded in a regulated market or equivalent 833,188,220.62 752,648,817.50Not traded in a regulated market or equivalent 31,891,772.37 0.00

Credit instruments 0.00 310,000,225.96Traded in a regulated market or equivalent 0.00 310,000,225.96Negotiable credit instruments (Notes) 0.00 310,000,225.96Other credit instruments 0.00 0.00Not traded in a regulated market or equivalent 0.00 0.00

Collective investment undertakings 38,277,282.28 31,463,727.99General-purpose UCITS and alternative investment funds intended fornon-professionals and equivalents in other countries

34,617,215.10 27,609,503.33

Other Funds intended for non-professionals and equivalents in otherEU Member States

0.00 0.00

General-purpose professional funds and equivalents in other EUMember States and listed securitisation entities

0.00 0.00

Other professional investment funds and equivalents in other EUMember States and listed securitisation agencies

0.00 0.00

Other non-European entities 3,660,067.18 3,854,224.66Temporary transactions in securities 602,599,106.44 0.00

Credits for securities held under sell-back deals 0.00 0.00Credits for loaned securities 0.00 0.00Borrowed securities 0.00 0.00Securities sold under buy-back deals 602,599,106.44 0.00Other temporary transactions 0.00 0.00

Hedges 98,661,735.52 30,286,963.15Hedges in a regulated market or equivalent 97,602,727.62 24,088,360.13Other hedges 1,059,007.90 6,198,603.02

Other financial instruments 0.00 0.00RECEIVABLES 18,178,996,487.49 9,448,023,310.21

Forward currency transactions 17,288,080,941.48 9,064,181,383.43Other 890,915,546.01 383,841,926.78

FINANCIAL ACCOUNTS 147,046,469.93 118,426,503.49Cash and cash equivalents 147,046,469.93 118,426,503.49

TOTAL ASSETS 19,930,661,074.65 10,690,849,548.30

Balance Sheet on 06/28/19Portfolio : 2847 H2O ALLEGRO

Balance Sheet Asset

a) Annual accounts in EUR

H2O ALLEGRO 29

SHAREHOLDERS' FUNDS

06/28/19 06/29/18

1,165,726,990.35901,327,696.74Capital

Allocation Report of distributed items (a) 0.000.00

595.7711.32Brought forward (a)

Allocation Report of distributed items on Net Income (a,b) 217,186,059.89194,610,355.91

-47,652,295.6221,973,238.22Result (a,b)

1,335,261,350.391,117,911,302.19Total net shareholders' funds * Net Assets

FINANCIAL INSTRUMENTS 26,886,525.56680,958,620.80

Transfers of financial instruments 0.0030,662.58

Temporary transactions in securities 0.00582,583,097.13

Sums owed for securities sold under buy-back deals 0.00582,583,097.13

Sums owed for borrowed securities 0.000.00

Other temporary transactions 0.000.00

Hedges 26,886,525.5698,344,861.09

Hedges in a regulated market or equivalent 23,481,337.4297,207,534.92

Other hedges 3,405,188.141,137,326.17

PAYABLES 9,327,914,169.4918,067,228,938.43

Forward currency transactions 8,986,981,654.2317,329,585,572.00

Other 340,932,515.26737,643,366.43

FINANCIAL ACCOUNTS 787,502.8664,562,213.23

Short-term credit 787,502.8664,562,213.23

Loans received 0.000.00

TOTAL LIABILITIES 10,690,849,548.3019,930,661,074.65

Balance Sheet Liabilities on 06/28/19Portfolio : 2847 H2O ALLEGRO

Balance Sheet liabilities

(a) Including adjusment(b) Decreased interim distribution paid during the business year

Annual financial statements5. Annual financial statements

H2O ALLEGRO 30

06/28/19 06/29/18

HEDGES 0.00 0.00

Contracts in regulated markets or similar 0.00 0.00

OTC contracts 0.00 0.00

Other commitments 0.00 0.00

OTHER OPERATIONS 8,514,082,620.17 12,640,450,330.63

Contracts in regulated markets or similar 8,057,827,560.94 12,215,493,056.87

Contracts intendeds 8,006,437,410.94 12,049,764,244.35

CBO CBOT USUL 3 0918 0.00 4,380,112.20

CBOT USUL 30A 0919 105,614,050.97 0.00

EUR XEUR FGBX B 0918 0.00 117,913,120.00

EUR XEUR FGBX B 0919 1,829,520.00 0.00

FV CBOT UST 5 0918 0.00 3,914,795,917.88

FV CBOT UST 5 0919 3,599,459,403.84 0.00

LIFFE LG GILT 0918 0.00 64,139,130.43

LIFFE LG GILT 0919 36,160,661.60 0.00

OSE JGBL JAPAN 0918 0.00 222,777,727.52

TY CBOT YST 1 0918 0.00 266,923,204.57

TY CBOT YST 1 0919 245,606,600.70 0.00

US US TBOND 3 0918 0.00 136,758,061.75

US US TBOND 3 0919 115,885,142.26 0.00

XEUR FBTP BTP 0918 0.00 1,944,990,640.00

XEUR FBTP BTP 0919 1,578,260,000.00 0.00

XEUR FGBL BUN 0918 0.00 2,112,500.00

XEUR FGBL BUN 0919 877,681,520.00 0.00

XEUR FGBM BOB 0918 0.00 11,892,600.00

XEUR FGBM BOB 0919 591,846,480.00 0.00

XEUR FGBS SCH 0918 0.00 5,357,058,070.00

XEUR FGBS SCH 0919 542,360,700.00 0.00

XEUR FOAT EUR 0918 0.00 6,023,160.00

XEUR FOAT EUR 0919 3,464,370.00 0.00

XSFE XT AUSTR 0919 171,197,992.98 0.00

XSFE YT1 AUST 0919 137,070,968.59 0.00

Off-balance sheet on 06/28/19Portfolio : 2847 H2O ALLEGRO

Off-Balance Sheet


H2O ALLEGRO 31

06/28/19 06/29/18

Options 51,390,150.00 165,728,812.52

CBOT US TRES NT 5A 08/2018 CALL 114,25 0.00 35,808,469.63

CBOT US TRES NT 5A 08/2018 PUT 112,5 0.00 18,694,612.94

CBOT US TRES NT 5A 08/2018 PUT 113,25 0.00 84,563,077.25

EUREX EURO BUND 07/2019 CALL 174 33,615,204.00 0.00

EUREX EURO BUND 07/2019 PUT 170,5 17,774,946.00 0.00

EUREX EURO BUND 08/2018 CALL 160 0.00 18,997,840.12

EUREX EURO BUND 08/2018 CALL 160,5 0.00 7,664,812.58

OTC contracts 456,255,059.23 424,957,273.76

Options 61,932,408.65 424,957,273.76

EUR/GBP OTC 07/2018 CALL ,879 0.00 152,662,832.87

EUR/GBP OTC 07/2018 PUT ,879 0.00 46,076,945.19

EUR/USD OTC 07/2019 CALL 1,167 1,135,983.54 0.00

EUR/USD OTC 07/2019 PUT 1,1025 67,003.79 0.00

USD/KRW OTC 09/2018 CALL 1095 0.00 34,573,139.85

USD/KRW OTC 09/2018 CALL 1125 0.00 18,560,585.97

USD/KRW OTC 09/2018 PUT 1040 0.00 1,509,983.72

USD/MXN OTC 07/2018 CALL 21,25 0.00 5,367,357.25

USD/MXN OTC 07/2018 PUT 19,85 0.00 60,371,724.11

USD/MXN OTC 08/2019 CALL 21 3,651,546.15 0.00

USD/MXN OTC 08/2019 PUT 19 20,906,777.29 0.00

USD/TRY OTC 11/2018 CALL 5,1 0.00 5,633,023.10

USD/TRY OTC 11/2018 PUT 3,8 0.00 16,528.26

USD/TRY OTC 11/2018 PUT 4,2 0.00 507,055.08

USD/TRY OTC 11/2018 PUT 4,2 0.00 236,625.70

USD/TWD OTC 03/2020 PUT 30,1 9,643,410.06 0.00

USD/TWD OTC 09/2019 CALL 31,5 26,527,687.82 0.00

USD/TWD OTC 10/2018 CALL 30 0.00 98,201,267.79

USD/TWD OTC 10/2018 PUT 28,6 0.00 1,240,204.87

Interest rate swaps 394,322,650.58 0.00

FIX/7.065/JIBA3R/0.0 21,795,243.03 0.00

FIX/7.075/JIBA3R/0.0 21,795,243.03 0.00

FIX/7.085/JIBA3R/0.0 21,795,243.03 0.00


Off-Balance Sheet


H2O ALLEGRO 32

06/28/19 06/29/18

FIX/7.085/JIBA3R/0.0 21,795,243.03 0.00

FIX/7.09/JIBA3R/0.0 21,795,243.03 0.00

FIX/7.12/JIBA3R/0.0 21,795,243.03 0.00

JIBA3R/0.0/FIX/6.934 11,987,383.67 0.00

JIBA3R/0.0/FIX/6.935 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.042 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.045 11,816,135.33 0.00

JIBA3R/0.0/FIX/7.065 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.07 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.07 12,843,625.36 0.00

JIBA3R/0.0/FIX/7.075 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.085 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.09 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.1 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.12 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.145 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.145 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.145 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.15 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.15 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.15 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.151 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.16 11,131,141.98 0.00

