PARVEST SICAV ANNUAL REPORT. at 28/02/2014. R.C.S. Luxembourg B

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1 PARVEST SICAV ANNUAL REPORT at 28/02/2014 R.C.S. Luxembourg B

2

3 Table of contents Page Organisation 5 Information 8 Manager's report 9 Audit report 13 Financial statements at 28/02/ Key figures relating to the last 3 years 40 Absolute Return Balanced 69 Absolute Return Growth 70 Absolute Return Stability 71 Bond Asia ex-japan 72 Bond Best Selection World Emerging 74 Bond Euro 76 Bond Euro Corporate 78 Bond Euro Government 82 Bond Euro High Yield 84 Bond Euro Inflation-Linked 86 Bond Euro Long Term 87 Bond Euro Medium Term 88 Bond Euro Short Term 90 Bond Europe Emerging 92 Bond JPY 93 Bond Russia 94 Bond USA High Yield 95 Bond USD 98 Bond USD Government 100 Bond World 101 Bond World Corporate 104 Bond World Emerging 108 Bond World Emerging Advanced 111 Bond World Emerging Corporate 113 Bond World Emerging Local 115 Bond World High Yield 116 Bond World Inflation-Linked 120 Commodities Arbitrage 121 Convertible Bond Asia 122 Convertible Bond Europe 123 Convertible Bond Europe Small Cap 124 Page 1

4 Table of contents Page Convertible Bond World 125 Diversified Dynamic 127 Diversified Inflation 128 Enhanced Cash 6 Months 129 Enhanced Cash 18 Months 131 Environmental Opportunities 132 Equity Australia 133 Equity Best Selection Asia ex-japan 134 Equity Best Selection Euro 135 Equity Best Selection Europe 136 Equity Best Selection Europe ex-uk 137 Equity Brazil 138 Equity Bric 139 Equity China 141 Equity Europe Emerging 142 Equity Europe Growth 143 Equity Europe Mid Cap 144 Equity Europe Small Cap 145 Equity Europe Value 146 Equity Germany 147 Equity High Dividend Europe 148 Equity High Dividend Pacific 149 Equity High Dividend USA 150 Equity India 151 Equity Indonesia 152 Equity Japan 153 Equity Japan Small Cap 154 Equity Latin America 156 Equity Nordic Small Cap 158 Equity Pacific ex-japan 159 Equity Russia 161 Equity Russia Opportunities 162 Equity South Korea 163 Equity Turkey 164 Equity USA 165 Equity USA Growth 166 Equity USA Mid Cap 167 Equity USA Small Cap 168 Page 2

5 Table of contents Page Equity World Consumer Durables 170 Equity World Emerging 171 Equity World Emerging Low Volatility 172 Equity World Energy 174 Equity World Finance 175 Equity World Health Care 176 Equity World Low Volatility 177 Equity World Materials 179 Equity World Technology 180 Equity World Telecom 181 Equity World Utilities 182 Flexible Assets EUR 183 Flexible Bond Europe Corporate 184 Flexible Bond World 186 Flexible Equity Europe 188 Global Environment 189 Green Tigers 190 Money Market Euro 191 Money Market USD 192 Multi-Strategy Low Vol 194 Multi-Strategy Medium Vol 195 Multi-Strategy Medium Vol (USD) 196 Opportunities USA 197 Opportunities World 198 Real Estate Securities Europe 200 Real Estate Securities Pacific 201 Real Estate Securities World 202 Step 80 World Emerging 203 Step 90 Commodities (EUR) 204 Step 90 Euro 205 Step 90 US 206 Sustainable Bond Euro 207 Sustainable Bond Euro Corporate 210 Sustainable Equity Europe 214 V World Commodities 219 Page 3

6 Table of contents Page Notes to the financial statements 220 Unaudited appendix 279 No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. Page 4

7 Organisation Registered office of the Company 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Board of Directors Chairman Mr. Philippe MARCHESSAUX, Chief Executive Officer, BNP Paribas Investment Partners, Paris Members Mr. Marnix ARICKX, Managing Director, BNP Paribas Investment Partners Belgium, Brussels Mr. Vincent CAMERLYNCK, CEO Asia Pacific, BNP Paribas Investment Partners, Hong Kong Mr. Christian DARGNAT, Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Mrs. Marianne DEMARCHI, Head of Group Networks, BNP Paribas Investment Partners, Paris Mr. William DE VIJLDER, Vice-Chairman, BNP Paribas Investment Partners, Paris Mr. Andrea FAVALORO, Head of External Distribution, BNP Paribas Investment Partners, Paris Mr. Anthony FINAN, Deputy- Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Mr. Marc RAYNAUD, Head of Global Funds Solutions, BNP Paribas Investment Partners, Paris Mr. Christian VOLLE, Chairman of the Fondation pour l Art et la Recherche, Paris Managing Director Mr. Anthony FINAN, Deputy- Head of Distributors Business Line, BNP Paribas Investment Partners, Paris Company Secretary (non-member of the Board) Mr. Stéphane BRUNET, Chief Executive Officer, BNP Paribas Investment Partners Luxembourg, Hesperange Management Company BNP Paribas Investment Partners Luxembourg, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg BNP Paribas Investment Partners Luxembourg is a Management Company as defined in chapter 15 of the law of 17 December 2010 concerning undertakings for collective investment, as amended. The Management Company performs the administration, portfolio management and marketing duties. Responsibility for calculating net asset values is delegated to: BNP Paribas Securities Services, Luxembourg Branch, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg The responsibilities of transfer agent and registrar are delegated to: BNP Paribas Securities Services, Luxembourg Branch, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Page 5

8 Organisation Responsibility for portfolio management is delegated to: Management entities of the BNP Paribas Group Alfred Berg Kapitalforvaltning AS, Olav V gate 5, NO-0161 Oslo, Norway (since 1 November 2013) Alfred Berg Kapitalförvaltning AB Nybrokajen 5, SE Stockholm, Sweden (since 1 November 2013) BNP Paribas Asset Management S.A.S., 1 Boulevard Haussmann, F Paris, France BNP Paribas Asset Management Inc., 75 State Street, Suite 2700, Boston, Massachusetts, 02109, USA BNP Paribas Asset Management Brasil Ltda, Av. Juscelino Kubitchek Andar, Sao Paulo SP, Brazil BNP Paribas Investment Partners Asia Ltd., 30/F Three Exchange Square, 8 Connaught Place, Central Hong Kong BNP Paribas Investment Partners Australia Ltd., 60 Castlereagh Street, NSW 2000, Sydney, Australia (since 1 November 2013) BNP Paribas Investment Partners Japan Ltd., Gran Tokyo North Tower, 9-1, Marunouchi 1-chome, Chiyoda-ku, Tokyo , Japan BNP Paribas Investment Partners Netherlands N.V., Burgerweeshuispad Tripolis 200, PO box 71770, NL-1008 DG Amsterdam, The Netherlands BNP Paribas Investment Partners Singapore Limited, 20 Collyer Quay Tung Center #01-01, Singapore BNP Paribas Investment Partners UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom CamGestion S.A., 1, Boulevard Haussmann, F Paris, France Fischer Francis Trees & Watts, Inc., 200 Park Avenue, 11 th floor, New York, NY 10166, USA Fischer Francis Trees & Watts UK Ltd., 5 Aldermanbury Square, London EC2V 7HR, United Kingdom FOURPOINTS Investment Managers, 13/15 rue de la Baume, Paris, France (until 1 November 2013) Shinhan BNP Paribas Asset Management Co. Ltd., 23-2, Yoido Dong Youngdeungpo, Goodmorniong Shinhan Tower 18F, Seoul, , Korea THEAM S.A.S., 1 Boulevard Haussmann, F Paris, France TEB Portföy Yönetimi A.Ş., Gayrettepe Mahallesi Yener Sokak n 1 Kat. 9 Besiktas Istanbul, Turkey (since 1 November 2013) Pzena Investment Management, 120 West 45th Street, 20th Floor, New York, NY 10036, USA (until 1 November 2013) Management entities not part of the Group: Arnhem Investment Management Pty Ltd., Royal Exchange Building, Level 13, 56 Pitt Street, Sydney NSW 2000, Australia Fairpointe Capital LLC., One North Franklin Street, Suite 3300, Chicago, IL 60606, USA Impax Asset Management Limited Plc., Norfolk House, 31 St James s Square, London, SW1Y 4JR, United Kingdom Neuflize Private Assets (NPA) S.A., 3 Avenue Hoche, F-75008, Paris, France (absorbed by Neuflize OBC Investissements on 2 January 2014) RiverRoad Asset Management, LLC, 462 South Fourth Street, Suite 1600 Louisville, Kentucky , USA Sumitomo Mitsui Asset Management Co. Ltd., Atago Green Hills, Mori Tower, 28F, Atago Minato-ku, Tokyo , Japan (since 1 November 2013) The Company may also seek advice from the following investment advisors: FundQuest Advisor, 1 Boulevard Haussmann, F Paris, France, Advisor on the selection of portfolio managers from outside the Group TKB BNP Paribas Investment Partners JSC, Marata Street, d liter A, St. Petersburg, Russian Federation Page 6

9 Organisation Depositary/Paying agent BNP Paribas Securities Services, Luxembourg Branch, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg Guarantor BNP Paribas, 16 Boulevard des Italiens, F Paris, France The sub-funds which benefit from a guarantee are Step 80 World Emerging, Step 90 Commodities (EUR), Step 90 Euro and Step 90 US, together the Step sub-funds. Auditor PricewaterhouseCoopers, Société coopérative, 400 Route d Esch, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg Page 7

10 Information Establishment PARVEST (the Fund, the Company ) is an open-ended investment company (Société d Investissement à Capital Variable SICAV) incorporated under Luxembourg law on 27 March 1990 for an indefinite period. The Company is currently governed by the provisions of Part I of the law of 17 December 2010 governing undertakings for collective investment, as amended, as well as by Directive 2009/65. The Articles of Association have been modified at various times, most recently at the Extraordinary General Meeting on 26 October 2011, with publication in the Mémorial, Recueil Spécial des Sociétés et Associations on 5 January The latest version of the Articles of Association has been filed with the Registrar of the District Court of Luxembourg, where any interested party may consult it and obtain a copy. The Company is registered in the Luxembourg Trade and Companies Register under the number B The minimum capital amounts to EUR It is at all times equal to the total net of the various sub-funds. It is represented by fully paid-up shares issued without a designated par value. The capital varies automatically without the notification and specific recording measures required for increases and decreases in the capital of limited companies. Listing The shares of the Company s are not listed on a Stock Exchange. Information to the Shareholders Net Asset Values and Dividends The Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the shares are publicly offered. This information is also available on the website: Financial Year The Company s financial year starts on 1 March and ends on the last day of February. Financial Reports The Company publishes an annual report closed on the last day of the financial year, certified by the auditors, as well as a non-certified, semi-annual interim report closed on the last day of the sixth month of the financial year. The Company is authorised to publish a simplified version of the financial report when required. The financial reports of each sub-fund are published in the accounting of the sub-fund, although the consolidated accounts of the Company are expressed in euro. The annual report is made public within four months of the end of the financial year and the interim report within two months of the end of the half-year. Documents for Consultation The Articles of Association, the Prospectus, the KIID and periodic reports may be consulted at the Company s registered office and at the establishments responsible for the Company s financial service. Copies of the Articles of Association and the annual and interim reports are available upon request. Information on changes to the Company will be published in the Luxemburger Wort newspaper and in any other newspapers deemed appropriate by the Board of Directors in countries in which the Company publicly markets its shares. Documents and information are also available on the website: Page 8

11 Manager's report Context From the start of the period under review, investors' attention turned to the actions of central banks, which remained resolutely in easing mode despite an improving economic situation (better manufacturing data, the eurozone's emergence from recession and stronger world trade). The combination of somewhat stronger global growth and the continuation of highly accommodative monetary policy in the G3 countries resulted in healthy growth for risky and relatively moderate pressure on long-dated yields, albeit with some spikes in volatility. In early 2014, meteorological conditions in the United States and political tensions in several emerging countries (particularly Ukraine) weighed on confidence without actually affecting global growth. United States After a lacklustre start to the year, the US economy returned to the modest growth (just above 2%) witnessed since the end of the recession in mid The dramatic events surrounding budgetary policy hampered growth in early 2013 and led to a temporary government shutdown in October following the deadlock in Congress. The compromise reached in Washington in December staved off the risk of a further incident of this kind, with the budget for the current fiscal year being passed and Congress voting in February 2014 for an agreement on the debt ceiling. After months of budgetary uncertainty, attention shifted to the extreme weather conditions. Large areas of the country were hit by an Arctic cold front, which impacted on growth in late 2013 and early 2014, causing domestic heating bills to rise and output to fall (halting construction, preventing employees from going to work, reducing footfall at retail outlets, deterring theatre audiences and disrupting transport). Although GDP had gathered pace in the second half to stand at 2.5% year-on-year at the end of 2013 (against 1.3% in the first quarter), it levelled off in early Several indicators confirm that the dip was caused by the severe weather. In addition, the inventory cycle, a familiar aspect of the US economy, has also contributed to the sudden slowdown in recent months after the restocking witnessed at the end of The labour market has not yet fully recovered and inflation shows no sign of picking up. In this context, the US Federal Reserve began very cautiously and gradually to adjust its monetary policy in early 2014 and says that it will keep interest rates at close to zero for the foreseeable future. Europe The beginning of the period marked a low point for most economic surveys in the eurozone. Purchasing Managers' Indexes (PMI) climbed above 50 from July. The composite index (which includes both manufacturing and services) rose from 46.5 in March 2013 to 53.3 in February 2014, its highest since June This improvement is also visible in the national accounts: after six consecutive quarters of contraction, eurozone GDP grew by 0.3% in the second quarter compared with the first quarter, 0.1% in the third quarter, and 0.3% in the fourth quarter. As a result, GDP became positive at the end of 2013 (+0.5% year-on-year) for the first time since the end of The recovery continued to take hold in early 2014: growth could eventually outstrip forecasts (estimated at just over 1%), particularly if there is a significant increase in business investment, which already seems to be the case in Germany. In France, however, average GDP growth of 0.3% in 2013 was mainly driven by consumer and public spending, while investment has been contracting for two years. Peripheral countries have also returned to growth, with structural reforms and a competitiveness drive finally paying off and smoothing imbalances. In this respect, Spain and Portugal now seem better positioned than Italy, which has almost seen a lost year for reforms because of the political situation: the formation of a government after the February 2013 elections was slow due to the balance of power in Parliament. As a result, politics has come before economic concerns in Rome in recent months. In February 2014, the appointment of a new centre-left Prime Minister (Matteo Renzi), who has declared his willingness to pursue reforms while supporting the economy, seemed to mark a turning point. Beyond the cyclical improvement in the euro area, low inflation (0.7% in February 2014, versus 1.8% a year earlier) and the continued contraction in lending to businesses are undermining the recovery, which explains why the European Central Bank is maintaining a downward bias for its monetary policy. Page 9

12 Manager's report Japan Growth was buoyed in the first half of 2013 by the short-term effects of Abenomics (the economic policies of Prime Minister Shinzo Abe). However, it ran out of steam in the second half, with GDP growth of just 0.2% in the third and fourth quarters, compared with more than 1% previously. In early 2014, the pace of economic activity began to pick up, with growth in consumer spending ahead of the April VAT increase triggering a rise in output to meet demand. At the same time, the Bank of Japan maintained its highly ambitious monetary policy (to double the monetary base in two years) introduced in April. At year-end, it decided to extend the bank lending facility to allow unconventional monetary measures to feed through to the real economy, however contrary to expectations it did not raise its quantitative easing target. In this context, the fall in the yen was much less pronounced than in the autumn of Due to the rising cost of imports, inflation stood at 1.4% in January 2014 against -0.9% in March Emerging markets While growth in emerging regions remained below its potential, the last few months have seen significant and asset shocks triggered by the normalisation of the Fed's monetary policy. Investor reactions have highlighted the poor fundamentals in several key or emblematic countries such as Brazil, India or even Argentina. The central banks concerned were quick to raise key interest rates, although at the same time the authorities have questioned the Fed's attitude. Janet Yellen disclosed that the Fed would address concerns over the impact of tapering its asset purchases. The slowdown in activity in China is another source of concern, although it is likely that every effort will be made to meet the GDP growth target of 7.5% (after averaging 7.7% in 2013). Finally, the perception of political risk has soared following the violent protests in Thailand, Turkey and Venezuela and, of course, the crisis between Russia and Ukraine. The economic recovery is long overdue and significant differences have emerged between regions, with problems mounting in Latin America (inflation, current account deficit), while Asia and emerging Europe seem more able to benefit from the upturn in developed economies. Monetary policy Faced with still-modest growth and very low inflation, the ECB lowered its key interest rates in May and November. The refi rate is now 0.25% and the marginal lending facility 0.75%. The deposit rate has been 0% since July Since July 2013, the ECB has provided forward guidance on interest rates, confirming that they will remain at present or lower levels for an extended period. In addition, fixed rate tender procedures with full allotment will continue at least until mid Despite the reminder that the arsenal of unconventional measures at its disposal was broad and that it would act if necessary, the ECB has still not taken the plunge: no new LTROs (long-term refinancing operations), no asset purchases and no negative deposit rate have been announced. The ECB has endeavoured in recent months to avoid any pressure on money market rates. In the spring of 2013, the Fed raised the prospect of an end to the third round of quantitative easing (QE) in place since late 2012 and consisting of the purchase of USD 85 billion of securities each month. The markets are poised for a decision, even though Ben Bernanke and Janet Yellen, who succeeded him as Fed chair in February 2014, have confirmed that the target rate for federal funds (0% to 0.25% since December 2008) would remain unchanged for a considerable time. The Fed waited until its last meeting of 2013 before announcing a modest tapering of purchases (a reduction of USD 10 billion) in view of the improvement in economic activity, and reiterated its accommodative message on key interest rates. These purchases were reduced to USD 65 billion in February and it is likely that each monetary policy meeting in 2014 will result in a further reduction of USD 10 billion. Janet Yellen also confirmed that the unemployment rate (which fell from 7.7% in February 2013 to 6.7% a year later) was not the only measure used to assess the labour market and reiterated the highly accommodative message on key interest rates. Currency markets The euro, which stood at nearly USD 1.31 at the beginning of the period, hovered between USD 1.28 and USD 1.34 until August. The ECB's commitment to maintain very low key interest rates for an extended period evidently weighed on the, although the markets seemed more sensitive to comments from the US. The Fed's decision not to change its monetary policy in September (when QE tapering was expected to begin) forced the euro above USD 1.35 on 18 September. Thereafter, the fluctuation band of the EUR/USD exchange rate shifted upwards to settle at between 1.34 and In the absence of unconventional measures, the downward bias confirmed by the ECB had no lasting impact on exchange rates. The same can be said for hints from several members of the Executive Board that the deposit rate could become negative and the explicit statement that the risk of deflation could increase if the euro was too strong. Page 10

13 Manager's report At the end of 2013, the euro had returned to its highest level in real terms since mid-2011, before falling back slightly. It rose by 3.3% in a year against a basket of currencies. Towards the latter part of the year, the EUR/USD exchange rate was mainly influenced by changes in risk appetite and expectations surrounding US monetary policy. It closed at (+5.5% in 12 months). The pledge made by Prime Minister Shinzo Abe, elected at the end of 2012, that he would require the new governor of the Bank of Japan (BoJ) to introduce a much more aggressive asset purchasing policy was deemed credible. The BoJ, which increased its inflation target from 1% to 2% in January 2013, announced a special monetary expansion programme on 4 April (doubling the monetary base in two years). International summits were held with no specific comments on the yen, which led investors to conclude that it could be allowed to fall further. As a result, the USD/JPY exchange rate broke through the 100 mark on 9 May (against at the end of February). The unwinding of carry trade positions linked to increasing jitters in the financial markets disrupted this trend and drove the exchange rate below 95 on occasions in June. Subsequently the USD/JPY rate drifted sideways until the start of November when it resumed its rise to end 2013 at , its highest since October It has since levelled off, returning to 102 in late January and closing at at the end of February 2014 (+10.5% in 12 months). The EUR/JPY rate climbed 16.6% to after reaching 145 at the end of 2013, an all-time high. While many had hoped for further quantitative easing before the VAT increase on 1 April, the BoJ only made minor adjustments to its monetary policy in the first quarter of Bond markets Heavy pressure on US long-dated yields was evident from May on owing to expectations regarding the Fed s quantitative easing policy. A sharp correction occurred in the spring of 2013 when Ben Bernanke first mentioned the tapering of asset purchases. The 10-year rate reached 3% in early September (compared with 1.88% at the beginning of the period). It has since fluctuated within a broad range, depending on economic indicators, expectations and decisions on QE and changes in risk appetite. Between September and February, the yield on the 10-year T-note ranged between 2.50% and 3% to finish the period at 2.65%, i.e. a 12-month rise of 77 bps. An announcement that key interest rates will remain at their current level for a considerable time also seems credible. Over 12 months, the 2-year rate climbed 9 bps to close at 0.32%. European markets outperformed their US counterparts as a result of the ECB's two rate cuts in May and November, the continuing downward bias in monetary policy, very low inflation and modest economic growth. The 10-year Bund yield rose just 17 bps over 12 months, regaining its status as a safe haven at the end of the period following events in Ukraine. It closed at 1.62%. The outperformance was even more pronounced for Spanish and Italian yields, which have returned to their lowest level since early 2006, at around 3.50%. Over the year they fell sharply (by 159 bps and 125 bps respectively for 10-year bonds) in response to the ECB's undertaking in the summer of 2012, which encouraged investors to take advantage of the carry trade in an interest rate environment deemed calm as a result of the Outright Monetary Transactions (which are in fact yet to be activated) and the prospect of key interest rates being kept low for a long time. The fall was accentuated in early 2014 as the outlook for these economies brightened. Equity markets The last 12 months have seen several spikes in equity market volatility (over 20% for the VIX index, calculated on S&P 500 options in June, October and January). The first share sell-off occurred in the spring, when investors were unnerved by Ben Bernanke's statements about a possible tapering of the asset purchases that the Fed makes each month as part of its quantitative easing programme. There was widespread selling of shares and some emerging currencies. The markets rallied on the back of improved economic data and the Fed's assurance that the normalisation of its monetary policy would remain moderate. The drama surrounding the budget before the US Congress, which led to the temporary closure of federal agencies during the first half of October, briefly spooked investors in the autumn. Lastly, while the tapering announcement (postponed until December) did not prevent the S&P 500 Index from posting a new record in late 2013, the geopolitical situation and concerns over emerging economies sowed doubt in early Equities have undergone a sharp correction since 23 January. The publication of disappointing PMI data in China and the sharp depreciation of several emerging currencies (e.g. the Argentine peso, Turkish lira, rouble, Indian rupee, South African rand) explain this reaction. Investors are starting to focus on weaknesses (inflation, external deficits) in some emerging economies, at a time when the normalisation of US monetary policy is eventually expected to reduce available liquidity. The fall in shares was widespread, despite the satisfactory results of companies in the United States and upbeat economic indicators in the eurozone. Page 11

14 Manager's report These factors may explain why investors switched to equities in February, even as geopolitical risks increased with the events in Ukraine. Despite the insistence of central banks in major developed countries that their highly accommodative monetary policy would continue, risk appetite continued to fluctuate at the end of the period. Emerging markets recorded an annual fall of 8.4% (MSCI Emerging Markets Index in US dollars), a significant underperformance relative to the MSCI AC World (in dollars), up 15.7%. European and US indices (in local currencies) were evenly matched, with a rise of 19.6% in the Eurostoxx 50 and 22.8% in the S&P 500 (which closed at a new record of nearly 1,860 points), while the Nikkei 225 outperformed forecasts (+28.4%). The Board of Directors Luxembourg, 10 April 2014 Note: The information stated in this report is historical and not necessarily indicative of future performance. Page 12

15 Audit report To the Shareholders of PARVEST We have audited the accompanying financial statements of PARVEST and of each of its sub-funds, which comprise the statement of net and the securities portfolio as at 28 February 2014 and the statement of operations and changes in net for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the SICAV for the financial statements The Board of Directors of the SICAV is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the SICAV determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the Réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the judgment of the Réviseur d entreprises agréé, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the Réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the SICAV, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. PricewaterhouseCoopers, Société coopérative, 400 Route d Esch, B.P. 1443, L-1014 Luxembourg T: , F: , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU Page 13

16 hthierryblondeau _ru pwc Opinion In our opinion, the financial statements give a true and fair view of the financial position of PARVEST and of each of its sub-funds as of 28 February 2014, and of the results of their operations and changes in their net for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matters Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make conceming such information in the context of the financial statements taken as a whole. PricewaterhouseCoopers, Soci6t6 coopdrative Represented by Luxembourg, 4 Jwte2014 Poge 14

17 Page 15

18 Financial statements at 28/02/2014 Absolute Return Balanced Absolute Return Growth Absolute Return Stability Bond Asia ex- Japan Expressed in EUR EUR EUR USD Notes Statement of net Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) ( ) ( ) Net realised result on: Investments securities 2 (60 106) ( ) Financial instruments ( ) ( ) ( ) Net realised result ( ) ( ) ( ) ( ) Movement on net unrealised gain/loss on: Investments securities ( ) Financial instruments ( ) (14 816) Change in net due to operations ( ) ( ) ( ) ( ) Net subscriptions/(redemptions) Dividends paid ( ) Increase/(Decrease) in net during the year/period Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 16

19 Bond Best Selection World Emerging Bond Euro Bond Euro Corporate Bond Euro Government Bond Euro High Yield Bond Euro Inflation-Linked USD EUR EUR EUR EUR EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (9 260) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Page 17

20 Financial statements at 28/02/2014 Bond Euro Long Term Bond Euro Medium Term Bond Euro Short Term Bond Europe Emerging Statement of net Expressed in EUR EUR EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments Net realised result on: Investments securities 2 ( ) ( ) ( ) Financial instruments Net realised result ( ) Movement on net unrealised gain/loss on: Investments securities ( ) ( ) Financial instruments 0 ( ) Change in net due to operations ( ) Net subscriptions/(redemptions) ( ) ( ) Dividends paid 7 ( ) ( ) ( ) 0 Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 18

21 Bond JPY Bond Russia Bond USA High Yield Bond USD Bond USD Government Bond World JPY USD USD USD USD EUR (59 327) ( ) ( ) (13 108) ( ) ( ) ( ) ( ) 0 ( ) (72 187) ( ) ( ) ( ) (59 327) ( ) ( ) ( ) ( ) (15 169) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 0 ( ) (29 552) (57 159) 0 ( ) ( ) ( ) Page 19

22 Financial statements at 28/02/2014 Bond World Corporate Bond World Emerging Bond World Emerging Advanced Bond World Emerging Corporate Statement of net Expressed in USD USD USD USD Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) ( ) ( ) Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments Net realised result on: Investments securities ( ) ( ) ( ) Financial instruments (55 857) ( ) ( ) Net realised result ( ) ( ) Movement on net unrealised gain/loss on: Investments securities ( ) ( ) ( ) Financial instruments ( ) (47 813) Change in net due to operations ( ) ( ) ( ) Net subscriptions/(redemptions) ( ) ( ) Dividends paid 7 ( ) ( ) 0 (1) Increase/(Decrease) in net during the year/period ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 20

23 Bond World Emerging Local Bond World High Yield Bond World Inflation-Linked Commodities Arbitrage Convertible Bond Asia Convertible Bond Europe USD EUR EUR USD USD EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (29 829) ( ) ( ) ( ) (25 082) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 0 0 ( ) ( ) ( ) ( ) ( ) Page 21

24 Financial statements at 28/02/2014 Convertible Bond Europe Small Cap Convertible Bond World Diversified Dynamic Diversified Inflation Statement of net Expressed in EUR EUR EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) (1 921) Net realised result on: Investments securities ( ) Financial instruments ( ) Net realised result ( ) Movement on net unrealised gain/loss on: Investments securities ( ) (14 347) Financial instruments Change in net due to operations ( ) Net subscriptions/(redemptions) (61 609) Dividends paid 7 ( ) 0 ( ) 0 Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 22

25 Enhanced Cash 6 Months Enhanced Cash 18 Months Environmental Opportunities Equity Australia Equity Best Selection Asia ex- Japan Equity Best Selection Euro EUR EUR EUR AUD EUR EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (64 160) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (65 907) ( ) ( ) ( ) ( ) ( ) (84 323) ( ) 0 0 ( ) ( ) ( ) Page 23

26 Financial statements at 28/02/2014 Equity Best Selection Europe Equity Best Selection Europe ex-uk Equity Brazil Equity Bric Statement of net Expressed in EUR EUR USD USD Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) ( ) Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) Net realised result on: Investments securities 2 ( ) ( ) ( ) Financial instruments ( ) ( ) Net realised result ( ) ( ) ( ) Movement on net unrealised gain/loss on: Investments securities ( ) ( ) Financial instruments Change in net due to operations ( ) ( ) Net subscriptions/(redemptions) ( ) ( ) Dividends paid 7 0 (57 857) ( ) ( ) Increase/(Decrease) in net during the year/period ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 24

27 Equity China Equity Europe Converging Equity Europe Emerging Equity Europe Growth Equity Europe LS 30 Equity Europe Mid Cap USD EUR EUR EUR EUR EUR ( ) (57 275) ( ) (62 069) ( ) ( ) ( ) ( ) (71 506) ( ) ( ) ( ) (850) ( ) ( ) ( ) ( ) ( ) (7 436) ( ) ( ) ( ) 0 (45 178) ( ) ( ) ( ) ( ) ( ) 0 (40 930) 0 ( ) (19 996) (22 281) ( ) ( ) Page 25

28 Financial statements at 28/02/2014 Equity Europe Small Cap Equity Europe Value Equity France Equity Germany Statement of net Expressed in EUR EUR EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) ( ) ( ) Net realised result on: Investments securities ( ) Financial instruments ( ) Net realised result ( ) Movement on net unrealised gain/loss on: Investments securities ( ) Financial instruments ( ) ( ) (9 350) Change in net due to operations Net subscriptions/(redemptions) ( ) Dividends paid 7 ( ) (21 700) (12 465) 0 Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 26

29 Equity High Dividend Europe Equity High Dividend Pacific Equity High Dividend USA Equity India Equity Indonesia Equity Japan EUR EUR USD USD USD JPY ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (32 313) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (248) ( ) ( ) Page 27

30 Financial statements at 28/02/2014 Equity Japan Small Cap Equity Latin America Equity Nordic Small Cap Equity Pacific ex- Japan Statement of net Expressed in JPY USD EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) ( ) Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) (46 005) Net realised result on: Investments securities ( ) (82 444) ( ) Financial instruments ( ) (287) (65 191) Net realised result ( ) ( ) Movement on net unrealised gain/loss on: Investments securities ( ) ( ) Financial instruments Change in net due to operations ( ) ( ) Net subscriptions/(redemptions) ( ) Dividends paid 7 ( ) ( ) 0 (65 353) Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 28

31 Equity Russia Equity Russia Opportunities Equity South Korea Equity Switzerland Equity Turkey Equity USA EUR USD USD CHF EUR USD ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (94 163) (23 167) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (30 970) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 0 (72 962) (14 823) (36 425) 0 (99 855) ( ) ( ) ( ) Page 29

32 Financial statements at 28/02/2014 Equity USA Growth Equity USA Mid Cap Equity USA Small Cap Equity USA Value Statement of net Expressed in USD USD USD USD Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) ( ) ( ) ( ) Net realised result on: Investments securities 2 ( ) Financial instruments ( ) Net realised result ( ) Movement on net unrealised gain/loss on: Investments securities (11 254) Financial instruments Change in net due to operations Net subscriptions/(redemptions) ( ) Dividends paid 7 0 ( ) 0 (793) Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 30

33 Equity World Consumer Durables Equity World Emerging Equity World Emerging Low Volatility Equity World Energy Equity World Finance Equity World Health Care EUR USD USD EUR EUR EUR ( ) ( ) ( ) ( ) (38 098) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (9 171) (9 494) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Page 31

34 Financial statements at 28/02/2014 Equity World Low Volatility Equity World Materials Equity World Next Generation Equity World Technology Statement of net Expressed in EUR EUR EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) (1 738) ( ) Net realised result on: Investments securities 2 ( ) ( ) ( ) Financial instruments (14 830) (50) (43 776) Net realised result ( ) ( ) ( ) Movement on net unrealised gain/loss on: Investments securities ( ) Financial instruments Change in net due to operations ( ) Net subscriptions/(redemptions) ( ) Dividends paid (364) 0 Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 32

35 Equity World Technology Innovators Equity World Telecom Equity World Utilities Flexible Assets EUR Flexible Bond Europe Corporate Flexible Bond World USD EUR EUR EUR EUR USD ( ) ( ) ( ) ( ) ( ) ( ) (50 823) (13 339) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (8 163) ( ) (7 807) ( ) ( ) ( ) Page 33

36 Financial statements at 28/02/2014 Flexible Equity Europe Global Environment Green Tigers Money Market Euro Statement of net Expressed in EUR EUR EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) ( ) ( ) ( ) Net realised result on: Investments securities ( ) Financial instruments (80 221) Net realised result ( ) Movement on net unrealised gain/loss on: Investments securities ( ) ( ) Financial instruments Change in net due to operations Net subscriptions/(redemptions) ( ) ( ) Dividends paid 7 ( ) ( ) 0 ( ) Increase/(Decrease) in net during the year/period ( ) ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 34

37 Money Market USD Multi-Strategy Low Vol Multi-Strategy Medium Vol Multi-Strategy Medium Vol (USD) Opportunities USA Opportunities World USD EUR EUR USD USD EUR (27 084) (24 359) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) 0 ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (82 733) ( ) ( ) (70 705) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (92 692) ( ) ( ) Page 35

38 Financial statements at 28/02/2014 Real Estate Securities Europe Real Estate Securities Pacific Real Estate Securities World Resilient Assets Statement of net Expressed in EUR EUR EUR EUR Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) 0 Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments ( ) (25 371) Net realised result on: Investments securities 2 ( ) ( ) ( ) ( ) Financial instruments (57 243) ( ) Net realised result ( ) ( ) ( ) ( ) Movement on net unrealised gain/loss on: Investments securities ( ) Financial instruments (19 021) Change in net due to operations ( ) ( ) ( ) Net subscriptions/(redemptions) ( ) Dividends paid Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 36

39 Short Term Euro Premium Step 80 World Emerging Step 90 Commodities (EUR) Step 90 Euro Step 90 US Sustainable Bond Euro EUR EUR EUR EUR USD EUR (12 531) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (35 563) ( ) ( ) ( ) ( ) ( ) ( ) (95 145) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Page 37

40 Financial statements at 28/02/2014 Sustainable Bond Euro Corporate Sustainable Equity Europe V350 World Agriculture Statement of net Expressed in EUR EUR EUR USD Notes Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio ( ) 0 Securities portfolio at market value Net Unrealised gain on financial instruments 2,9,10, Cash at banks and time deposits Other Liabilities Bank overdrafts Net Unrealised loss on financial instruments 2,9,10, Other liabilities Net asset value Statement of operations and changes in net Income on investments and Management and advisory fees Bank interest Interest on swaps Other fees Taxes Performance fees Distribution fees Transaction fees Total expenses Net result from investments Net realised result on: Investments securities ( ) Financial instruments ( ) (16 702) ( ) Net realised result ( ) Movement on net unrealised gain/loss on: Investments securities ( ) ( ) Financial instruments Change in net due to operations ( ) (58 543) Net subscriptions/(redemptions) ( ) Dividends paid 7 ( ) ( ) 0 0 Increase/(Decrease) in net during the year/period ( ) Net at the beginning of the financial year/period Reevaluation of opening consolidated NAV Net at the end of the financial year/period Page 38

41 World Agriculture (USD) World Commodities World Volatility Consolidated USD USD EUR EUR ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) ( ) (16 142) ( ) ( ) ( ) ( ) ( ) ( ) ( ) Page 39

42 Key figures relating to the last 3 years (Note 12) Absolute Return Balanced EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Absolute Return Growth EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H CZK Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Absolute Return Stability EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Bond Asia ex-japan USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic H AUD MD Share Classic H EUR - Capitalisation Share Classic H SGD MD Share Classic MD Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege MD Page 40

43 Key figures relating to the last 3 years (Note 12) Bond Best Selection World Emerging USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic H EUR - Capitalisation Share Classic H EUR - Distribution Share Classic MD Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege H EUR - Distribution Share X Bond Euro EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond Euro Corporate EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond Euro Government EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 41

44 Key figures relating to the last 3 years (Note 12) Bond Euro High Yield EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share I - Distribution Share IH NOK Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond Euro Inflation-Linked EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond Euro Long Term EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond Euro Medium Term EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 42

45 Key figures relating to the last 3 years (Note 12) Bond Euro Short Term EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond Europe Emerging EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond JPY JPY JPY JPY Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Bond Russia USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 43

46 Key figures relating to the last 3 years (Note 12) Bond USA High Yield USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H AUD MD Share Classic H EUR - Capitalisation Share Classic MD Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond USD USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic MD Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond USD Government USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share Classic MD Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Bond World EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 44

47 Key figures relating to the last 3 years (Note 12) Bond World Corporate USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share X Bond World Emerging USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic MD Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond World Emerging Advanced USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Bond World Emerging Corporate USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic MD Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 45

48 Key figures relating to the last 3 years (Note 12) Bond World Emerging Local USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic GBP Share Classic H EUR - Capitalisation Share Classic H EUR - Distribution Share Classic H SGD MD Share Classic HUF - Capitalisation Share Classic MD Share I - Capitalisation Share I - Distribution Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond World High Yield EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H AUD MD Share Classic H USD - Capitalisation Share Classic H USD - Distribution Share Classic H USD MD Share Classic MD Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share IH USD Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Bond World Inflation-Linked EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 46

49 Key figures relating to the last 3 years (Note 12) Commodities Arbitrage USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Convertible Bond Asia USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic MD Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Convertible Bond Europe EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Convertible Bond Europe Small Cap EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 47

50 Key figures relating to the last 3 years (Note 12) Convertible Bond World EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H CHF Share Classic H CZK Share Classic H PLN Share Classic USD - Capitalisation Share I - Capitalisation Share I - Distribution Share IH NOK Share IH USD Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Diversified Dynamic EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Diversified Inflation EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Enhanced Cash 6 Months EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 48

51 Key figures relating to the last 3 years (Note 12) Enhanced Cash 18 Months EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Environmental Opportunities EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity Australia AUD AUD AUD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity Best Selection Asia ex-japan EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 49

52 Key figures relating to the last 3 years (Note 12) Equity Best Selection Euro EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H CZK Share Classic H SGD Share Classic H USD - Capitalisation Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Best Selection Europe EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic CHF - Capitalisation Share Classic CHF - Distribution Share Classic HUF - Capitalisation Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Best Selection Europe ex-uk EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Brazil USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 50

53 Key figures relating to the last 3 years (Note 12) Equity Bric USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity China USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Europe Converging EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Equity Europe Emerging EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 51

54 Key figures relating to the last 3 years (Note 12) Equity Europe Growth EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H SGD MD Share Classic H USD MD Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Europe LS 30 EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Equity Europe Mid Cap EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity Europe Small Cap EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 52

55 Key figures relating to the last 3 years (Note 12) Equity Europe Value EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity France EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Equity Germany EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity High Dividend Europe EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 53

56 Key figures relating to the last 3 years (Note 12) Equity High Dividend Pacific EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic MD Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege MD Share Privilege USD - Capitalisation Share X Equity High Dividend USA USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic H EUR - Capitalisation Share Classic H EUR - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege H EUR - Distribution Share X Equity India USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 54

57 Key figures relating to the last 3 years (Note 12) Equity Indonesia USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Japan JPY JPY JPY Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share Classic H USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege H EUR - Capitalisation Share X Equity Japan Small Cap JPY JPY JPY Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share Classic H USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege H EUR - Capitalisation Share X Equity Latin America USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 55

58 Key figures relating to the last 3 years (Note 12) Equity Nordic Small Cap EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity Pacific ex-japan EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Russia EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity Russia Opportunities USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 56

59 Key figures relating to the last 3 years (Note 12) Equity South Korea USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity Switzerland CHF CHF CHF Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Equity Turkey EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity USA USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 57

60 Key figures relating to the last 3 years (Note 12) Equity USA Growth USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic H CZK Share Classic H EUR - Capitalisation Share Classic H EUR - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity USA Mid Cap USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege H EUR - Capitalisation Share X Equity USA Small Cap USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic H EUR - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity USA Value USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H EUR - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Page 58

61 Key figures relating to the last 3 years (Note 12) Equity World Consumer Durables EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Emerging USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Emerging Low Volatility USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Equity World Energy EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 59

62 Key figures relating to the last 3 years (Note 12) Equity World Finance EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Health Care EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Low Volatility EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Materials EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 60

63 Key figures relating to the last 3 years (Note 12) Equity World Next Generation EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Equity World Technology EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Technology Innovators USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Equity World Telecom EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Equity World Utilities EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 61

64 Key figures relating to the last 3 years (Note 12) Flexible Assets EUR EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Flexible Bond Europe Corporate EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Flexible Bond World USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic MD Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Flexible Equity Europe EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Global Environment EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 62

65 Key figures relating to the last 3 years (Note 12) Green Tigers EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Money Market Euro EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Money Market USD USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Multi-Strategy Low Vol EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Multi-Strategy Medium Vol EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 63

66 Key figures relating to the last 3 years (Note 12) Multi-Strategy Medium Vol (USD) USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Opportunities USA USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic H EUR - Capitalisation Share Classic H EUR - Distribution Share Classic H GBP Share Classic HUF - Capitalisation Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege H EUR - Capitalisation Share Privilege H EUR - Distribution Opportunities World EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Real Estate Securities Europe EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 64

67 Key figures relating to the last 3 years (Note 12) Real Estate Securities Pacific EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share Classic USD - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Real Estate Securities World EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Resilient Assets EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Short Term Euro Premium EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Step 80 World Emerging EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic USD - Capitalisation Page 65

68 Key figures relating to the last 3 years (Note 12) Step 90 Commodities (EUR) EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Step 90 Euro EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Step 90 US USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Sustainable Bond Euro EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Sustainable Bond Euro Corporate EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Sustainable Equity Europe EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share X Page 66

69 Key figures relating to the last 3 years (Note 12) V350 EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic H USD - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X World Agriculture EUR EUR USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation World Agriculture (USD) USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share I - Capitalisation Share N Share Privilege - Capitalisation Share X World Commodities USD USD USD Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share Classic EUR - Capitalisation Share Classic EUR - Distribution Share Classic H CZK Share Classic H EUR - Capitalisation Share Classic H EUR - Distribution Share Classic HUF - Capitalisation Share Classic SGD Share I - Capitalisation Share IH EUR Share N Share Privilege - Capitalisation Share Privilege - Distribution Share Privilege H EUR - Capitalisation Share X Page 67

70 Key figures relating to the last 3 years (Note 12) World Volatility EUR EUR EUR Number of shares 29/02/ /02/ /02/ /02/2014 Net Net asset value per share Share Classic - Capitalisation Share Classic - Distribution Share I - Capitalisation Share N Share Privilege - Capitalisation Share Privilege - Distribution Share X Page 68

71 Absolute Return Balanced Expressed in EUR Money Market Instruments France FRENCH BTF 0.000% 13-03/04/2014 EUR FRENCH BTF 0.000% 14-10/04/2014 EUR HSBC FRANCE 0.000% 27/03/2014 CD EUR Spain LETRAS 0.000% 12-16/04/2014 EUR LETRAS 0.000% 13-18/07/2014 EUR Italy ITALY BOTS 0.000% 13-30/05/2014 EUR ITALY BOTS 0.000% 13-31/03/2014 EUR Belgium BELGIUM T-BILL 0.000% 13-17/04/2014 EUR The Netherlands DUTCH TSY CERT 0.000% /03/2014 EUR Germany DEKABANK DEUTSCHE GIRO 0.000% /03/2014 ECP EUR Sweden NORDEA BANK AB 0.000% /03/2014 ECP EUR United Kingdom DEUTSCHE BANK AG LONDON % 17/04/2014 ECP EUR Total securities portfolio Page 69

72 Absolute Return Growth Expressed in EUR Money Market Instruments France BPCE 0.000% 27/05/2014 CD EUR BPCE SA 0.000% 10/03/2014 CD EUR FRENCH BTF 0.000% 13-13/03/2014 EUR FRENCH BTF 0.000% 14-10/07/2014 EUR United Kingdom BANK OF CHINA LTD LONDO 0.000% /04/2014 CD CREDIT AGRICOLE CORPORA 0.000% /04/2014 CD DEUTSCHE BANK AG LONDON % 17/04/2014 ECP EUR EUR EUR Italy ITALY BOTS 0.000% 13-30/05/2014 EUR ITALY BOTS 0.000% 13-31/03/2014 EUR Spain LETRAS 0.000% 13-18/07/2014 EUR LETRAS 0.000% 13-22/08/2014 EUR Belgium BELGIUM T-BILL 0.000% 13-13/03/2014 EUR Japan MITSUBISHI UFJ TRUST % /05/2014 CD EUR Portugal PORTUGAL T-BILL 0.000% /03/2014 EUR Shares/Units in investment funds Luxembourg DB X-TRACKERS MSCI EUR SM CP EUR Total securities portfolio Page 70

73 Absolute Return Stability Expressed in EUR Money Market Instruments France AGENCE CENTRALE DER OR 0.000% /03/2014 ECP EUR BPCE SA 0.000% 10/03/2014 CD EUR FRANCE (ELECTRICITE DE) 0.000% /04/2014 BT EUR FRENCH BTF 0.000% 13-13/03/2014 EUR FRENCH BTF 0.000% 14-10/07/2014 EUR Italy ITALY BOTS 0.000% 13-14/05/2014 EUR ITALY BOTS 0.000% 13-30/05/2014 EUR ITALY BOTS 0.000% 13-31/03/2014 EUR Belgium BELGIUM T-BILL 0.000% 13-17/04/2014 EUR United Kingdom BANK OF CHINA LTD LONDO 0.000% /04/2014 CD CREDIT AGRICOLE CORPORA 0.000% /04/2014 CD EUR EUR Spain LETRAS 0.000% 13-18/07/2014 EUR Sweden NORDEA BANK AB 0.000% /03/2014 ECP EUR Portugal PORTUGAL T-BILL 0.000% /03/2014 EUR Total securities portfolio Page 71

74 Bond Asia ex-japan Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Indonesia BANK NEGARA (LO) 4.125% /04/2017 USD BANK RAKYAT INDO 2.950% /03/2018 USD BERAU CAP RESOUR % /07/2015 USD BUMI INVESTMENT % /10/2017 USD INDONESIA (REP) 3.375% /04/2023 USD INDONESIA (REP) 4.625% /04/2043 USD INDONESIA (REP) 5.375% /10/2023 USD PERTAMINA 4.300% 13-20/05/2023 USD PERTAMINA 5.625% 13-20/05/2043 USD PERUSAHAAN LISTR 5.250% /10/2042 USD PERUSAHAAN LISTR 5.500% /11/2021 USD PERUSAHAAN PENER 6.125% /03/2019 USD South Korea DAEGU BANK LTD 2.250% /04/2018 USD KHFC 1.625% 13-15/09/2018 USD KOREA E-W POWER 2.625% /11/2018 USD KOREA EXCH BANK 2.000% /04/2018 USD KOREA MIDLAND PW 2.750% /02/2019 USD KOREA WESTERN PW 2.875% /10/2018 USD NONGHYUP BANK 2.250% /09/2017 USD NONGHYUP BANK 2.625% /11/2018 USD WOORI BANK 2.875% 13-02/10/2018 USD Cayman Islands CHAMPION MTN 3.750% 13-17/01/2023 USD CHINA MENGNIU 3.500% /11/2018 USD CHINA OVERSEAS FIN 3.950% /11/2022 USD CHINA OVERSEAS FIN 5.125% /01/2019 USD CHINA OVERSEAS FIN 5.375% /10/2023 USD COUNTRY GARDEN % /04/2017 USD COUNTRY GARDEN 7.250% /04/2021 USD DBS BANK LTD/SP 3.625% /09/2022 USD SPG LAND HOLDING 4.750% /10/2016 USD YUZHOU PROPERTIE 8.625% /01/2019 USD YUZHOU PROPERTIE 8.750% /10/2018 USD British Virgin Islands CSSC CAP % 13-12/12/2016 USD FAVOR SEA LTD % /02/2019 USD JINGNENG INV GRO 2.750% /02/2017 USD PCCW CAP NO % 12-17/04/2022 USD PCCW-HKT CAP NO % /03/2023 USD PROSPEROUS RAY L 3.000% /11/2018 USD TRILLION CHANCE 8.500% /01/2019 USD WANDA PROPERTIES 7.250% /01/2024 USD YUEXIU REIT MTN 3.100% /05/2018 USD Hong Kong BANGKOK BANK HK 3.300% /10/2018 BANK OF CHINA HK 5.550% /02/2020 CHINA CITIC BANK 6.000% /05/2024 USD USD USD United States of America NATIONAL FEDERAT 3.500% /05/2017 USD PSALM 7.390% 09-02/12/2024 USD RELIANCE HOLDING USA 5.400% /02/2022 USD Philippines PHILIPPINES (REP) 6.375% /10/2034 USD SM INVESTMENTS 4.250% /10/2019 USD United Kingdom BP CAPITAL PLC 3.650% 14-28/02/2019 CNY FPC FINANCE LTD 6.000% /06/2019 USD ST BK INDIA LON 4.125% /08/2017 USD VEDANTA RESOURCE 6.750% /06/2016 USD Singapore OVERSEA-CHINESE 3.150% /03/2023 USD YANLORD LAND 9.500% 10-04/05/2017 USD YANLORD LAND GRP % /03/2018 USD India HDFC BANK 3.000% 13-06/03/2018 USD HDFC BANK LTD 3.000% 13-30/11/2016 USD Cyprus SUN HUNG KAI PROPERTIES 4.500% /02/2022 USD China FAR EAST HORIZON 4.625% /03/2017 USD KWG PROPERTY HOL 8.975% /01/2019 USD United Arab Emirates ICICI BANK/DUBAI 4.800% /05/2019 USD New Zealand FONTERRA 3.600% 14-29/01/2019 CNY Japan MITSUB UFJ LEASE 3.280% /02/2017 CNY Floating rate bonds Malaysia AMBB CAPITAL 06-29/01/2049 FRN USD MALAYAN BANKING /09/2022 FRN USD PUBLIC BANK BERH 06-22/08/2036 SR USD SBB CAPITAL CORP /11/2049 FRN USD Singapore OVERSEA-CHINESE /11/2022 FRN USD UNITED OVERSEAS 12-17/10/2022 FRN USD Taiwan CHINATRUST COMM 05-29/03/2049 SR USD Page 72