JIBA3R/0.0/FIX/7.165 11,987,383.67 0.00

JIBA3R/0.0/FIX/7.167 11,987,383.67 0.00

Other commitments 0.00 0.00


Off-Balance Sheet


H2O ALLEGRO 33

06/28/19

Revenues from financial operations

06/29/18

1,086,503.12Revenues from deposits and financial accounts 66,325.66

0.00Revenues from equities and similar securities 0.00

107,816,793.77Revenues from bonds and similar securities 19,946,731.27

107,411.32Revenues from credit instruments 120,436.80

186,726.64Revenues from temporary acquisition and disposal of securities 261,414.12

0.00Revenues from hedges 0.00

0.00Other financial revenues 0.00

109,197,434.85TOTAL (1) 20,394,907.85

Charges on financial operations

894,058.19Charges on temporary acquisition and disposal of securities 63,760.14

0.00Charges on hedges 0.00

1,509,132.46Charges on financial debts 135,431.51

0.00Other financial charges 0.00

2,403,190.65TOTAL (2) 199,191.65

NET INCOME FROM FINANCIAL OPERATIONS (1 - 2) 106,794,244.20 20,195,716.20

0.00Other income (3) 0.00

67,531,370.06Management fees and depreciation provisions (4) 42,604,639.57

NET INCOME OF THE BUSINESS YEAR (L.214-17-1) (1-2+3-4) 39,262,874.14 -22,408,923.37

-17,289,635.92Revenue adjustment (5) -25,243,372.25

0.00Interim Distribution on Net Income paid during the business year (6) 0.00

NET PROFIT (1 - 2 + 3 - 4 + 5 + 6) 21,973,238.22 -47,652,295.62

Income Statement on 06/28/19Portfolio : 2847 H2O ALLEGRO

Income Statement



H2O ALLEGRO 34

b) Annual accounts – Accounting rules

ACCOUNTING RULES AND METHODS

The annual accounts are presented as provided by the ANC Regulation 2014-01 repealing Regulation CRC 2003-02 as

amended.

General accounting principles apply, viz:

- fair picture, comparability, ongoing business,

- proper practice & trustworthiness,

- prudence,

- no unreported change in methods from one period to the next.

Revenues from fixed-yield securities are recognized on the basis of interest actually received.

Acquisitions and disposals of securities are recognized exclusive of costs.

The accounting currency of the portfolio is the EURO.

The accounting period reported on is 12 months.

Asset valuation rules:

Financial instruments are initially recognized at historic cost and carried on the Balance Sheet at their current value: this

is their latest known market value or, in the absence of a market, is determined by any external means or by recourse to

financial models.

Differences between the securities’ current values determined as above and their original historic cost are recognized in

the accounts as “differences on estimation”.

Securities denominated in a currency other than that of the portfolio are valued in accordance with the above principle

and then converted into the currency of the portfolio at the exchange rate obtained on the valuation date.

I - Securities portfolio The management company has delegated accounting management (including the valuation of the Fund’s portfolio) to

CACEIS FUND ADMINISTRATION.

The Fund’s portfolio is valued each time the net asset value is calculated and on closure of the accounts, at the closing

price.

The Fund’s annual accounts are drawn up on the basis of the final net asset value for the financial year.

The Fund complies with the accounting rules and methods prescribed by current regulations and with the UCITS chart of

accounts which, on the day of publication of the prospectus, are as follows:


H2O ALLEGRO 35

Equities, bonds and other securities traded in a regulated market or equivalent: Equities French equities are valued on the basis of the latest quoted price in the case of securities admitted to a deferred

settlement system or a spot market.

Foreign equities are valued on the basis of the latest price on the Paris stock exchange if the securities are listed in Paris,

or on the first trading day of their main market, converted into euros in accordance with the WMR rate for the currency on

the day of valuation.

Bonds Bonds are valued on the basis of a Bloomberg composite rating retrieved at 5:00 p.m. (Paris time) in accordance with the

WMR rate for the currency on the day of valuation.

Equities, bonds and other securities not traded in a regulated market or equivalent:

Transferable securities, for which the price has not yet been recorded on the valuation date or has been adjusted, are

valued at their expected trading value by the Management Company.

In the case of unlisted transferable securities or those for which a price is not listed on the valuation date, as well as other

items on the balance sheet, the Management Company adjusts its valuation on the basis of variations that seem likely in

view of current events. The statutory auditor is informed of these valuations and the justifications for them during their

audit.

Foreign securities are converted into their equivalent values in euros in accordance with the WMR rate on the day of

valuation.

In accordance with the provisions of the UCITS chart of accounts, and given the current absence of liquidity of the market

for certain assets held, the fund was led from 24 June 2019 to retain a valuation for the relevant assets based either on

estimates or offers of large independent banks of our group is on an extrapolation from this same information.

This valuation method has been retained instead of their probable trading value to approximate a current value of these

assets at a given moment in the absence of transactions representative of a liquid market. Only these would allow to

establish with certainty the current value of the portfolio. These assets represent a value of

55,193,368.14 euros as of June 28, 2019 representing 4.94% of the portfolio. These assets are the following values:

DE000A193EJ6 SWB FIN 7.0 07-23 315,397.26

DE000A19MR53 CHAI FI 7.75 08-20 9,646,472.61

DE000A19SWQ7 CIVI PR 4.0 11-22 8,578,958.91

DE000A19XYF6 LA PERL 7.25 03-23 3,821,956.98

DE000A2R2ZW0 TENN FI 5.75 06-24 7,823,039.62

DE000A2RUR57 TREN PE 8.5 12-23 10,970,767.12

DE000A2RVEV2 EVER ME 5.0 01-24 2,710,958.90

DE000A2RZRF8 RUBI RO 5.0 03-24 7,889,344.26

XS1837089967 ADS SEC 6.5 06-23 3,436,472.48


H2O ALLEGRO 36

UCITS/AIFs Units or shares of UCITS/AIFs are valued at the last known net asset value. Foreign undertakings for collective

investment that carry out valuations at times that are incompatible with the calculation of the Fund’s net asset value are

valued on the basis of estimates supplied by the administrators of the undertakings, under the supervision and

responsibility of the Management Company.

Transferable debt securities: Transferable debt securities are valued in accordance with the following rules:

BTANs and BTFs are valued on the basis of an average of contributed prices obtained from market-makers;

Unlisted variable-rate debt securities are valued at cost price, adjusted to take into account any potential variations in

credit spreads;

Other fixed-rate, transferable debt securities (certificates of deposit, commercial paper, warrants issued by financial

institutions, etc.) are valued on the basis of market price.

In the absence of an indisputable market price, transferable debt securities are valued by applying a yield curve, adjusted

if necessary, by a margin calculated on the basis of the characteristics of the security (of the issuer).

However, transferable debt securities with a residual maturity of three months or less are valued via the straight-line

method.

Temporary purchases and disposals of securities

Contracts for temporary purchases and sales of transferable securities and equivalent transactions are valued at the

contract rate, adjusted for any margin calls (valued in accordance with the conditions set out in the contract).

In the case of transferable securities that are unlisted or whose price has not been listed on the valuation date, as well as

other items on the balance sheet, the Management Company’s board of directors adjusts its valuation on the basis of

variations that seem likely in view of current events.

Certain fixed-rate transactions with a maturity of over three months may be valued at market price.

2 - Futures and options transactions

Organised futures and options markets Derivatives listed on an organised market are valued on the basis of settlement prices.

Swaps

Asset swaps are valued at the market price based on the residual maturity of the asset and the valuation of the issuer’s

credit spread (or the trend in its rating).


H2O ALLEGRO 37

Asset swaps with a maturity of three months or less are valued using the straight-line method, except in the case of an

exceptional market event.

Asset swaps with a residual maturity exceeding three months are valued at market price based on the spreads indicated

by the market-makers. In the absence of a market-maker, the spreads will be obtained by any means from the available

contributors.

Other swaps are valued in accordance with the following rules:

Swaps with a maturity of three months or less are valued using the straight-line method. Swaps with a residual maturity

exceeding three months are valued using the turnaround rate in line with a zero-coupon curve.

Complex instruments such as CDS, SES and complex options are valued according to their type using an appropriate

method.

Forward exchange contracts:

These are valued at the currencies’ exchange rate on the valuation date, allowing for the amortisation of

carry-forward/discount.

3 - Off-balance sheet commitments

Off-balance sheet commitments are valued as follows:

A) Commitments on futures markets: 1) Futures: Commitment = reference price (the prices at 5:00 p.m. on Bloomberg, Paris time) x nominal contract value x quantities.

With the exception of commitments under the Euribor contract traded on LIFFE, which are recorded at their nominal

value.

2) Swap commitments: a) interest rate swaps Interest rate swaps with a maturity of 3 months or less:

backed: nominal value + accrued interest (interest differential)

non-backed: nominal value + accrued interest (interest differential)

�Interest rate swaps with a maturity exceeding 3 months:

backed:

° Fixed rate/variable rate

- Appraisal of the fixed-rate portion at market price


H2O ALLEGRO 38

° Variable rate/fixed rate

- Appraisal of the variable-rate portion at market price

non-backed:

° Fixed rate/variable rate

- Appraisal of the fixed-rate portion at market price

° Variable rate/fixed rate

- Appraisal of the variable-rate portion at market price

b) Other swaps

These will be appraised at market value.