75 Bond Asia ex-japan Expressed in USD Hong Kong CITIC BANK INTL 12-28/09/2022 FRN USD WING HANG BK LTD 07-29/04/2049 SR USD South Korea KOREA DEV BANK 14-22/01/2017 FRN USD China CHALIECO HK CORP /08/2049 FRN USD Total securities portfolio Page 73

76 Bond Best Selection World Emerging Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Kazakhstan ALLIANCE BANK - SPON GDR REG S USD ALLIANCE BANK - SPON GDR REG S USD Bonds Mexico MEXICAN BONOS % /12/2024 MXN MEXICAN BONOS 5.000% /06/2017 MXN MEXICAN BONOS 6.500% /06/2021 MXN Russia NM FAR EASTERN S 8.000% /05/2018 USD RUSSIA - EUROBOND 7.850% /03/2018 RUB RUSSIA-OFZ 8.150% 12-03/02/2027 RUB VEB FINANCE 6.902% 10-09/07/2020 USD Brazil BANCO BRASIL 5.875% 11-26/01/2022 USD BANCO SANTAN BS 8.000% /03/2016 BRL ITAU UNIBANCO/KY % /11/2015 BRL NOTA DO TESOURO NAC 6.000% /05/2045 FLAT BRL REP OF BRAZIL % 05-05/01/2016 BRL Venezuela VENEZUELA % 11-21/10/2026 USD VENEZUELA % 10-23/08/2022 USD VENEZUELA 5.750% 05-26/02/2016 USD VENEZUELA 9.250% 97-15/09/2027 USD Turkey ALBARAKA TURK 7.750% /05/2023 USD FINANSBANK 5.150% 12-01/11/2017 USD FINANSBANK 5.500% 11-11/05/2016 USD TURKIYE VAKIFLAR 3.750% /04/2018 USD YAPI KREDI BANKA 5.250% /12/2018 USD YASAR HOLDINGS 9.625% /10/2015 USD The Netherlands MARFRIG HLDG EUR 8.375% /05/2018 USD MARFRIG HLDG EUR 9.875% /07/2017 USD MOZAMBIQUE EMATU 6.305% /09/2020 USD Cayman Islands COUNTRY GARDEN 7.250% /04/2021 USD KUWAIT PROJECTS 4.800% /02/2019 USD Colombia REP OF COLOMBIA 4.375% /03/2023 COP REP OF COLOMBIA 5.625% /02/2044 USD Nigeria NIGERIA T-BOND % /04/2017 NGN NIGERIA T-BOND % /06/2019 NGN NIGERIA T-BOND 7.000% /10/2019 NGN REP OF NIGERIA 5.125% 13-12/07/2018 USD Ireland BORETS FIN 7.625% 13-26/09/2018 USD Georgia BANK OF GEORGIA 7.750% /07/2017 USD South Africa REPUBLIC OF SOUTH AFRICA % 98-21/12/2026 ZAR REPUBLIC OF SOUTH AFRICA 7.250% /01/2020 ZAR Peru REPUBLIC OF PERU 5.625% /11/2050 USD REPUBLIC OF PERU 7.350% /07/2025 USD Canada PACIFIC RUBIALES 5.375% /01/2019 USD Argentina ARGENTINA 8.280% 05-31/12/2033 USD Morocco BANQUE MOROCAINE 6.250% /11/2018 USD Costa Rica BANCO NAL CR 6.250% 13-01/11/2023 USD COSTA RICA 4.250% 12-26/01/2023 USD Gabon GABONESE REPUB 6.375% /12/2024 USD Dominican Republic DOMINICAN REPUBLIC 7.500% /05/2021 USD Ivory Coast IVORY COAST 10-31/12/2032 SR FLAT USD Rwanda REPUBLIC OF RWAN 6.625% /05/2023 USD Austria OAS INVESTMENT G 8.250% /10/2019 USD United Kingdom DTEK FINANCE 7.875% 13-04/04/2018 USD UZ RAIL SHORTLIN 9.500% /05/2018 USD Luxembourg MINERVA LUX SA 7.750% /01/2023 USD Zambia ZAMBIA REP OF 5.375% 12-20/09/2022 USD Floating rate bonds Turkey ASYA SUKUK CO 13-28/03/2023 FRN USD Cayman Islands BANCO BRASL (CI) 13-29/10/2049 FRN USD DIB TIER 1 SUKUK 13-PERP FRN USD Bahrain ICICI BANK LTD 07-30/04/2022 SR USD Ireland GAZPROMBANK 13-28/12/2023 FRN USD United Arab Emirates EMIRATES NBD 13-PERP FRN USD Page 74

77 Bond Best Selection World Emerging Expressed in USD Other transferable securities Shares Kazakhstan BTA BANK JSC - GDR REG S SPON USD Shares/Units in investment funds Luxembourg PARVEST BOND WORLD EMERGING CORPORATE - X - CAP USD Total securities portfolio Page 75

78 Bond Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France AGENCE FRANCAISE 2.250% /03/2017 EUR AUTOROUTES PARIS 2.250% /01/2020 EUR AXA SA 10-16/04/2040 FRN EUR BANQ FED CRD MUT 4.125% /07/2020 EUR BANQ FED CRD MUT 5.000% /09/2015 EUR BANQUE FED CREDIT MUTUEL % 12-21/06/2017 EUR BNP PARIBAS 2.250% 14-13/01/2021 EUR BNP PARIBAS 2.875% 10-13/07/2015 EUR BNP PARIBAS 2.875% 12-24/10/2022 EUR BOUYGUES 3.641% 10-29/10/2019 EUR BPCE 1.625% 13-08/02/2017 EUR CARREFOUR SA 1.750% 13-22/05/2019 EUR CARREFOUR SA 1.875% 12-19/12/2017 EUR CIE FIN FONCIER 2.375% 12-21/11/2022 EUR CIE FIN FONCIER 4.750% 07-25/06/2015 EUR CREDIT LOGEMENT 5.454% /02/2021 EUR CREDIT MUTUEL- CIC 1.125% /02/2019 EUR CSSE REFIN L HAB 3.900% /01/2021 EUR EDENRED 3.625% 10-06/10/2017 EUR ELEC DE FRANCE 2.250% /04/2021 EUR FRANCE O.A.T % 12-25/10/2027 EUR FRANCE O.A.T % 12-25/04/2022 EUR FRANCE O.A.T % 10-25/04/2020 EUR FRANCE O.A.T % 05-25/04/2021 EUR FRANCE O.A.T % 09-25/10/2019 EUR FRANCE O.A.T % 06-25/10/2038 EUR FRANCE O.A.T % 09-25/04/2041 EUR FRANCE O.A.T.I/L 1.000% /07/2017 EUR FRANCE TELECOM 4.125% /01/2019 EUR GECINA 4.250% 11-03/02/2016 EUR GECINA 4.750% 12-11/04/2019 EUR KLEPIERRE 4.250% 06-16/03/2016 EUR LA BANQUE POSTALE 1.875% /09/2020 EUR LAFARGE 4.750% 05-23/03/2020 EUR LAFARGE SA 5.375% 10-29/11/2018 EUR LVMH MOET HENN 1.250% /11/2019 EUR RCI BANQUE 4.000% 11-16/03/2016 EUR ST GOBAIN 4.000% 10-08/10/2018 EUR TOTAL CAP INTL 2.125% 13-19/11/2021 EUR UNEDIC 1.750% 12-27/02/2015 EUR UNIBAIL-RODAMCO 2.250% /08/2018 EUR Italy ASSICURAZIONI GENERALI 2.875% /01/2020 EUR EDISON SPA 3.250% 10-17/03/2015 EUR EDISON SPA 3.875% 10-10/11/2017 EUR INTESA SANPAOLO 3.625% /12/2022 EUR INTESA SANPAOLO 3.750% /11/2016 EUR INTESA SANPAOLO 4.000% /11/2017 EUR ITALY BTPS 0.000% 12-22/10/2016 EUR ITALY BTPS 3.750% 06-01/08/2016 EUR ITALY BTPS 3.750% 06-01/08/2021 EUR ITALY BTPS 4.000% 05-01/02/2037 EUR ITALY BTPS 4.000% 10-01/09/2020 EUR ITALY BTPS 4.250% 03-01/02/2019 EUR ITALY BTPS 4.250% 04-01/08/2014 EUR ITALY BTPS 4.500% 08-01/08/2018 EUR ITALY BTPS 4.500% 12-15/07/2015 EUR ITALY BTPS 4.500% 13-01/03/2024 EUR ITALY BTPS 4.750% 08-01/08/2023 EUR ITALY BTPS 4.750% 13-01/09/2028 EUR SNAM 3.500% 12-13/02/2020 EUR TERNA SPA 4.125% 12-17/02/2017 EUR Spain BANKINTER SA 4.125% 12-22/03/2017 EUR BBVA SENIOR FIN 4.875% /04/2016 EUR CAJA AHORROS 5.125% 11-27/04/2016 EUR LA CAIXA 5.000% 11-22/02/2016 EUR SPANISH GOVT 3.150% 05-31/01/2016 EUR SPANISH GOVT 3.250% 10-30/04/2016 EUR SPANISH GOVT 3.800% 06-31/01/2017 EUR SPANISH GOVT 4.000% 10-30/04/2020 EUR SPANISH GOVT 4.100% 08-30/07/2018 EUR SPANISH GOVT 4.200% 05-31/01/2037 EUR SPANISH GOVT 4.300% 09-31/10/2019 EUR SPANISH GOVT 4.400% 13-31/10/2023 EUR SPANISH GOVT 4.500% 12-31/01/2018 EUR SPANISH GOVT 4.700% 09-30/07/2041 EUR SPANISH GOVT 5.750% 01-30/07/2032 EUR TELEFONICA EMIS 3.961% /03/2021 EUR TELEFONICA EMIS 4.797% /02/2018 EUR Germany DEUTSCHLAND I/L 1.750% /04/2020 EUR DEUTSCHLAND REP 1.500% /05/2023 EUR DEUTSCHLAND REP 3.000% /07/2020 EUR DEUTSCHLAND REP 3.250% /07/2015 EUR DEUTSCHLAND REP 3.750% /01/2019 EUR DEUTSCHLAND REP 4.250% /07/2039 EUR DEUTSCHLAND REP 4.750% /07/2034 EUR KFW 1.125% 13-16/10/2018 EUR VOLKSWAGEN LEAS 2.750% /07/2015 EUR Belgium BELFIUS BANK SA 2.250% /09/2018 EUR BELGIAN % 10-28/09/2020 EUR BELGIAN % 10-28/03/2016 EUR BELGIAN % 10-28/03/2041 EUR BELGIAN % 11-28/09/2021 EUR BELGIAN RETAIL 2.250% /06/2023 EUR BELGIUM OLO % /09/2017 EUR ELIA SYSTEM OP 5.625% 09-22/04/2016 EUR Page 76

79 Bond Euro Expressed in EUR Supranational EIB 2.500% 10-15/07/2015 EUR EUROPEAN UNION 2.375% /09/2017 EUR EUROPEAN UNION 2.750% /04/2022 EUR EUROPEAN UNION 3.375% /05/2019 EUR The Netherlands ABN AMRO BANK NV 3.625% /10/2017 EUR BMW FINANCE NV 2.000% /09/2020 EUR BMW FINANCE NV 3.250% /01/2019 EUR METRO FINANCE BV 2.250% /05/2018 EUR NETHERLANDS GOVT 2.250% /07/2022 EUR RABOBANK 4.250% 07-16/01/2017 EUR United Kingdom ABBEY NATIONAL TREASURY % 14-14/01/2019 EUR ABN AMRO BANK NV 4.250% /04/2016 EUR HSBC HOLDINGS PLC 6.000% /06/2019 EUR LEHMAN BROS CAP 3.875% /12/2049 DFLT EUR NATIONWIDE BLDG 2.875% /09/2015 EUR TESCO CORP TREAS 1.250% /11/2017 EUR UBS AG 2.250% 12-10/01/2017 EUR Austria REPUBLIC OF AUSTRIA 1.950% /06/2019 EUR REPUBLIC OF AUSTRIA 2.400% /05/2034 EUR REPUBLIC OF AUSTRIA 3.650% /04/2022 EUR Ireland FGA CAPITAL IRE 2.875% /01/2018 EUR IRISH GOVT 3.400% 14-18/03/2024 EUR IRISH GOVT 4.600% 99-18/04/2016 EUR IRISH GOVT 5.500% 12-18/10/2017 EUR United States of America JPMORGAN CHASE 1.875% /11/2019 EUR MICROSOFT CORP 2.125% /12/2021 EUR Portugal PORTUGUESE OTS 4.450% /06/2018 EUR PORTUGUESE OTS 4.750% /06/2019 EUR Switzerland CREDIT SUISSE GUER 2.875% /10/2018 EUR Finland NORDEA BANK FIN 2.250% /11/2015 EUR Floating rate bonds France CREDIT LOGEMENT 06-29/03/2049 SR EUR CREDIT LOGEMENT /06/2017 FRN EUR ELEC DE FRANCE 14-29/01/2049 FRN EUR NATIXIS 07-29/10/2049 FRN EUR ORANGE 14-28/02/2049 FRN EUR Luxembourg FORTIS BANK SA/NV 04-29/10/2049 SR EUR HANNOVER FINANCE /06/2043 FRN EUR Germany MUNICH RE 12-26/05/2042 FRN EUR Spain SANTANDER ISSUAN /10/2017 FRN EUR United Kingdom HSBC HOLDINGS 13-10/01/2024 FRN EUR Italy ENEL SPA 14-15/01/2075 FRN EUR Money Market Instruments Italy ITALY BTPS HYBRD 07-01/08/2039 EUR France FRENCH BTAN 5Y 2.500% /01/2015 EUR Shares/Units in investment funds France BNP PARIBAS FLEXIBLE BOND EURO FCP EUR BNP PARIBAS OBLIPAR - D EUR Total securities portfolio Page 77

80 Bond Euro Corporate Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France ACCOR 2.625% 14-05/02/2021 EUR ALD INTERNATION 1.875% /06/2016 EUR ARKEMA 3.850% 12-30/04/2020 EUR AUTOROUTES DU SUD 2.950% /01/2024 EUR AUTOROUTES PARIS 2.250% /01/2020 EUR BANQUE FED CREDIT MUTUEL % 13-19/09/2019 EUR BANQUE FED CREDIT MUTUEL % 10-22/10/2020 EUR BANQUE PSA FIN 3.875% /01/2015 EUR BANQUE PSA FIN 4.875% /09/2015 EUR BNP PARIBAS 2.000% 13-28/01/2019 EUR BNP PARIBAS 2.250% 14-13/01/2021 EUR BNP PARIBAS 2.500% 12-23/08/2019 EUR BNP PARIBAS 7.781% 08-29/06/2049 EUR BPCE 2.000% 12-24/04/2018 EUR BPCE 4.625% 13-18/07/2023 EUR CARREFOUR SA 4.000% 10-09/04/2020 EUR CARREFOUR SA 5.250% 11-24/10/2018 EUR CASINO GUICHARD 3.157% /08/2019 EUR CASINO GUICHARD 3.311% /01/2023 EUR ELEC DE FRANCE 4.625% /09/2024 EUR EUTELSAT SA 2.625% 13-13/01/2020 EUR FRANCE TELECOM 3.875% /04/2020 EUR GECINA 4.750% 12-11/04/2019 EUR KERING 2.500% 13-15/07/2020 EUR KLEPI 2.750% 12-17/09/2019 EUR LAFARGE SA 5.875% 12-09/07/2019 EUR NATIXIS 4.125% 06-20/01/2017 EUR ORANGE 1.875% 13-03/09/2018 EUR RCI BANQUE 2.875% 13-22/01/2018 EUR RCI BANQUE 4.250% 12-27/04/2017 EUR RENAULT 3.125% 14-05/03/2021 EUR RENAULT 3.625% 13-19/09/2018 EUR SANOFI 1.875% 13-04/09/2020 EUR SCHNEIDER ELECTRIC 2.500% /09/2021 EUR SOCIETE GENERALE 2.250% /01/2020 EUR SOCIETE GENERALE 4.000% /06/2023 EUR THALES SA 1.625% 13-20/03/2018 EUR UNIBAIL-RODAMCO 2.500% /02/2024 EUR VALEO SA 3.250% 14-22/01/2024 EUR VEOLIA ENVIRONNEMENT 4.625% /03/2027 EUR VIVENDI SA 2.375% 13-21/01/2019 EUR VIVENDI SA 2.500% 12-15/01/2020 EUR VIVENDI SA 4.125% 12-18/07/2017 EUR United States of America AMER HONDA FIN 1.875% /09/2019 EUR AT&T INC 2.500% 13-15/03/2023 EUR AT&T INC 3.500% 13-17/12/2025 EUR BANK OF AMERICA CORP 2.500% /07/2020 EUR BANK OF AMERICA CORP 4.625% /08/2017 EUR CARGILL INC 2.500% 14-15/02/2023 EUR GOLDMAN SACHS GP 2.500% /10/2021 EUR GOLDMAN SACHS GP 4.375% /03/2017 EUR GOLDMAN SACHS GP 4.750% /10/2021 EUR GOLDMAN SACHS GP 5.125% /10/2019 EUR JPMORGAN CHASE 2.625% /04/2021 EUR MERRILL LYNCH 4.625% /09/2018 EUR MET LIFE GLOB 4.625% 07-16/05/2017 EUR MONDELEZ INTERNATIONAL INC % 13-26/01/2021 EUR MORGAN STANLEY 2.250% /03/2018 EUR MORGAN STANLEY 3.750% /09/2017 EUR MORGAN STANLEY 4.375% /10/2016 EUR MORGAN STANLEY 4.500% /02/2016 EUR MORGAN STANLEY 5.375% /08/2020 EUR PHILIP MORRIS INTERNATIONAL % 13-19/03/2020 EUR PHILIP MORRIS INTERNATIONAL % 14-03/03/2021 EUR PHILIP MORRIS INTERNATIONAL % 13-19/03/2025 EUR PHILIP MORRIS INTERNATIONAL % 14-03/03/2026 EUR PROCTER & GAMBLE 2.000% /11/2021 EUR SABMILLER HLD IN 1.875% /01/2020 EUR SIMON PROPERTY GP LP 2.375% /10/2020 EUR TOYOTA MTR CRED 1.800% /07/2020 EUR VERIZON COMMUNICATIONS INC % 14-17/02/2022 EUR VERIZON COMMUNICATIONS INC % 14-17/02/2034 GBP WELLS FARGO CO 2.250% /09/2020 EUR The Netherlands ABN AMRO BANK NV 2.125% /11/2020 EUR ABN AMRO BANK NV 4.750% /01/2019 EUR ABN AMRO BANK NV 6.375% /04/2021 EUR ACHMEA BV 2.5% 13-19/11/2020 EUR BAT HOLDINGS BV 4.000% /07/2020 EUR BMW FINANCE NV 2.000% /09/2020 EUR COCA-COLA HBC BV 2.375% /06/2020 EUR CRH FINANCE BV 5.000% /01/2019 EUR DEUTSCHE ANN FIN 2.125% /07/2016 EUR DEUTSCHE ANN FIN 3.625% /10/2021 EUR DEUTSCHE TEL FIN 4.250% /07/2022 EUR EDP FINANCE BV 4.125% /01/2021 EUR GAS NATURAL CAP 4.500% /01/2020 EUR GAS NATURAL CAP 5.375% /05/2019 EUR GAS NATURAL CAP 6.000% /01/2020 EUR IBERDROLA INTL 3.500% /02/2021 EUR IBERDROLA INTL 4.250% /10/2018 EUR ING BANK NV 1.875% 13-27/02/2018 EUR ING BANK NV 4.875% 11-18/01/2021 EUR ING GROEP NV 4.750% 07-31/05/2017 EUR KBC IFIMA NV 2.125% 13-10/09/2018 EUR Page 78

81 Bond Euro Corporate Expressed in EUR KPN NV 3.250% 12-01/02/2021 EUR KPN NV 6.500% 08-15/01/2016 EUR LINDE FINANCE BV 3.875% /06/2021 EUR NOMURA EUROPE FN 1.875% /05/2018 EUR RABOBANK 1.750% 14-22/01/2019 EUR RABOBANK 3.750% 10-09/11/2020 EUR RABOBANK 3.875% 13-25/07/2023 EUR RABOBANK 4.125% 12-14/09/2022 EUR REPSOL INTL FIN 2.625% /05/2020 EUR REPSOL INTL FIN 3.625% /10/2021 EUR REPSOL INTL FIN 4.875% /02/2019 EUR SCHLUMBERGER FIN 1.500% /03/2019 EUR VOLKSWAGEN INTFN 2.000% /03/2021 EUR WOLTERS KLUWER-C 2.875% /03/2023 EUR Italy AEROPORTI ROMA 3.250% /02/2021 EUR ASSICURAZIONI GENERALI 2.875% /01/2020 EUR ATLANTIA 5.625% 09-06/05/2016 EUR ENEL (ENTNZENEL) 5.250% /06/2017 EUR ENI SPA 2.625% 13-22/11/2021 EUR ENI SPA 4.000% 10-29/06/2020 EUR ENI SPA 4.125% 09-16/09/2019 EUR ENI SPA 4.750% 07-14/11/2017 EUR HERA SPA 3.250% 13-04/10/2021 EUR INTESA SANPAOLO 3.000% /01/2019 EUR INTESA SANPAOLO 3.500% /01/2022 EUR INTESA SANPAOLO 4.000% /11/2017 EUR INTESA SANPAOLO 4.125% /01/2016 EUR INTESA SANPAOLO 4.125% /09/2016 EUR INTESA SANPAOLO 6.625% /09/2023 EUR LOTTOMATICA SPA 5.375% /12/2016 EUR SIAS 3.375% 14-13/02/2024 EUR SNAM 3.500% 12-13/02/2020 EUR SNAM 5.000% 12-18/01/2019 EUR SNAM SPA 3.875% 12-19/03/2018 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR UNICREDIT SPA 3.375% 12-11/01/2018 EUR UNIONE DI BANCHE 2.750% /04/2017 EUR UNIONE DI BANCHE 2.875% /02/2019 EUR Spain ABERTIS 3.750% 13-20/06/2023 EUR ABERTIS 4.750% 12-25/10/2019 EUR ABERTIS INFRAESTRUSTURAS % 09-14/10/2016 EUR BBVA SENIOR FIN 2.375% /01/2019 EUR BBVA SENIOR FIN 3.250% /03/2016 EUR BBVA SENIOR FIN 3.750% /01/2018 EUR CAIXABANK 2.500% 13-18/04/2017 EUR CAIXABANK S.A 3.125% 13-14/05/2018 EUR FERROVIAL EMISIO 3.375% /01/2018 EUR RED ELECTRICA FI 4.875% /04/2020 EUR SANTAN CONS FIN 1.450% /01/2016 EUR SANTANDER INTL 3.381% /12/2015 SANTANDER INTL 4.625% /03/2016 TELEFONICA EMIS 3.661% /09/2017 TELEFONICA EMIS 3.987% /01/2023 TELEFONICA EMIS 4.710% /01/2020 TELEFONICA EMIS 4.750% /02/2017 TELEFONICA EMIS 5.496% /04/2016 TELEFONICA EMIS 5.811% /09/2017 EUR EUR EUR EUR EUR EUR EUR EUR United Kingdom ABBEY NATIONAL TREASURY % 13-15/01/2018 EUR ABBEY NATIONAL TREASURY % 13-16/07/2020 EUR ANGLO AMERICAN 2.500% /09/2018 EUR ANGLO AMERICAN 2.875% /11/2020 EUR BARCLAYS BANK PLC 2.125% /02/2021 EUR BARCLAYS BANK PLC 6.000% /01/2021 EUR BP CAPITAL PLC 2.177% 14-28/09/2021 EUR BP CAPITAL PLC 2.972% 14-27/02/2026 EUR CREDIT AGRICOLE 2.375% /11/2020 EUR CREDIT AGRICOLE 5.875% /06/2019 EUR FCE BANK PLC 1.625% 13-09/09/2016 EUR FCE BANK PLC 1.875% 13-12/05/2016 EUR HEATHROW FUNDING LTD 4.375% /01/2017 EUR IMP TOBACCO FIN 2.250% /02/2021 EUR IMP TOBACCO FIN 3.375% /02/2026 EUR LEHMAN BROS CAP 3.875% /12/2049 DFLT EUR LLOYDS BANK PLC 1.875% /10/2018 EUR LLOYDS TSB BANK 6.500% /03/2020 EUR NATIONWIDE BLDG 4.125% /03/2023 EUR ROYAL BANK SCOTLAND 1.500% /11/2016 EUR ROYAL BANK SCOTLAND 6.934% /04/2018 EUR SSE PLC 2.000% 13-17/06/2020 EUR STANDARD CHARTERED 1.625% /11/2018 EUR WPP FINANCE % /11/2023 EUR Ireland CRH FINLAND SERV 2.750% /10/2020 EUR FGA CAPITAL IRE 2.875% /01/2018 EUR FGA CAPITAL IRE 4.000% /10/2018 EUR GE CAP EUR FUND 4.250% /03/2017 EUR GE CAP EUR FUND 4.350% /11/2021 EUR GE CAP EUR FUND 5.375% /01/2020 EUR IBERDROLA INTL 4.500% /09/2017 EUR Germany BAYER AG 1.875% 14-25/01/2021 EUR BUNDESOBL % 09-11/04/2014 EUR CONTINENTAL AG 3.125% /09/2020 EUR DAIMLER AG 2.000% 13-07/04/2020 EUR EVONIK 1.875% 13-08/04/2020 EUR TELFONICA DEUTSC 2.375% /02/2021 EUR Page 79

82 Bond Euro Corporate Expressed in EUR VIER GAS TRANSPO 2.000% /06/2020 EUR VIER GAS TRANSPO 3.125% /07/2023 EUR VOLKSWAGEN LEAS 2.625% /01/2024 EUR Luxembourg ENEL FIN INTL NV 4.125% /07/2017 EUR ENEL FIN INTL NV 4.875% /03/2020 EUR ENEL FIN INTL NV 5.750% /10/2018 EUR ENEL FIN INTL SA 5.000% /09/2022 EUR PROLOGIS INTL II 2.750% /10/2018 EUR TALANX AG 3.125% 13-13/02/2023 EUR Sweden AKZO NOBEL SWEDEN 2.625% /07/2022 EUR NORDEA BANK AB 2.000% /02/2021 EUR NORDEA BANK AB 4.000% /07/2019 EUR NORDEA BANK AB 4.500% /03/2020 EUR SKANDINAVISKA ENSKILDA 2.000% /03/2019 EUR SKANDINAVISKA ENSKILDA 4.000% /09/2022 EUR SKF AB 2.375% 13-29/10/2020 EUR SWEDBANK AB 3.375% 12-09/02/2017 EUR Canada TOTAL CAP CANADA 1.875% /07/2020 EUR Austria TELEKOM FINANZ 3.125% /12/2021 EUR Mexico AMERICA MOVIL SA 3.000% /07/2021 EUR AMERICA MOVIL SA 4.125% /10/2019 EUR Norway SPAREBANK 1 SMN 2.125% /02/2018 EUR Australia TELSTRA CORPORATION LTD 3.500% /09/2022 EUR Belgium ANHEUSER - BUSCH 2.250% /09/2020 EUR Denmark CARLSBERG BREW 3.375% /10/2017 EUR Floating rate bonds France AGF 05-29/06/2049 SR EUR AXA SA 06-29/07/2049 SR EUR AXA SA 07-29/10/2049 FRN EUR AXA SA 13-04/07/2043 FRN EUR BNP PARIBAS FRN 07-29/04/2049 EUR BPCE 09-29/09/2049 FRN EUR CAISSE EPARG ECR 07-29/10/2049 FRN EUR CAISSE EPARG PRE 04-29/07/2049 SR EUR CNP ASSURANCES 06-29/12/2049 SR EUR CNP ASSURANCES 10-14/09/2040 FRN EUR CREDIT AGRICOLE SA /01/2049 FRN USD ELEC DE FRANCE 13-PERP FRN EUR ELEC DE FRANCE 14-29/01/2049 FRN EUR NATIXIS 07-29/10/2049 FRN EUR ORANGE 14-28/02/2049 FRN EUR ORANGE 14-28/02/2049 FRN GBP SOCIETE GENERALE 05-29/01/2049 SR EUR SOLVAY FIN 13-29/05/2049 FRN EUR SOLVAY FIN 13-29/11/2049 FRN EUR VINCI SA 06-PERP SR EUR Luxembourg FORTIS BANK SA/NV 04-29/10/2049 SR EUR FORTIS BANK SA/NV 06-23/03/2021 SR EUR GENERALI FINANCE 06-29/06/2049 SR EUR GENERALI FINANCE 07-29/12/2049 SR EUR HANNOVER FINANCE /06/2049 SR EUR HANNOVER FINANCE /09/2040 FRN EUR HANNOVER FINANCE /06/2043 FRN EUR United Kingdom AVIVA PLC 03-29/09/2049 SR EUR AVIVA PLC 13-05/07/2043 FRN EUR CREDIT AGRICOLE 05-29/11/2049 SR EUR CREDIT AGRICOLE 09-29/10/2049 FRN EUR HBOS PLC 04-30/10/2019 SR EUR HSBC HOLDINGS 13-10/01/2024 FRN EUR HSBC HOLDINGS PLC /06/2020 SR EUR SSE PLC 12-PERP FRN EUR Germany ALLIANZ SE 12-17/10/2042 FRN EUR BAYER AG 05-29/07/2105 SR EUR MUNICH RE 07-29/06/49 FRN EUR MUNICH RE 11-26/05/2041 FRN EUR RWE AG 10-PERP FRN EUR The Netherlands ACHMEA BV 13-04/04/2043 FRN EUR ALLIANZ FINANCE 11-08/07/2041 FRN EUR ING BANK NV 08-29/05/2023 FRN EUR ING BANK NV 13-21/11/2023 FRN EUR ING BANK NV 14-25/02/2026 FRN EUR SIEMENS FINAN 06-14/09/2066 SR EUR United States of America BANK OF AMERICA CORP /03/2018 SR EUR CITIGROUP INC 04-10/02/2019 SR EUR CITIGROUP INC 05-30/11/2017 SR EUR GE CAPITAL TRUST II /09/2067 FRN EUR GE CAPITAL TRUST IV /09/2066 FRN EUR JP MORGAN CHASE 04-12/11/2019 SR EUR Switzerland SWISS RE 06-29/05/2049 SR EUR UBS AG 14-12/02/2026 FRN EUR Belgium GDF SUEZ 13-29/07/2049 FRN EUR GDF SUEZ 13-29/07/2049 FRN EUR Sweden SVENSKA HANDELSBANKEN /01/2024 FRN EUR SWEDBANK AB 14-26/02/2024 FRN EUR Ireland AQUARIUS + INV 13-02/10/2043 FRN EUR Page 80

83 Bond Euro Corporate Expressed in EUR Italy ASSICURAZIONI GENERALI /12/2042 FRN EUR Norway DNB BANK ASA 13-26/09/2023 FRN EUR Shares/Units in investment funds Luxembourg BNPP FLEXI I BOND EURO FOCUS CORPORATE - I - CAP EUR BNPP FLEXI I BOND EURO SHORT TERM CORPORATE - I - CAP EUR Total securities portfolio Page 81

84 Bond Euro Government Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Italy ITALY 5.750% 01-25/07/2016 EUR ITALY BTPS 0.000% 12-22/10/2016 EUR ITALY BTPS 2.250% 13-15/05/2016 EUR ITALY BTPS 2.500% 14-01/05/2019 EUR ITALY BTPS 2.750% 13-15/11/2016 EUR ITALY BTPS 3.750% 10-01/03/2021 EUR ITALY BTPS 3.750% 13-01/05/2021 EUR ITALY BTPS 4.000% 10-01/09/2020 EUR ITALY BTPS 4.250% 09-01/09/2019 EUR ITALY BTPS 4.500% 04-01/02/2020 EUR ITALY BTPS 4.500% 07-01/02/2018 EUR ITALY BTPS 4.500% 10-01/03/2026 EUR ITALY BTPS 4.500% 12-15/07/2015 EUR ITALY BTPS 4.500% 13-01/03/2024 EUR ITALY BTPS 4.500% 13-01/05/2023 EUR ITALY BTPS 4.750% 08-01/08/2023 EUR ITALY BTPS 4.750% 12-01/06/2017 EUR ITALY BTPS 4.750% 13-01/09/2028 EUR ITALY BTPS 4.750% 13-01/09/2044 EUR ITALY BTPS 5.000% 03-01/08/2034 EUR ITALY BTPS 5.000% 07-01/08/2039 EUR ITALY BTPS 5.000% 09-01/03/2025 EUR ITALY BTPS 5.000% 09-01/09/2040 EUR ITALY BTPS 5.000% 11-01/03/2022 EUR ITALY BTPS 5.250% 02-01/08/2017 EUR ITALY BTPS 5.500% 12-01/09/2022 EUR ITALY BTPS 5.750% 02-01/02/2033 EUR ITALY BTPS 6.000% 00-01/05/2031 EUR ITALY BTPS 7.250% 97-01/11/2026 EUR France DEXIA CREDIT LOCAL 1.000% /07/2016 EUR DEXIA CREDIT LOCAL 1.000% /07/2016 EUR DEXIA CREDIT LOCAL 1.625% /10/2018 EUR DEXIA CREDIT LOCAL 2.000% /01/2021 EUR FRANCE O.A.T % 13-25/11/2015 EUR FRANCE O.A.T % 13-25/05/2018 EUR FRANCE O.A.T % 13-25/11/2018 EUR FRANCE O.A.T % 13-25/05/2023 EUR FRANCE O.A.T % 12-25/10/2022 EUR FRANCE O.A.T % 13-25/05/2024 EUR FRANCE O.A.T % 10-25/10/2020 EUR FRANCE O.A.T % 12-25/10/2027 EUR FRANCE O.A.T % 12-25/04/2022 EUR FRANCE O.A.T % 13-25/05/2045 EUR FRANCE O.A.T % 05-25/04/2015 EUR FRANCE O.A.T % 10-25/04/2026 EUR FRANCE O.A.T % 06-25/10/2038 EUR FRANCE O.A.T % 08-25/04/2018 EUR FRANCE O.A.T % 10-25/04/2060 EUR FRANCE O.A.T % 09-25/04/2041 EUR FRANCE O.A.T % 04-25/04/2035 EUR FRANCE O.A.T % 01-25/10/2016 EUR FRANCE O.A.T % 98-25/04/2029 EUR FRANCE O.A.T % 01-25/10/2032 EUR FRENCH BTAN 1.000% 12-25/07/2017 EUR FRENCH BTAN 2.500% 11-25/07/2016 EUR OSEO SA 13-27/03/2015 FRN EUR Spain SPANISH GOVT 3.250% 10-30/04/2016 EUR SPANISH GOVT 3.300% 13-30/07/2016 EUR SPANISH GOVT 3.750% 12-31/10/2015 EUR SPANISH GOVT 3.750% 13-31/10/2018 EUR SPANISH GOVT 3.800% 14-30/04/2024 EUR SPANISH GOVT 4.000% 10-30/04/2020 EUR SPANISH GOVT 4.100% 08-30/07/2018 EUR SPANISH GOVT 4.200% 05-31/01/2037 EUR SPANISH GOVT 4.250% 11-31/10/2016 EUR SPANISH GOVT 4.400% 13-31/10/2023 EUR SPANISH GOVT 4.600% 09-30/07/2019 EUR SPANISH GOVT 4.650% 10-30/07/2025 EUR SPANISH GOVT 4.850% 10-31/10/2020 EUR SPANISH GOVT 5.150% 13-31/10/2028 EUR SPANISH GOVT 5.150% 13-31/10/2044 EUR SPANISH GOVT 5.400% 13-31/01/2023 EUR SPANISH GOVT 5.500% 02-30/07/2017 EUR SPANISH GOVT 5.500% 11-30/04/2021 EUR SPANISH GOVT 5.850% 11-31/01/2022 EUR Germany BUNDESOBL % 11-08/04/2016 EUR BUNDESOBL % 11-14/10/2016 EUR BUNDESOBL % 13-13/04/2018 EUR BUNDESOBL % 12-24/02/2017 EUR BUNDESOBL % 13-12/10/2018 EUR DEUTSCHLAND REP 1.500% /02/2023 EUR DEUTSCHLAND REP 1.750% /07/2022 EUR DEUTSCHLAND REP 1.750% /02/2024 EUR DEUTSCHLAND REP 2.000% /08/2023 EUR DEUTSCHLAND REP 2.500% /01/2021 EUR DEUTSCHLAND REP 2.500% /07/2044 EUR DEUTSCHLAND REP 3.250% /07/2042 EUR DEUTSCHLAND REP 3.500% /07/2019 EUR DEUTSCHLAND REP 4.000% /01/2037 EUR DEUTSCHLAND REP 4.750% /07/2028 EUR DEUTSCHLAND REP 5.500% /01/2031 EUR FMS WERTMANAGE 2.750% /06/2016 EUR KFW 1.375% 12-21/02/2017 EUR The Netherlands NETHERLANDS GOVT 0.000% /04/2016 NETHERLANDS GOVT 1.250% /01/2018 NETHERLANDS GOVT 1.250% /01/2019 NETHERLANDS GOVT 1.750% /07/2023 NETHERLANDS GOVT 2.250% /07/2022 NETHERLANDS GOVT 2.500% /01/2033 NETHERLANDS GOVT 2.750% /01/2047 NETHERLANDS GOVT 3.250% /07/2021 NETHERLANDS GOVT 3.500% /07/2020 NETHERLANDS GOVT 4.500% /07/2017 EUR EUR EUR EUR EUR EUR EUR EUR EUR EUR Page 82

85 Bond Euro Government Expressed in EUR NETHERLANDS GOVT 5.500% /01/2028 EUR NETHERLANDS GOVT 7 1/223-PRN % 93-15/01/2023 EUR PROPERTIZE BV 0.500% 14-27/02/2017 EUR PROPERTIZE BV 1.000% 14-18/02/2019 EUR Belgium BELGIAN % 09-28/03/2015 EUR BELGIAN % 11-28/06/2017 EUR BELGIAN % 12-28/09/2022 EUR BELGIAN % 12-28/03/2032 EUR BELGIAN % 12-28/09/2019 EUR BELGIAN RETAIL 2.250% /06/2023 EUR BELGIUM OLO % /03/2028 EUR BELGIUM OLO % /03/2035 EUR BELGIUM OLO % /03/2022 EUR Austria REPUBLIC OF AUSTRIA 1.950% /06/2019 EUR REPUBLIC OF AUSTRIA 3.500% /09/2021 EUR REPUBLIC OF AUSTRIA 3.800% /01/2062 EUR REPUBLIC OF AUSTRIA 3.900% /07/2020 EUR REPUBLIC OF AUSTRIA 4.150% /03/2037 EUR REPUBLIC OF AUSTRIA 4.300% /09/2017 EUR REPUBLIC OF AUSTRIA 4.850% /03/2026 EUR Ireland IRISH GOVT 3.400% 14-18/03/2024 EUR IRISH GOVT 4.500% 04-18/04/2020 EUR IRISH GOVT 4.500% 07-18/10/2018 EUR IRISH LIFE & PER 4.000% /03/2015 EUR Supranational EFSF 0.750% 13-05/06/2017 EUR EFSF 0.875% 13-16/04/2018 EUR EFSF 1.625% 13-17/07/2020 EUR EIB 2.625% 12-16/03/2020 EUR Portugal PORTUGUESE OTS 4.350% /10/2017 EUR PORTUGUESE OTS 4.450% /06/2018 EUR PORTUGUESE OTS 4.750% /06/2019 EUR PORTUGUESE OTS 5.650% /02/2024 EUR Slovakia SLOVAKIA GOVT 3.625% /01/2029 EUR SLOVAKIA GOVT 4.625% /01/2017 EUR Greece HELLENIC REPUBLIC 0.000% /10/2042 EUR Shares/Units in investment funds Luxembourg BNP PARIBAS INSTICASH EUR - I - CAP EUR Total securities portfolio Page 83

86 Bond Euro High Yield Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United Kingdom ALGECO SCOTSMAN 9.000% /10/2018 EUR BAKKAVOR FIN % /02/2018 GBP BOPARAN 9.750% 11-30/04/2018 EUR BOPARAN 9.875% 11-30/04/2018 GBP BRIGHTHOUSE GP L 7.875% /05/2018 GBP DFS FURNITURE HL 7.625% /08/2018 GBP EC FINANCE 9.750% 10-01/08/2017 EUR GKN HOLDINGS PLC 6.750% /10/2019 GBP INFINIS PLC 7.000% 13-15/02/2019 GBP JAGUAR LAND ROVER 5.000% /02/2022 GBP JAGUAR LAND ROVR 8.250% /03/2020 GBP LADBROKES GROUP 7.625% /03/2017 GBP NEW LOOK BONDCO 8.750% /05/2018 GBP OTE PLC 4.625% 06-20/05/2016 EUR PHONES4U FINANCE 9.500% /04/2018 GBP PRIORY GROUP 7.000% 11-15/02/2018 GBP PRIORY GROUP 8.875% 11-15/02/2019 GBP R&R ICE CREAM 8.375% 10-15/11/2017 EUR THOMAS COOK GROUP 7.750% /06/2017 GBP VOUGEOT BIDCO 7.875% /07/2020 GBP WILLIAM HILL 4.250% 13-05/06/2020 GBP WILLIAM HILL 7.125% 09-11/11/2016 GBP Luxembourg ALTICE FINANCING 6.500% /01/2022 EUR ALTICE FINCO SA 9.000% /06/2023 EUR BOARDRIDERS 8.875% 10-15/12/2017 EUR FIAT FIN & TRADE 6.750% /10/2019 EUR FIAT FIN & TRADE 7.000% /03/2017 EUR FIAT FIN & TRADE 7.750% /10/2016 EUR FMC FINANCE VIII 6.500% /09/2018 EUR GCS HOLDCO FINAN 6.500% /11/2018 EUR GESTAMP FUN LUX 5.875% /05/2020 EUR INEOS GROUP HOLD 5.750% /02/2019 EUR INTRALOT FINANCE 9.750% /08/2018 EUR KION FINANCE 7.875% 11-15/04/2018 EUR SCHMOLZBICKENBAC 9.875% /05/2019 EUR SUNRISE COMM INT 7.000% /12/2017 EUR TITAN LUXCO 7.375% 13-15/05/2020 EUR WIND ACQUISITION 7.375% /02/2018 EUR XEFIN LUX SCA 8.000% 11-01/06/2018 EUR France AUTODIS SA 6.500% 14-01/02/2019 EUR BANQUE PSA FIN 4.250% /02/2016 EUR CEGEDIM SA 6.750% 13-01/04/2020 EUR CERBA EUROPEAN 7.000% /02/2020 EUR CIMENTS FRANCAIS SA 4.750% /04/2017 EUR CROWN HOLDINGS 7.125% /08/2018 EUR KERNEOS TECH GRO 5.750% /03/2021 EUR LA FIN ATALIAN 7.250% 13-15/01/2020 EUR LABCO SAS 8.500% 11-15/01/2018 EUR LAFARGE SA 5.875% 12-09/07/2019 EUR LAFARGE SA 7.625% 09-24/11/2016 EUR MAISONS DU MONDE 9.000% /08/2020 EUR MEDI-PARTENAIRES 7.000% /05/2020 EUR NOVALIS SAS 6.000% 13-15/06/2018 EUR NUMERICABLE FIN 8.750% /02/2019 EUR PEUGEOT 6.500% 13-18/01/2019 EUR RENAULT 3.125% 14-05/03/2021 EUR RENAULT 3.625% 13-19/09/2018 EUR RENAULT 4.625% 11-25/05/2016 EUR REXEL SA 7.000% 11-17/12/2018 EUR SPCM SA 5.500% 12-15/06/2020 EUR TEREOS FIN GROUP 4.250% /03/2020 EUR WENDEL 6.750% 11-20/04/2018 EUR WENDEL INVEST 4.875% 07-21/09/2015 EUR WENDEL SA 5.875% 12-17/09/2019 EUR The Netherlands ADRIA BIDCO BV 7.875% /11/2020 EUR CABLE & WIRE INT 8.625% /03/2019 GBP CNH IND FIN 6.25% 11-09/03/2018 EUR EDP FINANCE BV 5.750% /09/2017 EUR EDP FINANCE BV 6.625% /08/2017 GBP EDP FINANCE BV 8.625% /01/2024 GBP FRESENIUS FIN 3.000% 14-01/02/2021 EUR HEIDELBERGCEMENT 6.500% /08/2015 EUR HEIDELBERGCEMENT 8.500% /10/2019 EUR HEIDELCEMENT FIN 6.750% /12/2015 EUR NOKIA SIEMENS 6.750% 13-15/04/2018 EUR NOKIA SIEMENS 7.125% 13-15/04/2020 EUR OI EUROPEAN GRP 4.875% /03/2021 EUR PORTUGAL TEL FIN 5.875% /04/2018 EUR REFRESCO GROUP 7.375% /05/2018 EUR UPC HOLDING BV 6.375% /09/2022 EUR UPC HOLDING BV 6.750% /03/2023 EUR UPC HOLDING BV 8.375% /08/2020 EUR Germany DEUTSCHE RASTN 6.750% /12/2020 EUR KUKA AG 8.750% 10-15/11/2017 EUR SGL CARBON SE 4.875% 13-15/01/2021 EUR THYSSENKRUPP AG 4.000% /08/2018 EUR THYSSENKRUPP AG 4.375% /02/2017 EUR UNITYMEDIA 5.125% 13-21/01/2023 EUR UNITYMEDIA 9.500% 12-15/03/2021 EUR UNITYMEDIA GMBH 7.500% /03/2019 EUR UPC GERMANY 9.625% 09-01/12/2019 EUR WEPA HYGIENEPROD 6.500% /05/2020 EUR Page 84

87 Bond Euro High Yield Expressed in EUR Italy ASTALDI SPA 7.125% 13-01/12/2020 EUR GAMENET 7.250% 13-01/08/2018 EUR MARCOLIN 8.500% 13-15/11/2019 EUR RHINO BONDCO 7.250% 13-15/11/2020 EUR SISAL HOLDING 7.250% 13-30/09/2017 EUR TELECOM ITALIA 4.750% /05/2018 EUR Ireland AG SPRING FIN II 9.500% 13-01/06/2019 EUR AG SPRING FINANC 7.500% /06/2018 EUR ARDAGH PKG FIN 7.375% /10/2017 EUR NARA CABLE FUNDI 8.500% /03/2020 EUR SMURFIT KAPPA AQ 7.750% /11/2019 EUR Jersey Island ASTON MARTIN 9.250% 11-15/07/2018 GBP GALAXY BIDCO LTD 6.375% /11/2020 GBP GALAXY FINCO LTD 7.875% /11/2021 GBP Poland PLAY FIN 2 SA 5.250% 14-01/02/2019 EUR PLAY FIN 2 SA 6.500% 14-01/08/2019 EUR Sweden EILEME 2 AB % 12-31/01/2020 EUR TVN FIN CORP III 7.375% 13-15/12/2020 EUR TVN FIN CORP III 7.875% 10-15/11/2018 EUR UNILABS SUBHOLD 8.500% /07/2018 EUR United States of America BELDEN INC 5.500% 13-15/04/2023 EUR Czech Republic CE ENERGY 7.000% 14-01/02/2021 EUR South Africa FOODCORP LTD 8.750% 11-01/03/2018 EUR Belgium BARRY CALLE SVCS 5.375% /06/2021 EUR BARRY CALLE SVCS 6.000% /07/2017 EUR Spain CEMEX ESPANA LUX 9.875% /04/2019 EUR EMPARK FUNDING 6.750% /12/2019 EUR OBRASCON HUARTE 7.375% /04/2015 EUR OBRASCON HUARTE 7.625% /03/2020 EUR Cayman Islands UPCB FINANCE 6.375% 11-01/07/2020 EUR Portugal BRISA CONCESSAO 6.875% /04/2018 EUR Croatia AGROKOR 9.125% 12-01/02/2020 EUR Austria SAPPI PAPIER HOL 6.625% /04/2018 EUR Finland UPM KYMMENE CORP 6.625% /01/2017 GBP Greece HELLAS TEL FIN 06-15/07/ FRN DFLT EUR Floating rate bonds France LAFARGE SA 09-30/05/2017 FRN GBP PICARD GROUPE 13-01/08/2019 FRN EUR VEOLIA ENVIRONNEMENT /01/2049 FRN EUR Italy ENEL SPA 13-10/09/2075 FRN GBP ENEL SPA 14-15/01/2075 FRN EUR RHINO BONDCO 13-15/12/2019 FRN EUR The Netherlands KPN NV 13-14/03/2073 FRN GBP KPN NV 13-29/03/2049 FRN EUR Jersey Island BRITISH AIRWAYS 8.750% 01-23/08/2016 SR GBP Luxembourg HELLAS II 06-15/01/2015 FRN DFLT EUR KION FINANCE 13-15/02/2020 FRN EUR TELENET FINANCE 11-15/06/2021 FRN EUR United Kingdom REXAM PLC 07-29/06/2067 FRN EUR Austria WIENERBERGER AG /12/2049 FRN EUR Shares/Units in investment funds Ireland ISHARES MARKIT IBOXX EUR H/Y EUR Luxembourg BNPP FLEXI I BOND EURO FOCUS CORPORATE - I - CAP EUR Total securities portfolio Page 85

88 Bond Euro Inflation-Linked Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France CAISSE AMORT DE I/L 1.850% /07/2019 EUR FRANCE O.A.T % 13-25/07/2024 EUR FRANCE O.A.T. I/L 0.100% /07/2021 EUR FRANCE O.A.T.I/L 0.250% /07/2018 EUR FRANCE O.A.T.I/L 1.000% /07/2017 EUR FRANCE O.A.T.I/L 1.100% /07/2022 EUR FRANCE O.A.T.I/L 1.300% /07/2019 EUR FRANCE O.A.T.I/L 1.600% /07/2015 EUR FRANCE O.A.T.I/L 1.800% /07/2040 EUR FRANCE O.A.T.I/L 1.850% /07/2027 EUR FRANCE O.A.T.I/L 2.100% /07/2023 EUR FRANCE O.A.T.I/L 2.250% /07/2020 EUR FRANCE O.A.T.I/L 3.150% /07/2032 EUR FRANCE O.A.T.I/L 3.400% /07/2029 EUR FRENCH BTAN I/L 0.450% /07/2016 EUR Italy ITALY BTPS 4.750% 13-01/09/2044 EUR ITALY BTPS 5.500% 12-01/09/2022 EUR ITALY BTPS I/L 1.700% 13-15/09/2018 EUR ITALY BTPS I/L 2.100% 06-15/09/2017 EUR ITALY BTPS I/L 2.100% 10-15/09/2021 EUR ITALY BTPS I/L 2.100% 11-15/09/2016 EUR ITALY BTPS I/L 2.350% 04-15/09/2035 EUR ITALY BTPS I/L 2.350% 08-15/09/2019 EUR ITALY BTPS I/L 2.550% 09-15/09/2041 EUR ITALY BTPS I/L 2.600% 07-15/09/2023 EUR ITALY BTPS I/L 3.100% 11-15/09/2026 EUR Germany BUNDESOBLIGATION-I/L 0.750% /04/2018 EUR DEUTSCHLAND I/L 0.100% /04/2023 EUR DEUTSCHLAND I/L 1.500% /04/2016 EUR DEUTSCHLAND I/L 1.750% /04/2020 EUR Spain SPANISH GOVT 3.800% 14-30/04/2024 EUR SPANISH GOVT 5.150% 13-31/10/2028 EUR SPANISH GOVT 5.500% 11-30/04/2021 EUR SPANISH GOVT 5.900% 11-30/07/2026 EUR Portugal PORTUGUESE OTS 4.350% /10/2017 EUR PORTUGUESE OTS 4.450% /06/2018 EUR PORTUGUESE OTS 4.750% /06/2019 EUR PORTUGUESE OTS 5.650% /02/2024 EUR Ireland IRISH GOVT 3.400% 14-18/03/2024 EUR IRISH GOVT 4.500% 04-18/04/2020 EUR Total securities portfolio Page 86

89 Bond Euro Long Term Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Italy ITALY BTPS 4.500% 10-01/03/2026 EUR ITALY BTPS 5.000% 03-01/08/2034 EUR ITALY BTPS 5.000% 09-01/03/2025 EUR ITALY BTPS 5.000% 09-01/09/2040 EUR ITALY BTPS 5.750% 02-01/02/2033 EUR ITALY BTPS 6.000% 00-01/05/2031 EUR ITALY BTPS 6.500% 97-01/11/2027 EUR France FRANCE O.A.T % 13-25/05/2045 EUR FRANCE O.A.T % 10-25/04/2026 EUR FRANCE O.A.T % 06-25/10/2038 EUR FRANCE O.A.T % 10-25/04/2060 EUR FRANCE O.A.T % 04-25/04/2035 EUR Germany DEUTSCHLAND REP 4.750% /07/2034 EUR DEUTSCHLAND REP 4.750% /07/2040 EUR DEUTSCHLAND REP 5.500% /01/2031 EUR Spain COMUNIDAD MADRID 4.125% /05/2024 EUR SPANISH GOVT 4.200% 05-31/01/2037 EUR SPANISH GOVT 5.150% 13-31/10/2028 EUR SPANISH GOVT 5.150% 13-31/10/2044 EUR SPANISH GOVT 5.900% 11-30/07/2026 EUR Belgium BELGIAN % 11-28/03/2026 EUR BELGIAN % 12-28/03/2032 EUR BELGIAN 3.750% 13-22/06/2045 EUR The Netherlands NETHERLANDS GOVT 2.500% /01/2033 EUR NETHERLANDS GOVT 2.750% /01/2047 EUR Austria OEBB INFRASTRUKT 3.000% /10/2033 EUR REPUBLIC OF AUSTRIA 4.850% /03/2026 EUR Ireland IRISH GOVT 5.400% 09-13/03/2025 EUR Slovakia SLOVAKIA GOVT 3.625% /01/2029 EUR SLOVAKIA GOVT 4.350% /10/2025 EUR Supranational EIB 3.000% 13-14/10/2033 EUR Poland REPUBLIC OF POLAND 3.000% /01/2024 EUR Portugal PORTUGUESE OTS 5.650% /02/2024 EUR Finland FINNISH GOVT 2.750% 12-04/07/2028 EUR Total securities portfolio Page 87

90 Bond Euro Medium Term Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France ACCOR 2.500% 13-21/03/2019 EUR ALD INTERNATION 1.875% /06/2016 EUR AREVA SA 3.875% 09-23/09/2016 EUR AUCHAN SA 3.625% 11-19/10/2018 EUR AUTOROUTES PARIS 2.250% /01/2020 EUR AXA BANK EUROPE 2.250% /04/2017 EUR BANQ FED CRD MUT 4.375% /05/2016 EUR BANQUE PSA FIN 0.625% /04/2016 EUR BNP PARIBAS 2.875% 10-13/07/2015 EUR BPCE 1.625% 13-08/02/2017 EUR BPCE 1.750% 12-14/03/2016 EUR BPCE SFH 2.750% 12-16/02/2017 EUR BPCE SFH 3.625% 11-12/05/2016 EUR CAISSE FRANCAISE DE FINANCEMENT LOCAL 3.125% 05- EUR /09/2015 CAISSE FRANCAISE DE FINANCEMENT LOCAL 5.250% 02- EUR /02/2017 CARREFOUR BANQUE 2.875% /09/2015 EUR CASINO GUICHARD 3.157% /08/2019 EUR CIE FIN FONCIER 2.625% 10-16/04/2015 EUR CRED AG COV BOND 4.500% /01/2016 EUR CREDIT AG HOME L 3.500% /06/2018 EUR CREDIT MUTUEL ARKEA 2.500% /06/2015 EUR CREDIT MUTUEL ARKEA 4.500% /04/2021 EUR CREDIT MUTUEL- CIC 1.125% /02/2019 EUR CSSE REFIN HYPOT 4.100% /10/2015 EUR CSSE REFIN L HAB 2.600% /04/2016 EUR DEXIA CREDIT LOCAL 1.000% /07/2016 EUR DEXIA CREDIT LOCAL 1.625% /10/2018 EUR ELEC DE FRANCE 2.250% /04/2021 EUR FRANCE O.A.T % 13-25/11/2015 EUR FRANCE O.A.T % 06-25/04/2016 EUR FRANCE O.A.T % 05-25/04/2015 EUR FRANCE O.A.T % 07-25/10/2017 EUR FRANCE O.A.T % 08-25/10/2018 EUR FRENCH BTAN 1.000% 12-25/07/2017 EUR FRENCH BTAN 1.750% 12-25/02/2017 EUR FRENCH BTAN 2.500% 11-25/07/2016 EUR HSBC FRANCE 1.625% 13-03/12/2018 EUR KLEPIERRE 4.000% 10-13/04/2017 EUR LA BANQUE POSTALE 1.875% /09/2020 EUR LA BANQUE POSTALE 4.375% /11/2020 EUR LAFARGE 4.250% 05-23/03/2016 EUR LVMH MOET HENNES 3.375% /04/2015 EUR RCI BANQUE 4.000% 11-16/03/2016 EUR RCI BANQUE 4.250% 12-27/04/2017 EUR SOCIETE GENERALE 2.875% /03/2019 EUR SOCIETE GENERALE SCF 4.000% /07/2016 EUR SOCRAM BANQUE 2.125% /02/2016 EUR THALES SA 1.625% 13-20/03/2018 EUR UNEDIC 0.375% 13-29/04/2016 EUR VIVENDI SA 2.500% 12-15/01/2020 EUR Italy ASSICURAZIONI GENERALI 2.875% /01/2020 EUR EDISON SPA 3.250% 10-17/03/2015 EUR EDISON SPA 3.875% 10-10/11/2017 EUR ITALY BTPS 3.000% 10-01/11/2015 EUR ITALY BTPS 3.500% 12-01/11/2017 EUR ITALY BTPS 3.750% 06-01/08/2016 EUR ITALY BTPS 3.750% 10-01/03/2021 EUR ITALY BTPS 3.750% 13-01/05/2021 EUR ITALY BTPS 4.250% 03-01/02/2019 EUR ITALY BTPS 4.250% 09-01/09/2019 EUR ITALY BTPS 4.750% 11-01/09/2021 EUR ITALY BTPS 4.750% 11-15/09/2016 EUR ITALY BTPS 4.750% 12-01/05/2017 EUR ITALY BTPS 4.750% 12-01/06/2017 EUR ITALY BTPS 5.250% 02-01/08/2017 EUR ITALY BTPS 5.500% 12-01/09/2022 EUR ITALY BTPS 5.500% 12-01/11/2022 EUR SNAM 2.375% 13-30/06/2017 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR UNIONE DI BANCHE 2.875% /02/2019 EUR Spain BANCO BILBAO VIZCAYA 3.500% /12/2017 EUR BANCO BILBAO VIZCAYA 4.250% /03/2015 EUR BANCO CAM 4.500% 12-09/03/2017 EUR BANCO SANTANDER 3.250% /02/2015 EUR BANKINTER SA 4.125% 12-22/03/2017 EUR BBVA SENIOR FIN 3.250% /03/2016 EUR CAJA AHORROS 5.125% 11-27/04/2016 EUR CAJA RURAL NAV 2.875% /06/2018 EUR KUTXABANK 3.000% 13-01/02/2017 EUR SPANISH GOVT 3.150% 05-31/01/2016 EUR SPANISH GOVT 3.300% 13-30/07/2016 EUR SPANISH GOVT 3.750% 13-31/10/2018 EUR SPANISH GOVT 3.800% 06-31/01/2017 EUR SPANISH GOVT 4.500% 12-31/01/2018 EUR SPANISH GOVT 4.600% 09-30/07/2019 EUR SPANISH GOVT 4.850% 10-31/10/2020 EUR SPANISH GOVT 5.400% 13-31/01/2023 EUR SPANISH GOVT 5.500% 11-30/04/2021 EUR TELEFONICA EMIS 3.987% /01/2023 EUR TELEFONICA EMIS 5.811% /09/2017 EUR Germany BUNDESOBL % 11-14/10/2016 EUR DEUTSCHE BOERSE 1.125% /03/2018 EUR DEUTSCHLAND 4.250% 08-04/07/2018 EUR DEUTSCHLAND REP 4.250% /07/2017 EUR FMS WERTMANAGE 1.625% /02/2017 EUR FMS WERTMANAGE 2.750% /06/2016 EUR KFW 0.500% 12-25/07/2016 EUR KFW 1.125% 13-16/10/2018 EUR KFW 2.250% 10-21/09/2017 EUR Page 88

91 Bond Euro Medium Term Expressed in EUR KFW 3.125% 09-04/07/2016 EUR NORDRHEIN-WEST 0.875% /12/2017 EUR UNICREDIT BANK A 1.250% /04/2020 EUR Supranational EFSF 0.875% 13-16/04/2018 EUR EFSF 1.125% 12-30/11/2017 EUR EIB 3.875% 06-15/10/2016 EUR ESM 1.250% 13-15/10/2018 EUR Belgium BELFIUS BANK SA 2.250% /09/2018 EUR BELGIAN % 12-28/09/2019 EUR BELGIAN 1.250% 13-22/06/2018 EUR BELGIUM OLO % /03/2018 EUR KBC BANK NV 1.250% 13-28/05/2020 EUR United Kingdom ABBEY NATIONAL TREASURY % 14-14/01/2019 EUR BARCLAYS BANK PLC 6.000% /01/2021 EUR CREDIT AGRICOLE 3.900% /04/2021 EUR HBOS TSY SRVCS 4.375% /07/2016 EUR HSBC HOLDINGS PLC 6.000% /06/2019 EUR LLOYDS TSB BANK 6.500% /03/2020 EUR UBS AG 2.250% 12-10/01/2017 EUR The Netherlands ABN AMRO BANK NV 6.375% /04/2021 EUR BMW FINANCE NV 1.000% /10/2016 EUR GAS NATURAL CAP 5.375% /05/2019 EUR IBERDROLA INTL 3.000% /01/2022 EUR NEDERLANDSE GASU 0.875% /10/2015 EUR RABOBANK 3.875% 11-20/04/2016 EUR RABOBANK 4.125% 12-14/09/2022 EUR RABOBANK 4.375% 09-05/05/2016 EUR United States of America AT&T INC 2.650% 13-17/12/2021 EUR JPMORGAN CHASE 1.875% /11/2019 EUR JPMORGAN CHASE 2.625% /04/2021 EUR MORGAN STANLEY 2.250% /03/2018 EUR PFIZER INC 4.750% 09-03/06/2016 EUR VERIZON COMMUNICATIONS INC % 14-17/02/2022 EUR Ireland ESB FINANCE LTD 4.375% /11/2019 EUR FGA CAPITAL IRE 2.875% /01/2018 EUR IRISH GOVT 4.500% 04-18/04/2020 EUR IRISH LIFE & PER 4.000% /03/2015 EUR Portugal PORTUGUESE OTS 4.200% /10/2016 EUR PORTUGUESE OTS 4.750% /06/2019 EUR Sweden SKANDINAVISKA ENSKILDA 1.625% /11/2020 EUR Switzerland CREDIT SUISSE GUER 2.875% /10/2018 EUR Finland FINNISH GOVT 1.125% 13-15/09/2018 EUR Norway DNB NOR BOLIGKRE 2.500% /10/2016 EUR Luxembourg ENEL FIN INTL NV 3.625% /04/2018 EUR NESTLE FIN INTL 0.750% /10/2016 EUR South Korea KOREA DEV BANK 1.500% /05/2018 EUR Floating rate bonds France BNP PARIBAS 99-15/07/2014 FRN EUR CARREFOUR BANQUE /04/2016 FRN EUR CREDIT LOGEMENT /06/2017 FRN EUR NATIXIS 07-14/05/2019 SR EUR Spain SANTANDER ISSUAN /10/2017 FRN EUR Luxembourg FORTIS BANK SA/NV 06-23/03/2021 SR EUR Norway DNB BANK ASA 13-26/09/2023 FRN EUR Italy UNICREDIT SPA 14-31/01/2017 FRN EUR Other transferable securities Floating rate bonds United Kingdom HSBC BANK PLC 05-30/09/2020 FRN EUR Shares/Units in investment funds Luxembourg BNP PARIBAS INSTICASH EUR - I - CAP EUR Total securities portfolio Page 89

92 Bond Euro Short Term Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France BANQ FED CRD MUT 5.000% /09/2015 EUR BANQUE FED CREDIT MUTUEL % 10-29/10/2015 EUR BANQUE POPULAIRE CB 2.625% /06/2015 EUR BANQUE POPULAIRE CB 3.875% /06/2014 EUR BANQUE PSA FIN 0.625% /04/2016 EUR BANQUE PSA FIN 6.000% /07/2014 EUR BNP PARIBAS 3.000% 12-24/02/2017 EUR BNP PARIBAS HOME 2.500% /06/2015 EUR BNP PARIBAS HOME 3.375% /01/2017 EUR BPCE 1.625% 13-08/02/2017 EUR BPCE 1.750% 12-14/03/2016 EUR CAISSE AMORT DET 1.875% /02/2015 EUR CAISSE FRANCAISE DE FINANCEMENT LOCAL 3.125% 05- EUR /09/2015 CASINO GUICHARD 4.472% /04/2016 EUR CASINO GUICHARD 4.875% /04/2014 EUR CM - CIC COVERED B 3.125% /01/2015 EUR CREDIT MUTUEL ARKEA 2.500% /06/2015 EUR CSSE REFIN HYPOT 4.100% /10/2015 EUR CSSE REFIN HYPOT 4.250% /10/2014 EUR CSSE REFIN L HAB 2.600% /04/2016 EUR CSSE REFIN L HAB 3.750% /12/2016 EUR DEXIA CREDIT LOCAL 1.625% /10/2018 EUR FRANCE O.A.T % 13-25/11/2015 EUR FRANCE O.A.T % 05-25/10/2015 EUR FRENCH BTAN 1.000% 12-25/07/2017 EUR FRENCH BTAN 2.500% 11-25/07/2016 EUR FRENCH BTAN 5Y 2.000% /07/2015 EUR GCE COVERED BOND 2.750% /01/2015 EUR LVMH MOET HENNES 3.375% /04/2015 EUR OSEO SA 13-27/03/2015 FRN EUR RCI BANQUE 1.750% 13-06/07/2016 EUR RTE EDF TRANSPORT 4.875% /05/2015 EUR SFEF 3.125% 09-30/06/2014 EUR SOCIETE GENERALE 3.750% /08/2014 EUR SOCRAM BANQUE 2.125% /02/2016 EUR ST GOBAIN 3.500% 11-30/09/2015 EUR ST GOBAIN 8.250% 09-28/07/2014 EUR UNEDIC 0.375% 13-29/04/2016 EUR UNEDIC 1.750% 12-27/02/2015 EUR Spain BANCO ESPAN CRED 3.625% /09/2015 EUR BANCO SANTANDER 3.125% /01/2015 EUR BANCO SANTANDER 3.250% /02/2015 EUR BANKINTER SA 4.125% 12-22/03/2017 EUR BBVA SENIOR FIN 3.250% /03/2016 EUR BBVA SENIOR FIN 4.375% /09/2015 EUR BILBAO BIZ KUTXA 3.375% /09/2014 EUR CAIXABANK 4.000% 12-16/02/2017 EUR CAJA GUIPUZCOA 4.375% /11/2014 EUR IBERDROLA FIN SA 3.500% /06/2015 EUR IBERDROLA FIN SA 4.750% /01/2016 EUR INSTIT CRDT OFCL 1.000% /09/2015 EUR INSTIT CRDT OFCL 3.250% /02/2015 EUR INSTIT CRDT OFCL 3.750% /07/2015 EUR LA CAIXA 3.750% 09-26/05/2014 EUR LA CAIXA 5.000% 11-22/02/2016 EUR SPANISH GOVT 3.000% 10-30/04/2015 EUR SPANISH GOVT 3.250% 10-30/04/2016 EUR SPANISH GOVT 3.750% 12-31/10/2015 EUR SPANISH GOVT 3.750% 13-31/10/2018 EUR SPANISH GOVT 3.800% 06-31/01/2017 EUR SPANISH GOVT 4.000% 12-30/07/2015 EUR SPANISH GOVT 4.750% 98-30/07/2014 EUR TELEFONICA EMIS 4.375% /02/2016 EUR Italy INTESA SANPAOLO 4.375% /08/2016 EUR INTESA SANPAOLO 4.875% /07/2015 EUR ITALY BTPS 2.500% 12-01/03/2015 EUR ITALY BTPS 2.750% 13-15/11/2016 EUR ITALY BTPS 3.000% 10-01/11/2015 EUR ITALY BTPS 3.000% 10-15/06/2015 EUR ITALY BTPS 3.500% 09-01/06/2014 EUR ITALY BTPS 3.500% 13-01/12/2018 EUR ITALY BTPS 3.750% 05-01/08/2015 EUR ITALY BTPS 3.750% 06-01/08/2016 EUR ITALY BTPS 3.750% 11-15/04/2016 EUR ITALY BTPS 4.000% 07-01/02/2017 EUR ITALY BTPS 4.500% 12-15/07/2015 EUR SNAM 4.375% 12-11/07/2016 EUR Germany BUNDESOBL % 10-10/04/2015 EUR BUNDESSCHATZANW 0.000% /09/2014 EUR DAIMLER AG 4.625% 09-02/09/2014 EUR DEUTSCHLAND REP 3.250% /07/2015 EUR FMS WERTMANAGE 1.375% /01/2015 EUR KFW 0.500% 13-26/02/2016 EUR KFW 1.750% 10-04/08/2014 EUR KFW 3.125% - 08/04/2016 EUR MAN SE 1.000% 12-21/09/2015 EUR NRW BANK 3.375% 09-18/03/2014 EUR RENTENBANK 0.625% 13-05/09/2016 EUR RENTENBANK 3.250% 09-12/03/2014 EUR VOLKSWAGEN LEAS 2.750% /07/2015 EUR Belgium BELGIAN % 09-28/03/2015 EUR BELGIUM OLO % /09/2015 EUR BELGIUM OLO % /09/2016 EUR Page 90

93 Bond Euro Short Term Expressed in EUR Supranational EIB 2.500% 10-15/07/2015 EUR EIB 4.250% 08-15/04/2015 EUR ESM 1.250% 13-15/10/2018 EUR The Netherlands BANK NEDERLANDSE GEMEE 2.875% /01/2015 EUR BMW FINANCE NV 1.000% /10/2016 EUR BMW FINANCE NV 2.125% /01/2015 EUR BMW FINANCE NV 4.000% /09/2014 EUR FORTIS BANK NED 4.000% /02/2015 EUR GAS NATURAL CAP 3.375% /01/2015 EUR SNS BANK 3.500% 09-10/03/2014 EUR VOLKSWAGEN INTFN 7.000% /02/2016 EUR United Kingdom ABBEY NATIONAL TREASURY % 09-14/10/2016 EUR HSBC HOLDINGS 3.875% 11-16/03/2016 EUR HSBC HOLDINGS PLC 4.500% /04/2014 EUR NATIONWIDE BLDG 2.875% /09/2015 EUR TESCO CORP TREAS 1.250% /11/2017 EUR Ireland BANK OF IRELAND 4.000% /01/2015 EUR IRISH GOVT 4.500% 07-18/10/2018 EUR IRISH LIFE & PER 4.000% /03/2015 EUR Portugal PORTUGUESE OTS 4.450% /06/2018 EUR Sweden NORDEA HYPOTEK 3.500% /01/2017 EUR VATTENFALL AB 4.250% /05/2014 EUR VATTENFALL AB 5.250% /03/2016 EUR United States of America MORGAN STANLEY 4.000% /11/2015 EUR PFIZER INC 4.750% 09-03/06/2016 EUR SCHERING-PLOUGH 5.375% /10/2014 EUR Luxembourg FORTIS BANK SA 4.500% /05/2014 EUR Finland NORDEA BANK FIN 2.250% /11/2015 EUR Floating rate bonds France BNP PARIBAS 12-03/12/2014 FRN EUR CREDIT LOGEMENT /06/2017 FRN EUR The Netherlands BMW FINANCE NV 13-05/09/2016 FRN EUR RABOBANK 05-09/05/2035 FRN EUR Luxembourg ENEL (ENTNZENEL) /01/2015 FRN EUR United Kingdom ABN AMRO BANK NV 13-05/12/2017 FRN EUR United States of America JP MORGAN CHASE 06-31/03/2018 SR EUR Ireland GE CAP EUR FUND 13-03/05/2016 FRN EUR Italy INTESA SANPAOLO 13-29/07/2015 FRN EUR Germany VOLKSWAGEN BANK /04/2015 FRN EUR Money Market Instruments Italy ITALY BOTS 0.000% 13-14/08/2014 EUR ITALY BOTS 0.000% 14-30/06/2014 EUR Total securities portfolio Page 91

94 Bond Europe Emerging Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Hungary HUNGARY GOVT 6.000% 07-24/11/2023 HUF HUNGARY GOVT 6.750% 11-22/10/2028 HUF HUNGARY GOVT 7.750% 12-24/08/2015 HUF HUNGARY GOVT 8.000% 04-12/02/2015 HUF REPUBLIC OF HUNGARY 3.500% /07/2016 EUR REPUBLIC OF HUNGARY 5.750% /06/2018 EUR REPUBLIC OF HUNGARY 6.000% /01/2019 EUR Poland POLAND GOVT BOND 0.000% /07/2015 PLN POLAND GOVT BOND 4.000% /10/2023 PLN POLAND GOVT BOND 5.750% /04/2014 PLN POLAND GOVT BOND 5.750% /04/2029 PLN POLAND GOVT BOND 6.250% /10/2015 PLN REPUBLIC OF POLAND 5.250% /01/2025 EUR Turkey AKBANK 7.500% 13-05/02/2018 TRY GARANTI BANKASI 0.000% /08/2014 TRY REP OF TURKEY 5.125% 10-18/05/2020 EUR TURKEY GOVT BOND % /08/2014 TRY TURKEY GOVT BOND 4.000% /04/2015 TRY TURKEY GOVT BOND 4.500% /02/2015 TRY TURKEY GOVT BOND 7.000% /10/2014 TRY TURKEY GOVT BOND 7.100% /03/2023 TRY TURKEY GOVT BOND 8.300% /10/2015 TRY TURKEY GOVT BOND 9.000% /01/2016 TRY TURKEY GOVT BOND 9.000% /03/2014 TRY TURKIYE GARANTI 6.537% /02/2015 TRY Russia ALFA BANK 8.625% 13-26/04/2016 RUB GAZPROMBANK OJSC 7.875% /07/2016 RUB RUSSIA - EUROBOND 7.850% /03/2018 RUB RUSSIA-OFZ 7.050% 13-19/01/2028 RUB RUSSIA-OFZ 8.150% 12-03/02/2027 RUB Romania ROMANIA 4.625% 13-18/09/2020 EUR ROMANIA 5.000% 10-18/03/2015 EUR ROMANIA 5.250% 11-17/06/2016 EUR ROMANIA 6.500% 08-18/06/2018 EUR ROMANIA GOVT 5.800% 12-26/10/2015 RON ROMANIA GOVT 5.850% 12-28/07/2014 RON Lithuania LITHUANIA 3.750% 05-10/02/2016 EUR LITHUANIA 4.850% 07-07/02/2018 EUR Bulgaria BGARIA-FLIRB-REG 4.250% /07/2017 EUR BULG ENRGY HLD 4.250% /11/2018 EUR Croatia CROATIA 5.875% 11-09/07/2018 EUR Luxembourg SBERBANK 7.000% 13-31/01/2016 RUB Ireland FED GRID CO OJSC 8.446% /03/2019 RUB Belarus REPUBLIC OF BELA 8.750% /08/2015 USD United Kingdom UZ RAIL SHORTLIN 9.500% /05/2018 USD Floating rate bonds Turkey RONESANS HOLDING /12/2015 FRN TRY Total securities portfolio Page 92

95 Bond JPY Expressed in JPY Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Japan JAPAN GOVT 10-YR 1.000% /09/2020 JPY JAPAN GOVT 10-YR 1.300% /03/2021 JPY JAPAN GOVT 20-YR 1.800% /09/2031 JPY JAPAN GOVT 20-YR 1.900% /12/2028 JPY JAPAN GOVT 20-YR 1.900% /09/2030 JPY JAPAN GOVT 20-YR 2.300% /06/2027 JPY JAPAN GOVT 2-YR 0.100% /11/2014 JPY JAPAN GOVT 2-YR 0.100% /12/2015 JPY JAPAN GOVT 30-YR 2.000% /03/2042 JPY JAPAN GOVT 5-YR 0.300% /12/2016 JPY JAPAN GOVT 5-YR 0.300% /06/2018 JPY Money Market Instruments Japan JAPAN T-BILL 0.000% 13-24/03/2014 JPY Total securities portfolio Page 93

96 Bond Russia Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Ireland BANK OF MOSCOW 6.699% /03/2015 USD CREDIT BANK OF M 8.250% /08/2014 USD EDC FINANCE LTD 4.875% /04/2020 USD EUROCHEM M & C C 5.125% /12/2017 USD GAZPROMBANK 6.250% 10-15/12/2014 USD GAZPROMBANK 6.500% 05-23/09/2015 USD METALLOINVEST FI 6.500% /07/2016 USD NOVATEK FINANCE 5.326% /02/2016 USD OJSC NOVOLIPETSK 4.450% /02/2018 USD SIBUR SEC LTD 3.914% 13-31/01/2018 USD Russia ALFA BANK 7.875% 10-25/09/2017 USD GAZ CAPITAL SA 9.250% /04/2019 USD OAO TMK 7.750% 11-27/01/2018 USD PHOSAGRO 4.204% 13-13/02/2018 USD RUSSIA-EUROBOND 3.625% /04/2015 USD SISTEMA INTL FD 6.950% /05/2019 USD Luxembourg JSC SEVERSTAL 6.700% 10-25/10/2017 USD RUSS AGRIC BK 9.000% 09-11/06/2014 USD TNK-BP FINANCE 7.875% /03/2018 USD VTB CAPITAL SA 6.465% 10-04/03/2015 USD The Netherlands NORD GOLD NV 6.375% 13-07/05/2018 USD VIMPELCOM HLDGS % /03/2017 USD United States of America MTS INTL FDG 8.625% 10-22/06/2020 USD United Kingdom TRANSNEFT 8.700% 08-07/08/2018 USD Sweden ALFA MTN ISS 8.000% 10-18/03/2015 USD Total securities portfolio Page 94

97 Bond USA High Yield Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America DEX MEDIA INC USD Canada DEX MEDIA USD Bonds United States of America ACI WORLDWIDE 6.375% /08/2020 USD ACTIVISION BLIZZ 5.625% /09/2021 USD ACTIVISION BLIZZ 6.125% /09/2023 USD ADVANCED MICRO D 6.750% /03/2019 USD AES CORPORATION 8.000% /10/2017 USD AES CORPORATION 8.000% /06/2020 USD ALERIS INTL 7.625% 11-15/02/2018 USD ALERIS INTL 7.875% 13-01/11/2020 USD ALTA MESA HLDGS 9.625% /10/2018 USD AMER AXLE & MFG 6.250% /03/2021 USD AMER AXLE & MFG 6.625% /10/2022 USD AMER AXLE & MFG 7.750% /11/2019 USD AMERICAN CAPITAL 6.500% /09/2018 USD AMKOR TECHNOLOGY INC 7.375% /05/2018 USD ANTERO RESOURCES 5.375% /11/2021 USD ATLAS PIPELINE 5.875% 14-01/08/2023 USD ATLAS PIPELINE 6.625% 13-01/10/2020 USD AUDATEX NORTH AM 6.125% /11/2023 USD BASIC ENERGY SVC 7.750% /02/2019 USD BE AEROSPACE 5.250% 12-01/04/2022 USD BMC SOFTWARE FIN 8.125% /07/2021 USD BOISE CASCADE CO 6.375% /11/2020 USD BONANZA CREEK EN 6.750% /04/2021 USD BUILDING MATERIA 9.000% /09/2018 USD CABLEVISION SYS 5.875% /09/2022 USD CAESARS ENT OPER 9.000% /02/2020 USD CALUMET SPECIAL 7.625% /01/2022 USD CALUMET SPECIAL 9.625% /08/2020 USD CASE NEW HOLLAND 7.875% /12/2017 USD CBS OUT AMER CAP 5.250% /02/2022 USD CCO HOLDINGS LLC 5.750% /09/2023 USD CCO HOLDINGS LLC 7.000% /01/2019 USD CCO HOLDINGS LLC 7.250% /10/2017 USD CCO HOLDINGS LLC 8.125% /04/2020 USD CENTURYLINK INC 5.800% /03/2022 USD CENTURYLINK INC 6.450% /06/2021 USD CENTURYTEL INC 7.600% /09/2039 USD CHASSIX INC 9.250% 13-01/08/2018 USD CHESAPEAKE ENRGY 3.250% /03/2016 USD CHESAPEAKE ENRGY 5.375% /06/2021 USD CHESAPEAKE ENRGY 6.125% /02/2021 USD CHESAPEAKE ENRGY 6.625% /08/2020 USD CHESAPEAKE ENRGY 9.500% /02/2015 USD CHRYSLER GP/CG C 8.000% /06/2019 USD CHS/COMMUNITY 5.125% /08/2018 USD CHS/COMMUNITY 8.000% /11/2019 USD CINC BELL INC 8.375% 10-15/10/2020 USD CITIZENS COMM CO 9.000% /08/2031 USD CLEAR CHNL WORLD 6.500% /11/2022 USD CLEAR CHNL WORLD 7.625% /03/2020 USD CLOUD PEAK ENRGY 6.375% /03/2024 USD COMSTOCK RES INC 7.750% /04/2019 USD COMSTOCK RES INC 9.500% /06/2020 USD CONCHO RES/MIDLA 5.500% /04/2023 USD CONTINENTAL RES 7.125% /04/2021 USD CORELOGIC INC 7.250% 12-01/06/2021 USD COVANTA HOLDING 5.875% /03/2024 USD CROSSTEX ENERGY 7.125% /06/2022 USD CRSTWD PART/FIN 6.125% /03/2022 USD CSC HOLDINGS LLC 6.750% /11/2021 USD CVR REF/COFF FIN 6.500% /11/2022 USD CYRUSONE LP/CYRU 6.375% /11/2022 USD DANA HOLDING 5.375% 13-15/09/2021 USD DANA HOLDING 6.000% 13-15/09/2023 USD DAVITA INC 5.750% 12-15/08/2022 USD DIAMONDBACK ENER 7.625% /10/2021 USD DISH DBS CORP 5.000% 13-15/03/2023 USD DISH DBS CORP 6.750% 11-01/06/2021 USD DONNELLEY & SONS 6.125% /01/2017 USD DONNELLEY & SONS 7.875% /03/2021 USD DREAMWORKS ANIMA 6.875% /08/2020 USD ECHOSTAR DBS 7.125% 06-01/02/2016 USD ECHOSTAR DBS 7.750% 08-31/05/2015 USD ELIZABETH ARDEN 7.375% /03/2021 USD ENDO PHARMA HOLDING 7.250% /01/2022 USD ENERGY TRANSFER 7.500% /10/2020 USD ERICKSON AIR-CRN 8.250% /05/2020 USD EVEREST ACQ LLC 9.375% /05/2020 USD FIRST DATA CORP 6.750% /11/2020 USD FIRST DATA CORP 8.250% /01/2021 USD FORESIGHT ENERGY 7.875% /08/2021 USD FREESCALE SEMICO 6.000% /01/2022 USD FRESENIUS MEDICAL 5.625% /07/2019 USD FRESENIUS MEDICAL 5.875% /01/2022 USD FRESENIUS MEDICAL 6.500% /09/2018 USD Page 95

98 Bond USA High Yield Expressed in USD FRESENTIUS US FIN 9.000% /07/2015 USD FRONTIER COMM 7.125% /01/2023 USD FRONTIER COMM 8.750% /04/2022 USD FWCT-2 ESCROW CORP 6.875% /02/2022 USD GANNETT CO 6.375% 13-15/10/2023 USD GENESIS ENERGY 5.750% /02/2021 USD GENESIS LP/FIN 7.875% /12/2018 USD GENON ENERGY 9.500% 11-15/10/2018 USD GRAY TELE INC 7.500% 13-01/10/2020 USD GREEKTOWN HLDGS 8.875% /03/2019 USD GRIFFON CORP 5.250% 14-01/03/2022 USD GULFMARK OFFSHOR 6.375% /03/2022 USD H&E EQUIPMENT 7.000% /09/2022 USD HALCON RESOURCES 8.875% /05/2021 USD HARRAHS OPER CO % /06/2017 USD HCA HOLDINGS INC 6.250% /02/2021 USD HCA INC 6.500% 06-15/02/2016 USD HCA INC 7.500% 11-15/02/2022 USD HD SUPPLY INC 7.500% 13-15/07/2020 USD HDTFS INC 6.250% 13-15/10/2022 USD HERCULES OFFSHOR % /04/2019 USD HERCULES OFFSHOR 7.500% /10/2021 USD HERCULES OFFSHOR 8.750% /07/2021 USD HUNT INGALLS IND 6.875% /03/2018 USD IASIS HEALTHCARE 8.375% /05/2019 USD ICAHN ENTER/FIN 3.500% /03/2017 USD ICAHN ENTER/FIN 4.875% /03/2019 USD ICAHN ENTER/FIN 5.875% /02/2022 USD ICAHN ENTER/FIN 6.000% /08/2020 USD ISLE OF CAPRI 5.875% 13-15/03/2021 USD ISLE OF CAPRI 7.750% 11-15/03/2019 USD KB HOME 7.500% 12-15/09/2022 USD KB HOME 9.100% 09-15/09/2017 USD KINDRED HEALTHCARE 8.250% /06/2019 USD KINETICS/KCI USA % /11/2018 USD LAMAR MEDIA CORP 5.375% /01/2024 USD LEGACY RES/FIN C 6.625% /12/2021 USD LEVEL 3 FIN INC 6.125% 13-15/01/2021 USD LEVEL 3 FIN INC 7.000% 13-01/06/2020 USD LEVEL 3 FIN INC 8.625% 12-15/07/2020 USD LEVEL 3 FIN INC 9.375% 11-01/04/2019 USD LIFEPOINT HOSPIT 5.500% /12/2021 USD LIMITED BRANDS 6.625% /04/2021 USD LINN ENERGY LLC 6.250% /11/2019 USD LINN ENERGY LLC 6.500% /05/2019 USD LSB INDUSTRIES 7.750% 13-01/08/2019 USD MARKWEST ENERGY 6.250% /06/2022 USD MASCO CORP 6.125% 06-03/10/2016 USD MCRON FINANCE SU 8.375% /05/2019 USD MEDIACOM BROADBD 6.375% /04/2023 USD MEM PROD PART LP 7.625% /05/2021 USD MERITOR INC 6.250% 14-15/02/2024 USD MERITOR INC 6.750% 13-15/06/2021 USD MGM RESORTS 6.625% 12-15/12/2021 USD MGM RESORTS INTRNL 7.500% /06/2016 USD MICRON TECH 5.875% 14-15/02/2022 USD MIRANT AMERICAS 8.500% /10/2021 USD MIRANT AMERICAS 9.125% /05/2031 USD MURRAY ENERGY 8.625% /06/2021 USD NCL CORP 5.000% 13-15/02/2018 USD NCR ESCROW CORP 5.875% /12/2021 USD NCR ESCROW CORP 6.375% /12/2023 USD NES RENTALS HLDG 7.875% /05/2018 USD NRG ENERGY INC 6.250% /07/2022 USD NRG ENERGY INC 6.625% /03/2023 USD NRG ENERGY INC 7.625% /01/2018 USD NRG ENERGY INC 7.625% /05/2019 USD OASIS PETROLEUM 6.500% /11/2021 USD OASIS PETROLEUM 6.875% /01/2023 USD OASIS PETROLEUM 6.875% /03/2022 USD OUTERWALL INC 6.000% /03/2019 USD PARKER DRILLING 7.500% /08/2020 USD PEABODY ENERGY 6.250% /11/2021 USD PENN NATL GAMING 5.875% /11/2021 USD PNK FINANCE CORP 6.375% /08/2021 USD REGAL ENTERTAINMENT 5.750% /03/2022 USD REGENCY ENERGY 4.500% /11/2023 USD REGENCY ENERGY 5.500% /04/2023 USD REX ENERGY CORP 8.875% /12/2020 USD REYNOLDS GROUP 5.750% /10/2020 USD RITE AID CORP % 10-15/10/2019 USD RR DONNELLEY & S 7.000% /02/2022 USD SABINE PASS LIQU 5.625% /02/2021 USD SABINE PASS LNG 6.500% /11/2020 USD SABINE PASS LNG 7.500% /11/2016 USD SAFWAY GROUP HLD 7.000% /05/2018 USD SALLY HOLDING / SAL CA 6.875% /11/2019 USD SANDRIDGE ENERGY 7.500% /02/2023 USD SANDRIDGE ENERGY 8.125% /10/2022 USD SEALED AIR CORP 8.375% /09/2021 USD SPRINT CAP CORP 6.875% /11/2028 USD SPRINT CAP CORP 8.750% /03/2032 USD SPRINT CORP 7.125% 13-15/06/2024 USD SPRINT CORP 7.250% 13-15/09/2021 USD SPRINT CORP 7.875% 13-15/09/2023 USD SPRINT NEXTEL % /11/2021 USD SPRINT NEXTEL 6.000% 06-01/12/2016 USD SPRINT NEXTEL 6.000% 12-15/11/2022 USD Page 96

99 Bond USA High Yield Expressed in USD SPRINT NEXTEL 8.375% 09-15/08/2017 USD SPRINT NEXTEL 9.000% 11-15/11/2018 USD STARZ LLC/FIN CO 5.000% /09/2019 USD STONE ENERGY 7.500% 12-15/11/2022 USD TAYLOR MORRISON 5.250% /04/2021 USD TENET HEALTHCARE 6.000% /10/2020 USD TENET HEALTHCARE 8.000% /08/2020 USD TENET HEALTHCARE 8.125% /04/2022 USD TENNECO INC 6.875% 11-15/12/2020 USD TES LOG LP/CORP 5.875% /10/2020 USD TES LOG LP/CORP 6.125% /10/2021 USD TITAN INTL INC 6.875% 13-01/10/2020 USD T-MOBILE USA INC 5.250% /09/2018 USD T-MOBILE USA INC 6.125% /01/2022 USD T-MOBILE USA INC 6.250% /04/2021 USD T-MOBILE USA INC 6.464% /04/2019 USD T-MOBILE USA INC 6.500% /01/2024 USD T-MOBILE USA INC 6.625% /04/2023 USD T-MOBILE USA INC 6.731% /04/2022 USD T-MOBILE USA INC 6.836% /04/2023 USD TRONOX FINANCE 6.375% /08/2020 USD TW TELECOM HLDS 5.375% /10/2022 USD UNITED RENTAL NA 7.375% /05/2020 USD UNITED RENTAL NA 7.625% /04/2022 USD UNITED RENTAL NA 9.250% /12/2019 USD UNIVISION COMM 6.750% /09/2022 USD US STEEL CORP 6.875% 13-01/04/2021 USD USG CORP 8.375% 10-15/10/2018 USD USG CORP 9.750% 07-15/01/2018 USD VALEANT PHARMA 6.875% /12/2018 USD VENOCO INC 8.875% 11-15/02/2019 USD VIK CRUISES LTD 8.500% /10/2022 USD VPI ESCROW CORP 6.375% /10/2020 USD W & T OFFSHORE 8.500% /06/2019 USD WINDSTREAM CORP 7.750% /10/2021 USD WMG ACQUISITION 6.000% /01/2021 USD ZACHRY HOLDINGS 7.500% /02/2020 USD Luxembourg ARCELORMITTAL % /06/2019 USD ARCELORMITTAL 6.125% /06/2018 USD ARCELORMITTAL 6.750% /02/2022 USD ARCELORMITTAL 7.500% /10/2039 USD DEMATIC SA / DH 7.750% /12/2020 USD NIELSEN CO LUXEM 5.500% /10/2021 USD WIND ACQUISITION % /07/2017 USD WIND ACQUISITION 7.250% /02/2018 USD Canada BOMBARDIER INC 7.500% /03/2018 USD BOMBARDIER INC 7.750% /03/2020 USD CHC HELICOPTER S 9.250% /10/2020 USD NEW GOLD INC 6.250% 12-15/11/2022 USD NEW GOLD INC 7.000% 12-15/04/2020 USD NOVELIS INC 8.750% 11-15/12/2020 USD Cayman Islands OFFSHORE GROUP I 7.125% /04/2023 USD OFFSHORE GROUP I 7.500% /11/2019 USD SABLE INTL FIN 8.750% 12-01/02/2020 USD SHELF DRL HOLD 8.625% /11/2018 USD UPCB FINANCE VI 6.875% /01/2022 USD Australia FMG RES AUG % /04/2017 USD FMG RES AUG % /04/2022 USD FMG RES AUG % /11/2015 USD FMG RES AUG % /11/2019 USD Bermuda INTELSAT JACKSON 5.500% /08/2023 USD INTELSAT JACKSON 7.250% /10/2020 USD INTELSAT LUXEMB 7.750% /06/2021 USD The Netherlands SYNCREON GROUP 8.625% /11/2021 USD UPC HOLDING BV 9.875% /04/2018 USD Norway PACIFIC DRILLING 5.375% /06/2020 USD Ireland ARDAGH PKG FIN 7.375% /10/2017 USD NARA CABLE FUNDI 8.875% /12/2018 USD United Kingdom INEOS FINANCE PL 8.375% 12-15/02/2019 USD Floating rate bonds United States of America CHESAP OIL OP/FN 13-15/11/2019 FRN USD GIBRALTAR INDSTR 13-01/02/2021 FRN USD Other transferable securities Bonds United States of America CSC HOLDINGS INC 7.875% /02/2018 USD Total securities portfolio Page 97

100 Bond USD Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America ALTRIA GROUP INC % /02/2039 USD AMER INTL GROUP 4.125% /02/2024 USD APPLE INC 2.400% 13-03/05/2023 USD AT&T INC 2.625% 12-01/12/2022 USD BANK OF AMERICA CORP 2.000% /01/2018 USD BANK OF AMERICA CORP 2.600% /01/2019 USD BANK OF AMERICA CORP 6.500% /08/2016 USD BANK OF AMERICA CORP 7.625% /06/2019 USD CITIGROUP INC 1.700% 13-25/07/2016 USD CITIGROUP INC 1.750% 13-01/05/2018 USD CITIGROUP INC 6.125% 07-21/11/2017 USD CNH CAPITAL LLC 3.875% /11/2015 USD COMCAST CORP 6.950% 07-15/08/2037 USD CON EDISON NY 6.750% 08-01/04/2038 USD CONOCOPHILLIPS CO 2.400% /12/2022 USD CONTINENTAL RES 4.500% /04/2023 USD DOMINION RES 2.750% 12-15/09/2022 USD DOMINION RES 8.875% 08-15/01/2019 USD DOW CHEMICAL CO 3.000% /11/2022 USD DUKE ENERGY CORP 1.625% /08/2017 USD EL PASO NAT GAS 5.950% /04/2017 USD FG A % 07-01/08/2037 USD FG G % 09-01/11/2039 USD FN % 08-01/01/2021 USD FN AL /09/2041 FRN USD FN AL % 13-01/04/2030 USD FNR SD 12-25/09/2042 FRN USD FORD MOTOR CO 4.750% /01/2043 USD FREMF 2012-K709 C 12-25/04/2045 FRN USD GCCFC 2005-GG3 A /08/2042 FRN USD GEN ELEC CAP CRP 3.150% /09/2022 USD GEN MOTORS FIN 2.750% /05/2016 USD GENERAL ELECTRIC CAP SVC 7.500% /08/2035 USD GENERAL MOTORS 3.500% /10/2018 USD GENWORTH HOLDING 4.900% /08/2023 USD GN % 05-15/07/2035 USD GN % 09-15/11/2039 USD GN % 03-15/07/2033 USD GN % 11-15/04/2036 USD GNR 2010-H19 JI 10-20/08/2060 FRN USD GNR 2011-H03 HI 11-20/01/2061 FRN USD GNR 2011-H05 HI 11-20/01/2061 FRN USD GNR 2012-H02 AI 12-20/01/2062 FRN USD GNR 2013-H01 FI 13-20/01/2063 FRN USD GNR 2013-H04 BI 13-20/02/2063 FRN USD GNR 2013-H08 IO 13-20/03/2063 FRN USD GOLDMAN SACHS GP 2.625% /01/2019 USD GOLDMAN SACHS GP 2.900% /07/2018 USD GOLDMAN SACHS GP 3.300% /05/2015 USD GOLDMAN SACHS GP 6.750% /10/2037 USD HEWLETT - PACKARD CO 3.000% /09/2016 USD HOST HOTELS & RESORTS 3.750% /10/2023 USD HSBC FINANCE CORP 5.500% /01/2016 USD INTL PAPER CO 4.750% 11-15/02/2022 USD JPMORGAN CHASE 2.350% /01/2019 USD JPMORGAN CHASE 6.400% /05/2038 USD KINDER MORGAN EN 5.000% /03/2043 USD KINDER MORGAN EN 6.950% /01/2038 USD MACYS RETAIL HLD 4.300% /02/2043 USD MCDONALDS CORP 6.300% /10/2037 USD MIDAMER ENER HLD 5.150% /11/2043 USD MLCFC AM 06-12/07/2046 FRN USD MORGAN STANLEY 1.750% /02/2016 USD MORGAN STANLEY 2.125% /04/2018 USD MORGAN STANLEY 6.625% /04/2018 USD NBC UNIVERSAL ENT 1.974% /04/2019 USD NEWS AMER INC 6.650% 07-15/11/2037 USD PFIZER INC 6.200% 09-15/03/2019 USD PLAINS ALL AMER 3.650% /06/2022 USD PRUDENTIAL COVER 2.997% /09/2015 USD PRUDENTIAL FINANCIAL 6.625% /06/2040 USD SCHERING-PLOUGH 6.500% /12/2033 USD UNITED TECHNOLOGIES CORP % 08-01/02/2019 USD US STRIP PRINC 0.000% 09-15/08/2039 USD US STRIP PRINC 0.000% 12-15/08/2042 USD US TREASURY N/B 0.375% /08/2015 USD US TREASURY N/B 1.375% /07/2018 USD US TREASURY N/B 2.500% /08/2023 USD US TREASURY N/B 3.625% /08/2043 USD US TSY INFL IX N/B 0.625% /02/2043 USD VERIZON COMMUNICATIONS 3.650% /09/2018 USD VERIZON COMMUNICATIONS 5.150% /09/2023 USD VERIZON COMMUNICATIONS 6.550% /09/2043 USD VERIZON COMMUNICATIONS 8.750% /11/2018 USD WYETH 5.950% 07-01/04/2037 USD XTO ENERGY INC 6.750% /08/2037 USD United Kingdom BARCLAYS BANK PLC 2.500% /02/2019 USD BP CAPITAL PLC 3.245% 12-06/05/2022 USD HSBC HOLDINGS PLC 6.500% /09/2037 USD ROYAL BANK SCOTLAND 2.550% /09/2015 USD SANTANDER UK PLC 5.000% /11/2023 USD Canada CANADA GOVT 1.250% 13-01/09/2018 CAD TRANS CANADA PL 7.625% /01/2039 USD Page 98