B) Commitments on options markets: Commitment = quantity x nominal contract value (portion) x price of underlying x delta.

4 - Currencies Foreign currency prices are converted into euros in accordance with the WMR rate (4.00 p.m. London time) for the

currency on the day of valuation.

5 - Unlisted financial instruments and other securities � Financial instruments for which the price has not been recorded on the day of valuation are valued at the most recent

officially published price or at their likely trading value, under the responsibility of the management company;

� Foreign securities are converted into the equivalent value in euros in accordance with the WMR rate on the day of

valuation;

� The management company is responsible for appraising financial instruments not traded on a regulated market at their

likely trading value;

� Other financial instruments are appraised at their market value as calculated by the counterparties, under the

supervision and responsibility of the Management Company.

The valuations of unlisted financial instruments and the other securities referred to in this paragraph, together with the

justifications for them, are communicated to the statutory auditor during their audit.

6 - Swing pricing mechanism of net asset value with trigger threshold

The management company has implemented a method of adjusting the net asset value (NAV) with a trigger threshold.

Dealing costs are incurred by investors who take out or purchase their shares, relating to transactions carried out on the

assets of the Fund as a result of the movements (subscriptions/redemptions) of the Fund's liabilities. The purpose of this

mechanism, which is governed by a policy, is to protect the holders who remain in the Fund by making them bear the

lowest possible cost. The result is an adjusted “swing” NAV.


H2O ALLEGRO 39

If, on a NAV calculation date, the total net subscription/redemption orders of investors over all the Fund's share classes

exceeds a predetermined threshold, on the basis of objective criteria by the management company as a percentage of

net assets, the NAV may be adjusted upwards or downwards, to take into account readjustment costs attributable to net

subscription/redemption orders, respectively. If the Fund issues more than one class of units, the NAV of each class of

units is calculated separately, but any adjustment has, by percentage, the same impact on the total NAV of the unit

classes of the Fund.

The readjustment and triggering cost parameters are determined by the management company and reviewed

periodically. These costs are estimated by the management company on the basis of the transaction costs, the purchase

and sale ranges, and any applicable taxes to the Fund.

The adjustment mechanism will be applied at some point in the future, however, it is not possible to predict accurately

when or how often the management company will make such adjustments.

Investors are advised that the volatility of the Fund's NAV may not reflect only the volatility of the securities held in the

portfolio due to the application of the adjustment mechanism.

The swing-out NAV is the only net asset value of the Fund and the only one communicated to unitholders of the Fund.

However, in the event of an outperformance fee, it is calculated on the NAV before the adjustment mechanism is applied.

Management fees:

Management fees are calculated on the nominal capital on each valuation.

These fees are imputed to the fund’s Income Statement.

Management fees are paid in full to the Fund Manager, which bears all the fund’s operating costs.

The management fees do not include dealing costs.

The maximum rate applied on the basis of net assets is:

- 1.60% TTC on Share SR,

- 1.60% TTC on Share HSGD-SR,

- 1.60% TTC on Share HUSD-SR,

- 1.60% TTC on Share HCHF-SR,

- 1.20% TTC on Share R,

- 0.70% TTC on Share I (C),

- 0.70% TTC on Share I (D),

- 0.70% TTC on Share HGBP-IC,

- 0.70% TTC on Share HAUD-I,

- 0.75% TTC on Share HGBP-I,

- 1.20% TTC on Share HCHF-R,

- 1.20% TTC on Share HSGD-R,

- 1.20% TTC on Share HUSD-R,


H2O ALLEGRO 40

- 0.70% TTC on Share HUSD-I,

- 0.10% TTC on Share M,

- 0.70% TTC on Share HCHF-I,

- 0.70% TTC on Share HSGD-I,

- 0.80% TTC on Share N (C),

- 0.80% TTC on Share HUSD-N (C).

Outperformance fee

Shares EUR-R, EUR-I(C), EUR-I (D), HSGD-R, HSGD-I, HUSD-R, HUSD-I, HCHF-R, HCHF-I, HAUD-I, HGBP-IC (PRF), EUR-N (C),HUSD-N (C), EUR-SR, HSGD-SR, HUSD-SR and HCHF-SR: 20% TTC of the extra performance de as

measured against the reference index defined below:

HGBP-I and M units: None The outperformance fee applicable to a particular unit class is based on a comparison of the Fund's valued asset and its

reference asset.

The Fund’s valued assets are the portion of the assets corresponding to a specific share class, valued in accordance

with the rules applicable to the assets and taking into account the actual operating and management fees corresponding

to this unit class.

The Fund’s reference assets are the portion of the assets corresponding to a specific unit class, adjusted to take into

account the subscription/redemption amounts applicable to this unit class at each valuation, and valued in accordance

with the performance of the benchmark index (i.e. the reference rate) of the Fund. For EUR-R, EUR-I, EUR-N and EUR-SR units : The reference rate is the daily compounded EONIA. The Fund’s

performance is calculated according to changes in the unit’s net asset value.

For HUSD-I, HUSD-R, HUSD-N and HUSD-SR units : The reference rate is equal to the USD 1-month LIBOR. The

Fund’s performance is calculated according to changes in the unit’s net asset value.

For HGBP-IC (PRF) units : The reference rate is equal to the 1-month GBP LIBOR. The Fund’s performance is calculated

according to changes in the unit’s net asset value.

For HSGD-I, HSGD-R and HSGD-SR units : The reference rate is equal to the 1-month SIBOR. The Fund’s performance

is calculated according to changes in the unit’s net asset value.

For HCHF-I,HCHF-R and HCHF-SR units : The reference rate is equal to the CHF 1-month LIBOR. The Fund’s

performance is calculated on the basis of changes in the net asset value of the unit class.

For HAUD-I units : The benchmark rate is equal to that of Australian 30-day bank accepted bills. The Fund’s performance

is calculated on the basis of the net asset value of each share class.


H2O ALLEGRO 41

The observation period is defined as follows: from the first trading day of July to the last trading day of June of the

following year.

The observation period for R and I (C) units is defined as follows:

- initial observation period: from 16 March 2011 to the last trading day of June 2012;

- subsequent observation periods: from the first trading day of July to the last trading day of June of the following year.

The observation period for I (D) units is defined as follows:

- initial observation period: from 12 July 2018 to the last trading day of June 2020;

- subsequent observation periods: from the first trading day of July to the last trading day of June of the following year.

For HUSD-R, HSGD-R, HCHF-R, HSGD-I and HUSD-I units:

- initial observation period: from 20 June 2014 to the final trading day of June 2015;

- subsequent observation periods: from the first trading day of July to the final trading day of June of the following year.

For HCHF-I units:

- initial observation period: from 22 April 2015 to the final trading day of June 2016;

- subsequent observation periods: from the first trading day in July to the final trading day of June of the following year.

For HAUD-I and N (C) units:

- initial observation period: from 10 October 2016 to the final trading day of June 2017;

- subsequent observation periods: from the first trading day of July to the final trading day of June of the following year.

If, during the observation period, the Fund’s valued asset exceeds the reference asset as defined above, the

variable portion of the management fees will be up to 20% of the difference between these two assets.

If, during the observation period, the Fund’s valued asset is lower than the reference asset, the variable

portion of the management fees will be zero.

If, during the observation period, the Fund’s valued asset is higher than the reference asset, this difference

will be subject to a provision for variable management fees at the time of the net asset value calculation.

In the event that the Fund’s valued asset is lower than the reference asset between two net asset values, any

previously approved provision will be replaced with a new provision. The new provisions must not exceed the

previous allocations.

This variable portion will be collected at the end of each observation period only if, over the elapsed period,

the Fund’s valued asset is higher than the reference asset at the time of the final net asset value.

In the event of redemption, the portion of the provision corresponding to the number of units redeemed will be

permanently retained by the Management Company Allocation of net profit: The net profit (loss) for the period is the total of interest, arrears, premiums, allotments and dividends, plus income on

ready cash, minus management fees and financial dealing costs. Latent or realised capital gains or losses are not

counted as revenue; nor are subscription/redemption fees.


H2O ALLEGRO 42

The amounts available for distribution are the net profit for the period, plus any sums brought forward, plus or minus the

balance of any revenue adjustment accounts relating to the financial period in question.

Gains and losses:

The net realised gains (deducted from management fees and realised losses) from the financial year will increase the

same type of net realized gains from earlier financial years, if the fund hasn’t distributed or accumulated its gains and will

also increase or reduce the equalization accounts for realised gains.

Appropriation methods for the distributable amounts:

Distributable amounts Unit: M,I

Unit: R, I, HCHF R, HSGD-R, HUSD- R, HUSD-I, HGBP-I, HGBP-IC,

HSGD-I, HCHF-I, HAUD-I, N, HUSD- N, SR, HSGD-SR, HUSD-SR, HCHF-SR

Allocation of the net income Distribution Accumulation

Allocation of the net realized gains and

losses

Accumulation Accumulation

H2O ALLEGRO 43

06/28/19

1,335,261,350.39NET ASSETS IN START OF PERIOD 292,741,580.53

06/29/18

1,576,567,038.31Subscriptions (including subscription fees received by the fund) 1,279,447,751.87

-1,966,146,287.99Redemptions (net of redemption fees received by the fund) -396,136,606.92

64,549,777.74Capital gains realised on deposits and financial instruments 18,746,541.91

-6,905,198.12Capital losses realised on deposits and financial instruments -4,925,194.60

1,462,447,905.02Capital gains realised on hedges 513,801,934.12

-1,234,101,202.61Capital losses realised on hedges -414,519,360.44

-4,500,361.47Dealing costs -1,752,443.71

-75,636,532.23Exchange gains/losses 52,832,882.79

-74,515,809.36Changes in difference on estimation (deposits and financial instruments) 14,699,785.14

-38,324,155.89Difference on estimation, period N 36,191,653.47

-36,191,653.47Difference on estimation, period N-1 -21,491,868.33

12,115,572.77Changes in difference on estimation (hedges) -3,569,033.48

15,910,345.94Difference on estimation, period N 3,794,773.17

-3,794,773.17Difference on estimation, period N-1 -7,363,806.65

0.00Net Capital gains and losses Accumulated from Previous business year 0.00

-673,606.56Distribution on Net Capital Gains and Losses from previous business year -185,292.82

39,262,874.14Net profit for the period, before adjustment prepayments -22,408,923.37

0.00Allocation Report of distributed items on Net Income 0.00

0.00Interim Distribution on Net Income paid during the business year 0.00

-9,814,217.84Other items 6,487,729.37

NET ASSET IN DATE OF PERIOD OR IN END OF PERIOD 1,117,911,302.19 1,335,261,350.39

Change in net assets on 06/28/19Portfolio : 2847 H2O ALLEGRO

Change in net assets in EUR

* N : Dotation of Swing Princing 6,487,729.37 pricing, of which € 1,176,643.79 was due to a change in accounting parameters (SwingEndowment account previously in difference of estimate) without impact on the valuation of the fund.



H2O ALLEGRO 44

Additional information

Breakdown of financial instruments by legal or commercial type Amount %

Assets

Bonds and similar securities

Bonds and similar securities 0.00 0.00

Convertible bonds traded on a regulated or similar market 9,040,814.96 0.81

Fixed-rate bonds traded on a regulated or similar market 851,081,237.90 76.13

Floating-rate bonds traded on regulated markets 2,123,930.16 0.19

mortgages negotiated on a regulated or assimilated market 2,834,009.97 0.25

TOTAL Bonds and similar securities 865,079,992.99 77.38

Credit instruments

Credit instruments 0.00 0.00

TOTAL Credit instruments 0.00 0.00

Liabilities

Transactions involving transfer of financial instruments

Equities and similar securities 0.00 0.00

Fixed-rate bonds traded on a regulated or similar market 30,662.58 0.00

TOTAL Transactions involving transfer of financial instruments 30,662.58 0.00

Off-balance sheet

Hedges

Equities 0.00 0.00

TOTAL Hedges 0.00 0.00

Other operations

Equities 0.00 0.00

Exchange rate 72,983,187.04 6.53

Rate 8,452,150,211.52 756.07

TOTAL Other operations 8,525,133,398.56 762.59


H2O ALLEGRO 45

Breakdown of asset, liability and off-balance sheet items, by type

Fixe rate % Variable

rate % Rate subject to review % Others %

Assets

Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Bonds and similar securities 860,122,052.86 76.94 0.00 0.00 4,957,940.13 0.44 0.00 0.00

Credit instruments 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Temporary transactions in securities

602,599,106.44 53.90 0.00 0.00 0.00 0.00 0.00 0.00

Financial accounts 0.00 0.00 0.00 0.00 0.00 0.00 147,046,469.93 13.15

Liabilities


582,583,097.13 52.11 0.00 0.00 0.00 0.00 0.00 0.00

Financial accounts 0.00 0.00 0.00 0.00 0.00 0.00 64,562,213.23 5.78

Off-balance sheet

Hedges 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Other operations 297,166,396.40 26.58 0.00 0.00 130,771,458.18 11.70 8,024,212,356.94 717.79


H2O ALLEGRO 46

Breakdown of asset, liability and off-balance sheet items, by time to maturity

< 3 months % ]3 months - 1 year] % ]1 - 3 years] % ]3 - 5 years] % > 5 years %

Assets

Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Bonds and similar securities

1,040,650.00 0.09 1,999,733.78 0.18 9,646,698.01 0.86 138,736,048.73 12.41 713,656,862.47 63.84

Credit instruments 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00


0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 602,599,106.44 53.90

Financial accounts 147,046,469.93 13.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Liabilities


489,478,502.90 43.79 93,104,594.23 8.33 0.00 0.00 0.00 0.00 0.00 0.00

Financial accounts 64,562,213.23 5.78 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Off-balance sheet

Hedges 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Other operations 0.00 0.00 0.00 0.00 679,431,668.59 60.78 4,585,628,534.42 410.20 3,187,090,008.51 285.09

Breakdown of asset, liability and off-balance sheet items, by listing or evaluation currency

Currency 1

USD %

Currency 2 MXN

%

Currency 3 JPY

%

Currency N

%

Assets

Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Equities and similar securities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Bonds and similar securities 109,321,370.25 9.78 375,879,202.89 33.62 0.00 0.00 120,040,487.83 10.74

Credit instruments 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Mutual fund units 3,660,067.18 0.33 0.00 0.00 0.00 0.00 0.00 0.00

Temporary transactions in securities 0.00 0.00 98,159,383.92 8.78 0.00 0.00 0.00 0.00

Liabilities 6,512,346,676.12 582.55 1,066,985,490.06 95.44 787,980,333.30 70.49 5,372,587,762.70 480.59

Financial accounts 49,388,175.40 4.42 19,732.28 0.00 1,182,696.62 0.11 7,518,497.72 0.67

Liabilities

Transactions involving transfer of financial instruments

0.00 0.00 0.00 0.00 0.00 0.00 12,533.81 0.00

Temporary transactions in securities 0.00 0.00 86,082,888.23 7.70 0.00 0.00 0.00 0.00

Debts 4,752,151,753.23 425.09 445,557,579.06 39.86 1,424,157,381.55 127.39 7,509,173,199.41 671.71

Financial accounts 19,393,671.72 1.73 0.00 0.00 0.00 0.00 3,359,169.59 0.30

Off-balance sheet

Hedges 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Other operations 4,138,897,038.31 370.23 0.00 0.00 0.00 0.00 738,752,273.75 66.08

H2O ALLEGRO 47

Forward foreign exchange purchase 3,696,772,936.60

06/28/19Type

ReceivablesFunds to be accepted on urgent sale of currencies 13,591,308,004.88Sales deferred settlement 829,689,915.36Collateral 61,225,630.65

Total receivables 18,178,996,487.49

Urgent sale of currency - 13,634,260,175.68PayablesForward foreign exchange sale - 3,695,325,396.32Purchases deferred settlement - 648,123,225.33Management fees - 3,270,023.03Variable management fees - 53,545,936.41Collateral - 28,163,071.66Other payables - 4,541,110.00

Total of Payables - 18,067,228,938.43

Total payables and receivables 111,767,549.06

Breakdown by items of receivables and payables•


Units subscribed during the period 9,273.8646 843,450.58

Unit HUSD-N

Units redeemed during the period -6,295.0000 -634,156.10Net Subscriptions / Redemptions 2,978.8646 209,294.48

Units subscribed during the period 34.8757 2,754,050.68

Unit HCHF-I (C)

Units redeemed during the period -44.7267 -3,619,451.95Net Subscriptions / Redemptions -9.8510 -865,401.27

Units subscribed during the period 10,378.8785 324,460,202.19

Unit EUR-R (C)

Units redeemed during the period -12,810.0424 -420,853,763.27Net Subscriptions / Redemptions -2,431.1639 -96,393,561.08


Unit EUR-N(C)

Units redeemed during the period -2,164,910.2901 -290,179,852.60Net Subscriptions / Redemptions -1,485,122.6718 -204,105,748.11

Units Value

Shareholders’ funds

Number of units issued or redeemed•

H2O ALLEGRO 48


Unit HCHF-R (C)

Units redeemed during the period -401.2367 -7,270,829.75Net Subscriptions / Redemptions -194.1147 -3,713,626.77


Unit EUR-I (C)



Unit HSGD-R (C)

Units redeemed during the period -192,174.6591 -26,812,863.05Net Subscriptions / Redemptions 25,875.0414 1,885,955.94


Unit HAUD-I (C)

Units redeemed during the period 0.0000 0.00Net Subscriptions / Redemptions 407,495.9597 25,881,630.84

Units subscribed during the period 1,014,629.4204 104,757,339.42

Unit

Units redeemed during the period -1,014,349.4204 -115,622,391.31Net Subscriptions / Redemptions 280.0000 -10,865,051.89


Unit D



Unit HSGD-I (C)

Units redeemed during the period -9.7807 -371,422.86Net Subscriptions / Redemptions 1,730.0761 65,332,877.40

Units Value




H2O ALLEGRO 49


Unit HGBP-I (C)



Unit HUSD-R (C)



Unit HGBP-IC

Units redeemed during the period 0.0000 0.00Net Subscriptions / Redemptions 505,000.0000 56,981,664.32

Units subscribed during the period 1,499,349.3079 163,587,001.79

Unit EUR-SR



Unit HUSD-I (C)

Units redeemed during the period -1,206.3137 -108,536,392.79Net Subscriptions / Redemptions -445.9960 -45,229,924.70


Unit HSGD-SR

Units redeemed during the period -215,144.9763 -14,720,616.63Net Subscriptions / Redemptions 2,797.9381 324,292.91