101 Bond USD Expressed in USD The Netherlands ABN AMRO BANK NV 2.500% /10/2018 USD Australia AUSTRALIAN I/L 4.000% /08/2020 FLAT AUD Italy INTESA SANPAOLO 3.125% /01/2016 USD INTESA SANPAOLO 3.875% /01/2019 USD France BPCE 2.500% 13-10/12/2018 USD Mexico PETROLEOS MEXICA 3.500% /01/2023 USD To be Announced ("TBA") Mortgage Back Securities United States of America FGLMC 4.5 3/ % 11-15/04/2040 USD FNCI 2.5 3/ % 13-25/01/2028 USD FNCI 3 3/ % 12-25/12/2026 USD FNCI 3.5 3/ % 12-25/09/2026 USD FNCL 3 3/ % 13-25/11/2042 USD ( ) FNCL 3.5 3/ % 12-25/08/2041 USD ( ) (2.41) FNCL 4.000% 10-25/09/2039 USD FNCL 4.500% 10-25/09/2039 USD FNCL 5 3/ % 12-25/03/2040 USD G2SF 3 3/ % 13-20/09/2042 USD GNSF 3.5 3/ % 12-15/10/2041 USD GNSF 4 3/ % 11-15/09/2040 USD Floating rate bonds United States of America METLIFE INC 6.400% /12/2036 FRN USD Shares/Units in investment funds Luxembourg PARVEST BOND WORLD EMERGING X - CAP USD Ireland FFTW MORTGAGE TOTAL RETURN AAC USD Total securities portfolio Page 99

102 Bond USD Government Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America US TREASURY N/B 1.000% /05/2018 USD US TREASURY N/B 1.500% /07/2016 USD US TREASURY N/B 1.625% /11/2022 USD US TREASURY N/B 1.750% /05/2022 USD US TREASURY N/B 1.875% /06/2015 USD US TREASURY N/B 2.000% /02/2023 USD US TREASURY N/B 2.250% /07/2018 USD US TREASURY N/B 2.750% /11/2042 USD US TREASURY N/B 2.750% /11/2023 USD US TREASURY N/B 2.750% /02/2024 USD US TREASURY N/B 3.000% /05/2042 USD US TREASURY N/B 3.125% /11/2041 USD US TREASURY N/B 3.125% /02/2043 USD US TREASURY N/B 3.625% /02/2021 USD US TSY INFL IX N/B 0.375% /07/2023 USD US TSY INFL IX N/B 0.625% /02/2043 USD Australia COM BK AUSTRALIA 3.625% /06/2014 USD Total securities portfolio Page 100

103 Bond World Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America ALTRIA GROUP INC % /02/2039 USD AMER INTL GROUP 4.125% /02/2024 USD AMER INTL GROUP 8.250% /08/2018 USD APPLE INC 2.400% 13-03/05/2023 USD AT&T INC 2.625% 12-01/12/2022 USD BANK OF AMERICA CORP 2.000% /01/2018 USD BANK OF AMERICA CORP 2.600% /01/2019 USD BANK OF AMERICA CORP 6.500% /08/2016 USD BANK OF AMERICA CORP 7.625% /06/2019 USD CITIGROUP INC 1.750% 13-01/05/2018 USD CITIGROUP INC 6.125% 07-21/11/2017 USD CNH CAPITAL LLC 3.875% /11/2015 USD COMCAST CORP 6.950% 07-15/08/2037 USD CON EDISON NY 6.750% 08-01/04/2038 USD CONOCOPHILLIPS CO 2.400% /12/2022 USD CONTINENTAL RES 4.500% /04/2023 USD DOMINION RES 8.875% 08-15/01/2019 USD DOW CHEMICAL CO 3.000% /11/2022 USD DUKE ENERGY CORP 1.625% /08/2017 USD FG A % 07-01/08/2037 USD FG G % 09-01/11/2039 USD FN % 08-01/01/2021 USD FN AL /09/2041 FRN USD FN AL % 13-01/04/2030 USD FNR SD 12-25/09/2042 FRN USD FORD MOTOR CO 4.750% /01/2043 USD FREMF 2013-K24 C 13-25/11/2045 FRN USD GCCFC 2005-GG3 A /08/2042 FRN USD GEN ELEC CAP CRP 3.150% /09/2022 USD GEN MOTORS FIN 2.750% /05/2016 USD GENERAL ELECTRIC CAP SVC 7.500% /08/2035 USD GENERAL MOTORS 3.500% /10/2018 USD GENWORTH HOLDING 4.900% /08/2023 USD GN % 05-15/07/2035 USD GN % 09-15/11/2039 USD GN % 03-15/07/2033 USD GN % 11-15/04/2036 USD GNR 2010-H19 JI 10-20/08/2060 FRN USD GNR SH 11-20/09/2041 FRN USD GNR 2011-H03 HI 11-20/01/2061 FRN USD GNR 2011-H05 HI 11-20/01/2061 FRN USD GNR 2012-H02 AI 12-20/01/2062 FRN USD GNR 2013-H01 FI 13-20/01/2063 FRN USD GNR 2013-H04 BI 13-20/02/2063 FRN USD GNR 2013-H08 IO 13-20/03/2063 FRN USD GOLDMAN SACHS GP 2.625% /01/2019 USD GOLDMAN SACHS GP 2.900% /07/2018 USD GOLDMAN SACHS GP 3.300% /05/2015 USD GOLDMAN SACHS GP 6.750% /10/2037 USD HEWLETT - PACKARD CO 3.000% /09/2016 USD HOST HOTELS & RESORTS 3.750% /10/2023 USD HSBC FINANCE CORP 5.500% /01/2016 USD INTL PAPER CO 4.750% 11-15/02/2022 USD JPMCC 2012-C6 A % /05/2045 USD JPMORGAN CHASE 2.350% /01/2019 USD JPMORGAN CHASE 6.400% /05/2038 USD KINDER MORGAN EN 6.950% /01/2038 USD MACYS RETAIL HLD 4.300% /02/2043 USD MCDONALDS CORP 6.300% /10/2037 USD MIDAMER ENER HLD 5.150% /11/2043 USD MLCFC AM 06-12/07/2046 FRN USD MORGAN STANLEY 2.125% /04/2018 USD MORGAN STANLEY 6.625% /04/2018 USD NBC UNIVERSAL ENT 1.974% /04/2019 USD NEWS AMER INC 6.650% 07-15/11/2037 USD PFIZER INC 6.200% 09-15/03/2019 USD PLAINS ALL AMER 3.650% /06/2022 USD PRUDENTIAL COVER 2.997% /09/2015 USD PRUDENTIAL FINANCIAL 6.625% /06/2040 USD SCHERING-PLOUGH 6.500% /12/2033 USD UNITED TECHNOLOGIES CORP % 08-01/02/2019 USD US STRIP PRINC 0.000% 09-15/08/2039 USD US STRIP PRINC 0.000% 12-15/08/2042 USD US TREASURY N/B 0.625% /08/2016 USD US TREASURY N/B 0.750% /03/2018 USD US TREASURY N/B 2.000% /02/2023 USD US TSY INFL IX N/B 0.625% /02/2043 USD VERIZON COMMUNICATIONS 3.650% /09/2018 USD VERIZON COMMUNICATIONS 5.150% /09/2023 USD VERIZON COMMUNICATIONS 6.550% /09/2043 USD VERIZON COMMUNICATIONS 8.750% /11/2018 USD WYETH 5.950% 07-01/04/2037 USD XTO ENERGY INC 6.750% /08/2037 USD United Kingdom ABBEY NATIONAL TREASURY % 14-14/01/2019 EUR BARCLAYS BANK PLC % /05/2021 GBP BARCLAYS BANK PLC 2.500% /02/2019 USD BP CAPITAL PLC 2.177% 14-28/09/2021 EUR BP CAPITAL PLC 3.245% 12-06/05/2022 USD CAIXA GERAL DEPO 3.000% /01/2019 EUR CREDIT AGRICOLE 5.971% /02/2018 EUR HSBC HOLDINGS PLC 6.500% /09/2037 USD HSBC HOLDINGS PLC 6.500% /05/2024 GBP LLOYDS TSB BANK 7.500% /04/2024 GBP NATIONAL GRID GAS 6.000% /05/2038 GBP ROYAL BANK SCOTLAND 2.550% /09/2015 USD Page 101

104 Bond World Expressed in EUR SANTANDER UK PLC 5.000% /11/2023 USD TESCO PLC 6.125% 09-24/02/2022 GBP UK TREASURY 4.250% 08-07/12/2049 GBP UK TREASURY 4.250% 09-07/09/2039 GBP UK TSY I/L GILT 0.125% 12-22/03/2024 GBP VODAFONE GROUP 6.250% /01/2016 EUR Spain BANCO BILBAO VIZCAYA 3.500% /12/2017 EUR BANESTO SA 3.500% 05-27/01/2015 EUR BANESTO SA 3.500% 06-18/01/2016 EUR BANKINTER SA 2.750% 13-26/07/2016 EUR SPANISH GOVT 2.750% 13-31/03/2015 EUR SPANISH GOVT 3.150% 05-31/01/2016 EUR SPANISH GOVT 4.800% 08-31/01/2024 EUR SPANISH GOVT 5.400% 13-31/01/2023 EUR TELEFONICA EMIS 3.987% /01/2023 EUR TELEFONICA EMIS 5.597% /03/2020 GBP Germany BUNDESOBL 0.500% 12-13/10/2017 EUR BUNDESOBL % 13-12/10/2018 EUR DAIMLER AG 1.750% 13-08/11/2017 GBP DEUTSCHLAND REP 4.750% /07/2028 EUR DT PFANDBRIEFBAN 1.875% /12/2019 GBP Italy INTESA SANPAOLO 3.125% /01/2016 USD INTESA SANPAOLO 3.875% /01/2019 USD INTESA SANPAOLO 4.000% /11/2017 EUR ITALY BTPS 3.500% 12-01/11/2017 EUR ITALY BTPS 4.750% 08-01/08/2023 EUR ITALY BTPS 4.750% 12-01/05/2017 EUR ITALY BTPS 5.250% 98-01/11/2029 EUR ITALY BTPS 5.500% 12-01/09/2022 EUR ITALY BTPS 6.000% 11-15/11/2014 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR UNICREDIT SPA 3.625% 13-24/01/2019 EUR France AXA SA 10-16/04/2040 FRN EUR BPCE 2.500% 13-10/12/2018 USD CARREFOUR SA 4.000% 10-09/04/2020 EUR CIE FIN FONCIER 4.875% 09-25/05/2021 EUR CIF EUROMORTGAGE 4.000% /10/2016 EUR ELEC DE FRANCE 6.250% /05/2028 GBP FRANCE O.A.T % 13-25/05/2024 EUR FRANCE O.A.T % 98-25/04/2029 EUR FRANCE TELECOM 7.250% /11/2020 GBP ORANGE 5.000% 09-12/05/2016 GBP SOCIETE GENERALE 2.625% /10/2018 USD ST GOBAIN 3.500% 11-30/09/2015 EUR The Netherlands ABN AMRO BANK NV 2.250% /09/2017 ABN AMRO BANK NV 2.500% /10/2018 ALLIANZ FINANCE 4.750% /07/2019 BMW FINANCE NV 1.500% /06/2018 GBP USD EUR EUR DEUTSCHE TEL FIN 6.000% /01/2017 EUR EADS FINANCE BV 4.625% /08/2016 EUR GAS NAT FENOSA F 2.875% /03/2024 EUR GAS NATURAL CAP 4.375% /11/2016 EUR GAS NATURAL CAP 6.375% /07/2019 EUR IBERDROLA INTL 3.000% /01/2022 EUR IBERDROLA INTL 4.250% /10/2018 EUR ING BANK NV 4.500% 12-21/02/2022 EUR RABOBANK 3.875% 13-25/07/2023 EUR RABOBANK 4.125% 10-14/07/2025 EUR VOLKSWAGEN FIN 2.625% /07/2019 GBP Poland POLAND GOVT BOND 3.000% I/L /08/2016 PLN POLAND GOVT BOND 5.000% /04/2016 PLN Canada CANADA GOVT 1.250% 13-01/09/2018 CAD TRANS CANADA PL 7.625% /01/2039 USD Japan JAPAN GOVT 30-YR 2.000% /09/2040 JPY JAPAN GOVT 5-YR 0.300% /03/2017 JPY MIZUHO CORP BANK 1.850% /03/2018 USD Australia AUSTRALIAN I/L 4.000% /08/2020 FLAT AUD BHP BILLITON FIN 3.250% /09/2027 EUR Sweden NORDEA BANK AB 2.125% /11/2019 GBP NORDEA BANK AB 2.250% /10/2017 EUR Cayman Islands IPIC GMTN LTD 5.875% 11-14/03/2021 EUR Mexico MEXICAN BONOS 6.000% /06/2015 MXN Luxembourg ENEL FIN INTL NV 5.750% /10/2018 EUR Floating rate bonds United States of America METLIFE INC 6.400% /12/2036 FRN USD Other transferable securities Options, Warrants, Rights PUT 6M GBP-LIBOR 02/06/ GBP PUT USD / EUR 14/11/ USD PUT USD/TRY 05/05/ TRY To be Announced ("TBA") Mortgage Back Securities United States of America FGLMC 4.5 3/ % 11-15/04/2040 USD FNCI 2.5 3/ % 13-25/01/2028 USD FNCI 3 3/ % 12-25/12/2026 USD Page 102

105 Bond World Expressed in EUR FNCI 3.5 3/ % 12-25/09/2026 USD FNCL 3 3/ % 13-25/11/2042 USD ( ) FNCL 3.5 3/ % 12-25/08/2041 USD ( ) (3.51) FNCL 4.000% 10-25/09/2039 USD FNCL 4.500% 10-25/09/2039 USD FNCL 5 3/ % 12-25/03/2040 USD G2SF 3 3/ % 13-20/09/2042 USD GNSF 3.5 3/ % 12-15/10/2041 USD GNSF 4 3/ % 11-15/09/2040 USD Money Market Instruments Germany GERMAN T-BILL 0.000% 14-16/07/2014 EUR Belgium BELGIUM T-BILL 0.000% 13-13/03/2014 EUR France FRENCH BTF 0.000% 14-24/04/2014 EUR Total securities portfolio Page 103

106 Bond World Corporate Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America VERIZON COMMUNICATIONS INC % 14-15/02/2054 FLAT USD Bonds United States of America ABBVIE INC 4.400% 13-06/11/2042 USD AFLAC INC 8.500% 09-15/05/2019 USD AMER INTL GROUP 6.250% /03/2037 USD AMERICAN TOWER 7.250% /05/2019 USD AMGEN INC 5.150% 11-15/11/2041 USD ASSOC CORP NA 6.950% 98-01/11/2018 USD ASSURANT INC 4.000% 13-15/03/2023 USD AT&T INC 5.500% 08-01/02/2018 USD AUTONATION INC 6.750% /04/2018 USD BANK OF AMER CRP 5.420% /03/2017 USD BEAR STEARNS CO 6.400% /10/2017 USD BERKLEY (WR) 5.375% 10-15/09/2020 USD BORG-WARNER AUTO 8.000% /10/2019 USD BURLINGTON NORTH 4.450% /03/2043 USD CARGILL INC 2.500% 14-15/02/2023 EUR CELGENE CORP 5.250% 13-15/08/2043 USD CF INDUSTRIES IN 7.125% /05/2020 USD CONTINENTAL RES 5.000% /09/2022 USD DELPHI CORP 6.125% 12-15/05/2021 USD DISCOVER BANK 7.000% /04/2020 USD ENBRIDGE ENERGY 4.200% /09/2021 USD ENBRIDGE ENERGY 5.500% /09/2040 USD ENERGY TRAN PTNR 6.700% /07/2018 USD ENTERPRISE PRODU 4.450% /02/2043 USD EXELON GENERATIO 4.000% /10/2020 USD EXELON GENERATION 6.200% /10/2017 USD EXPRESS SCRIPTS 6.125% /11/2041 USD FIFTH THIRD BANK 4.300% /01/2024 USD FIVE COR FND TRS 4.419% /11/2023 USD FORD MOTOR CO 6.625% /10/2028 USD FORD MOTOR CRED 8.125% /01/2020 USD GAP INC/THE 5.950% 11-12/04/2021 USD GEN ELECTRIC CO 4.125% /10/2042 USD GENWORTH FINL 6.500% /06/2034 USD GENWORTH FINL 7.700% /06/2020 USD GEORGIA-PACIFIC 7.250% /06/2028 USD GILEAD SCIENCES 5.650% /12/2041 USD GOLDMAN SACHS 7.500% /02/2019 USD GOLDMAN SACHS GP 5.950% /01/2027 USD GOLDMAN SACHS GP 6.125% /02/2033 USD HARTFORD FINL 6.000% 08-15/01/2019 USD INTL PAPER CO 7.500% 09-15/08/2021 USD JPMORGAN CHASE 2.750% /08/2022 EUR KERR-MCGEE CORP 6.950% /07/2024 USD LIBERTY MUTUAL 4.250% /06/2023 USD MACYS RETAIL HLD 6.900% /04/2029 USD MARATHON OIL 6.600% 07-01/10/2037 USD MDC HOLDINGS INC 5.500% /01/2024 USD MEDCO HEALTH SOLUTIONS 4.125% /09/2020 USD MERRILL LYNCH 7.750% /05/2038 USD METLIFE INC 4.875% 13-13/11/2043 USD METLIFE INC 7.717% 09-15/02/2019 USD MIDAMER ENER HLD 5.150% /11/2043 USD MOHAWK INDUST 3.850% /02/2023 USD MORGAN STANLEY 4.875% /11/2022 USD MORGAN STANLEY 6.625% /04/2018 USD MORGAN STANLEY 7.300% /05/2019 USD NEWELL RUBBERMAI 4.700% /08/2020 USD NEWS AMER INC 6.400% 06-15/12/2035 USD NOBLE ENERGY INC 8.250% /03/2019 USD NORDSTROM INC 5.000% /01/2044 USD NORTHROP GRUMMAN 7.750% /02/2031 USD NVR INC 3.950% 12-15/09/2022 USD PHILLIPS % 13-01/05/2042 USD PIONEER NATURAL 7.500% /01/2020 USD PROG ENER CAR 4.100% 12-15/05/2042 USD QVC INC 7.375% 10-15/10/2020 USD REGIONS BK ALAB 7.500% /05/2018 USD ROCK-TENN COMPANY 3.500% /03/2020 USD ROWAN COS INC 5.850% 14-15/01/2044 USD SOUTHERN POWER 5.150% /09/2041 USD SYMANTEC CORP 4.200% /09/2020 USD TORCHMARK CORP 9.250% /06/2019 USD TRW AUTOMOTIVE 4.450% /12/2023 USD TUPPERWARE BRAND 4.750% /06/2021 USD UNION PACIFIC CORP 4.750% /12/2043 USD VALERO ENERGY 6.125% /02/2020 USD VENTAS REALTY LP 4.750% /06/2021 USD VERIZON COMMUNICATIONS INC % 13-15/09/2033 USD WATSON PHARM INC 6.125% /08/2019 USD WEATHERFORD INC 6.350% /06/2017 USD WEYERHAEUSER CO 7.375% /03/2032 USD WHIRLPOOL CORP 4.850% /06/2021 USD WILLIAMS PARTNER 4.300% /03/2024 USD WYNDHAM WORLDWID 3.900% /03/2023 USD ZIONS BANCORP 4.500% 12-27/03/2017 USD ZIONS BANCORP 4.500% 13-13/06/2023 USD Page 104

107 Bond World Corporate Expressed in USD France ACCOR 2.625% 14-05/02/2021 EUR ALSTOM 4.125% 10-01/02/2017 EUR AUTOROUTES DU SUD 2.950% /01/2024 EUR AUTOROUTES PARIS 2.250% /01/2020 EUR BANQUE FED CREDIT MUTUEL % 13-24/02/2021 EUR BANQUE FED CREDIT MUTUEL % 10-22/10/2020 EUR BNP PARIBAS 2.250% 14-13/01/2021 EUR BNP PARIBAS 5.431% 07-07/09/2017 EUR BNP PARIBAS 7.781% 08-29/06/2049 EUR BPCE 2.000% 12-24/04/2018 EUR BPCE 4.625% 13-18/07/2023 EUR BPCE 5.700% 13-22/10/2023 USD CARREFOUR SA 5.250% 11-24/10/2018 EUR CASINO GUICHARD 3.311% /01/2023 EUR ELEC DE FRANCE 4.875% /01/2044 USD EUTELSAT SA 2.625% 13-13/01/2020 EUR FRANCE TELECOM 5.375% /07/2019 USD GECINA 4.750% 12-11/04/2019 EUR ORANGE 1.875% 13-03/09/2018 EUR PERNOD RICARD 5.000% 11-15/03/2017 EUR RENAULT 3.625% 13-19/09/2018 EUR SANOFI 1.875% 13-04/09/2020 EUR SCHNEIDER ELECTRIC 2.500% /09/2021 EUR SOCIETE GENERALE 4.000% /06/2023 EUR THALES SA 1.625% 13-20/03/2018 EUR UNIBAIL-RODAMCO 2.500% /02/2024 EUR VALEO SA 3.250% 14-22/01/2024 EUR VEOLIA ENVIRONNEMENT 5.125% /05/2022 EUR VIVENDI SA 2.375% 13-21/01/2019 EUR VIVENDI SA 4.125% 12-18/07/2017 EUR The Netherlands ABN AMRO BANK NV 6.375% /04/2021 EUR ACHMEA BV 2.5% 13-19/11/2020 EUR BMW FINANCE NV 2.000% /09/2020 EUR DEUTSCHE ANN FIN 2.125% /07/2016 EUR DEUTSCHE ANN FIN 3.625% /10/2021 EUR DEUTSCHE TEL FIN 4.250% /07/2022 EUR E.ON INTL FIN BV 5.750% /05/2020 EUR GAS NATURAL CAP 4.500% /01/2020 EUR GAS NATURAL CAP 5.000% /02/2018 EUR GAS NATURAL CAP 5.375% /05/2019 EUR GAS NATURAL CAP 6.000% /01/2020 EUR IBERDROLA INTL 3.500% /02/2021 EUR IBERDROLA INTL 4.250% /10/2018 EUR ING BANK NV 1.875% 13-27/02/2018 EUR KBC IFIMA NV 2.125% 13-10/09/2018 EUR KPN NV 3.250% 12-01/02/2021 EUR LYB INTL FIN 5.250% 13-15/07/2043 USD RABOBANK 4.000% 12-11/01/2022 EUR RABOBANK 4.125% 12-14/09/2022 EUR REPSOL INTL FIN 2.625% /05/2020 EUR REPSOL INTL FIN 3.625% /10/2021 EUR RWE FINANCE BV 1.875% /01/2020 EUR TELEFONICA EUROP 8.250% /09/2030 USD VOLKSWAGEN INTFN 2.000% /03/2021 EUR WOLTERS KLUWER-C 2.875% /03/2023 EUR Italy AEROPORTI ROMA 3.250% /02/2021 EUR ASSICURAZIONI GENERALI 2.875% /01/2020 EUR ATLANTIA 5.625% 09-06/05/2016 EUR ENEL SOC AZIONI 4.750% /06/2018 EUR ENI SPA 2.625% 13-22/11/2021 EUR ENI SPA 4.125% 09-16/09/2019 EUR ENI SPA 4.750% 07-14/11/2017 EUR HERA SPA 3.250% 13-04/10/2021 EUR INTESA SANPAOLO 3.500% /01/2022 EUR INTESA SANPAOLO 4.000% /11/2017 EUR INTESA SANPAOLO 4.125% /09/2016 EUR INTESA SANPAOLO 6.625% /09/2023 EUR LOTTOMATICA SPA 5.375% /12/2016 EUR LOTTOMATICA SPA 5.375% /02/2018 EUR SIAS 3.375% 14-13/02/2024 EUR SNAM 3.500% 12-13/02/2020 EUR SNAM 5.000% 12-18/01/2019 EUR UNICREDIT SPA 3.375% 12-11/01/2018 EUR UNICREDIT SPA 3.625% 13-24/01/2019 EUR UNIONE DI BANCHE 2.750% /04/2017 EUR UNIONE DI BANCHE 2.875% /02/2019 EUR Spain ABERTIS 3.750% 13-20/06/2023 EUR ABERTIS 4.750% 12-25/10/2019 EUR ABERTIS INFRAESTRUSTURAS % 09-14/10/2016 EUR BBVA SENIOR FIN 2.375% /01/2019 EUR BBVA SENIOR FIN 3.250% /03/2016 EUR BBVA SENIOR FIN 3.750% /01/2018 EUR CAIXABANK 2.500% 13-18/04/2017 EUR CAIXABANK S.A 3.125% 13-14/05/2018 EUR FERROVIAL EMISIO 3.375% /01/2018 EUR RED ELECTRICA FI 4.875% /04/2020 EUR SANTAN CONS FIN 1.450% /01/2016 EUR SANTANDER INTL 3.381% /12/2015 EUR SANTANDER INTL 4.625% /03/2016 EUR TELEFONICA EMIS 3.987% /01/2023 EUR TELEFONICA EMIS 4.710% /01/2020 EUR TELEFONICA EMIS 4.750% /02/2017 EUR TELEFONICA EMIS 5.496% /04/2016 EUR TELEFONICA EMIS 5.811% /09/2017 EUR Page 105

108 Bond World Corporate Expressed in USD United Kingdom ABBEY NATIONAL TREASURY % 13-16/07/2020 EUR BARCLAYS BANK PLC 6.000% /01/2021 EUR BP CAPITAL PLC 2.177% 14-28/09/2021 EUR BP CAPITAL PLC 2.972% 14-27/02/2026 EUR CREDIT AGRICOLE 2.375% /11/2020 EUR CREDIT AGRICOLE 5.875% /06/2019 EUR IMP TOBACCO FIN 2.250% /02/2021 EUR IMP TOBACCO FIN 3.375% /02/2026 EUR LLOYDS BANK PLC 1.875% /10/2018 EUR LLOYDS TSB BANK 6.500% /03/2020 EUR NATIONWIDE BLDG 4.125% /03/2023 EUR ROYAL BANK SCOTLAND 1.500% /11/2016 EUR ROYAL BK SCOTLND 4.875% /04/2015 EUR Germany BAYER AG 1.875% 14-25/01/2021 EUR CONTINENTAL AG 3.125% /09/2020 EUR DAIMLER AG 2.000% 13-07/04/2020 EUR TELFONICA DEUTSC 2.375% /02/2021 EUR VIER GAS TRANSPO 3.125% /07/2023 EUR Ireland CRH FINLAND SERV 2.750% /10/2020 EUR FGA CAPITAL IRE 4.000% /10/2018 EUR IBERDROLA INTL 4.500% /09/2017 EUR WILLOW NO.2 PLC 3.375% /06/2022 EUR Sweden NORDEA BANK AB 2.000% /02/2021 EUR NORDEA BANK AB 4.500% /03/2020 EUR SKANDINAVISKA ENSKILDA 2.000% /03/2019 EUR SKANDINAVISKA ENSKILDA 4.000% /09/2022 EUR SWEDBANK AB 3.375% 12-09/02/2017 EUR TELIASONERA AB 1.375% /02/2019 EUR Luxembourg ENEL FIN INTL NV 4.875% /03/2020 EUR ENEL FIN INTL NV 5.000% /07/2021 EUR ENEL FIN INTL NV 5.750% /10/2018 EUR ENEL FIN INTL SA 5.000% /09/2022 EUR FORTIS BANK 5.757% 07-04/10/2017 EUR PROLOGIS INTL II 2.750% /10/2018 EUR Canada BARRICK GOLD COR 6.950% /04/2019 USD PETRO-CANADA 6.800% 08-15/05/2038 USD ROGERS COMMUNICATIONS INC % 13-01/10/2043 USD TRANS-CANADA PL 6.200% /10/2037 USD Cayman Islands XL GROUP LTD 5.750% 11-01/10/2021 USD XLIT LTD 5.250% 13-15/12/2043 USD Bermuda INGERSOLL-RND GL 6.875% /08/2018 USD WEATHERFORD INTL 5.950% /04/2042 USD Panama CARNIVAL CORP 3.950% /10/2020 USD Mexico AMERICA MOVIL SA 4.125% /10/2019 EUR Austria TELEKOM FINANZ 3.125% /12/2021 EUR Norway SPAREBANK 1 SMN 2.125% /02/2018 EUR Australia TELSTRA CORPORATION LTD 3.500% /09/2022 EUR Floating rate bonds France AXA SA 06-29/07/2049 SR EUR AXA SA 07-29/10/2049 FRN EUR AXA SA 13-04/07/2043 FRN EUR BNP PARIBAS FRN 07-29/04/2049 EUR CAISSE EPARG ECR /10/2049 FRN EUR ELEC DE FRANCE 14-29/01/2049 FRN EUR ORANGE 14-28/02/2049 FRN EUR SOLVAY FIN 13-29/11/2049 FRN EUR United Kingdom AVIVA PLC 08-22/05/2038 FRN EUR AVIVA PLC 13-05/07/2043 FRN EUR CREDIT AGRICOLE 05-29/11/2049 SR EUR CREDIT AGRICOLE 09-29/10/2049 FRN EUR HSBC CAP FUNDING 04-29/03/2049 SR EUR Luxembourg FORTIS BANK SA/NV 04-29/10/2049 SR EUR GENERALI FINANCE 06-29/06/2049 SR EUR GENERALI FINANCE 07-29/12/2049 SR EUR HANNOVER FINANCE /06/2049 SR EUR HANNOVER FINANCE /09/2040 FRN EUR The Netherlands ACHMEA BV 13-04/04/2043 FRN EUR ALLIANZ FINANCE 11-08/07/2041 FRN EUR ING BANK NV 14-25/02/2026 FRN EUR LINDE FINANCE BV 06-14/07/2066 SR EUR SIEMENS FINAN 06-14/09/2066 SR EUR Germany ALLIANZ SE 12-17/10/2042 FRN EUR MUNICH RE 07-29/06/49 FRN EUR MUNICH RE 11-26/05/2041 FRN EUR Sweden NORDEA BANK AB 12-15/02/2022 FRN EUR SVENSKA HANDELSBANKEN /12/2049 SR EUR SVENSKA HANDELSBANKEN /01/2024 FRN EUR SWEDBANK AB 14-26/02/2024 FRN EUR Switzerland SWISS RE 06-29/05/2049 SR EUR UBS AG 14-12/02/2026 FRN EUR Page 106

109 Bond World Corporate Expressed in USD Ireland AQUARIUS + INV 13-02/10/2043 FRN EUR Belgium GDF SUEZ 13-29/07/2049 FRN EUR GDF SUEZ 13-29/07/2049 FRN EUR Bahamas CREDIT SUISSE 13-18/09/2025 FRN EUR Norway DNB BANK ASA 13-26/09/2023 FRN EUR Italy ASSICURAZIONI GENERALI /07/2042 FRN EUR Total securities portfolio Page 107

110 Bond World Emerging Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Venezuela VENEZUELA % 11-21/10/2026 USD VENEZUELA % 10-23/08/2022 USD VENEZUELA 5.750% 05-26/02/2016 USD VENEZUELA 9.250% 97-15/09/2027 USD Mexico COM FED ELECTRIC 4.875% /05/2021 USD MEXICAN UTD STS 5.500% /02/2020 EUR PETROLEOS MEXICA 3.500% /01/2023 USD PETROLEOS MEXICA 4.875% /01/2022 USD PETROLEOS MEXICA 4.875% /01/2024 USD PETROLEOS MEXICA 5.500% /01/2021 USD UNITED MEXICAN 3.625% /03/2022 USD UNITED MEXICAN 4.750% /03/2044 USD Turkey REP OF TURKEY 6.000% 11-14/01/2041 USD REP OF TURKEY 6.250% 12-26/09/2022 USD REP OF TURKEY 7.375% 05-05/02/2025 USD REP OF TURKEY 7.500% 09-07/11/2019 USD TURKIYE VAKIFLAR 3.750% /04/2018 USD TURKIYE VAKIFLAR 6.000% /11/2022 USD YAPI KREDI BANKA 5.250% /12/2018 USD Cayman Islands CHINA OVERSEAS FIN 5.500% /11/2020 USD KUWAIT PROJECTS 4.800% /02/2019 USD PETROBRAS 3.000% 13-15/01/2019 USD PETROBRAS 4.375% 13-20/05/2023 USD Indonesia INDONESIA (REP) % /03/2019 USD INDONESIA (REP) 5.875% /01/2024 USD INDONESIA (REP) 6.750% /01/2044 USD INDONESIA (REP) 6.875% /03/2017 USD PERTAMINA 5.250% 11-23/05/2021 USD PERUSAHAAN LISTR 5.500% /11/2021 USD Poland REPUBLIC OF POLAND 5.000% /03/2022 USD REPUBLIC OF POLAND 5.125% /04/2021 USD South Africa SOUTH AFRICA 5.500% 10-09/03/2020 USD SOUTH AFRICA 5.875% 13-16/09/2025 USD SOUTH AFRICA 6.250% 11-08/03/2041 USD TRANSNET LTD 4.000% 12-26/07/2022 USD Hungary REPUBLIC OF HUNGARY 6.375% /03/2021 USD REPUBLIC OF HUNGARY 7.625% /03/2041 USD Croatia CROATIA 6.000% 13-26/01/2024 USD CROATIA 6.250% 12-27/04/2017 USD CROATIA 6.375% 11-24/03/2021 USD CROATIA 6.750% 09-05/11/2019 USD HRVATSKA ELECTRO 6.000% /11/2017 USD Peru REPUBLIC OF PERU 5.625% /11/2050 USD REPUBLIC OF PERU 7.125% /03/2019 USD REPUBLIC OF PERU 8.750% /11/2033 USD Brazil BANCO BRASIL 5.875% 11-26/01/2022 USD BRASIL TELECOM 5.750% /02/2022 USD REP OF BRAZIL 5.625% 09-07/01/2041 USD REP OF BRAZIL 6.000% 06-17/01/2017 USD TELEMAR N L 5.500% 10-23/10/2020 USD Colombia BANCOLOMBIA 5.125% 12-11/09/2022 USD REP OF COLOMBIA 5.625% /02/2044 USD REP OF COLOMBIA 7.375% /09/2037 USD Russia GAZPROM 4.950% 12-19/07/2022 USD RUSSIA - EUROBOND 5.000% /04/2020 USD RUSSIAN FEDERATION 00-31/03/ STEP UP USD Morocco BANQUE MOROCAINE 6.250% /11/2018 USD MOROCCO KINGDOM 4.250% /12/2022 USD MOROCCO KINGDOM 5.500% /12/2042 USD Panama PANAMA 4.300% 13-29/04/2053 USD PANAMA 5.200% 09-30/01/2020 USD PANAMA 6.700% 06-26/01/2036 USD PANAMA 9.375% 99-01/04/2029 USD The Netherlands GTB FINANCE BV 6.000% /11/2018 USD MIH BV 6.375% 10-28/07/2017 USD MOZAMBIQUE EMATU 6.305% /09/2020 USD NORTHERN LIGHTS 7.000% /08/2019 USD ZHAIKMUNAI LLP 7.125% /11/2019 USD Lithuania LITHUANIA 5.125% 10-14/09/2017 USD LITHUANIA 6.125% 11-09/03/2021 USD LITHUANIA 6.625% 12-01/02/2022 USD LITHUANIA 7.375% 10-11/02/2020 USD Sri Lanka REPUBLIC OF SRI LANKA 5.875% /07/2022 REPUBLIC OF SRI LANKA 6.000% /01/2019 USD USD Uruguay URUGUAY 4.125% 12-20/11/2045 USD URUGUAY 7.625% 06-21/03/2036 USD URUGUAY 7.875% 03-15/01/2033 USD Page 108

111 Bond World Emerging Expressed in USD Romania ROMANIA 4.375% 13-22/08/2023 USD ROMANIA 4.875% 14-22/01/2024 USD ROMANIA 6.125% 14-22/01/2044 USD ROMANIA 6.750% 12-07/02/2022 USD Argentina ARGENTINA 8.280% 05-31/12/2033 USD Georgia BANK OF GEORGIA 7.750% /07/2017 USD GEORGIAN RAILWAY 7.750% /07/2022 USD Canada PACIFIC RUBIALES 5.375% /01/2019 USD PACIFIC RUBIALES 7.250% /12/2021 USD Serbia SERBIA REPUBLIC 4.875% /02/2020 USD SERBIA REPUBLIC 5.250% /11/2017 USD SERBIA REPUBLIC 5.875% /12/2018 USD Lebanon LEBANESE REP 6.000% 12-27/01/2023 USD LEBANESE REP 6.750% 12-29/11/2027 USD Iraq REPUBLIC OF IRAQ 5.800% /01/2028 USD Costa Rica BANCO DE CR 5.250% 13-12/08/2018 USD BANCO NAL CR 6.250% 13-01/11/2023 USD COSTA RICA 4.250% 12-26/01/2023 USD El Salvador EL SALVADOR REP 5.875% /01/2025 EL SALVADOR REP 7.375% /12/2019 EL SALVADOR REP 7.625% /02/2041 EL SALVADOR REP 7.650% /06/2035 USD USD USD USD Nigeria REP OF NIGERIA 5.125% 13-12/07/2018 USD REP OF NIGERIA 6.375% 13-12/07/2023 USD REPUBLIC OF NIGERIA 6.750% /01/2021 USD Philippines PHILIPPINES (REP) 5.500% /03/2026 USD Dominican Republic DOMINICAN REPUBLIC 7.500% 10-06/05/2021 USD Chile CENCOSUD SA 4.875% 12-20/01/2023 USD Slovenia SLOVENIA 5.500% 12-26/10/2022 USD Gabon GABONESE REPUB 6.375% /12/2024 USD Senegal SENEGAL 8.750% 11 13/05/2021 USD Ghana REP OF GHANA 8.500% 07-04/10/2017 USD Tanzania TANZANIA UNT REP 13-09/03/2020 SR USD United Arab Emirates DP WORLD LTD 6.850% 07-02/07/2037 USD United States of America STATE OIL CO AZE 4.750% 13-13/03/2023 USD Belarus REPUBLIC OF BELA 8.750% /08/2015 USD Ivory Coast IVORY COAST 10-31/12/2032 SR FLAT USD Mongolia MONGOLIA 4.125% 12-05/01/2018 USD MONGOLIA 5.125% 12-05/12/2022 USD Luxembourg EUROPEAN MEDIA CAP % /02/2015 USD GAZPROM NEFT 6.000% 13-27/11/2023 USD Kazakhstan KMG FINANCE SUB 7.000% /05/2020 USD Ecuador REPUBLIC OF ECUADOR 9.375% /12/2015 USD Zambia ZAMBIA REP OF 5.375% 12-20/09/2022 USD Trinidad & Tobago PETROTRIN 9.750% 09-14/08/2019 USD Hong Kong FRANSHION DEV LT 6.750% 11-15/04/2021 USD United Kingdom UZ RAIL SHORTLIN 9.500% 13-21/05/2018 USD Floating rate bonds Cayman Islands DIB TIER 1 SUKUK 13-PERP FRN USD Ireland GAZPROMBANK 13-28/12/2023 FRN USD Russia ALFA BANK 07-22/02/2017 SR USD Nigeria FBN FINANCE CO B 13-07/08/2020 FRN USD Bahrain ICICI BANK LTD 07-30/04/2022 SR USD United Arab Emirates EMIRATES NBD 13-PERP FRN USD Turkey ASYA SUKUK CO 13-28/03/2023 FRN USD Latvia REPUBLIC OF LATVIA 2.750% /01/2020 USD Page 109

112 Bond World Emerging Expressed in USD Other transferable securities Shares Kazakhstan BTA BANK JSC - GDR REG S SPON USD Mortgage and asset backed securities The Netherlands MOZAMBIQUE EMATU 6.305% 13-11/09/2020 USD Shares/Units in investment funds Luxembourg PARVEST BOND WORLD EMERGING CORPORATE - X - CAP USD Total securities portfolio Page 110

113 Bond World Emerging Advanced Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Turkey FINANSBANK 5.500% 11-11/05/2016 USD TURKEY GOVT BOND 7.100% /03/2023 TRY TURKEY GOVT BOND 9.000% /03/2014 TRY TURKIYE VAKIFLAR 3.750% /04/2018 USD YAPI KREDI BANKA 5.250% /12/2018 USD Mexico CEMEX SAB 7.250% 13-15/01/2021 USD MEXICAN BONOS 6.000% /06/2015 MXN MEXICAN BONOS 6.500% /06/2021 MXN MEXICAN BONOS 7.000% /06/2014 MXN MEXICAN BONOS 7.500% /06/2027 MXN MEXICAN BONOS 7.750% /05/2031 MXN MEXICAN BONOS 8.000% /06/2020 MXN UNITED MEXICAN 3.625% /03/2022 USD UNITED MEXICAN 5.950% /03/2019 USD Russia GAZPROM 4.950% 12-19/07/2022 USD LUKOIL INTL FIN 7.250% /11/2019 USD RUSSIA-OFZ 8.150% 12-03/02/2027 RUB Brazil BANCO BRASIL 5.875% 11-26/01/2022 USD BANCO VOTORANTIM 6.250% /05/2016 FLAT BRL BRAZIL NTN-F 0.000% /01/2017 FLAT BRL NOTA DO TESOURO NAC 6.000% /05/2045 FLAT BRL REP OF BRAZIL 7.125% 06-20/01/2037 USD South Africa REPUBLIC OF SOUTH AFRICA 6.250% /03/2036 ZAR REPUBLIC OF SOUTH AFRICA 6.750% /03/2021 ZAR REPUBLIC OF SOUTH AFRICA 7.000% /02/2031 ZAR SOUTH AFRICA 5.875% 13-16/09/2025 USD Indonesia INDONESIA (REP) 5.875% /01/2024 USD INDONESIA GOVT % /09/2024 IDR INDONESIA GOVT 5.625% /05/2023 IDR INDONESIA GOVT 7.000% /05/2027 IDR PERUSAHAAN LISTR 5.500% /11/2021 USD Poland POLAND GOVT BOND 0.000% /07/2015 PLN POLAND GOVT BOND 3.000% I/L /08/2016 PLN POLAND GOVT BOND 5.750% /09/2022 PLN Thailand THAILAND GOVT 3.250% /06/2017 THB THAILAND GOVT 3.580% /12/2027 THB THAILAND GOVT 3.625% /05/2015 THB THAILAND GOVT 3.650% /12/2021 THB Peru REPUBLIC OF PERU 6.950% /08/2031 PEN REPUBLIC OF PERU 7.125% /03/2019 USD REPUBLIC OF PERU 7.840% /08/2020 PEN REPUBLIC OF PERU 8.200% /08/2026 PEN REPUBLIC OF PERU 8.600% /08/2017 PEN Malaysia MALAYSIAN GOVT 3.835% /08/2015 MYR MALAYSIAN GOVT 4.181% /07/2024 MYR MALAYSIAN GOVT 4.262% /09/2016 MYR Hungary HUNGARY GOVT 6.000% 07-24/11/2023 HUF HUNGARY GOVT 7.750% 12-24/08/2015 HUF Costa Rica BANCO NAL CR 6.250% 13-01/11/2023 USD COSTA RICA 4.250% 12-26/01/2023 USD Panama PANAMA 6.700% 06-26/01/2036 USD Colombia REP OF COLOMBIA 5.625% /02/2044 USD Nigeria NIGERIA T-BOND % /06/2019 NGN NIGERIA T-BOND 7.000% /10/2019 NGN REP OF NIGERIA 6.375% 13-12/07/2023 USD Canada PACIFIC RUBIALES 5.375% /01/2019 USD Cayman Islands KUWAIT PROJECTS 4.800% /02/2019 USD Bahrain BATELCO 4.250% 13-01/05/2020 USD Lithuania LITHUANIA 5.125% 10-14/09/2017 USD LITHUANIA 7.375% 10-11/02/2020 USD Romania ROMANIA 4.875% 14-22/01/2024 USD ROMANIA 6.125% 14-22/01/2044 USD The Netherlands MOZAMBIQUE EMATU 6.305% 13-11/09/2020 USD Chile CENCOSUD SA 4.875% 12-20/01/2023 USD Georgia BANK OF GEORGIA 7.750% /07/2017 USD Page 111

114 Bond World Emerging Advanced Expressed in USD Gabon GABONESE REPUB 6.375% /12/2024 USD Luxembourg GAZPROM NEFT 6.000% 13-27/11/2023 USD Trinidad & Tobago PETROTRIN 9.750% 09-14/08/2019 USD Floating rate bonds Turkey ASYA SUKUK CO 13-28/03/2023 FRN USD Russia ALFA BANK 07-22/02/2017 SR USD Cayman Islands DIB TIER 1 SUKUK 13-PERP FRN USD Bahrain ICICI BANK LTD 07-30/04/2022 SR USD Total securities portfolio Page 112

115 Bond World Emerging Corporate Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Luxembourg GAZPROM NEFT 6.000% 13-27/11/2023 USD MINERVA LUX SA 7.750% /01/2023 USD OJSC RUSS AGRIC 6.000% /06/2021 USD OJSC RUSS AGRIC 8.500% /10/2023 USD VTB BANK 6.950% 12-17/10/2022 USD Cayman Islands EVERGRANDE REAL ESTATE % /01/2015 USD INTERCORP RETAIL 8.875% /11/2018 USD INVESTCORP SA 8.250% 12-01/11/2017 USD KAISA GROUP % 13-08/01/2020 USD KUWAIT PROJECTS 4.800% /02/2019 USD KUWAIT PROJECTS 9.375% /07/2020 USD TAM CAPITAL % 11-03/06/2021 USD YUZHOU PROPERTIE 8.625% /01/2019 USD The Netherlands GTB FINANCE BV 6.000% /11/2018 USD INDO ENERGY FIN 6.375% /01/2023 USD INDO ENERGY FIN 7.000% /05/2018 USD MARFRIG HLDG EUR % /09/2021 USD MARFRIG HLDG EUR 8.375% /05/2018 USD ZHAIKMUNAI LLP 7.125% /11/2019 USD Brazil ARALCO FINANCE % /05/2020 USD BRASIL TELECOM 5.750% /02/2022 USD JBS FINANCE II 8.250% 10-29/01/2018 USD QGOG CONSTELLATI 6.250% /11/2019 USD Austria JBS INVESTMENTS 7.750% /10/2020 USD OAS INVESTMENT G 8.250% /10/2019 USD Russia ALFA BANK 7.500% 12-26/09/2019 USD GEORGIAN OIL 6.875% 12-16/05/2017 USD VEB FINANCE 6.902% 10-09/07/2020 USD Turkey ALBARAKA TURK 7.750% /05/2023 USD FINANSBANK 5.500% 11-11/05/2016 USD YASAR HOLDINGS 9.625% /10/2015 USD Venezuela ELEC DE CAR FIN 8.500% /04/2018 USD VENEZUELA 9.000% 08-07/05/2023 USD United Arab Emirates DP WORLD LTD 6.850% 07-02/07/2037 USD JAFZ SUKUK 7.000% 12-19/06/2019 USD India INDIAN RAIL FIN 3.917% 14-26/02/2019 USD ONGC VIDESH LTD 3.750% /05/2023 USD RELIANCE IND 5.875% 13-28/02/2049 USD Georgia BANK OF GEORGIA 7.750% /07/2017 USD Bermuda ALLIANCE OIL CO 7.000% /05/2020 USD Ireland BORETS FIN 7.625% 13-26/09/2018 USD CREDIT BANK OF M 8.700% /11/2018 USD KOKS OAO 7.750% 11-23/06/2016 USD Canada PACIFIC RUBIALES 5.375% /01/2019 USD PACIFIC RUBIALES 7.250% /12/2021 USD Croatia AGROKOR 8.875% 12-01/02/2020 USD HRVATSKA ELECTRO 6.000% /11/2017 USD Peru CAMPOSOL SA 9.875% 12-02/02/2017 USD COAZUCAR 6.375% 12-02/08/2022 USD VOLCAN CIA MIN-B 5.375% /02/2022 USD Ghana REP OF GHANA 8.500% 07-04/10/2017 USD Nigeria REPUBLIC OF NIGERIA 6.750% /01/2021 USD Kazakhstan SAMRUK-ENERGY 3.750% /12/2017 USD Morocco BANQUE MOROCAINE 6.250% /11/2018 USD Zambia ZAMBIA REP OF 5.375% 12-20/09/2022 USD United States of America RELIANCE HOLDING USA 4.500% 10-19/10/2020 USD Jersey Island DANA GAS 9.000% 13-31/10/2017 USD Mexico CONTROLADORA MAB 7.875% /10/2019 USD United Kingdom AFREN PLC % 12-08/04/2019 USD AFREN PLC 6.625% 13-09/12/2020 USD UZ RAIL SHORTLIN 9.500% /05/2018 USD Ukraine NAFTOGAZ UKRAINE 9.500% /09/2014 USD British Virgin Islands GOLD FIELDS OROG 4.875% /10/2020 USD Page 113

116 Bond World Emerging Corporate Expressed in USD Singapore ALAM SYNERGY 6.950% 13-27/03/2020 USD BUMI CAPITAL PTE % /11/2016 USD Chile CENCOSUD SA 4.875% 12-20/01/2023 USD Indonesia GAJAH TUNGGAL 7.750% /02/2018 USD Cyprus UKRLANDFARMING % /03/2018 USD Floating rate bonds Bahrain ICICI BANK LTD 07-30/04/2022 SR USD Brazil OAS FINANCIAL 13-29/04/2049 FRN USD Russia ALFA BANK 07-22/02/2017 SR USD Cayman Islands MAJID AL FUTTAIM 13-29/10/2049 FRN USD Turkey ASYA SUKUK CO 13-28/03/2023 FRN USD United Arab Emirates ADIB CAPITAL 12-29/10/2049 FRN USD Peru BANCO DE CREDITO /04/2027 FRN USD Nigeria FBN FINANCE CO B 13-07/08/2020 FRN USD Other transferable securities Shares Kazakhstan BTA BANK JSC - GDR REG S SPON USD Total securities portfolio Page 114