Unit HUSD-SR


Units Value




H2O ALLEGRO 50

Units subscribed during the period 3,913.9663 349,884.02

Unit HCHF-SR

Units redeemed during the period -3,108.2208 -290,039.86Net Subscriptions / Redemptions 805.7455 59,844.16

Units Value




Value

Subscription and/or redemption fees•

Total of subscription fees received 0.00

Total of redemption fees received 0.00

HCHF-I (C)Unit

Total of subscription and/or redemption fees received 0.00



HUSD-NUnit


Total of subscription fees received 23,992.39


HCHF-R (C)Unit

Total of subscription and/or redemption fees received 24,901.60


Total of redemption fees received -29.64

EUR-N(C)Unit




EUR-R (C)Unit




EUR-I (C)Unit


H2O ALLEGRO 51

Value





Unit




HAUD-I (C)Unit




HSGD-R (C)Unit




DUnit




HSGD-I (C)Unit




HGBP-I (C)Unit




HUSD-R (C)Unit




HGBP-ICUnit


H2O ALLEGRO 52

Value





HUSD-I (C)Unit




EUR-SRUnit




HSGD-SRUnit




HUSD-SRUnit




HCHF-SRUnit


06/28/19

Unit HCHF-I (C)

0.69Percentage set for fixed management fees

59,599.79Fixed management fees

217,365.23Variable management fees

0.00Trailer fees

0.00Underwriting commission

Management fees chargeable to the fund•

H2O ALLEGRO 53

06/28/19

Unit EUR-N(C)


1,526,405.83Fixed management fees

6,756,887.96Variable management fees

0.00Trailer fees


Unit HUSD-N




0.00Trailer fees


Unit HCHF-R (C)




0.00Trailer fees


Unit EUR-R (C)




0.00Trailer fees


Unit HSGD-R (C)




0.00Trailer fees




H2O ALLEGRO 54

06/28/19

Unit HAUD-I (C)




0.00Trailer fees


Unit EUR-I (C)




0.00Trailer fees


Unit D



0.00Variable management fees

0.00Trailer fees


Unit




0.00Trailer fees


Unit HSGD-I (C)




0.00Trailer fees




H2O ALLEGRO 55

06/28/19

Unit HGBP-I (C)



0.00Variable management fees

0.00Trailer fees


Unit HUSD-R (C)




0.00Trailer fees


Unit HGBP-IC




0.00Trailer fees


Unit HUSD-I (C)




0.00Trailer fees


Unit EUR-SR




0.00Trailer fees




H2O ALLEGRO 56

06/28/19

Unit HSGD-SR




0.00Trailer fees


Unit HUSD-SR




0.00Trailer fees


Unit HCHF-SR




0.00Trailer fees




Commitments received and given•

Guarantees received by the UCIT

None.

Other commitments received and/or given

None.

H2O ALLEGRO 57

Securities held under sell-back deals 0.00

Borrowed securities 0.00

06/28/19

Financial instruments pledged but not reclassified 0.00

Financial instruments received as pledges but not recognized in the Balance Sheet 0.00

06/28/19

Futher details

Stock market values of temporarily acquired securities•

Stock market values of pledged securities•


06/28/19Name of securityIsin code

Equities 0.00

Bonds 0.00

Notes 0.00

UCITS 32,548,154.26

1,277,375.00H2O ALLEGRETTO Part I CFR0013378023

100,430.00H2O EUROSOVEREIGN PART I CFR0013410867

31,170,349.26H2O LARGO I C EURFR0013282720

Hedges 0.00

Total group financial instruments 32,548,154.26

Instruments financiers détenus, émis et/ou gérés par le Groupe Natixis•

H2O ALLEGRO 58

Distribution 0.00 0.00

Brought forward 0.00 0.00

Allocation

Capitalized 203,173.44 -288,517.79

Total 203,173.44 -288,517.79

06/28/19 06/29/18

Sums not yet allocated


Profit (loss) 21,973,238.22 -47,652,295.62

Total 21,973,249.54 -47,651,699.85

06/28/19 06/29/18

Unit HCHF-I (C)



Allocation

Capitalized 7,381,950.87 -16,011,470.05

Total 7,381,950.87 -16,011,470.05

06/28/19 06/29/18

Unit EUR-R (C)



Allocation

Capitalized 681,204.49 -6,558,871.83

Total 681,204.49 -6,558,871.83

06/28/19 06/29/18

Unit EUR-N(C)

Table of profit (loss)


Table of allocation of the distributable share of the sums concerned to profit (loss)•

H2O ALLEGRO 59



Allocation

Capitalized 473,451.92 -900,784.02

Total 473,451.92 -900,784.02

06/28/19 06/29/18

Unit HCHF-R (C)



Allocation

Capitalized 8,307.79 0.00

Total 8,307.79 0.00

06/28/19 06/29/18

Unit HUSD-N



Allocation

Capitalized 0.00 0.00

Total 920.80 0.00

Details of units with dividend entitlement

Number of units 280.0000 0.0000

Dividend per unit 3.28 0.00

Tax credits

0.00 0.00Tax credit attached to the distribution of income

06/28/19 06/29/18

Unit



Allocation

Capitalized 430,956.80 -584,496.61

Total 430,956.80 -584,496.61

06/28/19 06/29/18

Unit HSGD-R (C)



H2O ALLEGRO 60



Allocation


Total 771,457.36 0.00

06/28/19 06/29/18

Unit HAUD-I (C)



Allocation

Capitalized 8,978,537.57 -19,115,633.20

Total 8,978,537.57 -19,115,633.20

06/28/19 06/29/18

Unit EUR-I (C)

Distribution 27,379.11 787,072.24


Allocation

Capitalized 0.00 0.00

Total 27,402.72 787,783.27

Details of units with dividend entitlement

Number of units 2,544.5265 159,974.0324

Dividend per unit 10.76 4.92

Tax credits

0.00 0.00Tax credit attached to the distribution of income

06/28/19 06/29/18

Unit D



Allocation

Capitalized 347,584.42 184,391.23

Total 347,584.42 184,391.23

06/28/19 06/29/18

Unit HGBP-I (C)



H2O ALLEGRO 61



Allocation

Capitalized 411,072.36 688.06

Total 411,072.36 688.06

06/28/19 06/29/18

Unit HSGD-I (C)



Allocation

Capitalized 1,132,223.74 0.00

Total 1,132,223.74 0.00

06/28/19 06/29/18

Unit HGBP-IC



Allocation

Capitalized 385,968.57 -2,248,194.77

Total 385,968.57 -2,248,194.77

06/28/19 06/29/18

Unit HUSD-R (C)



Allocation

Capitalized -599,775.86 0.00

Total -599,775.86 0.00

06/28/19 06/29/18

Unit EUR-SR



H2O ALLEGRO 62



Allocation

Capitalized 1,252,216.10 -2,916,594.14

Total 1,252,216.10 -2,916,594.14

06/28/19 06/29/18

Unit HUSD-I (C)



Allocation

Capitalized -262.37 0.00

Total -262.37 0.00

06/28/19 06/29/18

Unit HSGD-SR



Allocation


Total 85,411.46 0.00

06/28/19 06/29/18

Unit HUSD-SR



Allocation


Total 1,447.36 0.00

06/28/19 06/29/18

Unit HCHF-SR



H2O ALLEGRO 63



Allocation

Capitalized 1,690,866.43 970,442.59

Total 1,690,866.43 970,442.59

06/28/19 06/29/18

Sums not yet allocated

Net Capital gains and losses Accumulated from Previous business year 0.00 0.00

Total 194,610,355.91 217,186,059.89

Net Capital gains and losses of the business year 194,610,355.91 217,186,059.89

Allocation Report of distributed items on Net Capital Gains and Losses 0.00 0.00

06/28/19 06/29/18

Unit HCHF-I (C)

Net capital gains and losses accumulated per share 0.00 0.00

Table of allocation of the distributable share of the sums concerned to capital gains and losses•


Allocation

Capitalized 4,541,391.22 28,196,809.17

Total 4,541,391.22 28,196,809.17

06/28/19 06/29/18

Unit EUR-N(C)



Allocation

Capitalized 60,100,555.27 66,577,022.78

Total 60,100,555.27 66,577,022.78

06/28/19 06/29/18

Unit EUR-R (C)


H2O ALLEGRO 64



Allocation


Total 62,616.99 0.00

06/28/19 06/29/18

Unit HUSD-N



Allocation

Capitalized 4,546,262.14 2,778,302.83

Total 4,546,262.14 2,778,302.83

06/28/19 06/29/18

Unit HCHF-R (C)



Allocation

Capitalized 4,766,742.31 0.00

Total 4,766,742.31 0.00

06/28/19 06/29/18

Unit HAUD-I (C)



Allocation

Capitalized 63,064,327.33 86,711,404.68

Total 63,064,327.33 86,711,404.68

06/28/19 06/29/18

Unit EUR-I (C)


H2O ALLEGRO 65



Allocation

Capitalized 6,774,294.77 3,938,161.08

Total 6,774,294.77 3,938,161.08

06/28/19 06/29/18

Unit HSGD-R (C)



Allocation


Total 4,445.17 0.00

06/28/19 06/29/18

Unit



Allocation

Capitalized 87,145.23 4,874,308.52

Total 87,145.23 4,874,308.52

06/28/19 06/29/18

Unit D



Allocation

Capitalized 1,207,688.10 1,526,241.49

Total 1,207,688.10 1,526,241.49

06/28/19 06/29/18

Unit HGBP-I (C)


H2O ALLEGRO 66



Allocation

Capitalized 13,654,434.19 -266.16

Total 13,654,434.19 -266.16

06/28/19 06/29/18

Unit HSGD-I (C)



Allocation

Capitalized 7,979,037.68 0.00

Total 7,979,037.68 0.00

06/28/19 06/29/18

Unit HGBP-IC



Allocation

Capitalized 4,249,327.73 8,890,821.92

Total 4,249,327.73 8,890,821.92

06/28/19 06/29/18

Unit HUSD-R (C)



Allocation

Capitalized 11,544,217.09 12,722,810.99

Total 11,544,217.09 12,722,810.99

06/28/19 06/29/18

Unit HUSD-I (C)


H2O ALLEGRO 67



Allocation

Capitalized 9,421,412.00 0.00

Total 9,421,412.00 0.00

06/28/19 06/29/18

Unit EUR-SR



Allocation


Total 21,263.82 0.00

06/28/19 06/29/18

Unit HSGD-SR



Allocation


Total 882,752.55 0.00

06/28/19 06/29/18

Unit HUSD-SR



Allocation


Total 11,575.89 0.00

06/28/19 06/29/18

Unit HCHF-SR


H2O ALLEGRO 68

06/30/15

Global Net Assets in EUR 207,414,226.06

06/30/16

239,271,564.83

06/30/17

292,741,580.53

06/29/18

1,335,261,350.39

06/28/19

1,117,911,302.19

H2O ALLEGRO HUSD-N

0.00Net assets in USD 0.00 0.00 0.00 328,318.81

0.0000Number of shares/units 0.0000 0.0000 0.0000 2,978.8646

0.00NAV per share/unit 0.00 0.00 0.00 110.21

0.00Net Capital Gains and LossesAccumulated per share

0.00 0.00 0.00 21.02

0.00Net income Accumulated pershare

0.00 0.00 0.00 2.78

H20 ALLEGRO HCHF-R

1,951,924.30Net assets in CHF 8,162,124.93 12,087,439.47 25,615,203.24 23,727,261.82

198.9319Number of shares/units 737.0320 843.9846 1,358.1711 1,164.0564

9,812.02NAV per share/unit 11,074.31 14,321.87 18,860.07 20,383.25

2,028.96Net Capital Gains and LossesAccumulated per share

-66.30 1,338.56 2,045.62 3,905.53


121.92 -268.58 -663.23 406.72

H2O ALLEGRO R

46,360,352.50Net assets in EUR 73,032,960.66 93,265,056.71 389,583,415.87 340,356,815.67

2,910.0901Number of shares/units 4,079.8909 4,017.9514 12,707.9732 10,276.8093



169.25 2,672.02 5,238.99 5,848.17


45.71 -470.61 -1,259.95 718.31

H2O ALLEGRO HCHF-I

0.00Net assets in CHF 1,365,768.58 3,455,430.87 8,962,960.65 8,835,701.78

0.0000Number of shares/units 28.5000 55.0441 107.9546 98.1036

0.00NAV per share/unit 47,921.70 62,775.68 83,025.27 90,065.01


-922.17 5,854.86 8,989.35 17,235.51


1,230.18 -553.71 -2,672.58 2,071.00

Table of profit (loss) and other typical features of the fund over the past five financial periods


H2O ALLEGRO 69

06/30/15


06/30/16

239,271,564.83

06/30/17

292,741,580.53

06/29/18

1,335,261,350.39

06/28/19

1,117,911,302.19

H2O ALLEGRO N

0.00Net assets in EUR 0.00 0.00 207,816,846.61 25,715,920.31

0.0000Number of shares/units 0.0000 0.0000 1,677,330.8276 192,208.1558



0.00 0.00 16.81 23.62


0.00 0.00 -3.91 3.54

H2O ALLEGRO M

0.00Net assets in EUR 0.00 584,863.82 28,726,644.72 492,997.09

0.0000Number of shares/units 0.0000 4,436.2976 159,974.0324 2,544.5265



0.00 12.59 30.46 34.24

0.00Distribution on Net Income pershare

0.00 6.10 4.92 10.76

0.00Unit brought forward in EUR onthe result

0.00 0.00 0.00 0.00

0,00Tax credits per share/unit 0,00 0,00 0,00 *

H2O ALLEGRO HAUD I C

0.00Net assets in AUD 0.00 0.00 0.00 45,194,336.72




0.00 0.00 0.00 11.69


0.00 0.00 0.00 1.89



H2O ALLEGRO 70

06/30/15


06/30/16

239,271,564.83

06/30/17

292,741,580.53

06/29/18

1,335,261,350.39

06/28/19

1,117,911,302.19

H2O ALLEGRO I

144,968,917.75Net assets in EUR 129,463,082.70 142,346,699.61 508,568,669.47 357,598,864.91




858.06 13,606.83 26,791.57 30,047.43


555.58 -1,983.09 -5,906.23 4,277.88

H2O ALLEGRO ID

0.00Net assets in EUR 0.00 0.00 0.00 29,734.35




0.00 0.00 0.00 15.87

0.00Distribution on Net Income pershare

0.00 0.00 0.00 3.28

0.00Unit brought forward in EUR onthe result

0.00 0.00 0.00 0.00

0,00Tax credits per share/unit 0,00 0,00 0,00 *

H20 ALLEGRO HSGD-R

302,980.06Net assets in SGD 5,795,336.41 12,491,681.39 38,097,839.00 47,642,544.21




11.62 13.35 21.00 31.74


-0.13 -0.84 -3.11 2.01



H2O ALLEGRO 71

06/30/15


06/30/16

239,271,564.83

06/30/17

292,741,580.53

06/29/18

1,335,261,350.39

06/28/19

1,117,911,302.19

H20 ALLEGRO HSGD-I

0.00Net assets in SGD 0.00 0.00 202,211.29 95,547,117.21


0.00NAV per share/unit 0.00 0.00 50,552.82 55,099.72


0.00 0.00 -66.54 7,874.18


0.00 0.00 172.01 237.05

H20 ALLEGRO HGBP-I

3,411,439.93Net assets in GBP 3,915,437.43 6,025,849.34 7,742,379.91 6,278,275.92




-16.23 11.85 89.72 97.89


10.60 15.27 10.83 28.17

H2O ALLEGRO(PRF)H-GBP IC

0.00Net assets in GBP 0.00 0.00 0.00 55,164,222.22




0.00 0.00 0.00 15.80


0.00 0.00 0.00 2.24

H20 ALLEGRO HUSD-R

755,697.69Net assets in USD 5,661,563.35 8,496,356.98 66,185,034.38 21,829,637.68

78.3630Number of shares/units 524.7845 601.4218 3,488.1373 1,032.8576



236.97 1,466.52 2,548.87 4,114.14


-39.16 -260.09 -644.52 373.69



H2O ALLEGRO 72

06/30/15


06/30/16

239,271,564.83

06/30/17

292,741,580.53

06/29/18

1,335,261,350.39

06/28/19

1,117,911,302.19

H2O ALLEGRO SR C

0.00Net assets in EUR 0.00 0.00 0.00 94,958,321.48




0.00 0.00 0.00 10.27


0.00 0.00 0.00 -0.65

H20 ALLEGRO HUSD-I

9,487,296.93Net assets in USD 15,874,069.60 22,866,029.31 94,851,448.87 59,403,023.64

206.5895Number of shares/units 300.8323 329.6192 1,013.4044 567.4084



1,046.96 7,176.43 12,554.52 20,345.51


1,069.41 -1,054.84 -2,878.01 2,206.90

H2O ALLEGRO H-SGD SR

0.00Net assets in SGD 0.00 0.00 0.00 278,138.47




0.00 0.00 0.00 7.59


0.00 0.00 0.00 -0.09

H2O ALLEGRO H-USD SR

0.00Net assets in USD 0.00 0.00 0.00 9,234,665.07




0.00 0.00 0.00 9.41


0.00 0.00 0.00 0.91



H2O ALLEGRO 73

06/30/15


06/30/16

239,271,564.83

06/30/17

292,741,580.53

06/29/18

1,335,261,350.39

06/28/19

1,117,911,302.19

H2O ALLEGRO H-CHF SR

0.00Net assets in CHF 0.00 0.00 0.00 79,189.67




0.00 0.00 0.00 14.36


0.00 0.00 0.00 1.79



H2O ALLEGRO 74

Bonds and similar securitiesListed bonds and similar securities

EIREFCA BANK SPA IRISH BRANCH E3R+0.4% 18-12-19 EUR 2,000,000 1,999,733.78 0.18

TOTAL EIRE 1,999,733.78 0.18

Currency Quantity Market value %Name of security

FRANCEACAFP 7 7/8 01/29/49 USD 2,000,000 1,943,359.24 0.17AXA SA 5.25%10-160440 EUR 200,000 210,603.02 0.02AXASA 5 1/2 07/22/49 USD 1,000,000 907,309.83 0.08BNP PARIB 4.875% PERP *EUR EUR 300,000 317,231.67 0.03CASA 6.50% PERP EUR 4,595,000 5,044,067.85 0.45CRED AGRI SA 6.625% PERP USD 2,000,000 1,770,681.86 0.16LAMON 6 3/4 04/25/44 EUR 200,000 243,128.20 0.02SG 7.375% PERP USD 2,600,000 2,427,871.64 0.22SOCGEN 6 12/31/49 USD 3,900,000 3,519,566.21 0.31SOCIETE GENERALE TV PERPETL EUR 700,000 766,858.15 0.07SOCIETE GENERALE 8.0% PERP USD 1,300,000 1,287,747.34 0.12