117 Bond World Emerging Local Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Thailand THAILAND GOVT 3.250% /06/2017 THB THAILAND GOVT 3.580% THB /12/2027 Bonds THAILAND GOVT 3.625% THB /05/2015 Mexico THAILAND GOVT 3.650% 10- MEXICAN BONOS % THB MXN /12/ /12/2024 THAILAND GOVT 3.875% 09- MEXICAN BONOS 5.000% THB MXN /06/ /06/2017 MEXICAN BONOS 6.000% 10- Indonesia MXN /06/2015 INDONESIA GOVT % 07- MEXICAN BONOS 6.500% IDR MXN /02/ /06/2021 INDONESIA GOVT % 07- MEXICAN BONOS 6.500% IDR MXN /09/ /06/2022 INDONESIA GOVT % 07- MEXICAN BONOS 7.250% IDR MXN /07/ /12/2016 INDONESIA GOVT % 06- MEXICAN BONOS 7.750% IDR MXN /09/ /05/2031 INDONESIA GOVT % 06- MEXICAN BONOS 8.000% IDR MXN /06/ /06/2020 INDONESIA GOVT 6.625% IDR /05/2033 Poland INDONESIA GOVT 8.375% 13- POLAND GOVT BOND 0.000% IDR PLN /03/ /07/2015 INDONESIA GOVT 9.000% 13- POLAND GOVT BOND 3.000% I/L IDR PLN /03/ /08/2016 INDONESIA GOVT 9.500% 07- POLAND GOVT BOND 4.750% IDR PLN /07/ /10/2016 POLAND GOVT BOND 5.750% 08- Hungary PLN /04/ HUNGARY GOVT 6.000% 07-24/11/2023 HUF POLAND GOVT BOND 6.250% /10/2015 PLN HUNGARY GOVT 7.750% 12-24/08/2015 HUF South Africa Malaysia REPUBLIC OF SOUTH AFRICA % 98-21/12/2026 ZAR MALAYSIAN GOVT 3.492% /03/2020 MYR REPUBLIC OF SOUTH AFRICA 7.000% /02/2031 ZAR MALAYSIAN GOVT 4.181% /07/2024 MYR REPUBLIC OF SOUTH AFRICA 8.750% /02/2048 ZAR MALAYSIAN GOVT 4.240% /02/2018 MYR Brazil MALAYSIAN GOVT 4.262% /09/2016 MYR BANCO SAFRA SA % /08/2016 BRL Peru BANCO SANTAN BS 8.000% /03/2016 BRL REPUBLIC OF PERU 7.840% /08/2020 PEN BANCO VOTORANTIM 6.250% /05/2016 FLAT BRL REPUBLIC OF PERU 8.200% /08/2026 PEN BRAZIL NTN-B 6.000% /05/2015 FLAT BRL REPUBLIC OF PERU 8.600% /08/2017 PEN BRAZIL NTN-F 0.000% /01/2017 FLAT BRL Nigeria BRAZIL-LTN 12-01/07/2016 FLAT BRL NIGERIA T-BOND % /04/2017 NGN BRAZIL-LTN 13-01/01/2017 FLAT BRL BRF SA 7.750% 13-22/05/2018 BRL NIGERIA T-BOND % /06/2019 NGN NOTA DO TESOURO NAC 6.000% BRL Luxembourg /05/2045 FLAT COSAN LUXEMBOURG 9.500% BRL /03/2018 Turkey SBERBANK 7.000% 13-31/01/2016 RUB AKBANK 7.500% 13-05/02/2018 TRY TURKEY GOVT BOND 4.000% TRY Cayman Islands /04/2015 ODEBRECHT FINANCE 8.250% 13- TURKEY GOVT BOND 4.500% BRL TRY /04/ /02/2015 TURKEY GOVT BOND 7.100% /03/2023 TRY Shares/Units in investment funds TURKEY GOVT BOND 8.300% TRY /10/2015 Luxembourg TURKEY GOVT BOND 9.000% TRY BNPP FLEXI I BOND ASIA LOCAL 05/03/ CURRENCY - I - CAP TURKIYE GARANTI 7.375% TRY PARVEST BOND WORLD EMERGING 07/03/ ADVANCED - X - CAP USD USD Russia PARVEST BOND WORLD EMERGING CORPORATE - X - CAP USD ALFA BANK 8.625% 13-26/04/2016 RUB RUSSIA-OFZ 7.050% 13-19/01/2028 RUB Total securities portfolio RUSSIA-OFZ 8.150% 12-03/02/2027 RUB Page 115

118 Bond World High Yield Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America ACI WORLDWIDE 6.375% /08/2020 USD ACTIVISION BLIZZ 5.625% /09/2021 USD ACTIVISION BLIZZ 6.125% /09/2023 USD ADVANCED MICRO D 6.750% /03/2019 USD AES CORPORATION 8.000% /10/2017 USD AES CORPORATION 8.000% /06/2020 USD ALERIS INTL 7.625% 11-15/02/2018 USD ALERIS INTL 7.875% 13-01/11/2020 USD ALTA MESA HLDGS 9.625% /10/2018 USD AMER AXLE & MFG 5.125% /02/2019 USD AMER AXLE & MFG 6.250% /03/2021 USD AMER AXLE & MFG 6.625% /10/2022 USD AMER AXLE & MFG 7.750% /11/2019 USD AMERICAN CAPITAL 6.500% /09/2018 USD ANTERO RESOURCES 5.375% /11/2021 USD ANTERO RESOURCES 7.250% /08/2019 USD ATLAS PIPELINE 5.875% 14-01/08/2023 USD ATLAS PIPELINE 6.625% 13-01/10/2020 USD AUDATEX NORTH AM 6.000% /06/2021 USD AUDATEX NORTH AM 6.125% /11/2023 USD BASIC ENERGY SVC 7.750% /02/2019 USD BE AEROSPACE 5.250% 12-01/04/2022 USD BELDEN INC 5.500% 13-15/04/2023 EUR BMC SOFTWARE FIN 8.125% /07/2021 USD BOISE CASCADE CO 6.375% /11/2020 USD BONANZA CREEK EN 6.750% /04/2021 USD BUILDING MATERIA 9.000% /09/2018 USD CABLEVISION SYS 5.875% /09/2022 USD CAESARS ENT OPER 9.000% /02/2020 USD CALPINE CORP 6.000% 13-15/01/2022 USD CALUMET SPECIAL 7.625% /01/2022 USD CALUMET SPECIAL 9.625% /08/2020 USD CASE NEW HOLLAND 7.875% /12/2017 USD CBS OUT AMER CAP 5.250% /02/2022 USD CBS OUT AMER CAP 5.625% /02/2024 USD CCO HOLDINGS LLC 5.750% /09/2023 USD CCO HOLDINGS LLC 7.250% /10/2017 USD CENTURYLINK INC 5.800% /03/2022 USD CENTURYLINK INC 6.450% /06/2021 USD CENTURYTEL INC 7.600% /09/2039 USD CHASSIX INC 9.250% 13-01/08/2018 USD CHESAPEAKE ENRGY 3.250% /03/2016 USD CHESAPEAKE ENRGY 5.375% /06/2021 USD CHESAPEAKE ENRGY 6.125% /02/2021 USD CHESAPEAKE ENRGY 6.625% /08/2020 USD CHESAPEAKE ENRGY 9.500% /02/2015 USD CHRYSLER GP/CG C 8.250% /06/2021 USD CHS/COMMUNITY 7.125% /07/2020 USD CHS/COMMUNITY 8.000% /11/2019 USD CINC BELL INC 8.375% 10-15/10/2020 USD CITIZENS COMM CO 9.000% /08/2031 USD CLEAR CHNL WORLD 6.500% /11/2022 USD CLEAR CHNL WORLD 7.625% /03/2020 USD CLOUD PEAK ENRGY 6.375% /03/2024 USD COMSTOCK RES INC 7.750% /04/2019 USD COMSTOCK RES INC 9.500% /06/2020 USD CONCHO RES/MIDLA 5.500% /04/2023 USD CONSTELLATION BR 6.000% /05/2022 USD CONTINENTAL RES 8.250% /10/2019 USD CORELOGIC INC 7.250% 12-01/06/2021 USD COVANTA HOLDING 5.875% /03/2024 USD CROSSTEX ENERGY 7.125% /06/2022 USD CRSTWD MID PART/ 7.750% /04/2019 USD CRSTWD PART/FIN 6.125% /03/2022 USD CSC HOLDINGS LLC 6.750% /11/2021 USD CVR REF/COFF FIN 6.500% /11/2022 USD CYRUSONE LP/CYRU 6.375% /11/2022 USD DANA HOLDING 5.375% 13-15/09/2021 USD DANA HOLDING 6.000% 13-15/09/2023 USD DAVITA INC 5.750% 12-15/08/2022 USD DIAMONDBACK ENER 7.625% /10/2021 USD DISH DBS CORP 4.625% 12-15/07/2017 USD DISH DBS CORP 5.000% 13-15/03/2023 USD DISH DBS CORP 6.750% 11-01/06/2021 USD DONNELLEY & SONS 6.125% /01/2017 USD DONNELLEY & SONS 7.875% /03/2021 USD ECHOSTAR DBS 7.125% 06-01/02/2016 USD ECHOSTAR DBS 7.750% 08-31/05/2015 USD ELIZABETH ARDEN 7.375% /03/2021 USD ENDO PHARMA HOLDING 7.250% /01/2022 USD ENERGY TRANSFER 7.500% /10/2020 USD ERICKSON AIR-CRN 8.250% /05/2020 USD EVEREST ACQ LLC 9.375% /05/2020 USD FIRST DATA CORP 6.750% /11/2020 USD FIRST DATA CORP 8.250% /01/2021 USD FORESIGHT ENERGY 7.875% /08/2021 USD FREESCALE SEMICO 6.000% /01/2022 USD FRESENIUS MEDICAL 5.625% /07/2019 USD FRESENIUS MEDICAL 6.500% /09/2018 USD FRESENTIUS US FIN 9.000% /07/2015 USD FRONTIER COMM 7.125% /01/2023 USD Page 116

119 Bond World High Yield Expressed in EUR FRONTIER COMM 8.750% /04/2022 USD FWCT-2 ESCROW CORP 5.125% /08/2021 USD FWCT-2 ESCROW CORP 6.875% /02/2022 USD GANNETT CO 6.375% 13-15/10/2023 USD GENERAL MOTORS 3.500% /10/2018 USD GENESIS ENERGY 5.750% /02/2021 USD GENESIS LP/FIN 7.875% /12/2018 USD GENON ENERGY 9.500% 11-15/10/2018 USD GRAY TELE INC 7.500% 13-01/10/2020 USD GREEKTOWN HLDGS 8.875% /03/2019 USD GRIFFON CORP 5.250% 14-01/03/2022 USD GULFMARK OFFSHOR 6.375% /03/2022 USD H&E EQUIPMENT 7.000% /09/2022 USD HALCON RESOURCES 8.875% /05/2021 USD HARLAND CLARKE 6.875% /03/2020 USD HARRAHS OPER CO % /06/2017 USD HCA HOLDINGS INC 6.250% /02/2021 USD HCA INC 5.875% 12-15/03/2022 USD HCA INC 6.500% 06-15/02/2016 USD HCA INC 7.500% 11-15/02/2022 USD HD SUPPLY INC 7.500% 13-15/07/2020 USD HDTFS INC 6.250% 13-15/10/2022 USD HERCULES OFFSHOR % /04/2019 USD HERCULES OFFSHOR 7.500% /10/2021 USD HERCULES OFFSHOR 8.750% /07/2021 USD HUNT INGALLS IND 6.875% /03/2018 USD IASIS HEALTHCARE 8.375% /05/2019 USD ICAHN ENTER/FIN 3.500% /03/2017 USD ICAHN ENTER/FIN 4.875% /03/2019 USD ICAHN ENTER/FIN 5.875% /02/2022 USD ICAHN ENTER/FIN 6.000% /08/2020 USD ISLE OF CAPRI 5.875% 13-15/03/2021 USD ISLE OF CAPRI 7.750% 11-15/03/2019 USD KB HOME 7.500% 12-15/09/2022 USD KB HOME 9.100% 09-15/09/2017 USD KINDRED HEALTHCARE 8.250% /06/2019 USD KINETICS/KCI USA % /11/2018 USD LAMAR MEDIA CORP 5.375% /01/2024 USD LAREDO PETROLEUM 5.625% /01/2022 USD LEGACY RES/FIN C 6.625% /12/2021 USD LEVEL 3 FIN INC 6.125% 13-15/01/2021 USD LEVEL 3 FIN INC 7.000% 13-01/06/2020 USD LEVEL 3 FIN INC 8.625% 12-15/07/2020 USD LEVEL 3 FIN INC 9.375% 11-01/04/2019 USD LIFEPOINT HOSPIT 5.500% /12/2021 USD LIMITED BRANDS 5.625% /02/2022 USD LIMITED BRANDS 6.625% /04/2021 USD LINN ENERGY LLC 7.750% /02/2021 USD LSB INDUSTRIES 7.750% 13-01/08/2019 USD MARKWEST ENERGY 6.250% /06/2022 USD MASCO CORP 6.125% 06-03/10/2016 USD MCRON FINANCE SU 8.375% /05/2019 USD MEDIACOM BROADBD 6.375% /04/2023 USD MEM PROD PART LP 7.625% /05/2021 USD MERITOR INC 6.250% 14-15/02/2024 USD MERITOR INC 6.750% 13-15/06/2021 USD METROPCS WIRELES 6.625% /11/2020 USD MGM RESORTS % 10-01/11/2016 USD MGM RESORTS 6.625% 12-15/12/2021 USD MGM RESORTS 7.750% 12-15/03/2022 USD MGM RESORTS INTRNL 7.500% /06/2016 USD MICRON TECH 5.875% 14-15/02/2022 USD MIRANT AMERICAS 8.500% /10/2021 USD MIRANT AMERICAS 9.125% /05/2031 USD MURRAY ENERGY 8.625% /06/2021 USD NCL CORP 5.000% 13-15/02/2018 USD NCR ESCROW CORP 5.875% /12/2021 USD NCR ESCROW CORP 6.375% /12/2023 USD NES RENTALS HLDG 7.875% /05/2018 USD NETFLIX INC 5.375% 13-01/02/2021 USD NRG ENERGY INC 6.250% /07/2022 USD NRG ENERGY INC 6.625% /03/2023 USD NRG ENERGY INC 7.625% /01/2018 USD OASIS PETROLEUM 6.500% /11/2021 USD OASIS PETROLEUM 6.875% /03/2022 USD OUTERWALL INC 6.000% /03/2019 USD PARKER DRILLING 7.500% /08/2020 USD PEABODY ENERGY 6.000% /11/2018 USD PEABODY ENERGY 6.250% /11/2021 USD PENN NATL GAMING 5.875% /11/2021 USD PITTSBURGH GLASS 8.000% /11/2018 USD PNK FINANCE CORP 6.375% /08/2021 USD REGAL ENTERTAINMENT 5.750% /03/2022 USD REGENCY ENERGY 4.500% /11/2023 USD REGENCY ENERGY 5.500% /04/2023 USD REX ENERGY CORP 8.875% /12/2020 USD REYNOLDS GROUP 5.750% /10/2020 USD RITE AID CORP % 10-15/10/2019 USD SABINE PASS LIQU 5.625% /02/2021 USD SABINE PASS LNG 6.500% /11/2020 USD SABINE PASS LNG 7.500% /11/2016 USD SAFWAY GROUP HLD 7.000% /05/2018 USD SALLY HOLDING / SAL CA 6.875% /11/2019 USD SANDRIDGE ENERGY 7.500% /02/2023 USD SANDRIDGE ENERGY 8.125% /10/2022 USD SANDRIDGE ENERGY 8.750% /01/2020 USD SEALED AIR CORP 8.375% /09/2021 USD SPRINT CAP CORP 6.875% /11/2028 USD Page 117

120 Bond World High Yield Expressed in EUR SPRINT CAP CORP 8.750% /03/2032 USD SPRINT CORP 7.125% 13-15/06/2024 USD SPRINT CORP 7.250% 13-15/09/2021 USD SPRINT CORP 7.875% 13-15/09/2023 USD SPRINT NEXTEL % /11/2021 USD SPRINT NEXTEL 6.000% 12-15/11/2022 USD SPRINT NEXTEL 8.375% 09-15/08/2017 USD SPRINT NEXTEL 9.000% 11-15/11/2018 USD STARZ LLC/FIN CO 5.000% /09/2019 USD STONE ENERGY 7.500% 12-15/11/2022 USD TAYLOR MORRISON 5.250% /04/2021 USD TENET HEALTHCARE 8.000% /08/2020 USD TENNECO INC 6.875% 11-15/12/2020 USD TENNECO INC 7.750% 11-15/08/2018 USD TES LOG LP/CORP 5.875% /10/2020 USD TES LOG LP/CORP 6.125% /10/2021 USD TITAN INTL INC 6.875% 13-01/10/2020 USD T-MOBILE USA INC 5.250% /09/2018 USD T-MOBILE USA INC 6.250% /04/2021 USD T-MOBILE USA INC 6.500% /01/2024 USD TREEHOUSE FOODS 4.875% /03/2022 USD TRONOX FINANCE 6.375% /08/2020 USD TW TELECOM HLDS 5.375% /10/2022 USD UNITED RENTAL NA 5.750% /07/2018 USD UNITED RENTAL NA 7.375% /05/2020 USD UNITED RENTAL NA 7.625% /04/2022 USD UNITED RENTAL NA 9.250% /12/2019 USD UNIVISION COMM 6.750% /09/2022 USD US STEEL CORP 6.875% 13-01/04/2021 USD USG CORP 5.875% 13-01/11/2021 USD USG CORP 9.750% 07-15/01/2018 USD VALEANT PHARMA 6.750% /10/2017 USD VALEANT PHARMA 6.875% /12/2018 USD VALEANT PHARMA 7.000% /10/2020 USD VENOCO INC 8.875% 11-15/02/2019 USD VIK CRUISES LTD 8.500% /10/2022 USD VPI ESCROW CORP 6.375% /10/2020 USD W & T OFFSHORE 8.500% /06/2019 USD WINDSTREAM CORP 7.500% /04/2023 USD WINDSTREAM CORP 7.750% /10/2021 USD WMG ACQUISITION 6.000% /01/2021 USD ZACHRY HOLDINGS 7.500% /02/2020 USD Luxembourg ALTICE FINANCING 6.500% /01/2022 EUR ALTICE FINCO SA 9.000% /06/2023 EUR ARCELORMITTAL % /06/2019 USD ARCELORMITTAL 6.125% /06/2018 USD ARCELORMITTAL 6.750% /02/2022 USD ARCELORMITTAL 7.500% /10/2039 USD DEMATIC SA / DH 7.750% /12/2020 USD FIAT FIN & TRADE 6.375% /04/2016 EUR FIAT FIN & TRADE 6.750% /10/2019 EUR FIAT FIN & TRADE 7.750% /10/2016 EUR GESTAMP FUN LUX 5.875% /05/2020 EUR MATTERHORN MOB 8.250% /02/2020 EUR NIELSEN CO LUXEM 5.500% /10/2021 USD SUNRISE COMM HOLDING 8.500% /12/2018 EUR WIND ACQUISITION % /07/2017 USD WIND ACQUISITION 7.375% /02/2018 EUR XEFIN LUX SCA 8.000% 11-01/06/2018 EUR United Kingdom ALGECO SCOTSMAN 9.000% /10/2018 EUR BAKKAVOR FIN % /02/2018 GBP BOPARAN 9.750% 11-30/04/2018 EUR DIXONS RETAIL 8.750% 12-15/09/2017 GBP INEOS FINANCE PL 8.375% /02/2019 USD JAGUAR LAND ROVER 5.000% /02/2022 GBP OTE PLC 4.625% 06-20/05/2016 EUR PHONES4U FINANCE 9.500% /04/2018 GBP PRIORY GROUP 7.000% 11-15/02/2018 GBP France AUTODIS SA 6.500% 14-01/02/2019 EUR LA FIN ATALIAN 7.250% 13-15/01/2020 EUR LABCO SAS 8.500% 11-15/01/2018 EUR LAFARGE SA 5.375% 10-29/11/2018 EUR LAFARGE SA 7.625% 09-24/11/2016 EUR PEUGEOT 6.500% 13-18/01/2019 EUR PEUGEOT SA 8.375% 09-15/07/2014 EUR PICARD 9.000% 10-01/10/2018 EUR RENAULT 3.125% 14-05/03/2021 EUR REXEL SA 7.000% 11-17/12/2018 EUR SPCM SA 5.500% 12-15/06/2020 EUR The Netherlands ADRIA BIDCO BV 7.875% /11/2020 EUR EDP FINANCE BV 5.750% /09/2017 EUR EDP FINANCE BV 6.625% /08/2017 GBP NOKIA SIEMENS 7.125% 13-15/04/2020 EUR REFRESCO GROUP 7.375% /05/2018 EUR SYNCREON GROUP 8.625% /11/2021 USD UPC HOLDING BV 6.375% /09/2022 EUR UPC HOLDING BV 8.375% /08/2020 EUR UPC HOLDING BV 9.875% /04/2018 USD Canada BOMBARDIER INC 7.500% /03/2018 USD BOMBARDIER INC 7.750% /03/2020 USD CHC HELICOPTER S 9.250% /10/2020 USD NEW GOLD INC 6.250% 12-15/11/2022 USD NEW GOLD INC 7.000% 12-15/04/2020 USD NOVELIS INC 8.750% 11-15/12/2020 USD VALEANT PHARMA 5.625% /12/2021 USD Page 118

121 Bond World High Yield Expressed in EUR Cayman Islands OFFSHORE GROUP I 7.125% /04/2023 USD OFFSHORE GROUP I 7.500% /11/2019 USD SABLE INTL FIN 8.750% 12-01/02/2020 USD SHELF DRL HOLD 8.625% /11/2018 USD UPCB FINANCE VI 6.875% /01/2022 USD Ireland AG SPRING FINANC 7.500% /06/2018 EUR ARDAGH PKG FIN 7.375% /10/2017 EUR ARDAGH PKG FIN 7.375% /10/2017 USD NARA CABLE FUNDI 8.875% /12/2018 USD Australia FMG RES AUG % /04/2017 USD FMG RES AUG % /04/2022 USD FMG RES AUG % /11/2015 USD FMG RES AUG % /11/2019 USD Italy ASTALDI SPA 7.125% 13-01/12/2020 EUR TELECOM ITALIA 5.375% /01/2019 EUR Bermuda INTELSAT JACKSON 5.500% /08/2023 USD INTELSAT JACKSON 7.250% /10/2020 USD INTELSAT LUXEMB 7.750% /06/2021 USD Sweden STENA AB 7.875% 10-15/03/2020 EUR TVN FIN CORP III 7.875% 10-15/11/2018 EUR Poland PLAY FIN 2 SA 5.250% 14-01/02/2019 EUR Belgium BARRY CALLE SVCS 5.375% /06/2021 EUR BARRY CALLE SVCS 6.000% /07/2017 EUR Spain EMPARK FUNDING 6.750% /12/2019 EUR OBRASCON HUARTE 7.375% /04/2015 EUR Norway PACIFIC DRILLING 5.375% /06/2020 USD Germany KUKA AG 8.750% 10-15/11/2017 EUR Floating rate bonds Italy ENEL SPA 14-15/01/2075 FRN EUR RHINO BONDCO 13-15/12/2019 FRN EUR United States of America CHESAP OIL OP/FN 13-15/11/2019 FRN USD GIBRALTAR INDSTR 13-01/02/2021 FRN USD The Netherlands KPN NV 13-29/03/2049 FRN EUR Other transferable securities Bonds United States of America CSC HOLDINGS INC 7.875% /02/2018 USD SPRINT CAP CORP 6.900% /05/2019 USD Total securities portfolio Page 119

122 Bond World Inflation-Linked Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America US TSY I/L STOCK 2.500% /01/2029 USD US TSY INFL IX N/B 0.125% /04/2016 USD US TSY INFL IX N/B 0.125% /01/2022 USD US TSY INFL IX N/B 0.125% /04/2017 USD US TSY INFL IX N/B 0.125% /04/2018 USD US TSY INFL IX N/B 0.500% /04/2015 USD US TSY INFL IX N/B 0.625% /02/2043 USD US TSY INFL IX N/B 0.625% /01/2024 USD US TSY INFL IX N/B 0.750% /02/2042 USD US TSY INFL IX N/B 1.375% /02/2044 USD US TSY INFL IX N/B 1.750% /01/2028 USD US TSY INFL IX N/B 2.000% /01/2026 USD US TSY INFL IX N/B 2.125% /01/2019 USD US TSY INFL IX N/B 2.125% /02/2041 USD US TSY INFL IX N/B 2.375% /01/2025 USD US TSY INFL IX N/B 2.375% /01/2027 USD US TSY INFL IX N/B 3.625% /04/2028 USD United Kingdom NETWRK RAIL INFR 1.375% /11/2037 GBP NETWRK RAIL INFR 1.750% /11/2027 GBP UK TSY I/L GILT 0.125% 12-22/03/2024 GBP UK TSY I/L GILT 0.125% 12-22/03/2044 GBP UK TSY I/L GILT 0.125% 13-22/03/2068 GBP UK TSY I/L GILT 0.125% 13-22/11/2019 GBP UK TSY I/L GILT 0.250% 12-22/03/2052 GBP UK TSY I/L GILT 0.375% 11-22/03/2062 GBP UK TSY I/L GILT 0.750% 07-22/11/2047 GBP UK TSY I/L GILT 0.750% 11-22/03/2034 GBP UK TSY I/L GILT 1.250% 05-22/11/2055 GBP UK TSY I/L GILT 1.250% 06-22/11/2017 GBP UK TSY I/L GILT 1.250% 06-22/11/2027 GBP UK TSY I/L GILT 1.250% 08-22/11/2032 GBP UK TSY I/L STOCK 1.875% /11/2022 GBP UK TSY I/L STOCK 6.287% /07/2024 GBP Germany BUNDESOBLIGATION-I/L 0.750% /04/2018 EUR DEUTSCHLAND I/L 0.100% /04/2023 EUR DEUTSCHLAND I/L 1.500% /04/2016 EUR Japan JAPAN I/L-10YR 0.100% 13-10/09/2023 JPY JAPAN I/L-10YR 1.200% 07-10/06/2017 JPY JAPAN I/L-10YR 1.400% 08-10/06/2018 JPY France FRANCE O.A.T % 13-25/07/2024 EUR FRANCE O.A.T.I/L 1.800% /07/2040 EUR FRANCE O.A.T.I/L 1.850% /07/2027 EUR FRANCE O.A.T.I/L 2.250% /07/2020 EUR FRANCE O.A.T.I/L 3.150% /07/2032 EUR FRANCE O.A.T.I/L 3.400% /07/2029 EUR Australia AUSTRALIAN I/L 0.000% /09/2025 FLAT AUD AUSTRALIAN I/L 0.000% /02/2022 FLAT AUD AUSTRALIAN I/L 0.000% /08/2015 FLAT AUD AUSTRALIAN I/L 2.000% /08/2035 FLAT AUD AUSTRALIAN I/L 4.000% /08/2020 FLAT AUD Canada CANADA GOVT I/L 1.500% /12/2044 CAD CANADA GOVT I/L 2.000% /12/2041 CAD CANADA GOVT I/L 3.000% /12/2036 CAD CANADA GOVT I/L 4.000% /12/2031 CAD CANADA GOVT I/L 4.250% /12/2026 CAD Italy ITALY BTPS I/L 1.700% 13-15/09/2018 EUR Sweden SWEDEN I/L 0.253% 11-01/06/2022 SEK SWEDEN I / L 4.000% 95-01/12/2020 SEK SWEDEN I/L 4.297% 99-01/12/2028 SEK Denmark DENMARK I/L GOVT 0.100% /11/2023 DKK Floating rate bonds United Kingdom UK TSY I/L STOCK 2.829% /01/2035 GBP UK TSY I/L STOCK 7.322% /04/2020 GBP UK TSY I/L STOCK 7.522% /07/2016 GBP UK TSY I/L STOCK 7.633% /07/2030 GBP Total securities portfolio Page 120

123 Commodities Arbitrage Expressed in USD Money Market Instruments France BANQUE FED CREDIT MUTUEL % 27/05/2014 CD USD BNP PARIBAS 18/03/2014 CD USD BPCE SA 0.000% 18/03/2014 CD USD CAISSE D AMORTISSEMENT 0.000% /04/2014 ECP USD CAISSE DES DEPOTS 0.000% /03/2014 ECP USD CIC 0.000% 09/04/2014 CD USD CREDIT AGRICOLE SA 0.000% /03/2014 CD USD HSBC FRANCE 0.000% 18/03/2014 CD USD NATIXIS 0.000% 11/03/2014 CD USD NATIXIS SA 0.000% 19/05/2014 CD USD SOCIETE GENERALE 0.000% /03/2014 CD USD SOCIETE GENERALE 0.000% /04/2014 CD USD United Kingdom CREDIT AGRICOLE CORPORA 0.000% /04/2014 CD USD UBS AG/LONDON 0.000% /03/2014 CD USD United States of America US TREASURY BILL 0.000% /03/2014 USD US TREASURY BILL 0.000% /03/2014 USD China BANK OF CHINA 0.000% /03/2014 CD USD Luxembourg BANQUE ET CAISSE D EPARGNE % 14/03/2014 ECP USD Australia RABOBANK NEDERLAND AU 0.000% /03/2014 CD USD The Netherlands ABN AMRO BANK NV 0.000% /03/2014 CD USD Shares/Units in investment funds Ireland BNP PARIBAS GLOBAL LIQUIDITY FUNDS USD PREMIUM PLUS - I USD Luxembourg BNP PARIBAS INSTICASH USD - P CAP USD Total securities portfolio Page 121

124 Convertible Bond Asia Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Convertible bonds Cayman Islands AGILE PROPERTY 4.000% /04/2016 CV USD CHINA OVERSEAS 12-21/03/ CV SR HKD CHINA OVERSEAS FIN 4.000% /02/2021 CV USD ENN ENERGY HLDG 13-26/02/2018 CV USD FUFENG GROUP 3.000% /11/2018 CV CNY HAITIAN INTL HOL 2.000% /02/2019 CV USD HENGAN INTL 13-27/06/2018 CV HKD KAISA GROUP 8.000% /12/2015 CV CNY SEMICONDUCTOR MA /11/2018 CV USD ZEUS CAYMAN II 0.000% /08/2016 CV JPY ZHEN DING TECH 12-07/06/2015 CV USD British Virgin Islands BILLION EXPRESS 0.750% /10/2015 CV USD LOGO STAR LTD 1.500% /11/2018 CV HKD NEWFORD CAPITAL 0.000% /05/2016 CV USD PB ISSUER 2 LTD 1.750% /04/2016 CV USD POWER REGAL GROU 2.250% /06/2014 CV HKD TONG JIE LTD 13-18/02/2018 CV HKD WHARF FIN (2014) 2.300% /06/2014 CV HKD Taiwan ADVANCED SEMICONDUCTOR % 13-05/09/2018 CV USD ASIA CEMENT 0.000% /05/2018 CV USD AU OPTRONICS 0.000% /10/2015 CV USD EPISTAR CORP 0.000% /08/2018 CV USD FAR EASTERN INTL 0.000% /02/2018 CV USD PEGATRON CORP 0.000% /02/2017 CV USD TPK HOLDING CO 0.000% /10/2017 CV USD WISTRON CORP 0.000% /01/2015 CV USD Hong Kong CHINA POWER INTL 2.750% /09/2017 CV HK EXCHANGES 0.500% /10/2017 CV NEW WORLD DEV BV /06/2014 CV CNY USD HKD Japan ABC MART 13-05/02/2018 CV JPY ASICS CORP 0.000% 14-01/03/2019 CV JPY BANK OF IWATE 13-25/07/2018 CV USD EBARA CORP 0.000% 13-19/03/2018 CV JPY GS YUASA CORP 0.000% /03/2019 CV JPY KUREHA CORP 0.000% /03/2018 CV JPY MUSASHI SEIMITSU 0.000% /12/2018 CV JPY NIDEC CORP 0.000% 10-18/09/2015 CV JPY NIKKISO 0.000% 13-02/08/2018 CV JPY SEKISUI HOUSE 0.000% /07/2016 CV JPY SHIZUOKA BANK 13-25/04/2018 CV USD Singapore CAPITACOMMERCIAL 2.700% /04/2015 CV SGD CAPITALAND LTD 1.850% /06/2020 CV SGD CAPITALAND LTD 1.950% /10/2023 CV SGD CAPITALAND LTD 2.950% /06/2022 CV SGD KEPPEL LAND LTD 1.875% /11/2015 CV SGD RUBY ASSETS PTE 1.600% /02/2017 CV SGD India LARSEN & TOUBRO 3.500% /10/2014 CV USD TATA POWER CO 1.750% /11/2014 CV USD TATA STEEL LTD 4.500% /11/2014 CV USD South Korea HYNIX SEMI INC 2.650% /05/2015 CV USD LOTTE SHOPPING 13-24/01/2018 CV KRW Australia BEACH ENERGY 3.950% /04/2017 CV AUD DRILLSEARCH FINA 6.000% /09/2018 CV USD Malaysia INDAH CAPITAL 13-24/10/2018 CV SGD Philippines SAN MIGUEL CORP 2.000% /05/2014 CV USD SM INVESTMENTS 1.625% /02/2017 CV USD Total securities portfolio Page 122

125 Convertible Bond Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France CREDIT AGRICOLE SA 0.000% /12/2016 CV FLAT EUR SUEZ ENVIRONNEMENT 0.000% /02/2020 CV FLAT EUR Convertible bonds France AIR FRANCE - KLM 4.970% /04/2015 CV FLAT EUR AIR FRANCE-KLM 0.000% 13-15/02/ CV FLAT EUR ALCATEL-LUCENT 0.000% /07/2018 CV FLAT EUR CAP GEMINI SOGET 0.000% /01/2019 CV FLAT EUR FAURECIA 3.250% 12-01/01/ CV FLAT EUR FONCIERE DES REGIONS 0.875% /04/2019 CV EUR FONCIERE DES REGIONS 3.340% /01/17 CV FLAT EUR INGENICO 2.750% 11-01/01/ CV FLAT EUR MAUREL ET PRO 7.125% 09-31/07/ CV FLAT EUR MICHELIN FRANCE 0.000% /01/2017 CV FLAT EUR MISARTE 3.250% 10-01/01/ CV FLAT EUR RALLYE SA 1.000% 13-02/10/ CV FLAT EUR TECHNIP 0.500% 10-01/01/ CV FLAT EUR TEM 4.250% 09-01/01/2015 CV FLAT EUR UNIBAIL-RODAMCO 0.750% /01/2018 CV FLAT EUR Germany ADIDAS AG 0.250% 12-14/06/2019 CV EUR DEUTSCHE POST AG 0.600% /12/2019 CV EUR TUI AG 2.750% 11-24/03/2016 CV FLAT EUR United Arab Emirates AABAR INVESTMENT 4.000% /05/2016 CV EUR Spain ABENGOA SA 4.500% /02/2017 CV EUR ABENGOA SA 6.250% /01/2019 CV EUR ACCIONA SA 3.000% 14-30/01/2019 CV EUR LA CAIXA 1.000% 13-25/11/2017 CV EUR Jersey Island BRITISH LAND CO 1.500% /09/2017 CV GBP CPT SHP CNTR JER 2.500% /10/2018 CV GBP Russia LUKOIL INTL FIN 2.625% /06/2015 CV USD Portugal PARPUBLICA 5.250% 10-28/09/2017 CV EUR Belgium GBL 0.125% 12-21/09/2015 CV EUR Hungary HUNGARIAN STATE 3.375% /04/2019 CV EUR Austria IMMOFINANZ 4.250% 11-08/03/ CV FLAT EUR Finland NOKIA OYJ 5.000% 12-26/10/2017 CV EUR SOLIDIUM OY 0.000% /09/2018 CV EUR Switzerland SWISS LIFE HOLDING 0.000% /12/2020 CV CHF Options, Warrants, Rights SYMPHONY IN WTS 03/08/ SYMPHONY IN C USD Shares/Units in investment funds The Netherlands ACS ACTIVIDADES 2.625% /10/2018 CV EUR AMORIM ENERGIA B 3.375% /06/2018 CV EUR CEZ MH BV 0.000% 14-04/08/2017 CV EUR OCI NV 3.875% 13-25/09/2018 CV EUR SIEMENS FINAN 1.050% /08/2017 CV USD SIEMENS FINAN 1.650% /08/2019 CV USD Italy BENI STABILI 2.625% /04/2019 CV EUR ENI SPA 0.250% 12-30/11/2015 CV EUR ENI SPA 0.625% 13-18/01/2016 CV EUR Sweden INDUSTRIVARDEN 1.875% /02/2017 CV EUR INDUSTRIVARDEN 2.500% /02/2015 CV EUR Luxembourg GBL VERWALTUN 1.250% /02/17 CV EUR SUBSEA 7 SA 1.000% 12-05/10/2017 CV USD TMK BONDS SA 5.250% /02/2015 CV USD United Kingdom INTL CONSOLIDAT 1.750% /05/2018 CV EUR TUI TRAVEL PLC 6.000% /10/2014 CV GBP France BNP PARIBAS CASH INVEST - P EUR LYXOR ETF DJST 600 BASIC RESOURCES EUR Total securities portfolio Page 123

126 Convertible Bond Europe Small Cap Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Convertible bonds France BNP PARIBAS 0.250% /09/2016 CV EUR CLUB MEDITERRANEE 6.110% /11/15 CV FLAT EUR MAUREL ET PR 0.000% 10-31/07/ CV FLAT EUR NEXANS SA 2.500% 12-01/01/ CV FLAT EUR ORPEA 3.875% 10-01/01/2016 CV FLAT EUR PIERRE VACANCES 3.500% /10/2019 CV FLAT EUR Italy ASTALDI SPA 4.500% 13-31/01/2019 CV EUR AZIMUT HOLDING 2.125% /11/2020 CV EUR BENI STABILI 2.625% /04/2019 CV EUR BENI STABILI 3.375% /01/2018 CV EUR BUZZI UNICEM 1.375% /07/2019 CV EUR CAM 2012 SPA 5.625% /10/2017 CV EUR Luxembourg APERAM 2.625% 13-30/09/2020 CV USD ESPIRITO SANTO F 3.125% /12/2018 CV EUR GVM DEBT LUX 5.750% /02/2018 CV EUR KLOECKNER & CO 2.500% /12/2017 CV EUR SUBSEA 7 INC 3.500% /10/2014 CV USD United Kingdom DIALOG SEMICOND 1.000% /04/2017 CV USD INMARSAT 1.750% 08-16/11/2017 CV USD PENNON GROUP PLC 4.625% /08/2014 CV GBP SAINSBURY PLC 4.250% /07/2014 CV GBP SALAMANDER 5.000% /03/2015 CV USD Jersey Island DERWENT LDN JE 2.750% /07/2016 CV GBP ENTERPRISE FUNDI 3.500% /09/2020 CV GBP HANSTEEN JERSEY 4.000% /07/2018 CV EUR PREMIER OIL FINA 2.500% /07/2018 CV USD ST MODWEN PROP 2.875% /03/2019 CV GBP UNITE JERSEY 2.500% /10/2018 CV GBP Germany DEUTSCHE WOHNEN 0.500% /11/2020 CV EUR DRILLISCH AG 0.750% /12/2018 CV EUR HEIDELBERG DRUCK 8.500% /07/2017 CV EUR KUKA AG 2.000% 13-12/02/2018 CV EUR SGL CARBON SE 2.750% /01/2018 CV EUR The Netherlands AMPLITER NV 2.875% /11/2018 CV EUR SALZGITTER FIN B 1.125% /10/2016 CV EUR WERELDHAVE NV 2.875% /11/2015 CV EUR Belgium ECONOCOM GROUP 1.500% /01/2019 CV FLAT EUR ECONOCOM GROUP 4.000% /06/2016 CV FLAT EUR SOFINA SA 1.000% 12-19/09/2016 CV USD Spain ABENGOA SA 6.875% /07/2014 CV EUR INDRA SISTEMAS 1.750% /10/2018 CV EUR NH HOTELES SA 4.000% /11/2018 CV EUR SOL MELIA SA 5.000% /12/2014 CV EUR Switzerland BALOISE HOLDING 1.500% /11/2016 CV CHF SWISS PRIME SITE 1.875% /01/2015 CV CHF Austria CONWERT IMMO INV 5.250% /02/2016 CV EUR Finland NOKIAN RENKAAT 0.000% /06/2014 CV EUR Sweden ELEKTA AB 2.750% 12-25/04/2017 CV SEK United Arab Emirates POLARCUS LTD 2.875% /04/2016 CV USD Bermuda GOLDEN OCEAN GRP 3.070% /01/2019 CV USD Guernsey Island AFRICAN MINERALS 8.500% /02/2017 CV USD Shares/Units in investment funds France BNP PARIBAS CASH INVEST - P EUR Total securities portfolio Page 124

127 Convertible Bond World Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America GILEAD SCIENCES INC USD MARATHON PETROLEUM CORP W / I USD Bonds France SUEZ ENVIRONNEMENT 0.000% /02/2020 CV FLAT EUR Convertible bonds United States of America AMER REALTY CAP 3.000% /08/2018 CV USD ANNALY CAPITAL 5.000% /05/2015 CV USD ARES CAPITAL COR 5.750% /02/2016 CV USD BANK OF AMERICA CORP 7.250% /12/2049 PFD CV USD CHESAPEAKE ENRGY 2.500% /05/2037 CV USD CIENA CORP 0.875% 07-15/06/2017 CV USD CONCUR TECH INC 0.500% /06/2018 CV USD ELECTRONIC ARTS 0.750% /07/2016 CV USD HOLOGIC INC 12-01/03/2042 CV SR USD ICONIX BRAND GRP 1.500% /03/2018 CV USD ILLUMINA INC 0.250% /03/2016 CV USD INTEL CORP 2.950% 06-15/12/2035 CV USD INTEL CORP 3.250% 09-01/08/2039 CV USD INTL GAME TECH 3.250% /05/2014 CV USD JARDEN CORP 1.875% /09/2018 CV USD JDS UNIPHASE 0.625% /08/2033 CV USD LAM RESEARCH 0.500% /05/2016 CV USD LAM RESEARCH 1.250% /05/2018 CV USD LIBERTY INTERACT 0.750% /03/2043 CV USD LIFEPOINT HOSPIT 3.500% /05/2014 CV USD LINEAR TECH 3.000% /05/2027 CV USD MGIC INVT CORP 2.000% /04/2020 CV USD MGM MIRAGE 4.250% /04/2015 CV USD MICRON TECH 3.000% /11/2043 CV USD NEWMONT MINING 1.625% /07/2017 CV USD NVIDIA CORP 1.000% /12/2018 CV USD ON SEMICONDUCTOR 2.625% /12/2026 CV USD OWENS-BROCKWAY 3.000% /06/2015 CV USD PRICELINE.COM 0.350% /06/2020 CV USD PRICELINE.COM 1.000% /03/2018 CV USD PROLOGIS LP 3.250% 11-15/03/2015 CV USD SALESFORCE.COM 0.250% /04/2018 CV USD SANDISK CORP 0.500% /10/2020 CV USD SERVICENOW INC 13-01/11/2018 CV USD STARWOOD PROP TR 4.000% /01/2019 CV USD STARWOOD PROP TR 4.550% /03/2018 CV USD SUNEDISON INC 2.000% /10/2018 CV USD SUNEDISON INC 2.750% /01/2021 CV USD TEVA PHARMACEUT 0.250% /02/2026 CV USD TRULIA INC 2.750% 13-15/12/2020 CV USD WELLPOINT INC 2.750% /10/2042 CV USD WELLS FARGO CO 08-31/12/ CV FLAT USD XILINX INC 3.125% 07-15/03/2037 CV USD YAHOO INC 13-01/12/2018 CV USD France AIR FRANCE - KLM 4.970% /04/2015 CV FLAT EUR AIR FRANCE-KLM 0.000% 13-15/02/ CV FLAT EUR ALCATEL-LUCENT 0.000% /07/2018 CV FLAT EUR CAP GEMINI SOGET 0.000% /01/2019 CV FLAT EUR FAURECIA 3.250% 12-01/01/ CV FLAT EUR FONCIERE DES REGIONS 0.875% /04/2019 CV EUR INGENICO 2.750% 11-01/01/ CV FLAT EUR MICHELIN FRANCE 0.000% /01/2017 CV FLAT EUR MISARTE 3.250% 10-01/01/ CV FLAT EUR RALLYE SA 1.000% 13-02/10/ CV FLAT EUR TECHNIP 0.250% 11-01/01/ CV FLAT EUR TECHNIP 0.500% 10-01/01/ CV FLAT EUR UNIBAIL-RODAMCO 0.750% /01/2018 CV FLAT EUR Germany ADIDAS AG 0.250% 12-14/06/2019 CV EUR DEUTSCHE POST AG 0.600% /12/2019 CV EUR STEINHOFF FINANC 4.000% /01/2021 CV EUR STEINHOFF FINANC 5.000% /05/2016 CV EUR STEINHOFF FINANC 6.375% /05/2017 CV EUR TUI AG 2.750% 11-24/03/2016 CV FLAT EUR The Netherlands ACS ACTIVIDADES 2.625% /10/2018 CV EUR AMORIM ENERGIA B 3.375% /06/2018 CV EUR CEZ MH BV 0.000% 14-04/08/2017 CV EUR SIEMENS FINAN 1.050% /08/2017 CV USD SIEMENS FINAN 1.650% /08/2019 CV USD VOLKSWAGEN INTFN 5.500% /11/2015 CV EUR Cayman Islands BES FINANCE LTD 3.500% /12/2015 CV USD CHINA OVERSEAS 12-21/03/ CV SR HKD ENN ENERGY HLDG 13-26/02/2018 CV USD HAITIAN INTL HOL 2.000% /02/2019 CV USD HENGAN INTL 13-27/06/2018 CV HKD KAISA GROUP 8.000% /12/2015 CV CNY PYRUS LTD 7.500% 10-20/12/2015 CV USD SEMICONDUCTOR MA /11/2018 CV USD Page 125

128 Convertible Bond World Expressed in EUR Japan ABC MART 13-05/02/2018 CV JPY ASAHI BREWERIES 0.000% /05/2028 CV JPY ASICS CORP 0.000% 14-01/03/2019 CV JPY BANK OF IWATE 13-25/07/2018 CV USD CASIO COMPUTER 0.000% /03/2015 CV JPY KAWASAKI KISEN 13-26/09/2018 CV JPY NIDEC CORP 0.000% 10-18/09/2015 CV JPY ORIX CORP 1.000% 09-31/03/2014 CV JPY SHIZUOKA BANK 13-25/04/2018 CV USD SONY CORP 0.000% 12-30/11/2017 CV JPY SQUARE ENIX HOLD 0.000% /02/2015 CV JPY Mexico CEMEX SAB 3.250% 11-15/03/2016 CV USD CEMEX SAB 3.750% 11-15/03/2018 CV USD CEMEX SAB 4.875% 10-15/03/2015 CV USD Spain ABENGOA SA 6.250% /01/2019 CV EUR CAIXABANK 4.500% 13-22/11/2016 CV EUR LA CAIXA 1.000% 13-25/11/2017 CV EUR MELIA HOTELS 4.500% /04/2018 CV EUR OHL INVESTMENTS 4.000% /04/2018 CV EUR British Virgin Islands BILLION EXPRESS 0.750% /10/2015 CV USD LOGO STAR LTD 1.500% /11/2018 CV HKD TONG JIE LTD 13-18/02/2018 CV HKD United Arab Emirates AABAR INVESTMENT 4.000% /05/2016 CV EUR NAT BK ABU DHABI 1.000% /03/2018 CV USD Luxembourg ESPIRITO SANTO F 05-15/11/ CV SR EUR GBL VERWALTUN 1.250% /02/17 CV EUR TELECOM IT FIN 6.125% /11/2016 CV EUR United Kingdom INTL CONSOLIDAT 1.750% /05/2018 CV MOLINA HEALTHCAR 1.125% /01/2020 CV TUI TRAVEL PLC 6.000% /10/2014 CV EUR USD GBP Italy ENI SPA 0.250% 12-30/11/2015 CV EUR ENI SPA 0.625% 13-18/01/2016 CV EUR South Korea HYNIX SEMI INC 2.650% /05/2015 CV USD LOTTE SHOPPING 13-24/01/2018 CV KRW Portugal PARPUBLICA 5.250% 10-28/09/2017 CV EUR Sweden ELEKTA AB 2.750% 12-25/04/2017 CV SEK INDUSTRIVARDEN 1.875% /02/2017 CV EUR INDUSTRIVARDEN 2.500% /02/2015 CV EUR Russia LUKOIL INTL FIN 2.625% /06/2015 CV USD Jersey Island BALFOUR BEATTY F 1.875% /12/2018 CV GBP BRITISH LAND CO 1.500% /09/2017 CV GBP CPT SHP CNTR JER 2.500% /10/2018 CV GBP Hungary HUNGARIAN STATE 3.375% /04/2019 CV EUR China CTRIP.COM INT 1.250% /10/2018 CV USD QIHOO 360 TECH 2.500% /09/2018 CV USD Austria IMMOFINANZ 4.250% 11-08/03/ CV FLAT EUR IMMOFINANZ 4.250% 11-08/03/ CV FLAT EUR Belgium GBL 0.125% 12-21/09/2015 CV EUR Hong Kong HK EXCHANGES 0.500% /10/2017 CV USD Taiwan TPK HOLDING CO 0.000% /04/2014 CV USD WISTRON CORP 0.000% /01/2015 CV USD Singapore CAPITALAND LTD 1.850% /06/2020 CV SGD Norway MARINE HARVEST 2.375% /05/2018 CV EUR Philippines SAN MIGUEL CORP 2.000% /05/2014 CV USD Malaysia INDAH CAPITAL 13-24/10/2018 CV SGD Bermuda GULF KEYSTONE 6.250% /10/2017 CV USD Finland SOLIDIUM OY 0.000% /09/2018 CV EUR Options, Warrants, Rights SYMPHONY IN WTS 03/08/ SYMPHONY IN C USD Shares/Units in investment funds United States of America SPDR BARCLAYS CONVERTIBLE SECURITIES USD France LYXOR ETF DJST 600 BASIC RESOURCES EUR Total securities portfolio Page 126