TOTAL FRANCE 18,438,425.01 1.65

GREECEGRECE 15/10/2042 EUR 28,035,300 124,196.38 0.01HELLENIC REPUBLIC GOVERNMENT BOND 3.5% 30-01-23 EUR 22,853,711 25,137,281.98 2.25HELLENIC REPUBLIC GOVERNMENT BOND 3.75% 29-01-28 EUR 29,442,790 33,197,015.95 2.97HELLENIC REPUBLIC GOVERNMENT BOND 3.9% 30-01-33 EUR 12,103,504 13,788,044.82 1.23HELLENIC REPUBLIC GOVERNMENT BOND 4.0% 30-01-37 EUR 1,392,824 1,599,334.01 0.14HELLENIC REPUBLIC GOVERNMENT BOND 4.2% 29-01-42 EUR 366,200 425,995.14 0.04HELLENIC REPUBLIC GOVERNMENT BOND 4.375% 01-08-22 EUR 2,500,000 2,862,460.27 0.26

TOTAL GREECE 77,134,328.55 6.90

ILIAC TRACTS CAIMANESADS SECURITIES FUNDING LIMITED 6.5% 18-06-23 USD 15,550,000 3,436,472.48 0.31

TOTAL ILIAC TRACTS CAIMANES 3,436,472.48 0.31

ITALYBTPS 4 3/4 09/01/44 EUR 830,000 1,108,063.58 0.10INTESA SAN 7.0% PERP EMTN EUR 2,700,000 2,933,908.31 0.26INTESA SANPA 7.7% PERP CV USD 1,300,000 1,151,470.70 0.10ITALIE 4.75% 01/09/2028 EUR 52,000,000 65,575,450.65 5.88ITALIE 5%09-010325 EUR 750,000 906,638.97 0.08ITALIE 6 7/8% 23 USD 5,000,000 5,052,214.45 0.45ITALY BUONI POLIENNALI DEL TESORO 2.8% 01-12-28 EUR 1,035,000 1,114,023.89 0.10ITALY BUONI POLIENNALI DEL TESORO 3.0% 01-08-29 EUR 21,725,000 23,836,752.82 2.13UNICREDIT SPA 6.625% PERP EUR 3,600,000 3,609,141.54 0.32

TOTAL ITALY 105,287,664.91 9.42

LUXEMBURGVOLKSWAGEN CAR LEASE E1R+0.4% 21-02-24 EUR 6,000,000 2,834,009.97 0.25

TOTAL LUXEMBURG 2,834,009.97 0.25

Portfolio listing of financial instruments


H2O ALLEGRO 75

MEXICOCORPORACION GEO SA DE CV 9.25% 30-06-20 DEFAULT USD 1,170,000 123.29 0.00


CORPORACION GEO 8.875% 03/22 DEFAULT USD 5,814,000 102.11 0.00MEXICAN BONOS 10.0% 05-12-24 MXN 33,310,000 170,554,481.71 15.25MEXICAN BONOS 5.75% 05-03-26 MXN 1,000,000 4,241,228.46 0.38MEXICAN BONOS 7.5% 03-06-27 - PAYE TOUS LES 182 JOURS MXN 9,471,000 43,442,407.72 3.89MEXICAN BONOS 7.75% 29-05-31 MXN 14,940,000 69,335,987.19 6.19MEXICAN BONOS 8.0% 07-12-23 MXN 11,200,000 52,503,722.12 4.70MEXICAN BONOS 8.5% 31-05-29 MXN 7,245,000 35,438,055.12 3.17PEMEX 7.47 11/12/26 MXN 100,000 363,320.57 0.03

TOTAL MEXICO 375,879,428.29 33.61

NETHERLANDSABN AMRO BANK NV 4.75% PERP EUR 6,100,000 6,377,524.14 0.57CIVITAS PROPERTIES FINANCE B V 4.0% 24-11-22 EUR 16,400,000 8,578,958.91 0.77ING GROEP NV 6.875% PERP USD 3,000,000 2,819,241.02 0.25SWB FINANCE BV 7.0% 26-07-23 EUR 1,000,000 315,397.26 0.03TRENT PETROLEUM FINANCE BV 8.5% 05-12-23 EUR 22,000,000 10,970,767.12 0.98

TOTAL NETHERLANDS 29,061,888.45 2.60

PORTUGALBANCO ESPIRITO SANTO S 2.625% 08/05/2017 EUR 1,700,000 439,934.50 0.04BCO ESPI 4.75% 15-01-18 EMTN DEFAULT EUR 2,100,000 600,715.50 0.05ENERGIAS DE PORTUGAL EDP 4.496% 30-04-79 EUR 1,800,000 1,985,524.23 0.18

TOTAL PORTUGAL 3,026,174.23 0.27

RUSSIARUSSIAN FEDERAL BOND OFZ 6.9% 23-05-29 RUB 2,396,750,000 32,653,078.03 2.92RUSSIAN FEDERAL BOND OFZ 7.1% 16-10-24 RUB 617,000,000 8,672,352.46 0.78

TOTAL RUSSIA 41,325,430.49 3.70

SOUTHERN AFRICAREPUBLIC OF SOUTH AFRICA ZAR 1,053,750,000 61,224,449.76 5.48

TOTAL SOUTHERN AFRICA 61,224,449.76 5.48

SPAINBANCO BILBAO VIZCAYA ARGENTARIA SA 6.125% PERP USD 2,600,000 2,170,608.19 0.19BANCO DE SABADELL SA 6.125% PERP EUR 2,400,000 2,368,938.26 0.21BANCO NTANDER 4.75% PERP EUR 3,400,000 3,229,789.16 0.30BANKIA 6.375% PERP EUR 1,200,000 1,263,890.45 0.11CAIXABANK SA 6.75% PERP EUR 800,000 868,964.04 0.08CAIXABANK 5.25% PERP EUR 2,400,000 2,262,945.52 0.20SPGB 3.8 04/30/24 EUR 875,000 1,049,869.61 0.09

TOTAL SPAIN 13,215,005.23 1.18

SWITZERLANDCRED SUIS GRP 6.25% 31-12-99 USD 1,200,000 1,103,182.89 0.10CRED SUIS SA GROUP AG 7.5% PERP USD 2,400,000 2,332,739.73 0.21

TOTAL SWITZERLAND 3,435,922.62 0.31

TURKEYREPU DE TURQ 4.875% 09-10-26 USD 24,380,000 19,445,331.80 1.74REPUBLIQUE DE TURQUIE 11.0% 24-02-27 TRY 68,000,000 8,248,327.45 0.74REPUBLIQUE DE TURQUIE 6.0% 25-03-27 USD 7,500,000 6,381,695.64 0.57REPUBLIQUE DE TURQUIE 8.0% 12-03-25 TRY 86,000,000 9,242,280.13 0.83


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TURKEY GOVERNMENT INTL BOND 7.625% 26-04-29 USD 35,250,000 32,865,632.87 2.93


TURKEY 5 3/4 03/22/24 USD 4,300,000 3,749,594.80 0.34TURQUIE 4.875% 04/43 USD 24,380,000 16,956,424.16 1.52

Total listed bond and similar securities 833,188,220.62 74.53TOTAL TURKEY 96,889,286.85 8.67

Bonds and similar securities not negotiated on a regulated orassimilated market

NETHERLANDSCHAIN FINANCE BV 7.75% 11-08-20 EUR 22,000,000 9,646,472.61 0.86EVEREST MEDTECH BV 5.0% 29-01-24 EUR 10,000,000 2,710,958.90 0.24LA PERLA FASHION FINANCE BV 7.25% 29-03-23 EUR 14,400,000 3,821,956.98 0.34RUBIN ROBOTICS BV 5.0% 29-03-24 EUR 30,000,000 7,889,344.26 0.71TENNOR FINANCE BV 5.75% 17-06-24 EUR 34,000,000 7,823,039.62 0.70

TOTAL Bonds & similar sec. not nego. on reg. market 31,891,772.37 2.85

Total bonds and similar securities 865,079,992.99 77.38

TOTAL NETHERLANDS 31,891,772.37 2.85

Collective investment undertakingsGeneral-purpose UCITS and alternative investment funds intended fornon-professionals and equivalents in other countries

LUXEMBURGQUADRA CAPITAL FX DRIVEN S -A- EUR 2,019.936 2,069,060.84 0.19

TOTAL LUXEMBURG 2,069,060.84 0.19

UNITED KINGDOMH2O ALLEGRETTO Part I C EUR 12,500 1,277,375.00 0.11H2O EUROSOVEREIGN PART I C EUR 1,000 100,430.00 0.01H2O LARGO I C EUR EUR 299,859.0597 31,170,349.26 2.78

TOTAL General-purpose UCITS and alternative investmentfunds intended for non-professionals and equivalents in othercountries