129 Diversified Dynamic Expressed in EUR Shares/Units in investment funds Luxembourg DB X-TR II TRX CROSSOVER 5 Y SHS C CAP EUR DB X-TRACKERS DBLCI-OY BALAN C-CAP EUR EASY ETF EPRA EUROPE IND EUR EASYETF DJ BRIC 50-EUR EUR PARWORLD ALPHA DERIVATIVES - I CAP EUR Ireland ISHARES BARCLAYS CAP EURO CORP BOND EUR ISHARES JPM EMERG MRKT BOND USD ISHARES MSCI EMERGING MARKETS EUR France BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS EU L VOL I DECIMALES EUR EASYETF RUSSELL 1000-EUR EUR EASYETF TOPIX EASY UCITS ETF EUR - CAP EUR STOXX EUROPE 600 THEAM EASY UCITS ETF - CLASSIC - CAP EUR Total securities portfolio Page 127

130 Diversified Inflation Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France FRANCE O.A.T.I/L 1.000% /07/2017 EUR FRANCE O.A.T.I/L 1.100% /07/2022 EUR FRANCE O.A.T.I/L 1.300% /07/2019 EUR FRANCE O.A.T.I/L 1.800% /07/2040 EUR FRANCE O.A.T.I/L 1.850% /07/2027 EUR FRANCE O.A.T.I/L 2.250% /07/2020 EUR FRANCE O.A.T.I/L 3.150% /07/2032 EUR FRANCE O.A.T.I/L 3.400% /07/2029 EUR Germany BUNDESOBLIGATION-I/L 0.750% /04/2018 EUR DEUTSCHLAND I/L 0.100% /04/2023 EUR DEUTSCHLAND I/L 1.500% /04/2016 EUR DEUTSCHLAND I/L 1.750% /04/2020 EUR Italy ITALY BTPS I/L 2.100% 11-15/09/2016 EUR United Kingdom UK TSY I/L GILT 0.125% 12-22/03/2024 GBP Money Market Instruments Spain LETRAS 0.000% 13-18/07/2014 EUR The Netherlands BMW FINANCE NV 0.000% 18/03/2014 ECP EUR Shares/Units in investment funds Luxembourg DBX EPRA EUROPE EUR EASY ETF EPRA EUROPE IND EUR Total securities portfolio Page 128

131 Enhanced Cash 6 Months Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds Italy ALSPV 5 A 13-20/04/2040 FRN EUR ARCOB B 06-28/10/2030 FRN EUR ASSICURAZIONI GENERALI 4.875% /11/2014 EUR ATLANTIA 5.000% 04-09/06/2014 EUR BESME 1 A1X 13-31/05/2057 FRN EUR CLSME A 11-28/08/2050 FRN EUR COMP A 2.800% 12-27/04/2025 EUR EDISON SPA 4.250% 09-22/07/2014 EUR ENEL (ENTNZENEL) 5.250% /01/2015 EUR ENI SPA 5.000% 09-28/01/2016 EUR ITALY BTPS 1.500% 14-15/12/2016 EUR MEDIOBANCA 3.100% 09-31/03/2014 EUR SNAM 4.375% 12-11/07/2016 EUR SUNRI 2 A 07-27/08/2030 FRN EUR UBI BANCA SPCA 4.939% /06/2014 EUR France ALD INTERNATION 2.000% /05/2017 EUR AUCHAN SA 3.000% 11-02/12/2016 EUR AUTOROUTES PARIS 7.500% /01/2015 EUR CARREFOUR BANQUE 2.875% /09/2015 EUR CASINO GUICHARD 4.472% /04/2016 EUR CASINO GUICHARD 4.875% /04/2014 EUR GECINA 4.500% 10-19/09/2014 EUR GNKGO B 11-18/10/2037 FRN EUR LVMH MOET HENNES 3.375% /04/2015 EUR PPR 7.750% 09-03/06/2014 EUR RTE EDF TRANSPORT 4.875% /05/2015 EUR ST GOBAIN 3.500% 11-30/09/2015 EUR UNIBAIL RODAMCO 3.375% /03/2015 EUR Spain ALTADIS EMIS FIN 4.000% /12/2015 EUR AMADEUS CAP MKT 4.875% /07/2016 EUR BANCO BILBAO VIZCAYA 4.250% /07/2014 EUR BANKINTER SA 3.875% 12-30/10/2015 EUR BBVAC A 06-20/12/2020 FRN EUR IBERDROLA FIN SA 3.500% /06/2015 EUR INSTIT CRDT OFCL 1.000% /09/2015 EUR RPYME 2 A2G 06-25/04/2030 FRN EUR SANTAN CONS FIN 1.625% /04/2015 EUR SPANISH GOVT 3.300% 13-30/07/2016 EUR The Netherlands BMW FINANCE NV 3.250% /01/2016 DEUTSCHE ANN FIN 2.125% /07/2016 FORTIS BANK NED 4.000% /02/2015 GAS NATURAL FIN 5.250% /07/2014 SCHLUMBERGER FIN 2.750% /12/2015 VOLKSWAGEN INTFN 2.125% /01/2015 EUR EUR EUR EUR EUR EUR United Kingdom ANGLO AMERICAN 5.875% /04/2015 EUR BAT INTL FINANCE 5.875% /03/2015 EUR COUK A 04-15/03/2016 FRN EUR ESAIL X A2A 07-13/03/2045 FRN EUR ROYAL BANK SCOTLAND 1.500% /11/2016 EUR SABMILLER PLC 4.500% 09-20/01/2015 EUR TESCO PLC 5.125% 09-24/02/2015 EUR Cayman Islands HUTCHISON WHAMPOA 4.125% /06/2015 EUR PRINC FIN GLOBAL 4.500% /01/2017 EUR Ireland CRH FINANCE BV 7.375% /05/2014 EUR GE CAP EUR FUND 1.000% /05/2017 EUR Luxembourg GSCP I-RX A2A 06-15/12/2022 FRN EUR HOLCIM FINANCE L 4.375% /12/2014 EUR Denmark TELE DANMARK 3.500% 11-23/02/2015 EUR TELE DANMARK 5.875% 09-16/12/2015 EUR Germany MERCK FIN SERVIC 3.375% /03/2015 EUR Austria TELEKOM FINANZ 6.375% /01/2016 EUR Portugal ATLSM 3 A 14-28/12/2043 FRN EUR Floating rate bonds France BANQUE FED CREDIT MUTUEL /07/2015 FRN EUR BNP PARIBAS 13-13/11/2015 FRN EUR BNP PARIBAS 13-16/12/2014 FRN EUR BPCE 13-08/10/2014 FRN EUR BPCE 14-13/01/2016 FRN EUR United Kingdom ANZ NZ INTL/LDN 13-05/12/2016 FRN EUR CREDIT AGRICOLE 13-28/08/2015 FRN EUR HSBC CAP FUNDING 03-29/10/2049 SR EUR Sweden SCANIA CV AB 13-14/09/2015 FRN EUR VOLVO TREAS AB 13-05/06/2015 FRN EUR Italy INTESA SANPAOLO 13-29/07/2015 FRN EUR UNICREDITO ITALI 06-15/03/2016 FRN EUR United States of America MONDELEZ INTERNATIONAL INC /06/2015 FRN EUR The Netherlands RABOBANK 14-15/01/2016 FRN EUR Germany DEUTSCHE BANK AG /04/2015 FRN EUR Page 129

132 Enhanced Cash 6 Months Expressed in EUR Other transferable securities Bonds Spain BBVA PYME FDO TIT 4 B /08/2038 FRN EUR Money Market Instruments France BANQUE FEDER EONIACAP+0.310% /01/2015 CD EUR BPCE SA EONIA+0.330% 02/05/2014 CD EUR NATIXIS EONIA+0.330% 02/05/2014 CD EUR SOCIETE GENERALE EONIA+0.310% /04/2014 CD EUR SOCIETE GENERALE EONIACAP+0.340% 31/10/2014 CD EUR Luxembourg BGL BNP PARIBAS S.A /05/2014 ECP EUR BNP PARIBAS EONIA+0.300% /08/2014 CD EUR United Kingdom CREDIT AGRICOLE EONIA+0.300% /06/2014 CD EUR Cayman Islands CAISSE CENTRALE EONIA+0.290% /03/2014 CD EUR The Netherlands RABOBANK NEDERLAND EONIA+0.220% 11/04/2014 CD EUR Belgium BNP PARIBAS FORTIS SA /08/2014 CD EUR Shares/Units in investment funds Luxembourg PARWORLD QUANTITATIVE FIXED INCOME - I - CAP EUR France BNP PARIBAS MONEY 3M - IC EUR Total securities portfolio Page 130

133 Enhanced Cash 18 Months Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France AUTOROUTES PARIS 7.500% /01/2015 EUR BANQ FED CRD MUT 5.000% /09/2015 EUR CAISSE EPARG 5.200% 02-19/07/2014 EUR CASINO GUICHARD 4.472% /04/2016 EUR CASINO GUICHARD 4.875% /04/2014 EUR CASINO GUICHARD 5.125% /01/2015 EUR CREDIT AGRICOLE 0.000% /10/2016 EUR ELEC DE FRANCE 5.125% /01/2015 EUR LVMH MOET HENNES 3.375% /04/2015 EUR PPR 7.750% 09-03/06/2014 EUR PUBLICIS GROUPE 4.250% /03/2015 EUR RTE EDF TRANSPORT 4.875% /05/2015 EUR SANOFI-AVENTIS 3.125% /10/2014 EUR UNIBAIL RODAMCO 3.375% /03/2015 EUR Italy ALSPV 5 A 13-20/04/2040 FRN EUR ASSICURAZIONI GENERALI 4.875% /11/2014 EUR ATLANTIA 5.000% 04-09/06/2014 EUR CLSME A 11-28/08/2050 FRN EUR ITALY BTPS 1.500% 14-15/12/2016 EUR ITALY BTPS I/L 2.150% 04-15/09/2014 EUR SUNRI 2 A 07-27/08/2030 FRN EUR United Kingdom BAT INTL FINANCE 5.875% /03/2015 EUR BRITISH TEL PLC 6.500% /07/2015 EUR COUK A 04-15/03/2016 FRN EUR IMP TOBACCO 7.250% 08-15/09/2014 EUR SABMILLER PLC 4.500% 09-20/01/2015 EUR TESCO PLC 5.125% 09-24/02/2015 EUR Spain ENAGAS 4.375% 09-06/07/2015 EUR INSTIT CRDT OFCL 1.000% /09/2015 EUR SANTAN CONS FIN 1.625% /04/2015 EUR SPANISH GOVT 3.300% 13-30/07/2016 EUR The Netherlands DEUTSCHE TEL FIN 5.875% /09/2014 EUR GAS NATURAL FIN 5.250% /07/2014 EUR HEINEKEN NV 7.125% 09-07/04/2014 EUR VOLKSWAGEN INTFN 2.125% /01/2015 EUR Germany DAIMLER AG 1.750% 12-21/05/2015 EUR MERCK FIN SERVIC 3.375% /03/2015 EUR METRO AG 5.750% 09-14/07/2014 EUR Cayman Islands HUTCHISON WHAMPOA 4.125% 05-28/06/2015 EUR Denmark TELE DANMARK 5.875% 09-16/12/2015 EUR Portugal ATLSM 3 A 14-28/12/2043 FRN EUR United States of America BMW US CAP LLC 5.000% 08-28/05/2015 EUR Floating rate bonds France AIR LIQUIDE FIN 13-17/06/2015 FRN EUR BANQUE FED CREDIT MUTUEL /03/2016 FRN EUR BNP PARIBAS 13-13/11/2015 FRN EUR BNP PARIBAS 13-16/12/2014 FRN EUR BPCE 13-08/10/2014 FRN EUR HSBC FRANCE 14-27/01/2016 FRN EUR SOCIETE GENERALE /01/2015 FRN EUR The Netherlands ING BANK NV 12-28/11/2014 FRN EUR RABOBANK 05-09/05/2035 FRN EUR RABOBANK 14-15/01/2016 FRN EUR United Kingdom ANZ NZ INTL/LDN 13-05/12/2016 FRN EUR CREDIT AGRICOLE 13-28/08/2015 FRN EUR HSBC CAP FUNDING 03-29/10/2049 SR EUR Sweden SCANIA CV AB 13-14/09/2015 FRN EUR VOLVO TREAS AB 13-05/06/2015 FRN EUR Italy INTESA SANPAOLO 13-29/07/2015 FRN EUR Germany DAIMLER AG 14-27/01/2017 FRN EUR DEUTSCHE BANK AG /04/2015 FRN EUR Ireland GE CAP EUR FUND 13-03/05/2016 FRN EUR Money Market Instruments France CREDIT AGRIC EONIACAP+0.380% /01/2015 CD EUR NATIXIS EONIA+0.330% 02/05/2014 CD EUR NORD DE FRANCE EONIACAP+0.320% 01/12/2014 CD EUR SOCIETE GENERALE EONIACAP+0.370% 21/01/2015 CD EUR Shares/Units in investment funds Luxembourg PARWORLD QUANTITATIVE FIXED INCOME - I - CAP EUR Total securities portfolio Page 131

134 Environmental Opportunities Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America BADGER METER INC USD BORGWARNER INC USD CALIFORNIA WATER SERVICE GRP USD CLARCOR INC USD CLEAN HARBORS INC USD DONALDSON CO INC USD ENERNOC INC USD GENERAC HOLDINGS INC USD ITRON INC USD LKQ CORP USD METALICO INC USD ORMAT TECHNOLOGIES INC USD PALL CORP USD PENTAIR LTD-REGISTERED USD REGAL BELOIT CORP USD SCHNITZER STEEL INDS INC USD STERICYCLE INC USD TETRA TECH INC USD TRIMBLE NAVIGATION LTD USD WATTS WATER TECHNOLOGIE USD XYLEM INC USD United Kingdom DIALIGHT PLC GBP PORVAIR PLC GBP REGENERSIS PLC GBP RICARDO PLC GBP RPS GROUP PLC GBP SHANKS GROUP PLC GBP SPIRAX-SARCO ENGINEERING PLC GBP Japan DAISEKI CO LTD JPY HORIBA LTD JPY RINNAI CORP JPY Finland KEMIRA OYJ EUR LASSILA & TIKANOJA OYJ EUR VACON OYJ EUR Spain ABENGOA SA- B SHARES EUR EDP RENOVAVEIS SA EUR FLUIDRA SA EUR Germany AIXTRON SE EUR CENTROTEC SUSTAINABLE AG EUR INFINEON TECHNOLOGIES AG EUR NORMA GROUP EUR China CHINA LONGYUAN POWER GROUP H HKD GCL-POLY ENERGY HOLDINGS LTD HKD HOLLYSYS AUTOMATION TECHNOLO USD Ireland KINGSPAN GROUP PLC EUR Denmark NOVOZYMES A/S - B SHARES DKK VESTAS WIND SYSTEMS A/S DKK Sweden NIBE INDUSTRIER AB-B SHS SEK Cayman Islands ENN ENERGY HOLDINGS LTD HKD LEE & MAN PAPER MANUFACTURING LTD HKD Switzerland LEM HOLDING SA - REG CHF MEYER BURGER TECHNOLOGY AG CHF The Netherlands NUTRECO NV EUR SENSATA TECHNOLOGIES HOLDING USD Belgium UMICORE EUR Norway TOMRA SYSTEMS ASA NOK Taiwan EPISTAR TWD Brazil CIA SANEAMENTO BASICO DE ADR 1SH USD India GREENKO GROUP PLC GBP Canada GLV INC-A CAD PURE TECHNOLOGIES LTD CAD South Korea COWAY CO LTD KRW Austria MAYR-MELNHOF KARTON AG EUR Italy LANDI RENZO SPA EUR Options, Warrants, Rights MOR STA CW 23/10/2017 FRESENIUS K USD Total securities portfolio Page 132

135 Equity Australia Expressed in AUD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Australia AMCOR LTD AUD ASCIANO LTD AUD ASX LTD AUD AURIZON HOLDINGS AUD AUST AND NZ BANKING GROUP AUD BHP BILLITON LTD AUD BRAMBLES LTD AUD CARSALES.COM LTD AUD COMMONWEALTH BANK OF AUSTRALIA AUD COMPUTERSHARE AUD CROWN RESORTS LTD AUD CSL LTD AUD FORTESCUE METALS AUD INSURANCE AUSTRALIA GROUP AUD NATIONAL AUSTRALIA BANK AUD ORICA LIMITED AUD ORORA LTD AUD PRIMARY HEALTH CARE LTD AUD QBE INSURANCE GR LTD AUD REA GROUP LTD AUD SANTOS LTD AUD TELSTRA CORP LTD AUD TRANSURBAN GROUP AUD WESFARMERS LTD AUD WESTFIELD GROUP AUD WESTPAC BANKING CORP AUD WOODSIDE PETROLEUM LTD AUD WOOLWORTHS LIMITED AUD New Zealand SKY NETWORK TELEVISION LTD AUD TRADE ME LTD AUD United States of America RESMED INC-CDI AUD The Netherlands JAMES HARDIE INDUSTRIES - CDI AUD Total securities portfolio Page 133

136 Equity Best Selection Asia ex-japan Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Hong Kong GALAXY ENTERTAINMENT GROUP L HKD HANG LUNG PROPERTIES LTD HKD HONG KONG EXCHANGES & CLEAR HKD HUTCHISON WHAMPOA LTD HKD LENOVO GROUP LTD HKD MTR CORP HKD China CHINA COMMUNICATIONS SERVI - H HKD CHINA CONSTRUCTION BANK - H HKD GREAT WALL MOTOR COMPANY - H HKD HUANENG POWER INTL INC - H HKD IND & COMM BANK OF CHINA - H HKD PING AN INSURANCE GROUP CO - H HKD India ASIAN PAINTS SHS INR HINDUSTAN UNILEVER LTD INR KOTAK MAHINDRA BANK LTD INR LUPIN LTD INR TATA MOTORS LTD INR TECH MAHINDRA LTD INR South Korea LOTTE SHOPPING CO KRW SAMSUNG ELECTRONICS CO LTD KRW SK HYNIX INC KRW SK INNOVATION CO LTD KRW Taiwan ADVANTECH CO LTD TWD DELTA ELECTRONIC INDUSTRIAL CO TWD FUBON FINANCIAL HOLDING CO TWD NOVATEK MICROELECTRONICS COR TWD PRESIDENT CHAIN STORE CORP TWD TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD Cayman Islands CHINA STATE CONSTRUCTION INTL HOLD LTD HKD COUNTRY GARDEN HOLDINGS CO HKD HENGAN INTL GROUP CO LTD HKD SHENZHOU INTERNATIONAL GROUP HKD TENCENT HOLDINGS LTD HKD Singapore CAPITALAND LTD SGD SINGAPORE EXCHANGE LTD SGD SINGAPORE TELECOM LTD SGD Bermuda CHEUNG KONG INFRASTRUCTURE HKD HAIER ELECTRONICS GROUP CO HKD Indonesia BANK CENTRAL ASIA PT IDR SEMEN GRESIK IDR UNILEVER INDONESIA TBK PT IDR Thailand ADVANCED INFO SERVICE - FOR RG THB CP ALL PCL - NVDR THB PTT EXPLORATION & PROD - FOR THB SIAM COMMERCIAL BANK P - NVDR THB Malaysia PUBLIC BANK BHD - FOREIGN MKT MYR Philippines SM INVESTMENTS PHP SM PRIME HOLDINGS INC PHP Total securities portfolio Page 134

137 Equity Best Selection Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany BASF SE EUR BAYER AG EUR BAYERISCHE MOTOREN WERKE AG EUR CONTINENTAL AG EUR FRESENIUS MEDICAL CARE AG & CO EUR GEA GROUP AG EUR LINDE AG EUR PFEIFFER VACUUM TECHNOLOGY AG EUR SAP AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR France ADP EUR AIR LIQUIDE SA EUR BNP PARIBAS EUR CASINO GUICHARD PERRACHON EUR COMPAGNIE DE SAINT GOBAIN EUR LEGRAND SA EUR LVMH MOET HENNESSY LOUIS VUI EUR SCHNEIDER ELECTRIC SA EUR TECHNIP SA EUR Spain AMADEUS IT HOLDING SA - A SHS EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR RED ELECTRICA CORPORACION SA EUR The Netherlands AKZO NOBEL NV EUR ASML HOLDING NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD EUR ZIGGO NV EUR Austria ANDRITZ AG EUR ERSTE GROUP BANK AG EUR VIENNA INSURANCE GROUP EUR Italy ENI SPA EUR INTESA SANPAOLO EUR Belgium ANHEUSER - BUSCH INBEV SA EUR TELENET GROUP HOLDING EUR Finland OUTOTEC OYJ EUR SAMPO OYJ - A EUR Portugal GALP ENERGIA SGPS SA - B EUR JERONIMO MARTINS SGPS SA EUR Ireland CRH PLC EUR Shares/Units in investment funds France BNP PARIBAS MONEY PRIME EURO I - CAP EUR Total securities portfolio Page 135

138 Equity Best Selection Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom BG GROUP PLC GBP CENTRICA PLC GBP DIAGEO PLC GBP HSBC HOLDINGS GBP INMARSAT GBP JOHNSON MATTHEY PLC GBP KINGFISHER PLC GBP LLOYDS BANKING GROUP PLC GBP RIO TINTO PLC ORD GBP SABMILLER PLC GBP SMITHS GROUP PLC GBP TESCO PLC GBP WEIR GROUP GBP Spain AMADEUS IT HOLDING SA - A SHS EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR Germany BAYER AG EUR FRESENIUS MEDICAL CARE AG & CO EUR LINDE AG EUR SAP AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR France ADP EUR AIR LIQUIDE SA EUR COMPAGNIE DE SAINT GOBAIN EUR LVMH MOET HENNESSY LOUIS VUI EUR TECHNIP SA EUR Switzerland ROCHE HOLDING AG GENUSSCHEIN CHF SCHINDLER HOLDING - PART CERT CHF THE SWATCH GROUP AG BR CHF The Netherlands AKZO NOBEL NV EUR ING GROEP NV EUR Sweden ATLAS COPCO AB - A SHS SEK ELEKTA AB SEK HEXAGON AB - B SEK Austria ANDRITZ AG EUR ERSTE GROUP BANK AG EUR VIENNA INSURANCE GROUP EUR Finland SAMPO OYJ - A EUR Jersey Island EXPERIAN PLC GBP Denmark CARLSBERG AS - B DKK Norway DNB ASA NOK Ireland CRH PLC EUR Portugal JERONIMO MARTINS SGPS SA EUR United States of America LIBERTY GLOBAL INC-SERIES C USD LIBERTY GLOBAL PLC USD Luxembourg MILLICOM INTL CELLULAR-SDR SEK Belgium TELENET GROUP HOLDING EUR Shares/Units in investment funds France BNP PARIBAS MONEY PRIME EURO I - CAP EUR Total securities portfolio Page 136

139 Equity Best Selection Europe ex-uk Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany BASF SE EUR BAYER AG EUR CONTINENTAL AG EUR FRESENIUS MEDICAL CARE AG & CO EUR GEA GROUP AG EUR LINDE AG EUR SAP AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR France ADP EUR AIR LIQUIDE SA EUR BNP PARIBAS EUR COMPAGNIE DE SAINT GOBAIN EUR LVMH MOET HENNESSY LOUIS VUI EUR SCHNEIDER ELECTRIC SA EUR TECHNIP SA EUR Spain AMADEUS IT HOLDING SA - A SHS EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR RED ELECTRICA CORPORACION SA EUR Switzerland ROCHE HOLDING AG GENUSSCHEIN CHF SCHINDLER HOLDING - PART CERT CHF THE SWATCH GROUP AG REG CHF The Netherlands AKZO NOBEL NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD EUR Austria ANDRITZ AG EUR ERSTE GROUP BANK AG EUR VIENNA INSURANCE GROUP EUR Belgium ANHEUSER - BUSCH INBEV SA EUR DIETEREN SA/NV EUR TELENET GROUP HOLDING EUR Italy ENI SPA EUR INTESA SANPAOLO EUR Sweden ATLAS COPCO AB - A SHS SEK ELEKTA AB SEK HEXAGON AB - B SEK Finland OUTOTEC OYJ EUR SAMPO OYJ - A EUR Portugal GALP ENERGIA SGPS SA - B EUR JERONIMO MARTINS SGPS SA EUR Norway DNB ASA NOK Denmark CARLSBERG AS - B DKK Ireland CRH PLC EUR Luxembourg MILLICOM INTL CELLULAR-SDR SEK Shares/Units in investment funds France BNP PARIBAS MONEY PRIME EURO I - CAP EUR Total securities portfolio Page 137

140 Equity Brazil Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Brazil AMBEV SA BRL BANCO BRADESCO SA-PREF BRL BANCO BRADESCO-ADR USD BB SEGURIDADE PARTICIPACOES BRL BM&FBOVESPA SA BRL BR MALLS PARTICIPACOES SA BRL BR PROPERTIES SA BRL BRADESPAR SA -PREF BRL BRASKEM SA-PREF A BRL BRAZIL PHARMA SA BRL BRF - BRASIL FOODS SA BRL BRF - BRASIL FOODS SA - ADR USD CCR SA BRL CETIP SA - BALCAO ORGANIZADO BRL CIA ENERGETICA MINAS GER-PRF BRL CIA PARANAENSE DE ENERGIA BRL CIA PARANAENSE DE ENERGI-PFB BRL CIA SANEAMENTO BASICO DE SP BRL CIELO SA BRL COSAN SA INDUSTRIA COMERCIO BRL DURATEX SA BRL EDP - ENERGIAS DO BRASIL SA BRL EMBRAER SA-ADR USD ESTACIO PARTICIPACOES SA BRL EVEN CONSTRUTORA E INCORPORA BRL GERDAU SA -SPON ADR USD GERDAU SA-PREF BRL HYPERMARCAS SA BRL ITAU UNIBANCO HOLDING SA BRL ITAUSA-INVESTIMENTOS ITAU-PR BRL KLABIN SA - UNIT BRL KROTON EDUCACIONAL SA BRL LIGHT SA BRL LOJAS AMERICANAS PREF BRL METALURGICA GERDAU SA-PREF BRL MILLS ESTRUTURAS E SERVICOS BRL MULTIPLAN EMPREENDIMENTOS BRL NATURA COSMETICOS SA BRL PETROBRAS - PETROLEO BRAS-PR BRL PETROLEO BRASILEIRO ADR SPONS USD SUZANO PAPEL E CELULO - PREF A BRL TELEFONICA BRASIL SA BRL TELEFONICA BRASIL SA - ADR USD TIM PARTICIPACOES SA BRL TOTVS SA BRL ULTRAPAR PARTICIPACOES SA BRL USINAS SIDER MINAS GER-PF A BRL VALE SA BRL VALE SA-SP ADR USD VALE SA-SP PREF ADR USD VIA VAREJO SA BRL Bermuda COSAN LTD-CLASS A SHARES USD Bonds Brazil PDG REALTY 0.000% 12-19/09/2016 CV BRL Options, Warrants, Rights ITAUSA INVESTIMENTOS RTS 26/03/2014 BRL Other transferable securities Shares Brazil ANHANGUERA EDUCACIONAL PARTI BRL SONAE SIERRA BRASIL SA BRL Convertible bonds Brazil KLABIN SA % 13-08/01/2019 SUBR CV BRL Total securities portfolio Page 138

141 Equity Bric Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares India BALKRISHNA INDUSTRIES LTD INR BHARTI AIRTEL INR BRITANNIA INDUSTRIES LTD INR CAIRN INDIA LTD INR COAL INDIA LTD INR DABUR INDIA LTD INR DR. REDDYS LABORATORIES INR FAG BEARINGS INDIA LTD INR GLENMARK PHARMACEUTICALS LTD INR HCL TECHNOLOGIES LTD INR HDFC BANK LIMITED INR HERO HONDA MOTORS LIMITED INR HOUSING DEV. FINANCE CORP LTD INR IDEA CELLULAR LTD INR INDUSIND BANK LIMITED INR INFOSYS LTD INR ITC LTD INR JAMMU & KASHMIR BANK LTD INR JYOTHY LABORATORIES LTD INR KOTAK MAHINDRA BANK LTD INR LARSEN & TOUBRO LTD INR LUPIN LTD INR MAHINDRA + MAHINDRA FIN SECS INR MAHINDRA HOLIDAYS + RESORTS INR MOTHERSON SUMI SYSTEMS LTD INR OIL & NATURAL GAS CORPORATION LTD INR POWER GRID CORP OF INDIA LTD INR PURAVANKARA PROJECTS LTD INR RALLIS INDIA LTD INR RELIANCE INDUSTRIES LIMITED INR REPCO HOME FINANCE LTD INR SUN PHARMACEUTICAL INDUSTRIES INR TATA CONSULTANCY SVS DEMATERIAL INR TATA MOTORS LTD INR VA TECH WABAG LTD INR VARDHMAN TEXTILES LTD INR WIPRO LTD INR ZEE ENTERTAINMENT ENTERPRISE INR Brazil AMBEV SA BRL BANCO BRADESCO SA-PREF BRL BANCO BRADESCO-ADR USD BM&FBOVESPA SA BRL BR MALLS PARTICIPACOES SA BRL BR PROPERTIES SA BRL BRADESPAR SA -PREF BRL BRASKEM SA-PREF A BRL BRAZIL PHARMA SA BRL BRF - BRASIL FOODS SA BRL CCR SA BRL CETIP SA - BALCAO ORGANIZADO BRL CIA ENERGETICA MINAS GER-PRF BRL CIA PARANAENSE DE ENERGIA BRL CIA PARANAENSE DE ENERGI-PFB BRL COSAN SA INDUSTRIA COMERCIO BRL DURATEX SA BRL EDP - ENERGIAS DO BRASIL SA BRL ESTACIO PARTICIPACOES SA BRL EVEN CONSTRUTORA E INCORPORA BRL GERDAU SA -SPON ADR USD GERDAU SA-PREF BRL HYPERMARCAS SA BRL ITAU UNIBANCO HLDNG-PREF ADR USD ITAU UNIBANCO HOLDING SA BRL ITAUSA-INVESTIMENTOS ITAU-PR BRL KLABIN SA - PREF BRL KLABIN SA - UNIT BRL KROTON EDUCACIONAL SA BRL LIGHT SA BRL LOJAS AMERICANAS PREF BRL MARFRIG ALIMENTOS SA BRL METALURGICA GERDAU SA-PREF BRL MILLS ESTRUTURAS E SERVICOS BRL MULTIPLAN EMPREENDIMENTOS BRL NATURA COSMETICOS SA BRL PETROBRAS - PETROLEO BRAS BRL PETROBRAS - PETROLEO BRAS-PR BRL PETROLEO BRASILEIRO ADR SPONS USD TELEFONICA BRASIL SA BRL TIM PARTICIPACOES SA BRL ULTRAPAR PARTICIPACOES SA BRL USINAS SIDER MINAS GER-PF A BRL VALE SA BRL VALE SA-PREF A BRL VALE SA-SP ADR USD VALE SA-SP PREF ADR USD VIA VAREJO SA BRL Russia AEROFLOT-RUSSIAN INTERNATION USD E.ON RUSSIA JSC USD GAZPROM NEFT - SPONSORED ADR USD GAZPROM OAO-SPON ADR USD IBS GROUP-REGS GDR EUR LUKOIL OAO-SPON ADR USD MEGAFON-GDR-WI USD MOBILE TELESYSTEMS USD MOBILE TELESYSTEMS ADR USD ROS AGRO PLC- GDR REG S W/I USD SBERBANK USD SISTEMA JSFC REG-S GDR USD SURGUTNEFTEGAZ - PFD USD TMK-GDR REG S USD China ANHUI CONCH CEMENT CO LTD - H HKD BAIDU INC - SPON ADR USD BANK OF CHINA LTD HKD CHINA COMMUNICATIONS SERVI - H HKD CHINA CONSTRUCTION BANK - H HKD CHINA LIFE INSURANCE - H HKD CHINA MINSHENG BANKING - H HKD CHINA PACIFIC INSURANCE GR - H HKD CHINA SUNTIEN GREEN ENERGY - H HKD CHINA VANKE CO LTD - B HKD CITIC SECURITIES CO LTD - H HKD HAITONG SECURITIES CO LTD-H HKD HUANENG RENEWABLES CORP - H HKD SINOPEC ENGINEERING GROUP CO HKD YUANSHENGTAI DAIRY FARM LTD HKD Page 139

142 Equity Bric Expressed in USD Cayman Islands ENN ENERGY HOLDINGS LTD HKD HENGAN INTL GROUP CO LTD HKD MELCO CROWN ENTERTAINME ADR USD SANDS CHINA LTD HKD SHIMAO PROPERTY HOLDINGS LTD HKD SINO BIOPHARMACEUTICAL HKD SUNNY OPTICAL TECH HKD TENCENT HOLDINGS LTD HKD TINGYI (CAYMAN ISLAND) HOLDING CO HKD Hong Kong AIA GROUP LTD HKD CHINA OVERSEAS LAND & INVEST HKD CHINA PHARMACEUTICAL GROUP HKD HUTCHISON WHAMPOA LTD HKD TECHTRONIC INDUSTRIES CO HKD Bermuda BEIJING ENTERPRISES WATER GR HKD BRILLIANCE CHINA AUTOMOTIVE HKD COSAN LTD-CLASS A SHARES USD HAIER ELECTRONICS GROUP CO HKD ORIENT OVERSEAS INTL LTD HKD Taiwan TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD Bahrain ICICI BANK LTD INR The Netherlands NORD GOLD NV USD VIMPELCOM LTD-SPON ADR USD Kazakhstan KCELL JSC - REG S - W/I USD Bonds Brazil PDG REALTY 0.000% 12-19/09/2016 CV BRL Options, Warrants, Rights ITAUSA INVESTIMENTOS RTS 26/03/2014 BRL Other transferable securities Shares Brazil SONAE SIERRA BRASIL SA BRL Russia TGK REG S GDR USD Convertible bonds Brazil KLABIN SA % 13-08/01/ SUBR CV BRL Total securities portfolio Page 140

143 Equity China Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares China ANHUI CONCH CEMENT CO LTD - H HKD BAIDU INC - SPON ADR USD BANK OF CHINA LTD HKD CHINA COMMUNICATIONS SERVI - H HKD CHINA CONSTRUCTION BANK - H HKD CHINA LIFE INSURANCE - H HKD CHINA MINSHENG BANKING - H HKD CHINA PACIFIC INSURANCE GR - H HKD CHINA SUNTIEN GREEN ENERGY - H HKD CHINA VANKE CO LTD - B HKD CITIC SECURITIES CO LTD - H HKD HAITONG SECURITIES CO LTD-H HKD HUANENG RENEWABLES CORP - H HKD SINOPEC ENGINEERING GROUP CO HKD YUANSHENGTAI DAIRY FARM LTD HKD Cayman Islands ENN ENERGY HOLDINGS LTD HKD HENGAN INTL GROUP CO LTD HKD MELCO CROWN ENTERTAINME ADR USD SANDS CHINA LTD HKD SHIMAO PROPERTY HOLDINGS LTD HKD SINO BIOPHARMACEUTICAL HKD SUNNY OPTICAL TECH HKD TENCENT HOLDINGS LTD HKD TINGYI (CAYMAN ISLAND) HOLDING CO HKD Hong Kong AIA GROUP LTD HKD CHINA OVERSEAS LAND & INVEST HKD CHINA PHARMACEUTICAL GROUP HKD HUTCHISON WHAMPOA LTD HKD TECHTRONIC INDUSTRIES CO HKD Bermuda BEIJING ENTERPRISES WATER GR HKD BRILLIANCE CHINA AUTOMOTIVE HKD HAIER ELECTRONICS GROUP CO HKD ORIENT OVERSEAS INTL LTD HKD Taiwan TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD Other transferable securities Shares Hong Kong EURO ASIA AGRICULTURAL HOLDINGS HKD Total securities portfolio Page 141

144 Equity Europe Emerging Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Russia AEROFLOT-RUSSIAN INTERNATION USD E.ON RUSSIA JSC USD EURASIA DRILLIN - GDR REGS-W/I USD GAZPROM NEFT - SPONSORED ADR USD GAZPROM OAO-SPON ADR USD GLOBALTRA-SPONS GDR REG S USD LUKOIL OAO-SPON ADR USD MAGNIT OJSC-SPON GDR REGS USD MAGNITOGORS-SPON GDR REGS USD MEGAFON-GDR-WI USD MMC NORILSK NICKEL JSC-ADR USD MOBILE TELESYSTEMS USD MOBILE TELESYSTEMS ADR USD MOSCOW EXCHANGE MICEX-RTS USD NOVATEK OAO-SPONS GDR REG S USD ROS AGRO PLC- GDR REG S W/I USD SBERBANK USD SISTEMA JSFC USD SISTEMA JSFC REG-S GDR USD SURGUTNEFTEGAZ - PFD USD TATNEFT-SPONSORED ADR USD Turkey COCA-COLA ICECEK URETIM AS TRY ENKA INSAAT VE SANAYI TRY FORD OTOMOTIV SANAYI AS TRY HACI OMER SABANCI HOLDING TRY KOC HOLDING AS - B TRY TRAKYA CAM SANAYII TRY TURK HAVA YOLLARI AO TRY TURK TRAKTOR VE ZIRAAT MAKIN TRY TURKCELL ILETISIM HIZMET TRY TURKIYE GARANTI BANKASI TRY TURKIYE HALK BANKASI TRY TURKIYE IS BANKASI - C TRY TURKIYE SINAI KALKINMA BANK TRY Poland BANK PEKAO SA PLN EUROCASH SA PLN KGHM POLSKA MIEDZ SA PLN PGE SA PLN PKO BANK POLSKI SA PLN POLSKI KONCERN NAFTOWY ORLEN PLN POWSZECHNY ZAKLAD UBEZPIECZE PLN Hungary CHEMICAL WORKS OF RICHTER GEDEON PLC HUF OTP BANK RT HUF Guernsey Island ETALON GROUP-GDR REGS-W/I USD Czech Republic CEZ AS CZK KOMERCNI BANKA AS CZK Austria RAIFFEISEN BANK INTERNATIONAL EUR The Netherlands VIMPELCOM LTD-SPON ADR USD France ORANGE POLSKA SA PLN Slovakia POVAZSKE STROJARNE SHS EUR Other transferable securities Shares Russia TGK REG S GDR USD Total securities portfolio Page 142

145 Equity Europe Growth Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom BETFAIR GROUP PLC-W/I GBP BG GROUP PLC GBP DIAGEO PLC GBP HSBC HOLDINGS GBP INMARSAT GBP JOHNSON MATTHEY PLC GBP KINGFISHER PLC GBP LLOYDS BANKING GROUP PLC GBP RIO TINTO PLC ORD GBP SABMILLER PLC GBP SMITHS GROUP PLC GBP WEIR GROUP GBP Spain AMADEUS IT HOLDING SA - A SHS EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR Germany BAYER AG EUR FRESENIUS MEDICAL CARE AG & CO EUR LINDE AG EUR PFEIFFER VACUUM TECHNOLOGY AG EUR SAP AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR France ADP EUR AIR LIQUIDE SA EUR COMPAGNIE DE SAINT GOBAIN EUR INGENICO EUR LVMH MOET HENNESSY LOUIS VUI EUR TECHNIP SA EUR Switzerland ROCHE HOLDING AG GENUSSCHEIN CHF SCHINDLER HOLDING - PART CERT CHF THE SWATCH GROUP AG BR CHF The Netherlands AKZO NOBEL NV EUR ING GROEP NV EUR Sweden ATLAS COPCO AB - A SHS SEK ELEKTA AB SEK HEXAGON AB - B SEK Austria ANDRITZ AG EUR ERSTE GROUP BANK AG EUR VIENNA INSURANCE GROUP EUR Jersey Island EXPERIAN PLC GBP Finland SAMPO OYJ - A EUR Denmark CARLSBERG AS - B DKK United States of America LIBERTY GLOBAL INC-SERIES C USD LIBERTY GLOBAL PLC USD Portugal JERONIMO MARTINS SGPS SA EUR Ireland CRH PLC EUR Norway DNB ASA NOK Luxembourg MILLICOM INTL CELLULAR-SDR SEK Belgium TELENET GROUP HOLDING EUR Total securities portfolio Page 143

146 Equity Europe Mid Cap Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom AMEC PLC GBP ASHTEAD GROUP PLC GBP BARRATT DEVELOPMENTS PLC GBP CRODA INTERNATIONAL PLC GBP DERWENT LONDON PLC GBP DS SMITH PLC GBP ESSENTRA PLC GBP HIKMA PHARMACEUTICALS PLC GBP IG GROUP HOLDINGS PLC GBP IMI SHS GBP INCHCAPE PLC GBP INFORMA PLC GBP INTERNATIONAL PERSONAL FINAN GBP JAZZTEL PLC EUR MONDI PLC GBP PERSIMMON PLC GBP SMITHS GROUP PLC GBP SPECTRIS PLC GBP SPIRAX-SARCO ENGINEERING PLC GBP TALKTALK TELECOM GROUP-W/I GBP WEIR GROUP GBP WOOD GROUP (JOHN) PLC GBP France ARKEMA EUR ATOS EUR BUREAU VERITAS SA EUR EDENRED EUR EUTELSAT COMMUNICATIONS EUR KLEPIERRE EUR SCOR SE EUR SEB SA EUR THALES SA EUR VALEO SA EUR ZODIAC AEROSPACE EUR Switzerland ACTELION LTD CHF ARYZTA AG CHF BANQUE CANTONALE VAUDOISE CHF DUFRY AG - REG CHF HELVETIA HOLDING AG CHF SCHINDLER HOLDING - PART CERT CHF SIKA AG CHF Germany GEA GROUP AG EUR HUGO BOSS AG EUR PROSIEBENSAT.1 MEDIA AG EUR SYMRISE AG EUR Ireland DCC PLC GBP KERRY GROUP PLC - A EUR KINGSPAN GROUP PLC EUR SMURFIT KAPPA GROUP PLC EUR Finland NOKIAN RENKAAT OYJ EUR POHJOLA BANK PLC EUR The Netherlands GEMALTO EUR NUTRECO NV EUR Belgium DELHAIZE GROUP EUR Sweden HEXAGON AB - B SEK TRELLEBORG AB-B SHS SEK Norway TGS NOPEC GEOPHYSICAL CO ASA NOK Italy PRYSMIAN SPA EUR Austria VIENNA INSURANCE GROUP EUR Total securities portfolio Page 144

147 Equity Europe Small Cap Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom AFREN PLC GBP ASHTEAD GROUP PLC GBP BARRATT DEVELOPMENTS PLC GBP DERWENT LONDON PLC GBP DIPLOMA PLC GBP DOMINO PRINTING SCIENCES PLC GBP DS SMITH PLC GBP ESSENTRA PLC GBP FENNER PLC GBP FERREXPO PLC GBP HIKMA PHARMACEUTICALS PLC GBP IG GROUP HOLDINGS PLC GBP IMI SHS GBP INCHCAPE PLC GBP INTERNATIONAL PERSONAL FINAN GBP JAZZTEL PLC EUR LADBROKES PLC GBP MFI FURNITURE GROUP PLC GBP MICRO FOCUS INTERNATIONAL PLC GBP MONDI PLC GBP PERSIMMON PLC GBP SENIOR PLC GBP SPECTRIS PLC GBP SPIRAX-SARCO ENGINEERING PLC GBP TALKTALK TELECOM GROUP-W/I GBP WH SMITH PLC GBP WOOD GROUP (JOHN) PLC GBP France ALTEN EUR ALTRAN TECHNOLOGIES SA EUR ATOS EUR HAVAS SA EUR INGENICO EUR PLASTIC OMNIUM EUR SEB SA EUR TELEPERFORMANCE EUR Ireland DCC PLC GBP KENTZ CORP LTD GBP KINGSPAN GROUP PLC EUR SMURFIT KAPPA GROUP PLC EUR Switzerland BANQUE CANTONALE VAUDOISE CHF DUFRY AG - REG CHF HELVETIA HOLDING AG CHF IMPLENIA AG-REG CHF Sweden CASTELLUM AB SEK FABEGE SEK HEXPOL AB SEK LOOMIS AB SEK TRELLEBORG AB-B SHS SEK The Netherlands AALBERTS INDUSTRIES NV EUR ARCADIS NV EUR ASM INTERNATIONAL NV EUR NUTRECO NV EUR WERELDHAVE NV EUR Germany BIOTEST AG-VORZUGSAKTIEN EUR KRONES AG EUR MORPHOSYS AG EUR NORMA GROUP EUR PFEIFFER VACUUM TECHNOLOGY AG EUR SYMRISE AG EUR Italy BANCA GENERALI SPA EUR GTECH SPA EUR RECORDATI SPA EUR TODS SPA EUR Spain GRUPO CATALANA OCCIDENTE SA EUR TECNICAS REUNIDAS SA EUR VISCOFAN SA EUR Norway TGS NOPEC GEOPHYSICAL CO ASA NOK Finland HUHTAMAEKI OY EUR Austria SCHOELLER-BLECKMANN OILFIELD EUR Total securities portfolio Page 145

148 Equity Europe Value Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares France ALTRAN TECHNOLOGIES SA EUR ATOS EUR AXA EUR BNP PARIBAS EUR CARREFOUR SA EUR CREDIT AGRICOLE S.A. EUR EDF EUR FAURECIA EUR IMERYS SA EUR MICHELIN (CGDE) - B EUR ORPEA EUR RENAULT SA EUR SANOFI AVENTIS EUR SOCIETE GENERALE SA EUR TELEVISION FRANCAISE (T.F.1) EUR TOTAL SA EUR VIVENDI EUR Germany ALLIANZ SE EUR DEUTSCHE BANK AG EUR DEUTSCHE TELEKOM AG EUR DEUTZ AG EUR DMG MORI SEIKI AG EUR E.ON AG EUR HENKEL AG & CO KGAA EUR LEONI AG EUR MERCK KGAA EUR METRO AG EUR RWE AG EUR TUI AG EUR United Kingdom ASHTEAD GROUP PLC GBP BARRATT DEVELOPMENTS PLC GBP BP PLC GBP GLAXOSMITHKLINE PLC GBP LLOYDS BANKING GROUP PLC GBP RIO TINTO PLC ORD GBP ROYAL DUTCH SHELL PLC - A SHS GBP VODAFONE GROUP SHS GBP Italy ASSICURAZIONI GENERALI EUR ENI SPA EUR INDESIT CO SPA EUR INTESA SANPAOLO EUR TELECOM ITALIA SPA EUR The Netherlands AEGON NV EUR ING GROEP NV EUR Spain ABERTIS INFRAESTRUSTURAS SA EUR TECNICAS REUNIDAS SA EUR TELEFONICA SA EUR Switzerland ARYZTA AG CHF UBS AG - REG CHF Belgium KBC GROEP NV EUR Norway DNB ASA NOK Sweden ERICSSON LM - B SHS SEK Finland AMER SPORTS OYJ-A SHS EUR Austria RAIFFEISEN BANK INTERNATIONAL EUR Jersey Island WPP PLC GBP Luxembourg ARCELORMITTAL EUR Portugal BANCO ESPIRITO SANTO-REG EUR Total securities portfolio Page 146

149 Equity Germany Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany ADIDAS AG EUR ALLIANZ SE EUR AXEL SPRINGER AG EUR BASF SE EUR BAYER AG EUR BAYERISCHE MOTOREN WERKE AG EUR BAYERISCHE MOTOREN WERKE PFD EUR BEIERSDORF AG EUR BRENNTAG AG EUR CELESIO AG EUR COMMERZBANK AG EUR CONTINENTAL AG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE BANK AG EUR DEUTSCHE BOERSE AG EUR DEUTSCHE LUFTHANSA AG EUR DEUTSCHE POST AG-REG EUR DEUTSCHE TELEKOM AG EUR DEUTSCHE WOHNEN AGBEARERPORT EUR E.ON AG EUR FRAPORT AG FRANKFURT AIRPORT EUR FRESENIUS MEDICAL CARE AG & CO EUR FRESENIUS SE & CO KGAA EUR FUCHS PETROLUB AG - PFD EUR GEA GROUP AG EUR HANNOVER RUECKVERSICHERUNGS EUR HEIDELBERGCEMENT AG EUR HENKEL AG & CO KGAA EUR HENKEL AG & CO KGAA VORZUG EUR HOCHTIEF AG EUR HUGO BOSS AG EUR INFINEON TECHNOLOGIES AG EUR K&S AG - REG EUR KABEL DTLD HOLDING AG EUR LANXESS AG EUR LINDE AG EUR MAN SE EUR MERCK KGAA EUR METRO AG EUR MUENCHENER RUECKVERS AG EUR OSRAM LICHT AG EUR PORSCHE AUTOMOBIL HOLDING SE EUR PROSIEBENSAT.1 MEDIA AG EUR RWE AG EUR SAP AG EUR SIEMENS AG EUR SKY DEUTSCHLAND AG EUR SUEDZUCKER AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR THYSSENKRUPP AG EUR UNITED INTERNET AG EUR VOLKSWAGEN AG EUR VOLKSWAGEN AG PFD EUR The Netherlands QIAGEN NV EUR Luxembourg RTL GROUP EUR Total securities portfolio Page 147

150 Equity High Dividend Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom ADMIRAL GROUP PLC GBP BARCLAYS BANK PLC GBP BHP BILLITON PLC GBP BRITISH AMERICAN TOBACCO PLC GBP GLAXOSMITHKLINE PLC GBP HSBC HOLDINGS GBP IMPERIAL TOBACCO GROUP PLC GBP NATIONAL GRID GBP PEARSON PLC GBP PRUDENTIAL PLC GBP RIO TINTO PLC ORD GBP ROYAL DUTCH SHELL PLC - B SHS GBP STANDARD CHARTERED PLC GBP TESCO PLC GBP VODAFONE GROUP SHS GBP Sweden ELECTROLUX AB B SEK ERICSSON LM - B SHS SEK HENNES & MAURITZ AB-B SHS SEK NORDEA BANK AB SEK SKF AB-B SHARES SEK SVENSKA HANDELSBANKEN-A SHS SEK VOLVO AB - B SHS SEK Germany ALLIANZ SE EUR BASF SE EUR DEUTSCHE POST AG-REG EUR HUGO BOSS AG EUR METRO AG EUR SIEMENS AG EUR Switzerland NESTLE SA CHF NOVARTIS AG CHF ROCHE HOLDING AG GENUSSCHEIN CHF France BNP PARIBAS EUR EUTELSAT COMMUNICATIONS EUR RENAULT SA EUR SANOFI AVENTIS EUR VINCI SA EUR The Netherlands FUGRO NV-CVA EUR KONINKLIJKE PHILIPS ELECTRONICS EUR NUTRECO NV EUR ZIGGO NV EUR Norway STATOIL ASA NOK TELENOR ASA NOK Italy ENI SPA EUR SNAM SPA EUR Spain BANCO SANTANDER SA EUR REPSOL SA EUR Luxembourg SES EUR Total securities portfolio Page 148