34,617,215.10 3.09

TOTAL UNITED KINGDOM 32,548,154.26 2.90

Other non-European entities

ILIAC TRACTS CAIMANESARCTIC BLUE MASTER FUND H SHARE CLASS USD 45,000 3,660,067.18 0.33

TOTAL Other non-European entities 3,660,067.18 0.33

Total collective investment undertakings 38,277,282.28 3.42

TOTAL ILIAC TRACTS CAIMANES 3,660,067.18 0.33

Transactions involving transfer of financial instrumentsListed bonds and similar securities

DEGROS HOLDING BV 6.5% 17-01-23 EUR 0 -18,128.77 0.00REPU DE TURQ 10.6% 11-02-26 TRY 0 -12,533.81 0.00

Total listed bond and similar securities -30,662.58 0.00

Total transactions involving transfer of financial instruments -30,662.58 0.00

Securities sold under agreements to repurchase

ITALYBTPS 4 3/4 09/01/44 EUR 30,000,000 40,050,490.76 3.58ITALIE 4.75% 01/09/2028 EUR 200,000,000 252,213,271.74 22.56ITALIE 5%09-010325 EUR 15,000,000 18,132,779.35 1.62ITALY BUONI POLIENNALI DEL TESORO 2.8% 01-12-28 EUR 113,000,000 121,627,729.07 10.88


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ITALY BUONI POLIENNALI DEL TESORO 3.0% 01-08-29 EUR 66,000,000 72,415,451.60 6.48TOTAL ITALY 504,439,722.52 45.12


MEXICOMEXICAN BONOS 7.5% 03-06-27 - PAYE TOUS LES 182 JOURS MXN 21,400,000 98,159,383.92 8.78

TOTAL Securities sold under agreement to resell 602,599,106.44 53.90

TOTAL MEXICO 98,159,383.92 8.78

Debts representative of securities sold under agreements torepurchase -582,468,681.51 -52.10

Indemnification on securities sold under agreements to repurchase -114,415.62 -0.01

HedgesUrgent commitments closed

Urgent commitments firm on regulated or assimilated marketCBOT USUL 30A 0919 USD 677 2,776,277.66 0.25EUR XEUR FGBX B 0919 EUR -9 -4,320.00 0.00FV CBOT UST 5 0919 USD -34,701 -29,349,401.91 -2.63LIFFE LG GILT 0919 GBP -248 -268,361.65 -0.02TY CBOT YST 1 0919 USD -2,187 -4,127,199.72 -0.37US US TBOND 3 0919 USD -848 -2,561,145.73 -0.23XEUR FBTP BTP 0919 EUR 11,750 60,077,710.00 5.37XEUR FGBL BUN 0919 EUR -5,078 -7,091,800.00 -0.63XEUR FGBM BOB 0919 EUR -4,401 -2,680,310.00 -0.24XEUR FGBS SCH 0919 EUR -4,830 -828,830.00 -0.07XEUR FOAT EUR 0919 EUR 21 55,440.00 0.00XSFE XT AUSTR 0919 AUD -251 -154,865.66 -0.01XSFE YT1 AUST 0919 AUD 703 82,812.15 0.01

Total Firm urgent commitments 15,926,005.14 1.43Total Firm urgent commitments on market reglemente 15,926,005.14 1.43

Commitments with conditional terms

Commitments with conditional terms on OTC marketEUR/USD OTC 07/2019 CALL 1,167 EUR 28,700,000 6,828.27 0.00EUR/USD OTC 07/2019 PUT 1,1025 EUR -28,700,000 -1,078.99 0.00USD/MXN OTC 08/2019 CALL 21 USD -83,000,000 -90,282.94 -0.01USD/MXN OTC 08/2019 PUT 19 USD 83,000,000 455,055.66 0.04USD/TWD OTC 03/2020 PUT 30,1 USD -31,500,000 -265,490.33 -0.02USD/TWD OTC 09/2019 CALL 31,5 USD 126,000,000 543,441.63 0.05

TOTAL Commitments with conditional terms on OTC 648,473.30 0.06

Commitments with conditional terms on regulated or assimilated marketEUREX EURO BUND 07/2019 CALL 174 EUR 700 58,350.00 0.01EUREX EURO BUND 07/2019 PUT 170,5 EUR -700 72,350.00 0.00

TOTAL Commitments with conditional terms 779,173.30 0.07

TOTAL Commitments with conditional terms on regulatedmarket 130,700.00 0.01

Other hedges

Interest rate swapsFIX/7.065/JIBA3R/0.0 ZAR 350,000,000 57.33 0.00FIX/7.075/JIBA3R/0.0 ZAR 350,000,000 75.24 0.00FIX/7.085/JIBA3R/0.0 ZAR 350,000,000 93.16 0.00FIX/7.085/JIBA3R/0.0 ZAR 350,000,000 93.16 0.00


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FIX/7.09/JIBA3R/0.0 ZAR 350,000,000 68.07 0.00


FIX/7.12/JIBA3R/0.0 ZAR 350,000,000 103.90 0.00JIBA3R/0.0/FIX/6.934 ZAR 192,500,000 130.05 0.00JIBA3R/0.0/FIX/6.935 ZAR 192,500,000 53,061.43 0.00JIBA3R/0.0/FIX/7.042 ZAR 192,500,000 -3,356.53 0.00JIBA3R/0.0/FIX/7.045 ZAR 189,750,000 -4,555.14 0.00JIBA3R/0.0/FIX/7.065 ZAR 192,500,000 -13,506.39 0.00JIBA3R/0.0/FIX/7.07 ZAR 192,500,000 -17,503.84 0.00JIBA3R/0.0/FIX/7.07 ZAR 206,250,000 -18,754.12 0.00JIBA3R/0.0/FIX/7.075 ZAR 192,500,000 -18,558.35 0.00JIBA3R/0.0/FIX/7.085 ZAR 192,500,000 -23,610.31 0.00JIBA3R/0.0/FIX/7.09 ZAR 192,500,000 -26,136.89 0.00JIBA3R/0.0/FIX/7.1 ZAR 192,500,000 -32,437.99 0.00JIBA3R/0.0/FIX/7.12 ZAR 192,500,000 -41,292.77 0.00JIBA3R/0.0/FIX/7.145 ZAR 192,500,000 -54,632.14 0.00JIBA3R/0.0/FIX/7.145 ZAR 192,500,000 -54,632.14 0.00JIBA3R/0.0/FIX/7.145 ZAR 192,500,000 -54,632.14 0.00JIBA3R/0.0/FIX/7.15 ZAR 192,500,000 -56,448.65 -0.01JIBA3R/0.0/FIX/7.15 ZAR 192,500,000 -57,159.29 -0.01JIBA3R/0.0/FIX/7.15 ZAR 192,500,000 -57,159.29 -0.01JIBA3R/0.0/FIX/7.151 ZAR 192,500,000 -57,664.96 -0.01JIBA3R/0.0/FIX/7.16 ZAR 178,750,000 -58,073.59 -0.01JIBA3R/0.0/FIX/7.165 ZAR 192,500,000 -64,025.99 -0.01JIBA3R/0.0/FIX/7.167 ZAR 192,500,000 -66,333.39 -0.01

Total other hedges -726,791.57 -0.07

Total hedges 15,978,386.87 1.43

TOTAL Interest rate swap -726,791.57 -0.07

Margin callAPPEL MARGE CACEIS USD 38,903,659.73 34,161,977.28 3.06APPEL MARGE CACEIS GBP 197,970 221,244.97 0.02APPEL MARGE CACEIS AUD 156,706.59 96,565.56 0.01APPEL MARGE CACEIS EUR -50,141,300.25 -50,141,300.25 -4.49

Total margin call -15,661,512.44 -1.40

TOTAL PORTFOLIO LISTING 923,659,496.43 82.62


Receivables 18,178,996,487.49 1,626.16

Debts -18,067,228,938.43 -1,616.16

Financial accounts 82,484,256.70 7.38

Net assets 1,117,911,302.19 100.00

ADDITIONAL INFORMATION FOR INVESTORS IN THE FEDERAL REPUBLIC OF GERMANY

The function of the Paying and Information Agent in the Federal Republic of Germany is performed by: CACEIS Bank, Germany Branch Lilienthalallee 34 - 36, D-80939 Munich, Germany (hereinafter: German Paying and Information Agent) Applications for the redemptions and conversion of units may be sent to the German Paying and Information Agent. All payments to investors, including redemption proceeds and potential distributions may be obtained upon request through the German Paying and Information Agent. The following documents may be obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent:

• the prospectus, • the key investor information document, • the current annual and semi-annual reports, • the Management Regulations, • the custody agreement between the Management Company and CACEIS Bank.

The issue and redemption prices, the net asset value as well as any notices to investors are also available from the German Paying and Information Agent. In addition, the issue and redemption prices are published on www.fundinfo.com and any notices to investors in the Federal Gazette (“www.bundesanzeiger.de”). In addition, communications to investors in the Federal Republic of Germany will be by means of a durable medium (section 167 of the Investment Code) in the following cases:

• suspension of the redemption of the units, • termination of the management of the fund or its liquidation, • any amendments to the fund’s rules which are inconsistent with the previous investment

principles, which affect material investor rights or which relate to remuneration and reimbursement of expenses that may be paid or made out of the asset pool,

• merger of the fund with one or more other funds and • the change of the fund into a feeder fund or the modification of a master fund.

H2O AM LLP Limited Liability Partnership incorporated in England and Wales, authorised by the Financial Services Authority, Under number 529105 10 Old Burlington Street – London W1S 3AG, United Kingdom

H2O ALLEGRO

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