151 Equity High Dividend Pacific Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Australia AGL ENERGY AUD AMCOR LTD AUD AMP LTD AUD AUST AND NZ BANKING GROUP AUD BHP BILLITON LTD AUD BRAMBLES LTD AUD COCA-COLA AMATIL LTD AUD COMMONWEALTH BANK OF AUSTRALIA AUD COMPUTERSHARE AUD MACQUARIE GROUP AUD NATIONAL AUSTRALIA BANK AUD ORORA LTD AUD QBE INSURANCE GR LTD AUD SAI GLOBAL LTD AUD SONIC HEALTHCARE LIMITED AUD SUNCOR GROUP LTD AUD SYDNEY AIRPORT AUD TELSTRA CORP LTD AUD TOLL HOLDINGS AUD TRANSURBAN GROUP AUD WESFARMERS LTD AUD WESTPAC BANKING CORP AUD WOOLWORTHS LIMITED AUD Japan ASAHI INTECC CO LTD JPY CANON INC JPY CHUBU ELECTRIC POWER CO INC JPY CHUGOKU ELECTRIC POWER CO JPY COSMO OIL COMPANY LTD JPY EISAI CO LTD JPY HOKURIKU ELECTRIC POWER CO INC JPY ITOCHU CORP JPY JX HOLDINGS INC JPY LAWSON INC JPY MANI INC JPY MARUBENI CORPORATION JPY MIRACA HOLDINGS INC JPY MITSUBISHI CORP JPY MIZUHO FINANCIAL GROUP INC JPY MS&AD INSURANCE GROUP HOLDINGS INC JPY NIHON KOHDEN CORP JPY NIPPON TELEGRAPH & TELEPHONE JPY NISSAN MOTOR CO LTD JPY NITORI HOLDINGS JPY NTT DOCOMO INC JPY RICOH CO LTD JPY SUMITOMO CORP JPY SUMITOMO MITSUI FINANCIAL GR JPY SUMITOMO MITSUI TRUST HOLDINGS JPY TAKEDA PHARMACEUTICAL CO LTD JPY TOSHIBA CORP JPY Hong Kong BOC HONG KONG HOLDINGS LTD HKD CLP HOLDINGS LTD HKD DAH SING BANKING GROUP HKD DAH SING FINANCIAL HOLDINGS LTD HKD HANG SENG BANK LTD HKD HKE & HKE LTD STAPLED SECURITY HKD PCCW LTD HKD POWER ASSETS HOLDINGS LTD HKD WATER OASIS GROUP LTD HKD New Zealand AUCKLAND INTL AIRPORT LTD NZD FLETCHER BUILDING LTD NZD RECALL HOLDINGS LTD AUD TELECOM CORP OF NEW ZEALAND NZD South Korea HYUNDAI MOTOR CO LTD KRW HYUNDAI MOTOR LTD KRW KT CORP KRW SK INNOVATION CO LTD KRW SK TELECOM CO LTD KRW Taiwan CHUNGHWA TELECOM CO LTD TWD PACIFIC HOSPITAL SUPPLY CO TWD ST SHINE OPTICAL CO LTD TWD TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD Malaysia MAXIS BHD MYR PUBLIC BANK BHD MYR India BAJAJ ELECTRICALS LTD INR COROMANDEL INTERNATIONAL LTD INR HINDUSTAN PETROLEUM CORP INR MCLEOD RUSSEL INDIA LIMITED INR OIL & NATURAL GAS CORPORATION LTD INR PHILLIPS CARBON BLACK LTD INR TUBE INVESTMENTS OF INDIA INR Indonesia BANK RAKYAT INDONESIA PERSER IDR TELEKOMUNIKASI INDONESIA SER B IDR Philippines PHILIPPINE LONG DISTANCE TEL PHP SECURITY BANK CORP PHP Bermuda CHEUNG KONG INFRASTRUCTURE HKD Thailand ADVANCED INFORMATION TE-NVDR THB United States of America CTCI CORP TWD Total securities portfolio Page 149

152 Equity High Dividend USA Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ABM INDUSTRIES INC USD ADT CORP/THE USD AIRCASTLE LTD USD AVISTA CORP USD BECTON DICKINSON & CO USD BEMIS COMPANY USD BLACKROCK INC USD BOB EVANS FARMS USD CA INC USD CHEVRON CORP USD CME GROUP INC USD COACH INC USD COMPASS DIVERSIFIED HOLDINGS USD COMPASS MINERALS INTERNATION USD CORNING INC USD DARDEN RESTAURANTS INC USD DR PEPPER SNAPPLE GROUP USD EMERSON ELECTRIC CO USD ENERGIZER HOLDINGS INC USD ENSCO PLC - CL A USD GENERAL ELECTRIC CO USD GENERAL MILLS INC USD HASBRO INC USD INNOPHOS HOLDINGS INC USD INTEL CORP USD IRON MOUNTAIN INC USD J2 GLOBAL COMMUNICATIONS INC USD KIMBERLY-CLARK CORP USD KOHLS CORP USD MICROSOFT CORP USD MOLSON COORS BREWING CO - B USD NATIONAL CINEMEDIA INC USD NATIONAL FUEL GAS CO USD NORFOLK SOUTHERN CORP USD NUCOR CORP USD OCCIDENTAL PETROLEUM CORP USD ONEBEACON INSURANCE GROUP - A USD OWENS AND MINOR INC USD PEPSICO INC USD PNC FINANCIAL SERVICES GROUP USD PROCTER & GAMBLE CO USD QUALCOMM INC USD QUEST DIAGNOSTICS INC USD REPUBLIC SERVICES INC USD SAFETY INSURANCE GROUP INC USD STAPLES INC USD SYSCO CORP USD TARGET CORP USD UNITED PARCEL SERVICE INC CL B USD US BANCORP USD VERIZON COMMUNICATIONS INC USD WESTERN UNION USD Canada ROGERS COMMUNICATIONS INC - B USD SHAW COMMUNICATIONS INC - B USD United Kingdom THOMSON REUTERS CORP USD Bermuda PARTNERRE LTD USD Total securities portfolio Page 150

153 Equity India Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares India ASIAN PAINTS SHS INR BALKRISHNA INDUSTRIES LTD INR BHARAT PETROLEUM CORPORATION LTD INR BHARTI AIRTEL INR CAIRN INDIA LTD INR COAL INDIA LTD INR COROMANDEL INTERNATIONAL LTD INR DR. REDDYS LABORATORIES INR FAG BEARINGS INDIA LTD INR FEDERAL BANK LTD INR GLENMARK PHARMACEUTICALS LTD INR HCL TECHNOLOGIES LTD INR HDFC BANK LIMITED INR HERO HONDA MOTORS LIMITED INR HINDUSTAN UNILEVER LTD INR HOUSING DEV. FINANCE CORP LTD INR IDEA CELLULAR LTD INR INDUSIND BANK LIMITED INR INFOSYS LTD INR ITC LTD INR JAMMU & KASHMIR BANK LTD INR JUST DIAL LTD INR JYOTHY LABORATORIES LTD INR KOTAK MAHINDRA BANK LTD INR LARSEN & TOUBRO LTD INR LUPIN LTD INR MAHINDRA + MAHINDRA FIN SECS INR MOTHERSON SUMI SYSTEMS LTD INR NESTLE INDIA LTD INR OIL & NATURAL GAS CORPORATION LTD INR POWER GRID CORP OF INDIA LTD INR PURAVANKARA PROJECTS LTD INR RALLIS INDIA LTD INR RELIANCE INDUSTRIES LIMITED INR REPCO HOME FINANCE LTD INR SHRIRAM CITY UNION FINANCE INR SHRIRAM TRANSPORT FINANCE INR SOBHA DEVELOPERS LTD INR SUN PHARMACEUTICAL INDUSTRIES INR TATA CONSULTANCY SVS DEMATERIAL INR TATA MOTORS LTD INR TECH MAHINDRA LTD INR ULTRATECH CEMENT LTD INR UNITED SPIRITS LIMITED INR VA TECH WABAG LTD INR VARDHMAN TEXTILES LTD INR WIPRO LTD INR ZEE ENTERTAINMENT ENTERPRISE INR Bahrain ICICI BANK LTD INR Total securities portfolio Page 151

154 Equity Indonesia Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Indonesia ADARO ENERGY PT IDR ASTRA AGRO LESTARI IDR ASTRA INTERNATIONAL TBK PT IDR BANK CENTRAL ASIA PT IDR BANK MANDIRI IDR BANK NEGARA INDONESIA PT IDR BANK RAKYAT INDONESIA PERSER IDR BUMI SERPONG DAMAI PT IDR CHAROEN POKPHAND INDONESI PT IDR CIPUTRA DEVELOPMENT TBK PT IDR ERAJAYA SWASEMBADA TBK PT IDR GAJAH TUNGGAL TBK PT IDR GLOBAL MEDIACOM TBK PT IDR GUDANG GARAM TBK PT IDR INDO TAMBANGRAYA MEGAH PT IDR INDOCEMENT TUNGGAL PRAKARSA IDR INDOFOOD CBP SUKSES MAKMUR T IDR INDOFOOD SUKSES MAKMUR TBK P IDR INDOSAT TBK PT IDR INTERNATIONAL NICKEL INDONES IDR JAPFA COMFEED INDONESIA TBK IDR JASA MARGA (PERSERO) TBK PT IDR MATAHARI DEPARTMENT STORE TB IDR MEDIA NUSANTARA CITRA TBK PT IDR PEMBANGUNAN PERUMAHAN PERSER IDR PERUSAHAAN GAS NEGARA PT IDR PT KALBE FARMA TBK IDR PT PP LONDON SUMATRA INDONESIA IDR SEMEN GRESIK IDR SUMMARECON AGUNG TBK PT IDR SURYA CITRA MEDIA TBK IDR TELEKOMUNIKASI INDONESIA SER B IDR TEMPO SCAN PACIFIC IDR UNILEVER INDONESIA TBK PT IDR UNITED TRACTORS TBK PT IDR WIJAYA KARYA PT IDR XL AXIATA TBK PT IDR Other transferable securities Shares Indonesia TOWER BERSAMA INFRASTRUCTURE IDR Total securities portfolio Page 152

155 Equity Japan Expressed in JPY Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Japan AISIN SEIKI CO LTD JPY ASAHI KASEI CORP JPY ASTELLAS PHARMA INC JPY BRIDGESTONE CORP JPY CHIBA BANK LTD - THE JPY CITIZEN HOLDINGS CO LTD JPY DAI NIPPON PRINTING CO LTD JPY DAIWA HOUSE INDUSTRY CO LTD JPY DENA CO LTD JPY EAST JAPAN RAILWAY CO JPY FUJIFILM HOLDINGS JPY HITACHI METALS LTD JPY HONDA MOTOR CO LTD JPY IDEMITSU KOSAN CO LTD JPY ITOCHU CORP JPY JX HOLDINGS INC JPY KDDI CORP JPY KEYENCE CORP JPY KUBOTA CORP JPY KURARAY CO LTD JPY LIXIL GROUP CORP JPY MARUBENI CORPORATION JPY MAZDA MOTOR CORP JPY MITSUBISHI CORP JPY MITSUBISHI TANABE PHARMA CORP JPY MITSUBISHI UFJ FINANCIAL GROUP JPY MITSUI & CO LTD JPY MITSUI OSK LINES LTD JPY MIZUHO FINANCIAL GROUP INC JPY MS&AD INSURANCE GROUP HOLDINGS INC JPY NIPPON EXPRESS CO LTD JPY NIPPON STEEL & SUMITOMO METAL CORP JPY NIPPON TELEGRAPH & TELEPHONE JPY OJI HOLDINGS CORP JPY ORIX CORP JPY RAKUTEN INC JPY RICOH CO LTD JPY SECOM CO LTD JPY SEKISUI CHEMICAL CO LTD JPY SHIZUOKA BANK LTD JPY SOFTBANK CORP JPY SUMITOMO ELECTRIC INDUSTRIES JPY SUMITOMO MITSUI TRUST HOLDINGS JPY TAIHEIYO CEMENT CORP JPY TAKEDA PHARMACEUTICAL CO LTD JPY TOKIO MARINE HOLDINGS INC JPY TOSHIBA CORP JPY TOYOTA MOTOR CORP JPY YAHOO JAPAN CORP JPY YAMAHA CORP JPY Total securities portfolio Page 153

156 Equity Japan Small Cap Expressed in JPY Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Japan ABC-MART INC JPY AI HOLDINGS CORP JPY AOKI HOLDINGS INC JPY ARC LAND SAKAMOTO CO LTD JPY AS-ME ESTELLE CO LTD JPY BSP INC JPY CDS CO LTD JPY CENTURY TOKYO LEASING CORP JPY CHUGOKU MARINE PAINTS LTD JPY CKD CORPORATION JPY COMPUTER INSTITUTE OF JAPAN JPY COMTURE CORP JPY DAIHO CORP JPY DAISO CO LTD JPY DAITO PHARMACEUTICAL CO LTD JPY DENA CO LTD JPY EBARA CORPORATION JPY EBARA-UDYLITE CO LTD JPY EIZO NANAO CORP JPY FENWAL CONTROLS OF JAPAN LTD JPY FOSTER ELECTRIC CO LTD JPY F-TECH INC JPY FUJIMORI KOGYO CO LTD JPY FUKUSHIMA INDUSTRIES CORP JPY FURUKAWA-SKY ALUMINIUM CORP JPY FUSO CHEMICAL CO LTD JPY GECOSS CORP JPY GLORY LTD JPY H I S CO LTD JPY HASEGAWA CO LTD JPY HAZAMA CORP JPY HIKARI TSUSHIN INC JPY HIMARAYA CO LTD JPY HITACHI CAPITAL CORP JPY HITACHI METALS TECHNO LTD JPY HOOSIERS HOLDINGS CO LTD JPY HORIBA LTD JPY I-NET CORP JPY INFO SERVICES INTL DENSU JPY IRISO ELECTRONICS CO LTD JPY ISE CHEMICALS CORP JPY JAPAN PILE CORP JPY JOWA HOLDINGS CO LTD JPY K+O ENERGY GROUP INC JPY KASAI KOGYO CO LTD JPY KICHIRI + CO LTD JPY KUREHA CHEMICAL INDUSTRY CO LTD JPY MAEDA CORP JPY MARUICHI STEEL TUBE LTD JPY MARUWA CO LTD JPY MARVELOUS AQL INC JPY MINEBEA CO LTD JPY MIRAIT HOLDINGS CORP JPY MITSUBA CORP JPY MORESCO CORP JPY NAC CO LTD JPY NEC NETWORKS & SYSTEM INTEGR JPY NICHIREKI CO LTD JPY NIHON FLUSH CO LTD JPY NIHON UNISYS LTD JPY NIPPON CONCEPT CORP JPY NIPPON CONCRETE INDUSTRIES JPY NIPPON INFORMATION DEVELOP JPY NIPPON KOEI CO LTD JPY NISHIO RENT ALL CO LTD JPY NISSEI BUILD KOGYO CO LTD JPY OBARA CORP JPY OKASAN HOLDINGS INC JPY OTSUKA CORP JPY OUTSOURCING INC JPY PIOLAX INC JPY PUNCH INDUSTRY CO LTD JPY RELO HOLDINGS INC JPY RIKEN TECHNOS CORP JPY RION CO LTD JPY SAKAI MOVING SERVICE CO LTD JPY SANDEN CORP JPY SANKEN ELECTRIC CO LTD JPY SANKO TECHNO CO LTD JPY SANWA SHUTTER CORP JPY SHIBAURA ELECTRONICS CO LTD JPY SHIMADZU CORP JPY SHINNIHON CORP JPY SHINWA KAIUN KAISHA LTD JPY SHIP HEALTHCARE HOLDINGS INC JPY SHOWA CORP JPY SINKO INDUSTRIES LTD JPY SINTOKOGIO NAGOYAY NOM 50 JPY SOFTBANK TECHNOLOGY CORP JPY SOHGO SECURITY SERVICES CO LTD JPY SOKEN CHEMICAL ENGINEERING JPY SOTSU AGENCY CO LTD JPY STARTIA INC JPY STARTS CORP INC JPY SUMISHO COMPUTER SYSTEMS JPY SUMITOMO DENSETSU CO LTD JPY SUMITOMO OSAKA CEMENT CO LTD JPY SUMITOMO SEIKA CHEMICALS CO JPY SUN CORP JPY TAIYO NIPPON SANSO CORP JPY TAKEEI CORP JPY TAKUMA CO LTD JPY TBK JPY TEIKOKU ELECTRIC MFG CO LTD JPY TEIKOKU PISTON RING CO LTD JPY TEMP HOLDINGS CO LTD JPY TENPOS BUSTERS CO LTD JPY TOKAI TOKYO SECURITIES CO JPY TOKYO RADIATOR MFG CO LTD JPY TOKYO STEEL MANUFACTURING CO LTD JPY TOSHO CO LTD JPY TOTECH CORP JPY TOWA CORP JPY TOYO CONSTRUCTION CO LTD JPY TOYO INK SC HOLDING CO LTD JPY TOYO KOHAN CO LTD JPY TOYO TIRE AND RUBBER JPY TOYOBO CO LTD YEN SVN JPY TS TECH JPY Page 154

157 Equity Japan Small Cap Expressed in JPY TSURUHA HOLDINGS INC JPY UCS CO LTD JPY UT HOLDINGS CO LTD JPY VECTOR INC/MINATO-KU JPY WORLDINTEC CO LTD JPY YOKOWO CO LTD JPY ZEON CORP JPY Total securities portfolio Page 155

158 Equity Latin America Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Brazil AMBEV SA BRL AMBEV SA-SPN ADR USD BANCO BRADESCO SA-PREF BRL BANCO BRADESCO-ADR USD BANCO DO BRASIL S.A. BRL BM&FBOVESPA SA BRL BR MALLS PARTICIPACOES SA BRL BR PROPERTIES SA BRL BRADESPAR SA -PREF BRL BRASKEM SA-PREF A BRL BRAZIL PHARMA SA BRL BRF - BRASIL FOODS SA BRL CCR SA BRL CETIP SA - BALCAO ORGANIZADO BRL CIA PARANAENSE DE ENERGI-PFB BRL COSAN SA INDUSTRIA COMERCIO BRL DURATEX SA BRL EDP - ENERGIAS DO BRASIL SA BRL ESTACIO PARTICIPACOES SA BRL GERDAU SA-PREF BRL HYPERMARCAS SA BRL ITAU UNIBANCO HLDNG-PREF ADR USD ITAU UNIBANCO HOLDING SA BRL ITAUSA-INVESTIMENTOS ITAU-PR BRL KLABIN SA - UNIT BRL KROTON EDUCACIONAL SA BRL LOJAS AMERICANAS PREF BRL MILLS ESTRUTURAS E SERVICOS BRL MULTIPLAN EMPREENDIMENTOS BRL NATURA COSMETICOS SA BRL PETROBRAS - PETROLEO BRAS-PR BRL PETROLEO BRASILEIRO ADR SPONS USD TELEFONICA BRASIL SA BRL TELEFONICA BRASIL SA - ADR USD TIM PARTICIPACOES SA BRL TIM PARTICIPACOES SA-ADR USD USINAS SIDER MINAS GER-PF A BRL VALE SA BRL VALE SA-PREF A BRL VALE SA-SP PREF ADR USD VIA VAREJO SA BRL Mexico ALFA S.A.B.-A MXN AMERICA MOVIL ADR USD ARCA CONTINENTAL SAB DE CV MXN CEMEX SAB - CPO MXN CEMEX SAB-SPONS ADR PART CER USD CORP INMOBILIARIA VESTA SAB MXN FIBRA SHOP PORTAFOLIOS INMOB MXN FOMENTO ECONOMICO MEX-SP ADR USD GRUPO AEROPORTUARIO DEL CENT MXN GRUPO AEROPORTUARIO DEL-B SH MXN GRUPO FIN SANTANDER - B MXN GRUPO FINANCIERO BANORTE - O MXN GRUPO FINANCIERO INBURSA-O MXN GRUPO MEXICO SAB DE CV-SER B MXN GRUPO TELEVISA SA-SPON ADR USD INDUSTRIAS PENOLES SAB DE CV MXN MEXICHEM SAB DE CV MXN OHL MEXICO SAB DE CV MXN ORGANIZACION SORIANA S.A.B-B MXN Chile BANCO DE CHILE - ADR USD BANCO SANTANDER CHILE CLP CAP SA CLP CENCOSUD SA CLP CERVEZAS-ADR USD E.CL SA CLP EMPRESAS CMPC SA CLP EMPRESAS COPEC SA CLP QUIMICA Y MINERA CHIL-SP ADR USD S.A.C.I. FALABELLA CLP SOC QUIMICA Y MINERA CHILE-B CLP SONDA SA CLP Bermuda COSAN LTD-CLASS A SHARES USD CREDICORP LTD USD British Indian Ocean Territory EMPRESA NAC ELEC-CHIL-SP ADR USD EMPRESA NACIONAL DE ELECTRIC CLP ENERSIS S.A. -SPONS ADR USD Colombia BANCOLOMBIA S.A.-SPONS ADR USD CEMENTOS ARGOS SA COP ECOPETROL SA COP Canada PACIFIC RUBIALES ENERGY CORP CAD Peru CEMENTOS PACASMAYO SAA - ADR USD GRANA Y MONTERO SA - ADR USD VOLCAN CIA MINERA SAA-CMN B PEN Spain CEMEX LATAM HOLDINGS SA COP Panama COPA HOLDINGS SA CLASS A USD Bonds Brazil PDG REALTY 0.000% 12-19/09/2016 CV BRL Floating rate bonds Brazil VALE DO RIO DOCE 97-29/09/ FRN FLAT BRL Options, Warrants, Rights ITAUSA INVESTIMENTOS RTS /03/2014 BRL Other transferable securities Shares Brazil ANHANGUERA EDUCACIONAL PARTI BRL Cayman Islands GRUPO DE INV SURAMERICANA COP Page 156

159 Equity Latin America Expressed in USD Convertible bonds Brazil KLABIN SA % 13-08/01/ SUBR CV BRL Total securities portfolio Page 157

160 Equity Nordic Small Cap Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Sweden AXIS COMMUNICATIONS AB SEK BETSSON AB SEK BIOVITRUM SEK CLOETTA AB-B SHS SEK COREM PROPERTY GROUP AB - B SEK CTT SYSTEMS AB SEK DIOS FASTIGHETER AB SEK FASTIGHETS AB BALDER - B SHS SEK G5 ENTERTAINMENT AB SEK HALDEX AB SEK ITAB SHOP CONCEPT AB SEK JM AB SEK MEDA AB - A SHS SEK MIDSONA AB-B SHS SEK MODERN TIMES GROUP-B SHS SEK NEW WAVE GROUP AB - B SHS SEK PETROGRAND AB SEK PHONERA AB SEK PLATZER FASTIGHETER HOLD - B SEK PRICER AB - B SHS SEK READSOFT AB - B SHS SEK REZIDOR HOTEL GROUP AB SEK SAAB AB-B SEK SAGAX AB - B SEK SECURITAS AB SIE B SEK TETHYS OIL AB SEK TRELLEBORG AB-B SHS SEK TRIBONA AB SEK VITEC SOFTWARE GROUP AB - B SHS SEK ZETADISPLAY AB SEK Norway ATEA ASA NOK BLOCK WATNE GRUPPEN ASA NOK BORREGAARD ASA NOK LEROEY SEAFOOD GROUP ASA NOK NORWEGIAN PROPERTY ASA NOK PETROLEUM GEO-SERVICES NOK PROTECTOR FORSIKRING ASA NOK SELVAAG BOLIG AS NOK SPAREBANK 1 SR BANK ASA NOK VEIDEKKE ASA NOK WILH. WILHELMSEN ASA NOK Finland ELISA OYJ EUR KESKO OYJ - B SHS EUR KONECRANES OYJ EUR OUTOTEC OYJ EUR POYRY OYJ EUR SANITEC CORP - W/I SEK UPONOR OYJ EUR Denmark DSV A/S DKK FLSMIDTH & CO A/S DKK JYSKE BANK DKK ROYAL UNIBREW A/S DKK SCHOUW & CO DKK SJAELSO GRUPPEN DKK United Kingdom CONCENTRIC AB SEK Faeroe Islands BAKKAFROST P/F NOK Israel VI[Z]RT LTD NOK Luxembourg TRANSCOM WORLDWIDE A SWEDISH DEP RECEIPT SEK Canada LUNDIN MINING CORP - SDR SEK Total securities portfolio Page 158

161 Equity Pacific ex-japan Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Australia AGL ENERGY AUD AMCOR LTD AUD AMP LTD AUD AURIZON HOLDINGS AUD AUST AND NZ BANKING GROUP AUD BHP BILLITON LTD AUD BRAMBLES LTD AUD COCA-COLA AMATIL LTD AUD COMMONWEALTH BANK OF AUSTRALIA AUD LEND LEASE GROUP AUD MIRVAC GROUP AUD NATIONAL AUSTRALIA BANK AUD ORICA LIMITED AUD QBE INSURANCE GR LTD AUD RAMSAY HEALTH CARE LTD AUD RIO TINTO LIMITED AUD STOCKLAND AUD SUNCOR GROUP LTD AUD TELSTRA CORP LTD AUD TRANSURBAN GROUP AUD WESFARMERS LTD AUD WESTPAC BANKING CORP AUD WOOLWORTHS LIMITED AUD South Korea COSMAX INC KRW HYUNDAI GLOVIS CO LTD KRW HYUNDAI HEAVY INDUSTRIES KRW HYUNDAI MOBIS KRW HYUNDAI MOTOR CO LTD KRW INDUSTRIAL BANK OF KOREA KRW KIA MOTORS CORP KRW LG CHEM LTD KRW LG CORP LTD KRW LG DISPLAY CO LTD KRW LG ELECTRONICS INC KRW NCSOFT CORP KRW POSCO KRW SAMSUNG ELECTRO-MECHANICS CO KRW SAMSUNG ELECTRONICS CO LTD KRW SAMSUNG ENGINEERING CO LTD KRW SHINHAN FINANCIAL GROUP LTD KRW SK HYNIX INC KRW SK INNOVATION CO LTD KRW S-OIL CORP KRW Taiwan ADVANCED SEMICONDUCTOR ENGR TWD ASUSTEK COMPUTER INC TWD CATCHER TECHNOLOGY CO LTD TWD CATHAY FINANCIAL HOLDING CO TWD CHINA STEEL CHEMICAL CORP TWD CHINA STEEL CORP TWD CTBC FINANCIAL HOLDING CO LTD TWD DELTA ELECTRONIC INDUSTRIAL CO TWD EVERGREEN MARINE TWD FORMOSA INTERNATIONAL HOTELS TWD FORMOSA PLASTICS CORP TWD FUBON FINANCIAL HOLDING CO TWD HIWIN TECHNOLOGIES CORP TWD HON HAI PRECISION INDUSTRY TWD MEDIATEK INC TWD NAN YA PLASTICS CORP TWD NOVATEK MICROELECTRONICS COR TWD PACIFIC HOSPITAL SUPPLY CO TWD PEGATRON CORP TWD SHIN KONG FINANCIAL HOLDING TWD SPORTON INTERNATIONAL INC TWD TAIWAN MOBILE CO LTD TWD TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD TONG YANG INDUSTRY TWD TSRC CORP TWD UNI PRESIDENT ENTERPRISES CORP TWD Hong Kong AIA GROUP LTD HKD BEIJING ENTERPRISES HOLDINGS HKD BOC HONG KONG HOLDINGS LTD HKD CHEUNG KONG HOLDINGS LTD HKD CHINA MOBILE LTD HKD HENDERSON LAND DEVELOPMENT HKD HONG KONG & CHINA GAS HKD HONG KONG EXCHANGES & CLEAR HKD HUTCHISON WHAMPOA LTD HKD LENOVO GROUP LTD HKD LINK REIT HKD POWER ASSETS HOLDINGS LTD HKD SHANGHAI INDUSTRIAL HOLDING LTD HKD SJM HOLDINGS LIMITED HKD SUN HUNG KAI PROPERTIES HKD VINDA INTERNATIONAL HOLDINGS HKD China ANHUI CONCH CEMENT CO LTD - H HKD BANK OF CHINA LTD HKD BANK OF COMMUNICATIONS CO LTD - H HKD BEIJING CAPITAL INTL AIRPO - H HKD BOSIDENG INTL HOLDINGS LTD HKD CHINA CITIC BANK CORP LTD - H HKD CHINA CONSTRUCTION BANK - H HKD CHINA LIFE INSURANCE - H HKD CHINA MINSHENG BANKING - H HKD CHINA SHENHUA ENERGY CO - H HKD GREAT WALL MOTOR COMPANY - H HKD HUANENG POWER INTL INC - H HKD IND & COMM BANK OF CHINA - H HKD JIANGSU EXPRESSWAY CO LTD HKD PICC PROPERTY & CASUALTY - H HKD PING AN INSURANCE GROUP CO - H HKD SHANGHAI ELECTRIC GROUP CO LTD - H HKD SHENZHEN EXPRESSWAY CO - H HKD SICHUAN EXPRESSWAY CO - H HKD YUEXIU PROPERTY CO LTD HKD Cayman Islands ANTA SPORTS PRODUCTS LTD HKD BELLE INTERNATIONAL HOLDINGS HKD CHINA MENGNIU DAIRY CO HKD CHINA SHINEWAY PHARMACEUTICA HKD CHINA STATE CONSTRUCTION INTL HOLD LTD HKD Page 159

162 Equity Pacific ex-japan Expressed in EUR COUNTRY GARDEN HOLDINGS CO HKD GOLDEN EAGLE RETAIL GROUP HKD KINGSOFT CORPORATION LTD HKD LI NING CO LTD HKD SANDS CHINA LTD HKD SHENZHOU INTERNATIONAL GROUP HKD TENCENT HOLDINGS LTD HKD TINGYI (CAYMAN ISLAND) HOLDING CO HKD WANT WANT CHINA HOLDINGS LTD HKD Malaysia AMMB HOLDINGS BHD MYR CIMB GROUP HOLDINGS BHD MYR MALAYAN BANKING BHD MYR MAXIS BHD MYR PETRONAS CHEMICALS GROUP BHD MYR QL RESOURCES BHD MYR TELEKOM MALAYSIA BHD MYR Indonesia ASTRA INTERNATIONAL TBK PT IDR BANK MANDIRI IDR BANK RAKYAT INDONESIA PERSER IDR PERUSAHAAN GAS NEGARA PT IDR TELEKOMUNIKASI INDONESIA SER B IDR Singapore DBS GROUP HOLDING LTD SGD JARDINE CYCLE AND CARRIAGE LTD SGD OVERSEA-CHINESE BANKING CORP SGD UNITED OVERSEAS BANK LTD SGD Thailand BANGKOK BANK PCL-FOREIGN REG THB PTT EXPLOR AND PROD PCL NVDR THB PTT GLOBAL CHEMICAL PCL - FOR THB PTT PUBLIC FOREIGN RGD THB Philippines MEGAWORLD CORP PHP PHILIPPINE LONG DISTANCE TEL PHP SM INVESTMENTS PHP Bermuda BRILLIANCE CHINA AUTOMOTIVE HKD CHEUNG KONG INFRASTRUCTURE HKD United States of America GOODMAN GROUP AUD United Kingdom GENTING SINGAPORE PLC SGD The Netherlands JAMES HARDIE INDUSTRIES - CDI AUD Options, Warrants, Rights QL RESOURCES BHD R RTS 05/03/2014 MYR Other transferable securities Shares Taiwan VANGUARD INTERNATIONAL SEMI TWD Total securities portfolio Page 160

163 Equity Russia Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Russia AEROFLOT-RUSSIAN INTERNATION USD BANK VOZROZHDENIE USD BASHNEFT USD BASHNEFT PFD-CLS USD E.ON RUSSIA JSC USD EURASIA DRILLIN - GDR REGS-W/I USD GAZPROM NEFT - SPONSORED ADR USD GAZPROM OAO USD GAZPROM OAO-SPON ADR USD GLOBAL PORTS INV-REGS W/I USD GLOBALTRA-SPONS GDR REG S USD IBS GROUP-REGS GDR EUR IDGC OF CENTER AND VOLGA-CLS USD INTER-REGIONAL DISTRIBUTION USD KUZBASSKAYA TOPLIVNAYA-BRD USD LSR GROUP OJSC - GDR USD LUGA ABRASIVE PLANT-BRD USD LUKOIL 0AO USD LUKOIL OAO-SPON ADR USD MAGNIT USD MAGNITOGORS-SPON GDR REGS USD MAIL.RU GROUP-GDR REGS W/I USD MEGAFON-GDR-WI USD MMC NORILSK NICKEL JSC-ADR USD MMC NORILSK NICKEL-CLS USD MOBILE TELESYSTEMS USD MOBILE TELESYSTEMS ADR USD MOSCOW EXCHANGE MICEX-RTS USD MOSTOTREST-CLS USD NOVATEK OAO-CLS USD NOVATEK OAO-SPONS GDR REG S USD ROS AGRO PLC- GDR REG S W/I USD SBERBANK USD SBERBANK-PFD-CLS USD SBERBANK-SPONSORED ADR USD SEVERSTAL USD SEVERSTAL GDR USD SISTEMA JSFC USD SISTEMA JSFC REG-S GDR USD SURGUTNEFTEGAZ - PFD USD TATNEFT - PFD 3 SERIES USD TMK-GDR REG S USD Guernsey Island ETALON GROUP-GDR REGS-W/I USD The Netherlands NORD GOLD NV USD VIMPELCOM LTD-SPON ADR USD Kazakhstan KAZMUNAIGAS EXPLORA GDR REGS USD KCELL JSC - REG S - W/I USD Austria RAIFFEISEN BANK INTERNATIONAL EUR United States of America CTC MEDIA INC USD Bonds Russia RUSSIAN FEDERATION 00-31/03/ STEP UP USD The Netherlands VIMPELCOM HOLDINGS 7.504% /03/2022 USD Luxembourg ALROSA FINANCE 7.750% /11/2020 USD Floating rate bonds Russia VTB BANK 12-29/12/2049 FRN USD Shares/Units in investment funds Luxembourg PARVEST EQUITY RUSSIA OPPORTUNITIES - X - CAP USD Total securities portfolio Page 161

164 Equity Russia Opportunities Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Russia AEROFLOT-RUSSIAN INTERNATION USD BASHNEFT USD BASHNEFT PFD-CLS USD E.ON RUSSIA JSC USD EURASIA DRILLIN - GDR REGS-W/I USD GAZPROM NEFT - SPONSORED ADR USD GAZPROM OAO USD GAZPROM OAO-SPON ADR USD GLOBALTRA-SPONS GDR REG S USD HYDRAULIC MACHINE-GDR RE-W/I USD IBS GROUP-REGS GDR EUR LSR GROUP OJSC - GDR USD LUKOIL 0AO USD LUKOIL OAO-SPON ADR USD MAGNIT USD MAGNITOGORS-SPON GDR REGS USD MOBILE TELESYSTEMS USD MOSTOSTROY-11 -BRD USD MOSTOTREST-CLS USD NOVATEK OAO-CLS USD SBERBANK USD SEVERSTAL USD SISTEMA JSFC USD SURGUTNEFTEGAZ - PFD USD TATNEFT - PFD 3 SERIES USD United Kingdom JKX OIL & GAS PLC GBP VOLGA GAS PLC GBP The Netherlands NORD GOLD NV USD NOSTRUM OIL + GAS LP USD VIMPELCOM LTD-SPON ADR USD Kazakhstan KAZMUNAIGAS EXPLORA GDR REGS USD KCELL JSC - REG S - W/I USD Guernsey Island ETALON GROUP-GDR REGS-W/I USD Cyprus URALS ENERGY PUBLIC CO LTD GBP Sweden VOSTOK NAFTA INVESTMENT - SDR SEK Total securities portfolio Page 162

165 Equity South Korea Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares South Korea CJ CHEILJEDANG CORP KRW CJ O SHOPPING CO LTD KRW DAEWOO INTERNATIONAL CORP KRW DAEWOO SHIPBUILDING & MARINE KRW DONGYANG MECHATRONICS CORP KRW DOOSAN INFRACORE KRW HAANSOFT INC KRW HANA FINANCIAL GROUP KRW HANKOOK TIRE CO LTD KRW HANSAE CO LTD KRW HIMART CO LTD KRW HYOSUNG CORPORATION KRW HYUNDAI ENGINEERING & CONST KRW HYUNDAI GLOVIS CO LTD KRW HYUNDAI MOBIS KRW HYUNDAI MOTOR CO LTD KRW HYUNDAI WIA CORP KRW INI STEEL CO KRW INNOX CORP KRW JAHWA ELECTRONICS CO LTD KRW KANGWON LAND INC KRW KB FINANCIAL GROUP INC KRW KIA MOTORS CORP KRW KOREA GAS CORPORATION KRW KOREA KUMHO PETROCHEMICAL CO KRW KOREA ZINC CO LTD KRW KOREAN REINSURANCE CO KRW LG CHEM LTD KRW LG CORP LTD KRW LG DISPLAY CO LTD KRW LG ELECTRONICS INC KRW LG FASHION CORP KRW LG INTERNATIONAL CORP KRW LG TELECOM KRW LIG INSURANCE CO LTD KRW LOTTE SHOPPING CO KRW MODETOUR NETWORK INC KRW NAVER CORP KRW NCSOFT CORP KRW NEXEN TIRE CORPORATION KRW NHN ENTERTAINMENT CORP KRW OCI CO LTD KRW POSCO KRW POSDATA CO LTD KRW S.M.ENTERTAINMENT CO KRW SAMSUNG CO LTD KRW SAMSUNG ELECTRONICS CO LTD KRW SAMSUNG HEAVY INDUSTRIES CO LTD KRW SAMSUNG LIFE INSURANCE CO KRW SAMSUNG TECHWIN CO LTD KRW SEOWONINTECH CO LTD KRW SHINHAN FINANCIAL GROUP LTD KRW SK HOLDINGS CO LTD KRW SK HYNIX INC KRW SK INNOVATION CO LTD KRW WOORI FINANCE HOLDINGS CO KRW WOORI INVESTMENT & SECURITIE KRW Total securities portfolio Page 163

166 Equity Turkey Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Turkey AKBANK TRY ALARKO HOLDING TRY ANADOLU EFES BIRACILIK VE TRY ANADOLU HAYAT SIGORTA TRY ARCELIK AS TRY BIM BIRLESIK MAGAZALAR TRY CIMSA CIMENTO SANAYI VE TIC TRY COCA-COLA ICECEK URETIM AS TRY EMLAK KONUT GAYRIMENKUL YATI TRY ENKA INSAAT VE SANAYI TRY EREGLI DEMIR VE CELIK FABRIK TRY FORD OTOMOTIV SANAYI AS TRY HACI OMER SABANCI HOLDING TRY IS GAYRIMENKUL YATIRIM ORTAKLI TRY KARDEMIR KARABUK DEMIR-CL D TRY KOC HOLDING AS - B TRY KOZA ALTIN ISLETMELERI AS TRY PARK ELEKTRIK MADENCILIK TRY SINPAS GAYRIMENKUL YATIRIM TRY TAV HAVALIMANLARI TRY TEKFEN HOLDING AS TRY TRAKYA CAM SANAYII TRY TUPRAS-TURKIY PETROL RAFINELERI TRY TURK HAVA YOLLARI AO TRY TURK TELEKOMUNIKASYON AS TRY TURK TRAKTOR VE ZIRAAT MAKIN TRY TURKCELL ILETISIM HIZMET TRY TURKIYE GARANTI BANKASI TRY TURKIYE HALK BANKASI TRY TURKIYE IS BANKASI - C TRY TURKIYE SINAI KALKINMA BANK TRY TURKIYE VAKIFLAR BANKASI TAO TRY ULKER BISKUVI SANAYI AS TRY YAPI VE KREDI BANKASI AS TRY Total securities portfolio Page 164

167 Equity USA Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ALLIANCE DATA SYSTEMS CORP USD ALLSTATE CORP USD AMERICAN EXPRESS CO USD AMERISOURCE BERGEN CORP USD AMGEN INC USD APPLE INC USD AUTOZONE INC USD BE AEROSPACE INC USD BIOGEN IDEC INC USD BLACKROCK INC USD CBS CORP-CLASS B NON VOTING USD CELGENE CORP USD CF INDUSTRIES HOLDINGS INC USD CIGNA CORP USD COGNIZANT TECH SOLUTIONS - A USD CUMMINS INC USD CVS CAREMARK CORP USD EQUIFAX INC USD F5 NETWORKS INC USD FACEBOOK INC - A USD GILEAD SCIENCES INC USD GOLDMAN SACHS GROUP INC USD GOOGLE INC - A USD HOME DEPOT INC USD HONEYWELL INTERNATIONAL INC USD LOWES COS INC USD MACYS INC USD MONSANTO CO USD MYLAN INC USD NIELSEN HOLDINGS NV USD OASIS PETROLEUM INC USD ORACLE CORP USD PETSMART INC USD PRUDENTIAL FINANCIAL INC USD QUALCOMM INC USD ROSS STORES INC USD SCRIPPS NETWORKS INTER-CL A USD STERICYCLE INC USD TD AMERITRADE HOLDING CORP USD TERADATA CORP USD TJX COMPANIES INC USD UNION PACIFIC CORP USD VISA INC-CLASS A SHARES USD VMWARE INC - A USD WHIRLPOOL CORP USD XILINX INC USD Curacao SCHLUMBERGER LTD USD Switzerland ACE LTD USD Hong Kong MICHAEL KORS HOLDINGS LTD USD Cayman Islands HERBALIFE LTD USD Ireland INGERSOLL-RAND PLC USD Total securities portfolio Page 165

168 Equity USA Growth Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ACTAVIS PLC USD ALTRIA GROUP INC USD AMAZON.COM INC USD AMERICAN AIRLINES SHS USD AMERIPRISE FINANCIAL INC USD ANALOG DEVICES USD APPLE INC USD AUTODESK INC USD BIOGEN IDEC INC USD BOEING CO/THE USD BORGWARNER INC USD BRISTOL-MYERS SQUIBB CO USD BROWN-FORMAN CORP - CLASS B USD CABOT OIL & GAS CORP USD CBS CORP-CLASS B NON VOTING USD CELGENE CORP USD CHIPOTLE MEXICAN GRILL INC USD CME GROUP INC USD COMCAST CORP A USD CONCHO RESOURCES INC USD CVS CAREMARK CORP USD DANAHER CORP USD DELTA AIR LINES INC USD DIRECTV USD DISCOVER FINANCIAL SERVICES USD EASTMAN CHEMICAL CO USD EMC CORP USD ESTEE LAUDER CO INC - A USD FLUOR CORP USD FOOT LOCKER INC USD GILEAD SCIENCES INC USD GNC HOLDINGS INC - A USD GOOGLE INC - A USD HERSHEY CO/THE USD HONEYWELL INTERNATIONAL INC USD INTUIT INC USD LAS VEGAS SANDS CORP USD LINKEDIN CORP - A USD LORILLARD INC USD LOWES COS INC USD MARRIOTT INTERNATIONAL - A USD MASTERCARD INC - CLASS A USD MCKESSON CORP USD MEDIVATION INC USD MICROSOFT CORP USD MONSANTO CO USD MYLAN INC USD NIKE INC - CL B USD ORACLE CORP USD PEPSICO INC USD PRICELINE.COM INC USD SANTANDER CONSUMER USA HOLDI USD ST JUDE MEDICAL INC USD STRATASYS LTD USD UNION PACIFIC CORP USD UNITED TECHNOLOGIES CORP USD VERIZON COMMUNICATIONS INC USD VMWARE INC - A USD WADDELL & REED FINANCIAL - A USD WALT DISNEY CO/THE USD XILINX INC USD YAHOO INC USD Curacao SCHLUMBERGER LTD USD Luxembourg LYONDELLBASELL INDU-CL A USD Switzerland TYCO INTERNATIONAL LTD USD Total securities portfolio Page 166

169 Equity USA Mid Cap Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America AGCO CORP USD AKAMAI TECHNOLOGIES INC USD ALCOA INC USD BORGWARNER INC USD CHARLES RIVER LABORATORIES USD CINCINNATI FIANCIAL CORP USD CITRIX SYSTEMS INC USD CON-WAY INC USD COOPER TIRE & RUBBER USD CREE INC USD DEVRY INC USD DOLBY LABORATORIES INC-CL A USD EATON VANCE CORP USD EDWARDS LIFESCIENCES CORP USD FACTSET RESEARCH SYSTEMS INC USD FIRST SOLAR INC USD FMC CORP USD FMC TECHNOLOGIES INC USD GANNETT CO USD HARRIS CORP USD HOSPIRA INC USD INTERPUBLIC GROUP OF COS INC USD ITRON INC USD JABIL CIRCUIT INC USD JUNIPER NETWORKS INC USD LEAR CORP USD LEXMARK INTERNATIONAL INC-A USD MANPOWER INC USD MATTEL INC USD MOLSON COORS BREWING CO - B USD NEW YORK TIMES CO - A USD NORTHERN TRUST CORP USD NUANCE COMMUNICATIONS INC USD NVIDIA CORP USD POLYPORE INTERNATIONAL INC USD RAYMOND JAMES FINANCIAL INC USD SIGMA-ALDRICH CORP USD SOUTHWEST AIRLINES CO USD STAPLES INC USD STIFEL FINANCIAL CORP USD UNISYS CORP USD UNITED STATES STEEL CORP USD VARIAN MEDICAL SYSTEMS INC USD WERNER ENTERPRISES INC USD XYLEM INC USD ZEBRA TECHNOLOGIES CORP-CL A USD Panama MCDERMOTT INTL INC USD Bermuda BUNGE LTD USD Canada SHAW COMMUNICATIONS INC - B USD Shares/Units in investment funds United States of America SPDR S+P MIDCAP 400 ETF TRUS USD Total securities portfolio Page 167

170 Equity USA Small Cap Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ALBANY INTL CORP - CL A USD ALNYLAM PHARMACEUTICALS INC USD AMERICAN EQUITY INVT LIFE HL USD AMERICAN RAILCAR INDUSTRIES USD AMKOR TECHNOLOGY INC USD AMTRUST FINANCIAL SERVICES USD ARIAD PHARMACEUTICALS INC USD ARRIS GROUP INC USD ARROWHEAD RESEARCH CORP USD ATLANTIC TELE-NETWORK INC USD AXIALL CORP W/I USD BJS RESTAURANTS INC USD BLACK BOX CORPORATION USD BOFI HOLDING INC USD BONANZA CREEK ENERGY INC USD BRISTOW GROUP INC USD BRUNSWICK CORP USD CASH AMERICA INTL INC USD CNO FINANCIAL GROUP INC USD COHEN & STEERS INC USD COLUMBIA SPORTSWEAR CO USD COMMSCOPE HOLDING CO INC USD COMTECH TELECOMMUNICATIONS USD CONMED CORP USD CORE-MARK HOLDING CO INC USD CRAFT BREW ALLIANCE INC USD CREDIT ACCEPTANCE CORP USD CUMULUS MEDIA INC - CL A USD DIAMONDROCK HOSPITALITY CO USD DUCOMMUN INC USD DYAX CORP USD EDUCATION REALTY TRUST INC USD EMPIRE DISTRICT ELECTRIC CO USD ENERSYS USD EPR PROPERTIES USD EVERBANK FINANCIAL CORP USD EXPRESS INC USD FIRST MERCHANTS CORP USD GLATFELTER USD GREENBRIER COMPANIES INC USD HEARTLAND PAYMENT SYSTEMS IN USD HSH INC USD HURON CONSULTING GROUP INC USD HYSTER-YALE MATERIALS USD ICONIX BRAND GROUP INC USD INSIGHT ENTERPRISES INC USD INTEGRATED SILICON SOLUTION USD INVACARE CORP USD INVESTMENT TECHNOLOGY GROUP USD JACK IN THE BOX INC USD KYTHERA BIOPHARMACEUTICALS I USD LAREDO PETROLEUM HOLDINGS IN USD LIFELOCK INC USD LUMOS NETWORKS CORP - WI USD MAGELLAN HEALTH SERVICES USD MANHATTAN ASSOCIATES INC USD MARKETAXESS HOLDINGS INC USD MASIMO CORPORATION USD MASTEC INC USD MATADOR RESOURCES CO USD MEDIFAST INC USD MID-AMERICA APARTMENT COMM USD MINERALS TECHNOLOGIES INC USD MOMENTA PHARMACEUTICALS INC USD MOOG INC-CLASS A USD NATIONAL RETAIL PROPERTIES USD NETSCOUT SYSTEMS INC USD NEW YORK TIMES CO - A USD NORTHWESTERN CORP USD NOVAVAX INC USD NPS PHARMACEUTICALS INC USD NUTRISYSTEM INC USD OLD NATIONAL BANCORP USD OM GROUP INC USD OMEGA HEALTHCARE INVESTORS INC USD OPENTABLE INC USD PEGASYSTEMS INC USD PETMED EXPRESS INC USD PETROLEUM DEVELOPMENT CORP USD PLEXUS CORP USD PORTLAND GENERAL ELECTRIC USD PROGRESS SOFTWARE CORP USD RLJ LODGING TRUST USD SANDERSON FARMS INC USD SEMGROUP CORP-CLASS A USD SIZMEK INC USD SKULLCANDY INC USD SOLARWINDS INC USD SONIC CORP USD SOUTHWEST GAS CORP USD SPANSION INC-CLASS A USD SPARTAN STORES INC USD SPIRIT AIRLINES INC USD SS&C TECHNOLOGIES HOLDINGS USD STERIS CORP USD SUNSTONE HOTEL INVESTORS INC USD SWIFT TRANSPORTATION CO USD SYKES ENTERPRISES INC USD SYNAPTICS INC USD SYNTEL INC USD TANGER FACTORY OUTLET CENTERS USD TEREX CORP USD TESARO INC USD TOWER INTERNATIONAL INC USD TRICO BANCSHARES USD TYLER TECHNOLOGIES INC USD UNION FIRST MARKET BANKSHARE USD UNITED NATURAL FOODS INC USD VOXX INTERNATIONAL CORP USD WABASH NATIONAL CORP USD WEBSTER FINANCIAL CORP USD WESTERN ALLIANCE BANCORP USD WESTERN REFINING USD WORTHINGTON INDUSTRIES INC USD Ireland FLEETMATICS GROUP PLC USD ICON PLC USD Page 168

171 Equity USA Small Cap Expressed in USD Bermuda ORIENT EXPRESS HOTELS LTD - A USD Canada CHC GROUP LTD USD United Kingdom MOLINA HEALTHCARE INC USD Panama BANCO LATINO AMERICANO COME E USD Cayman Islands HOME LOAN SERVICING SOLUTION USD Puerto Rico OFG BANCORP USD Total securities portfolio Page 169

172 Equity World Consumer Durables Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Germany BAYERISCHE MOTOREN WERKE AG EUR CONTINENTAL AG EUR DAIMLER AG-REGISTERED SHARES EUR PROSIEBENSAT.1 MEDIA AG EUR United Kingdom ASOS PLC GBP BRITISH SKY BROADCASTING GRO GBP DELPHI AUTOMOTIVE PLC USD INTERCONTINENTAL HOTELS GROUP PLC GBP WHITBREAD GBP Japan FAST RETAILING CO LTD JPY HONDA MOTOR CO LTD JPY PANASONIC CORP JPY RAKUTEN INC JPY Cayman Islands MELCO CROWN ENTERTAINME ADR USD SANDS CHINA LTD HKD WYNN MACAU LTD HKD France ACCOR SA EUR VALEO SA EUR Sweden HENNES & MAURITZ AB-B SHS SEK Canada LIONS GATE ENTERTAINMENT USD MAGNA INTERNATIONAL INC CAD Shares Hong Kong United States of GALAXY ENTERTAINMENT GROUP L HKD America India AMAZON.COM INC USD TATA MOTORS LTD-SPON ADR USD BORGWARNER INC USD Belgium CBS CORP-CLASS B NON VOTING USD TELENET GROUP HOLDING EUR CHIPOTLE MEXICAN GRILL INC USD Macao COLUMBIA SPORTSWEAR CO USD MGM CHINA HOLDINGS LTD HKD COMCAST CORP A USD DIRECTV USD Luxembourg DR HORTON INC USD RTL GROUP EUR EXPEDIA INC USD Italy GENERAL MOTORS CO USD PIRELLI & C EUR GNC HOLDINGS INC - A USD HOMEAWAY INC USD Other transferable securities LAS VEGAS SANDS CORP USD LIBERTY GLOBAL PLC USD Shares LOWES COS INC USD United States of MARRIOTT INTERNATIONAL - A USD America MGM RESORTS INTERNATIONAL USD MARRIOTT INTERNATIONAL USD NIKE INC - CL B USD Total securities portfolio PRICELINE.COM INC USD PULTEGROUP INC USD STARWOOD HOTELS & RESORTS USD TRIPADVISOR INC - W/I USD VF CORP USD VIACOM INC - CLASS B USD WALT DISNEY CO/THE USD WHIRLPOOL CORP USD Page 170

173 Equity World Emerging Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Cayman Islands GREENTOWN CHINA HOLDINGS HKD HOME INNS & HOTELS MANAG-ADR USD KAISA GROUP HOLDINGS LTD HKD MELCO CROWN ENTERTAINME ADR USD SANDS CHINA LTD HKD SOHO CHINA LTD HKD TENCENT HOLDINGS LTD HKD ZHEN DING TECHNOLOGY HOLDING TWD South Korea COSMAX INC KRW GS ENGINEERING & CONSTRUCT KRW HOTEL SHILLA CO LTD KRW HYUNDAI DEVELOPMENT COMPANY KRW NAVER CORP KRW SK HYNIX INC KRW SK TELECOM CO LTD KRW China ANHUI CONCH CEMENT CO LTD - H HKD CHINA CONSTRUCTION BANK - H HKD CHINA MERCHANTS BANK - H HKD GREAT WALL MOTOR COMPANY - H HKD IND & COMM BANK OF CHINA - H HKD PING AN INSURANCE GROUP CO - H HKD QUNAR CAYMAN ISLANDS LTD-ADR USD YOUKU.COM INC-SPON ADR USD Taiwan CATHAY FINANCIAL REG S GDR USD HIWIN TECHNOLOGIES CORP TWD HON HAI PRECISION INDUSTRY TWD LARGAN PRECISION CO LTD TWD MEDIATEK INC TWD TAIWAN SEMICONDUCTOR - SP ADR USD Brazil AMBEV SA-SPN ADR USD AREZZO INDUSTRIA E COMERCIO BRL BR MALLS PARTICIPACOES SA BRL BTG PACTUAL PARTICIPATIONS BRL IOCHPE-MAXION S.A. BRL ITAU UNIBANCO HLDNG-PREF ADR USD PETROLEO BRASILEIRO ADR SPONS USD VALE SA-SP ADR USD Russia GAZPROM OAO-SPON ADR USD MAIL.RU GROUP-GDR REGS W/I USD NOVATEK OAO-SPONS GDR REG S USD ROSNEFT OJSC-REG S GDR USD SBERBANK USD South Africa NASPERS LTD-N SHS ZAR SASOL LTD ZAR Mexico CEMEX SAB - CPO MXN CEMEX SAB-SPONS ADR PART CER USD MACQUARIE MEXICO REAL ESTATE MXN TF ADMINISTRADORA INDUSTRIAL MXN Hong Kong CATHAY PACIFIC AIRWAYS HKD CHINA OVERSEAS LAND & INVEST HKD CHINA UNICOM HONG KONG LTD HKD India HDFC BANK LTD-ADR USD TATA CONSULTANCY SVS DEMATERIAL INR Indonesia BANK MANDIRI IDR MATAHARI DEPARTMENT STORE TB IDR SEMEN GRESIK IDR United Arab Emirates DAMAC REAL ESTATE DEVELO-W/I USD EMAAR PROPERTIES PJSC AED Thailand AIRPORTS OF THAILAND PCL-FOR THB PTT GLOBAL CHEMICAL PCL - FOR THB Philippines MELCO CROWN PHILIPPINES RESO PHP PUREGOLD PRICE CLUB INC PHP Chile LATAM AIRLINES GROUP-SP ADR USD United Kingdom AFREN PLC GBP CAPITAL + COUNTIES PROPERTIE GBP INTU PROPERTIES PLC GBP Japan SOFTBANK CORP-UNSPON ADR USD Turkey TURK HAVA YOLLARI AO TRY Panama AVIANCA HOLDINGS SA-SPON ADR USD Bermuda GOME ELECTRICAL APPLIANCES HKD British Virgin Islands CHINA CINDA ASSET MANAGEME-H HKD Canada AFRICA OIL CORP SEK GREENSTONE RESOURCES LTD USD Kenya KENYA COMMERCIAL BANK LTD KES Austria CAT OIL AG EUR Total securities portfolio Page 171

174 Equity World Emerging Low Volatility Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Taiwan ADVANCED SEMICONDUCTOR ENGR TWD ASIA CEMENT CORP TWD CHICONY ELECTRONICS CO LTD TWD CHINA STEEL CORP TWD CHUNGHWA TELECOM CO LTD TWD FENG HSIN IRON & STEEL CO TWD FORMOSA PETROCHEMICAL TWD FORMOSA PLASTICS CORP TWD FUBON FINANCIAL HOLDING CO TWD GIANT MANUFACTURING TWD HUA NAN FINANCIAL HOLDINGS C TWD NAN KANG RUBBER TIRE CO LTD TWD POU CHEN TWD SYNNEX TECHNOLOGY INTL CORP TWD TAIWAN BUSINESS BANK TWD TAIWAN COOPERATIVE FINANCIAL TWD TAIWAN MOBILE CO LTD TWD TAIWAN SEMICONDUCTOR - SP ADR USD TECO ELECTRIC & MACHINERY TWD WPG HOLDINGS LTD TWD India ACC LTD INR ASIAN PAINTS SHS INR BAJAJ AUTO LTD INR CAIRN INDIA LTD INR CIPLA LTD INR DIVIS LABORATORIES LTD INR DR. REDDYS LABORATORIES INR HCL TECHNOLOGIES LTD INR ITC LTD INR NESTLE INDIA LTD INR POWER GRID CORP OF INDIA LTD INR TATA CONSULTANCY SVS DEMATERIAL INR ULTRATECH CEMENT LTD INR WIPRO LTD INR South Korea KANGWON LAND INC KRW POSCO KRW S1 CORPORATION KRW SAMSUNG ELECTRONICS CO LTD KRW SAMSUNG ELECTRONICS-PFD KRW SAMSUNG LIFE INSURANCE CO KRW China BANK OF CHINA LTD HKD BEIJING CAPITAL INTL AIRPO - H HKD CHINA AIRLINES LIMITED TWD CHINA CONSTRUCTION BANK - H HKD INNER MONGOLIA YITAI COAL - B USD PETROCHINA CO LTD - H HKD Malaysia CIMB GROUP HOLDINGS BHD MYR GENTING BERHAD MYR GENTING PLANTATIONS BHD MYR HONG LEONG FINANCIAL GROUP MYR IJM CORP BHD MYR KUALA LUMPUR KEPONG BHD MYR PARKSON HOLDINGS BHD MYR PETRONAS CHEMICALS GROUP BHD MYR PPB GROUP BERHAD MYR PUBLIC BANK BHD - FOREIGN MKT MYR SIME DARBY BERHAD MYR UMW HOLDINGS BHD MYR YTL POWER INTERNATIONAL BHD MYR South Africa IMPERIAL HOLDINGS LTD ZAR NAMPAK LTD ZAR NASPERS LTD-N SHS ZAR PICK N PAY STORES LTD ZAR PPC -NPV- ZAR SASOL LTD ZAR STEINHOFF INTL HOLDINGS LTD ZAR TRUWORTHS INTERNATIONAL LTD ZAR WOOLWORTHS HOLDINGS LTD ZAR Brazil AMBEV SA BRL CPFL ENERGIA SA BRL KLABIN SA - PREF BRL TRACTEBEL ENERGIA SA BRL VALE SA-PREF A BRL WEG SA BRL Chile AGUAS ANDINAS SA - A CLP E.CL SA CLP EMPRESAS CMPC SA CLP LATAM AIRLINES GROUP SA CLP S.A.C.I. FALABELLA CLP Poland BANK ZACHODNI WBK PLN CYFROWY POLSAT SA PLN PKO BANK POLSKI SA PLN POLSKIE GORNICTWO NAFTOWE I PLN POWSZECHNY ZAKLAD UBEZPIECZE PLN Hong Kong BEIJING ENTERPRISES HOLDINGS HKD CHINA MOBILE LTD HKD Colombia ALMACENES EXITO SA COP BANCO DAVIVIENDA SA COP ECOPETROL SA COP GRUPO AVAL ACCIONES-PF COP Mexico ALFA S.A.B.-A MXN GRUPO COMERCIAL CHEDRAUI SA MXN GRUPO TELEVISA SA-SER CPO MXN INDUSTRIAS CH SA-SER B MXN Thailand PTT EXPLORATION & PROD - FOR THB PTT PUBLIC FOREIGN RGD THB SIAM CEMENT PUBLIC CO LTD THB United Kingdom INVESTEC LTD ZAR Russia LUKOIL OAO-SPON ADR USD Page 172

175 Equity World Emerging Low Volatility Expressed in USD Indonesia BANK CENTRAL ASIA PT IDR Bermuda CREDICORP LTD USD Philippines BANK OF PHILIPPINE ISLANDS PHP JOLLIBEE FOODS CORPORATION PHP SM INVESTMENTS PHP United States of America CONTAINER TERMINAL SERVICES PHP DISCOVERY HOLDINGS LTD ZAR LIBERTY HOLDINGS LTD ZAR Total securities portfolio Page 173

176 Equity World Energy Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ANADARKO PETROLEUM CORP USD ATWOOD OCEANICS INC USD CABOT OIL & GAS CORP USD CHEVRON CORP USD CONCHO RESOURCES INC USD CONOCOPHILLIPS USD DIAMOND OFFSHORE DRILLING INC USD ENSCO PLC - CL A USD EOG RESOURCES INC USD EQT CORP USD EXXON MOBIL CORP USD HALLIBURTON CO USD MARATHON PETROLEUM CORP W / I USD NOBLE ENERGY INC USD PEABODY ENERGY CORP USD RANGE RESOURCES CORP USD SPECTRA ENERGY CORP USD VALERO ENERGY CORP USD WILLIAMS COS INC USD United Kingdom BG GROUP PLC GBP BP PLC GBP ROYAL DUTCH SHELL PLC - A SHS GBP ROYAL DUTCH SHELL PLC - B SHS GBP Canada CHC GROUP LTD USD SUNCOR ENERGY INC CAD TALISMAN ENERGY INC CAD TRANSCANADA CORP CAD Curacao SCHLUMBERGER LTD USD France TOTAL SA EUR Italy ENI SPA EUR Spain REPSOL SA EUR The Netherlands CORE LABORATORIES NV USD Norway STATOIL ASA NOK Australia WOODSIDE PETROLEUM LTD AUD Japan INPEX CORP JPY Switzerland NOBLE CORP PLC USD Total securities portfolio Page 174

177 Equity World Finance Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America AMERIPRISE FINANCIAL INC USD CITIGROUP INC USD CME GROUP INC USD GOLDMAN SACHS GROUP INC USD JPMORGAN CHASE AND CO USD METLIFE INC USD NASDAQ OMX GROUP INC USD PRUDENTIAL FINANCIAL INC USD SANTANDER CONSUMER USA HOLDI USD SLM CORP USD UNUM GROUP USD WADDELL & REED FINANCIAL - A USD WELLS FARGO & CO USD United Kingdom BARCLAYS BANK PLC GBP HSBC HOLDINGS GBP LEGAL & GENERAL GROUP PLC GBP PRUDENTIAL PLC GBP Japan DAITO TRUST CONSTRUCTION CO LTD JPY MITSUBISHI ESTATE CO LTD JPY MITSUBISHI UFJ FINANCIAL GROUP JPY SONY FINANCIAL HOLDINGS INC JPY SUMITOMO MITSUI FINANCIAL GR JPY Australia COMMONWEALTH BANK OF AUSTRALIA AUD NATIONAL AUSTRALIA BANK AUD WESTFIELD GROUP AUD Hong Kong AIA GROUP LTD HKD BOC HONG KONG HOLDINGS LTD HKD WHARF HOLDINGS LTD HKD Canada BANK NOVA SCOTIA CAD ROYAL BANK OF CANADA CAD France AXA EUR BNP PARIBAS EUR Germany ALLIANZ SE EUR DEUTSCHE BANK AG EUR The Netherlands AEGON NV EUR ING GROEP NV EUR Switzerland CREDIT SUISSE GROUP CHF ZURICH INSURANCE GROUP AG CHF Spain BANCO SANTANDER SA EUR Sweden SKANDINAVISKA ENSKILDA BANK A SEK Norway DNB ASA NOK Italy INTESA SANPAOLO EUR India KOTAK MAHINDRA BANK LTD INR Singapore OVERSEA-CHINESE BANKING CORP SGD Russia SBERBANK USD Total securities portfolio Page 175

178 Equity World Health Care Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ABBOTT LABORATORIES USD ABBVIE INC USD ACTAVIS PLC USD ALEXION PHARMACEUTICALS INC USD ALKERMES PLC USD ALNYLAM PHARMACEUTICALS INC USD AMGEN INC USD ARROWHEAD RESEARCH CORP USD BIOGEN IDEC INC USD BIOMARIN PHARMACEUTICAL INC USD BRISTOL-MYERS SQUIBB CO USD CARDINAL HEALTH INC USD CATAMARAN CORP USD CELGENE CORP USD CONMED CORP USD DICERNA PHARMACEUTICALS INC USD GILEAD SCIENCES INC USD ILLUMINA INC USD INTUITIVE SURGICAL INC USD JAZZ PHARMACEUTICALS PLC USD JOHNSON & JOHNSON USD MASIMO CORPORATION USD MCKESSON CORP USD MEDIVATION INC USD MEDTRONIC INC USD MERCK & CO INC USD MYLAN INC USD NOVAVAX INC USD PFIZER INC USD SALIX PHARMACEUTICALS LTD USD ST JUDE MEDICAL INC USD UNITEDHEALTH GROUP INC USD VERTEX PHARMACEUTICALS INC USD WELLPOINT INC USD Switzerland ACTELION LTD CHF NOVARTIS AG CHF ROCHE HOLDING AG GENUSSCHEIN CHF United Kingdom ASTRAZENECA PLC GBP GLAXOSMITHKLINE PLC GBP HIKMA PHARMACEUTICALS PLC GBP Ireland SHIRE PLC GBP Germany BAYER AG EUR Canada VALEANT PHARMACEUTICALS INTE USD Israel PROLASER LTD EUR TEVA PHARMACEUTICAL IND LTD ILS TEVA PHARMACEUTICAL IND.LTD ADR USD Japan ASTELLAS PHARMA INC JPY SHIONOGI & CO LTD JPY Spain GRIFOLS SA EUR Denmark NOVO NORDISK A/S - B DKK France SANOFI AVENTIS EUR Total securities portfolio Page 176

179 Equity World Low Volatility Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America M CO USD ABBOTT LABORATORIES USD AIR PRODUCTS AND CHEMICALS INC USD AIRGAS INC USD ALLEGHANY CORP USD AMERICAN CAPITAL AGENCY CORP USD ANNALY CAPITAL MANAGEMENT USD AUTOMATIC DATA PROCESSING USD AUTOZONE INC USD BALL CORP USD BECTON DICKINSON & CO USD BERKSHIRE HATHAWAY INC - B USD CINCINNATI FIANCIAL CORP USD CROWN HOLDINGS INC USD DIRECTV USD EXXON MOBIL CORP USD FEDERAL REALTY INVESTMENT TRUST USD FIDELITY NATIONAL INFORMATIO USD FISERV INC USD INTEL CORP USD INTL BUSINESS MACHINES CORP USD INTL FLAVORS & FRAGRANCES USD JOHNSON & JOHNSON USD KELLOGG CO USD LOEWS CORP USD MARSH & MCLENNAN COS INC USD MCDONALDS CORP USD MERCK & CO INC USD MICROSOFT CORP USD MOTOROLA SOLUTIONS INC USD PAYCHEX INC USD PRAXAIR INC USD PROGRESSIVE CORP USD RAYTHEON CO USD REPUBLIC SERVICES INC USD SHERWIN-WILLIAMS CO/THE USD SIGMA-ALDRICH CORP USD STERICYCLE INC USD SYNOPSYS INC USD TARGET CORP USD TIM HORTONS INC CAD TJX COMPANIES INC USD TORCHMARK CORP USD TOTAL SYSTEM SERVICES INC USD UNITED PARCEL SERVICE INC CL B USD WASTE MANAGEMENT INC USD YUM BRANDS INC USD France ADP EUR AIR LIQUIDE SA EUR BUREAU VERITAS SA EUR DASSAULT SYSTEMES SA EUR ESSILOR INTERNATIONAL EUR SODEXO EUR TOTAL SA EUR United Kingdom BRITISH SKY BROADCASTING GRO GBP COMPASS GROUP PLC GBP NATIONAL GRID GBP REED ELSEVIER PLC GBP ROYAL DUTCH SHELL PLC - A SHS GBP ROYAL DUTCH SHELL PLC - B SHS GBP SAGE GROUP PLC GBP SSE PLC GBP THOMSON REUTERS CORP CAD Canada BANK OF MONTREAL CAD BELL ALIANT INC CAD CANADIAN NATIONAL RAILWAY CO CAD CI FINANCIAL CORP CAD FIRST CAPITAL REALTY INC CAD GREAT-WEST LIFECO INC CAD IGM FINANCIAL INC CAD POWER FINANCIAL CORP CAD ROYAL BANK OF CANADA CAD SHAW COMMUNICATIONS-B NON VTG CAD Singapore DBS GROUP HOLDING LTD SGD SINGAPORE AIRLINES LTD SGD SINGAPORE PRESS HOLDINGS LTD SGD UNITED OVERSEAS BANK LTD SGD Hong Kong CLP HOLDINGS LTD HKD HANG SENG BANK LTD HKD HOPEWELL HOLDINGS LTD HKD MTR CORP HKD Japan AIR WATER INC JPY HIROSE ELECTRIC CO LTD JPY HOYA CORP JPY KAMIGUMI CO LTD JPY ODAKYU ELECTRIC RAILWAY CO JPY TAKEDA PHARMACEUTICAL CO LTD JPY Australia AMCOR LTD AUD BHP BILLITON LTD AUD CROWN RESORTS LTD AUD GPT GROUP AUD WESTFIELD GROUP AUD Norway STATOIL ASA NOK Switzerland EMS CHEMIE HOLDING AG CHF SWISSCOM AG-REG CHF Germany LINDE AG EUR SAP AG EUR The Netherlands REED ELSEVIER NV EUR Italy LUXOTTICA GROUP SPA EUR Page 177

180 Equity World Low Volatility Expressed in EUR Bermuda EVEREST RE GROUP LTD USD New Zealand RYMAN HEALTHCARE LTD NZD Cayman Islands CHAODA MODERN AGRICULTURE HOLDINGS LTD HKD Total securities portfolio Page 178

181 Equity World Materials Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America AIR PRODUCTS AND CHEMICALS INC USD BALL CORP USD CELANESE CORP SERIES A USD DOW CHEMICAL USD DU PONT (E.I.) DE NEMOURS USD EASTMAN CHEMICAL CO USD FERRO CORP USD FMC CORP USD MONSANTO CO USD OWENS-ILLINOIS INC USD RELIANCE STEEL AND ALUMINIUM CO USD ROCK-TENN COMPANY - A USD United Kingdom BHP BILLITON PLC GBP JOHNSON MATTHEY PLC GBP RANDGOLD RESOURCES LTD GBP REXAM PLC GBP RIO TINTO PLC ORD GBP Germany BASF SE EUR LINDE AG EUR Australia BHP BILLITON LTD AUD RIO TINTO LIMITED AUD Canada AGNICO EAGLE MINES LTD USD BARRICK GOLD CAD GOLDCORP INC USD KINROSS GOLD CORP CAD POTASH CORP SASKATCHEW CAD Luxembourg ARCELORMITTAL EUR LYONDELLBASELL INDU-CL A USD Japan MITSUI CHEMICALS INC JPY NIPPON PAPER INDUSTRIES CO L JPY NITTO DENKO CORP JPY SUMITOMO CHEMICAL CO LTD JPY TEIJIN LTD JPY France ARKEMA EUR LAFARGE SA EUR The Netherlands AKZO NOBEL NV EUR Switzerland GIVAUDAN CHF Israel ISRAEL CHEMICALS LTD ILS Sweden SVENSKA CELLULOSA AB - B SEK Total securities portfolio Page 179

182 Equity World Technology Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ANALOG DEVICES USD APPLE INC USD APPLIED MATERIALS INC USD ARRIS GROUP INC USD AUTODESK INC USD CISCO SYSTEMS INC USD EMC CORP USD FACEBOOK INC - A USD FIDELITY NATIONAL INFORMATIO USD GOOGLE INC - A USD INTEL CORP USD INTL BUSINESS MACHINES CORP USD INTUIT INC USD LINKEDIN CORP - A USD MANHATTAN ASSOCIATES INC USD MASTERCARD INC - CLASS A USD MICRON TECHNOLOGY INC USD MICROSOFT CORP USD NIMBLE STORAGE INC USD OPENTABLE INC USD ORACLE CORP USD QUALCOMM INC USD SALESFORCE.COM INC USD SANDISK CORP USD SERVICENOW INC USD STRATASYS LTD USD SYMANTEC CORP USD TEXAS INSTRUMENTS INC USD VANTIV INC - CL A USD VEEVA SYSTEMS INC - CLASS A USD VISA INC-CLASS A SHARES USD VMWARE INC - A USD XEROX CORP USD XILINX INC USD YAHOO INC USD Japan BROTHER INDUSTRIES LTD JPY FUJIFILM HOLDINGS JPY FUJITSU LIMITED JPY HITACHI LTD JPY KONICA MINOLTA HOLDINGS INC JPY NEC CORP JPY TDK CORP JPY YAHOO JAPAN CORP JPY Ireland FLEETMATICS GROUP PLC USD SEAGATE TECHNOLOGY USD Sweden ARCAM SHS SEK ERICSSON LM - B SHS SEK United Kingdom ARM HOLDINGS PLC GBP Israel CHECK POINT SOFTWARE TECHNOLOGIE USD Taiwan LARGAN PRECISION CO LTD TWD Total securities portfolio Page 180

183 Equity World Telecom Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America AT&T INC USD ATLANTIC TELE-NETWORK INC USD CENTURYLINK INC USD COMCAST CORP A USD CROWN CASTLE INTL CORP USD LIBERTY GLOBAL PLC USD SBA COMMUNICATIONS CORP USD SPRINT CORP - W/I USD T-MOBILE US INC USD VERIZON COMMUNICATIONS INC USD Japan KDDI CORP JPY NIPPON TELEGRAPH & TELEPHONE JPY NTT DOCOMO INC JPY SOFTBANK CORP JPY United Kingdom BT GROUP PLC GBP VODAFONE GROUP PLC - SP ADR USD VODAFONE GROUP PLC - SP ADR USD VODAFONE GROUP SHS GBP France ILIAD SA EUR ORANGE EUR ORANGE-SPON ADR USD VIVENDI EUR Germany DEUTSCHE TELEKOM AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR Sweden TELIASONERA AB SEK Canada BCE INC CAD ROGERS COMMUNICATIONS INC - B CAD TELUS CORP CAD TELUS CORP CAD Norway TELENOR ASA NOK Australia TELSTRA CORP LTD AUD Spain TELEFONICA SA EUR Switzerland SWISSCOM AG-REG CHF Italy TELECOM ITALIA RSP EUR TELECOM ITALIA SPA EUR Luxembourg INTELSAT SA USD MILLICOM INTL CELLULAR-SDR SEK Finland ELISA OYJ EUR The Netherlands KONINKLIJKE KPN NV EUR Singapore SINGAPORE TELECOM LTD SGD New Zealand TELECOM CORP OF NEW ZEALAND NZD Russia MEGAFON-GDR-WI USD Indonesia TELEKOMUNIK INDONESIA - SP ADR USD Total securities portfolio Page 181

184 Equity World Utilities Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America AES CORP USD ALLIANT ENERGY CORP USD AMEREN CORPORATION USD AMERICAN ELECTRIC POWER USD AMERICAN WATER WORKS CO INC USD CALPINE CORP USD CENTERPOINT ENERGY INC USD DOMINION RESOURCES INC/VA USD DTE ENERGY COMPANY USD DUKE ENERGY CORP USD EDISON INTERNATIONAL USD ITC HOLDINGS CORP USD NEXTERA ENERGY INC USD NISOURCE INC USD NRG ENERGY INC USD PINNACLE WEST CAPITAL CORP USD PUBLIC SERVICE ENTERPRISE GP USD SEMPRA ENERGY USD SOUTHERN CO USD UGI CORP USD United Kingdom CENTRICA PLC GBP NATIONAL GRID GBP Spain GAS NATURAL SDG SA EUR IBERDROLA SA EUR RED ELECTRICA CORPORACION SA EUR France EDF EUR GDF SUEZ EUR SUEZ ENVIRONNEMENT SA EUR Germany E.ON AG EUR Japan CHUBU ELECTRIC POWER CO INC JPY HOKURIKU ELECTRIC POWER CO INC JPY OSAKA GAS CO LTD JPY TOKYO GAS CO LTD JPY Italy ENEL SPA EUR TERNA SPA EUR Portugal ENERGIAS DE PORTUGAL SA EUR Finland FORTUM OYJ EUR Bermuda CHEUNG KONG INFRASTRUCTURE HKD Australia SP AUSNET AUD Hong Kong CLP HOLDINGS LTD HKD Total securities portfolio Page 182

185 Flexible Assets EUR Expressed in EUR Money Market Instruments France FRENCH BTF 0.000% 14-10/04/2014 EUR Shares/Units in investment funds Luxembourg AXA IM FIIS EUR SH DUR H-AEURI EUR BNP PARIBAS INSTICASH EUR - I CAP EUR DB X-TR II TRX CROSSOVER 5 Y SHS C CAP EUR DB X-TRACKERS MSCI EUR SM CP EUR France BNP PARIBAS TRESORERIE C FCP - P CAP EUR Ireland ISHARES EPRA US PROPTY YLD USD ISHARES GS INV CP BD USD Total securities portfolio Page 183

186 Flexible Bond Europe Corporate Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds The Netherlands ABB FINANCE BV 2.625% /03/2019 EUR ADECCO INT FIN 2.750% 13-15/11/2019 EUR ASML HOLDING NV 3.375% /09/2023 EUR BHARTI AIRTEL IN 4.000% /12/2018 EUR DEUTSCHE ANN FIN 2.125% /07/2016 EUR EDP FINANCE BV 5.250% /01/2021 USD HEINEKEN NV 4.625% 09-10/10/2016 EUR OI EUROPEAN GRP 4.875% /03/2021 EUR PHOENIX PIB 3.125% 13-27/05/2020 EUR TENNET HLD BV 2.125% 13-01/11/2020 EUR VOLKSWAGEN FIN 0.875% /12/2015 EUR France ALD INTERNATION 2.000% /05/2017 EUR EUTELSAT SA 2.625% 13-13/01/2020 EUR GALERIES LAFAYET 4.750% /04/2019 EUR IMERYS SA 2.500% 13-26/11/2020 EUR KLEPI 2.750% 12-17/09/2019 EUR LVMH MOET HENNES 4.375% /05/2014 EUR PPR 3.750% 10-08/04/2015 EUR SODEXO 6.250% 09-30/01/2015 EUR TEREOS EUROPE 6.375% 07-15/04/2014 EUR TEREOS FIN GROUP 4.250% /03/2020 EUR TOTAL CAP INTL 2.125% 13-19/11/2021 EUR United Kingdom BAT INTL FINANCE 2.750% /03/2025 EUR BRITISH TEL PLC 5.250% /06/2014 EUR COMPASS GROUP 3.125% /02/2019 EUR FCE BANK PLC 2.875% 12-03/10/2017 EUR IMP TOBACCO FIN 2.250% /02/2021 EUR JAGUAR LAND ROVER 5.000% /02/2022 GBP RENTOKIL INITIAL 3.250% /10/2021 EUR WILLIAM HILL 4.250% 13-05/06/2020 GBP WPP FINANCE 5.250% 07-30/01/2015 EUR Italy ASTALDI SPA 7.125% 13-01/12/2020 EUR BANCA POP VICENT 3.500% /01/2017 EUR GAMENET 7.250% 13-01/08/2018 EUR UNICREDIT SPA 2.250% 13-16/12/2016 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR UNIONE DI BANCHE 2.875% /02/2019 EUR VENETO BANCA SCP 4.250% /01/2016 EUR Sweden SECURITAS AB 2.250% 12-14/03/2018 EUR SKF AB 1.875% 12-11/09/2019 EUR SVENSKA CELLULOS 3.625% /08/2016 EUR SWEDISH MATCH 3.875% /11/2017 EUR TELIA AB 4.125% 05-11/05/2015 EUR Germany DAIMLER AG 1.500% 13-19/11/2018 EUR DEUTSCHLAND REP 4.250% /07/2014 EUR MAN SE 1.000% 12-21/09/2015 EUR SAP AG 1.000% 12-13/11/2015 EUR UNITYMEDIA 5.500% 12-15/09/2022 EUR United States of America AT&T INC 2.500% 13-15/03/2023 EUR GENERAL MILLS IN 2.100% /11/2020 EUR PHILIP MORRIS INTERNATIONAL % 08-04/09/2015 EUR Spain BBVA SENIOR FIN 3.250% /03/2016 EUR SANTAN CONS FIN 1.450% /01/2016 EUR SANTANDER INTL 4.375% /09/2014 EUR Finland ELISA OYJ 2.250% 12-04/10/2019 EUR FORTUM OYJ 4.625% 09-20/03/2014 EUR METSO OYJ 2.750% 12-04/10/2019 EUR Denmark CARLSBERG BREW 2.625% /07/2019 EUR DONG A/S 4.875% 09-07/05/2014 EUR Luxembourg FIAT FIN & TRADE 6.375% /04/2016 EUR PROLOGIS INTL II 2.750% /10/2018 EUR Curacao TEVA PHARMACEUT 2.875% /04/2019 EUR Austria TELEKOM FINANZ 3.500% /07/2023 EUR Bermuda BACARDI LTD 2.750% 13-03/07/2023 EUR Australia BHP BILLITON FIN 2.250% /09/2020 EUR Floating rate bonds France CASINO GUICHARD /01/2049 FRN EUR ELEC DE FRANCE 14-29/01/2049 FRN EUR ORANGE 14-28/02/2049 FRN GBP SOCIETE GENERALE /11/2049 FRN USD Spain BANCO BILBAO VIZCAYA /05/2049 FRN USD BANCO BILBAO VIZCAYA /12/2049 FRN EUR The Netherlands TELEFONICA EUROP /09/2049 FRN EUR United Kingdom BARCLAYS BANK PLC /12/2049 FRN USD HBOS PLC 04-30/10/2019 SR EUR Switzerland UBS AG 13-22/05/2023 FRN USD Page 184

187 Flexible Bond Europe Corporate Expressed in EUR Italy ENEL SPA 14-15/01/2075 FRN EUR Belgium GDF SUEZ 13-29/07/2049 FRN EUR Luxembourg FORTIS BANK SA/NV 04-29/10/2049 SR EUR United States of America CITIGROUP INC 05-30/11/2017 SR EUR LEHMAN BROS HLDG 07-14/03/ SR DFLT EUR Shares/Units in investment funds Luxembourg BNP PARIBAS INSTICASH EUR - I CAP EUR BNPP FLEXI I BOND EURO FOCUS CORPORATE - I - CAP EUR BNPP FLEXI I BOND EURO SHORT TERM CORPORATE - I - CAP EUR PARWORLD QUANTITATIVE FIXED INCOME - I - CAP EUR France FCP CREDIT MULTIPLIER 3-YR-I EUR Total securities portfolio Page 185

188 Flexible Bond World Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America AMER INTL GROUP 8.250% /08/2018 USD AT&T INC 2.625% 12-01/12/2022 USD BANK OF AMERICA CORP 2.000% /01/2018 USD BANK OF AMERICA CORP 2.600% /01/2019 USD BANK OF AMERICA CORP 6.500% /08/2016 USD CITIGROUP INC 1.750% 13-01/05/2018 USD COMET B7 B /08/2017 FRN EUR CONOCOPHILLIPS CO 2.400% /12/2022 USD CONTINENTAL RES 4.500% /04/2023 USD FNR SD 12-25/09/2042 FRN USD GCCFC 2005-GG3 A /08/2042 FRN USD GEN MOTORS FIN 2.750% /05/2016 USD GENERAL MOTORS 3.500% /10/2018 USD GENWORTH HOLDING 4.900% /08/2023 USD GNR 2010-H19 JI 10-20/08/2060 FRN USD GNR SH 11-20/09/2041 FRN USD GNR 2011-H03 HI 11-20/01/2061 FRN USD GNR 2011-H05 HI 11-20/01/2061 FRN USD GNR 2012-H02 AI 12-20/01/2062 FRN USD GNR 2013-H01 FI 13-20/01/2063 FRN USD GNR 2013-H04 BI 13-20/02/2063 FRN USD GNR 2013-H08 IO 13-20/03/2063 FRN USD GOLDMAN SACHS GP 2.625% /01/2019 USD GOLDMAN SACHS GP 2.900% /07/2018 USD GOLDMAN SACHS GP 3.300% /05/2015 USD HOST HOTELS & RESORTS 3.750% /10/2023 USD MIDAMER ENER HLD 5.150% /11/2043 USD MLCFC AM 06-12/07/2046 FRN USD MORGAN STANLEY 2.125% /04/2018 USD PLAINS ALL AMER 3.650% /06/2022 USD PRUDENTIAL COVER 2.997% /09/2015 USD TOLL BR FIN CORP 4.000% /12/2018 USD US STRIP PRINC 0.000% 09-15/08/2039 USD US STRIP PRINC 0.000% 12-15/08/2042 USD US TREASURY N/B 2.500% /08/2023 USD US TSY INFL IX N/B 0.625% /02/2043 USD VERIZON COMMUNICATIONS 3.650% /09/2018 USD VERIZON COMMUNICATIONS 5.150% /09/2023 USD United Kingdom ABBEY NATIONAL TREASURY % 14-14/01/2019 EUR ABN AMRO BANK NV 2.500% /10/2018 USD ALBA A3B 06-15/12/2038 FRN EUR BARCLAYS BANK PLC 2.500% /02/2019 USD BP CAPITAL PLC 2.177% 14-28/09/2021 EUR BP CAPITAL PLC 3.245% 12-06/05/2022 USD CAIXA GERAL DEPO 3.000% /01/2019 EUR ROYAL BANK SCOTLAND 2.550% /09/2015 USD SANTANDER UK PLC 5.000% /11/2023 USD TESCO PLC 6.125% 09-24/02/2022 GBP UK TREASURY 4.250% 08-07/12/2049 GBP UK TREASURY 4.250% 09-07/09/2039 GBP UK TSY I/L GILT 0.125% 12-22/03/2024 GBP France BPCE 2.500% 13-10/12/2018 USD FRANCE O.A.T % 10-25/10/2020 EUR FRANCE O.A.T % 09-25/10/2019 EUR FRANCE O.A.T % 05-25/04/2055 EUR Russia LUKOIL INTL FIN 7.250% /11/2019 USD RUSSIA - EUROBOND 5.000% /04/2020 USD RUSSIAN FEDERATION 00-31/03/ STEP UP USD Italy INTESA SANPAOLO 3.875% /01/2019 USD INTESA SANPAOLO 4.000% /11/2017 EUR ITALY BTPS 3.500% 12-01/11/2017 EUR ITALY BTPS 4.750% 08-01/08/2023 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR Spain BANKINTER SA 2.750% 13-26/07/2016 EUR SPANISH GOVT 3.150% 05-31/01/2016 EUR SPANISH GOVT 4.800% 08-31/01/2024 EUR TELEFONICA EMIS 5.597% /03/2020 GBP Brazil REP OF BRAZIL 2.625% 12-05/01/2023 USD REP OF BRAZIL 5.625% 09-07/01/2041 USD REP OF BRAZIL 7.125% 06-20/01/2037 USD TELEMAR N L 5.500% 10-23/10/2020 USD Poland POLAND GOVT BOND 6.250% /10/2015 PLN REPUBLIC OF POLAND 5.000% /03/2022 USD The Netherlands ABN AMRO BANK NV 2.250% /09/2017 GBP GAS NATURAL CAP 6.375% /07/2019 EUR IBERDROLA INTL 4.250% /10/2018 EUR RABOBANK 3.875% 13-25/07/2023 EUR VOLKSWAGEN FIN 2.625% /07/2019 GBP VOLKSWAGEN INTFN 1.250% /08/2015 GBP Canada CANADA GOVT 1.250% 13-01/09/2018 CAD Germany BUNDESOBL 0.500% 12-13/10/2017 EUR DAIMLER AG 1.750% 13-08/11/2017 GBP Colombia BANCOLOMBIA 5.950% 11-03/06/2021 USD ECOPETROL SA 7.625% 09-23/07/2019 USD REP OF COLOMBIA 4.375% /07/2021 USD Page 186

189 Flexible Bond World Expressed in USD Chile CHILE 3.875% 10-05/08/2020 USD CODELCO INC 7.500% 09-15/01/2019 USD ENAP 6.250% 09-08/07/2019 USD Mexico PETROLEOS MEXICA 3.500% /01/2023 USD UNITED MEXICAN 3.625% /03/2022 USD South Africa REPUBLIC OF SOUTH AFRICA 4.665% /01/2024 USD Kazakhstan KAZATOMPROM 6.250% 10-20/05/2015 USD KAZMUNAIGAZ FINA % /01/2015 USD KMG FINANCE SUB 7.000% /05/2020 USD Australia AUSTRALIAN I/L 4.000% /08/2020 FLAT AUD Cayman Islands IPIC GMTN LTD 5.875% 11-14/03/2021 EUR SAUDI ELECTRCITY 4.211% /04/2022 USD VOTO - VOTORANTIM 6.625% /09/2019 USD British Virgin Islands PCCW - HKT CAP NO % /02/2016 USD SINOPEC GRP OVER 3.900% /05/2022 USD Malaysia SARAWAK INT 5.500% 05-03/08/2015 USD Panama PANAMA 6.700% 06-26/01/2036 USD PANAMA 9.375% 99-01/04/2029 USD South Korea EXP - IMP BANK KOREA 5.125% /06/2020 USD KOREA RESOURCES CO 4.125% /05/2015 USD Japan MIZUHO CORP BANK 1.850% /03/2018 USD Singapore SINGAPORE GOVT 2.500% /06/2019 SGD Qatar STATE OF QATAR 4.500% /01/2022 USD Sweden SWEDISH GOVT 4.250% 07-12/03/2019 SEK Lithuania LITHUANIA 7.375% 10-11/02/2020 USD Trinidad & Tobago PETROTRIN 9.750% 09-14/08/2019 USD Ireland RUSSIAN RAILWAYS 5.739% /04/2017 USD Luxembourg SB CAPITAL SA 5.499% 10-07/07/2015 USD Floating rate bonds Russia BANK OF MOSCOW 05-25/11/2015 SR USD Other transferable securities ( ) (8.14) Options, Warrants, Rights PUT USD / EUR 14/11/ USD PUT USD/TRY 05/05/ TRY To be Announced ("TBA") ( ) (8.17) Mortgage Back Securities United States of America ( ) (8.17) ( ) FNCL 3.5 3/ % 12-25/08/2041 USD ( ) (8.17) Shares/Units in investment funds Ireland FFTW MORTGAGE TOTAL RETURN AAC USD Total securities portfolio Page 187

190 Flexible Equity Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom BG GROUP PLC GBP CENTRICA PLC GBP DIAGEO PLC GBP HSBC HOLDINGS GBP INMARSAT GBP JOHNSON MATTHEY PLC GBP KINGFISHER PLC GBP LLOYDS BANKING GROUP PLC GBP RIO TINTO PLC ORD GBP SABMILLER PLC GBP SMITHS GROUP PLC GBP TESCO PLC GBP WEIR GROUP GBP Spain AMADEUS IT HOLDING SA - A SHS EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR GRIFOLS SA EUR GRIFOLS SA - B EUR MEDIASET ESPANA COMUNICACION EUR Germany BAYER AG EUR FRESENIUS MEDICAL CARE AG & CO EUR LINDE AG EUR SAP AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR France ADP EUR AIR LIQUIDE SA EUR COMPAGNIE DE SAINT GOBAIN EUR LVMH MOET HENNESSY LOUIS VUI EUR TECHNIP SA EUR Switzerland ROCHE HOLDING AG GENUSSCHEIN CHF SCHINDLER HOLDING - PART CERT CHF THE SWATCH GROUP AG BR CHF The Netherlands AKZO NOBEL NV EUR ING GROEP NV EUR Sweden ATLAS COPCO AB - A SHS SEK ELEKTA AB SEK HEXAGON AB - B SEK Austria ANDRITZ AG EUR ERSTE GROUP BANK AG EUR VIENNA INSURANCE GROUP EUR Finland SAMPO OYJ - A EUR Jersey Island EXPERIAN PLC GBP Denmark CARLSBERG AS - B DKK Norway DNB ASA NOK Ireland CRH PLC EUR Portugal JERONIMO MARTINS SGPS SA EUR United States of America LIBERTY GLOBAL INC-SERIES C USD LIBERTY GLOBAL PLC USD Luxembourg MILLICOM INTL CELLULAR-SDR SEK Belgium TELENET GROUP HOLDING EUR Options, Warrants, Rights CALL DJ EURO STOXX 50 - OP /03/ CALL DJ EURO STOXX 50 - OP (3 600) 21/03/ CALL DJ EURO STOXX 50 - OP (5 500) 21/03/ PUT DJ EURO STOXX 50 - OPT (600) 19/09/ PUT DJ EURO STOXX 50 - OPT /09/ PUT DJ EURO STOXX 50 - OPT (600) 19/12/ PUT DJ EURO STOXX 50 - OPT (700) 19/12/ PUT DJ EURO STOXX 50 - OPT (1 450) 19/12/ PUT DJ EURO STOXX 50 - OPT /12/ PUT DJ EURO STOXX 50 - OPT /12/ PUT DJ EURO STOXX 50 - OPT /12/ PUT DJ EURO STOXX 50 - OPT /12/ PUT DJ EURO STOXX 50 - OPT (1 150) 20/06/ PUT DJ EURO STOXX 50 - OPT (2 200) 20/06/ PUT DJ EURO STOXX 50 - OPT (700) 20/06/ PUT DJ EURO STOXX 50 - OPT /06/ PUT DJ EURO STOXX 50 - OPT /06/ PUT DJ EURO STOXX 50 - OPT /06/ PUT DJ EURO STOXX 50 - OPT /06/ PUT DJ EURO STOXX 50 - OPT (1 050) 21/03/ PUT DJ EURO STOXX 50 - OPT /03/ EUR EUR ( ) (0.10) EUR ( ) (0.08) EUR (21 000) (0.01) EUR EUR (32 400) (0.01) EUR (44 100) (0.01) EUR ( ) (0.04) EUR EUR EUR EUR EUR (6 900) 0.00 EUR (15 400) 0.00 EUR (5 600) 0.00 EUR EUR EUR EUR EUR (1 050) 0.00 EUR Total securities portfolio Page 188

191 Global Environment Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ACUITY BRANDS INC-W/D USD AGILENT TECHNOLOGIES INC USD AMERICAN WATER WORKS CO INC USD BORGWARNER INC USD CLEAN HARBORS INC USD DANAHER CORP USD EMERSON ELECTRIC CO USD HUBBELL INC -CL B USD IDEX CORP USD ITRON INC USD LKQ CORP USD PALL CORP USD PENTAIR LTD-REGISTERED USD PERKINELMER INC USD QUANTA SERVICES INC USD REGAL BELOIT CORP USD REPUBLIC SERVICES INC USD ROPER INDUSTRIES INC USD SCHNITZER STEEL INDS INC USD VALMONT INDUSTRIES USD WATTS WATER TECHNOLOGIE USD XYLEM INC USD Japan HORIBA LTD JPY KURITA WATER INDUSTRIES LTD JPY MURATA MANUFACTURING CO LTD JPY RINNAI CORP JPY SEKISUI CHEMICAL CO LTD JPY SMC CORP JPY Germany GEA GROUP AG EUR INFINEON TECHNOLOGIES AG EUR LINDE AG EUR United Kingdom DELPHI AUTOMOTIVE PLC USD IMI SHS GBP PENNON GROUP PLC GBP SEVERN TRENT PLC GBP France ALSTOM EUR SCHNEIDER ELECTRIC SA EUR SUEZ ENVIRONNEMENT SA EUR Cayman Islands ENN ENERGY HOLDINGS LTD HKD LEE & MAN PAPER MANUFACTURING LTD HKD Switzerland ABB LTD CHF Finland KEMIRA OYJ EUR Hong Kong BEIJING ENTERPRISES HOLDINGS HKD Belgium UMICORE EUR Taiwan EPISTAR TWD China HUANENG RENEWABLES CORP - H HKD Brazil CIA SANEAMENTO BASICO DE ADR 1SH USD Ireland KINGSPAN GROUP PLC EUR Total securities portfolio Page 189

192 Green Tigers Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Taiwan DELTA ELECTRONIC INDUSTRIAL CO TWD EPISTAR TWD EVERLIGHT ELECTRONICS CO LTD TWD GIANT MANUFACTURING TWD MERIDA INDUSTRY CO LTD TWD MOTECH INDUSTRIES INC TWD RADIANT OPTO-ELECTRONICS COR TWD SIMPLO TECHNOLOGY CO LTD TWD TAIWAN GLASS IND CORP TWD TAIWAN SEMICONDUCTOR MANUFACTURING CO LTD TWD UNITED MICROELECTRONICS CORP TWD Hong Kong BEIJING ENTERPRISES HOLDINGS HKD CHINA EVERBRIGHT INTERNATIONAL LTD HKD CHINA GAS HOLDINGS LTD HKD CIMC ENRIC HOLDINGS LTD HKD GUANGDONG INVESTMENT LTD HKD HANERGY SOLAR GROUP LTD HKD HONG KONG & CHINA GAS HKD MTR CORP HKD XINYI SOLAR HOLDINGS LTD HKD China CHAOWEI POWER HOLDINGS LTD H HKD CHINA DATANG CORP RENEWABL H HKD CHINA RAILWAY CONSTRUCTION H HKD CHINA RAILWAY GROUP LTD - H HKD CHINA SINGYES SOLAR TECH - H HKD CHINA SUNTIEN GREEN ENERGY - H HKD CSR CORP LTD - H HKD DONGFANG ELECTRIC CORP LTD - H HKD FIRST TRACTOR CO - H HKD GCL-POLY ENERGY HOLDINGS LTD HKD GUANGSHEN RAILWAY CO LTD - H HKD HOLLYSYS AUTOMATION TECHNOLO USD HUANENG RENEWABLES CORP - H HKD SHANGHAI ELECTRIC GROUP CO LTD - H HKD TRINA SOLAR LIMITE USD YINGLI GREEN ENERGY HOLDING CO LTD-ADR USD ZHUZHOU CSR TIMES ELECTRIC - H HKD South Korea CELLTRION INC KRW DUKSAN HI-METAL CO LTD KRW LG DISPLAY CO LTD KRW LG ELECTRONICS INC KRW OCI CO LTD KRW SAMSUNG SDI CO LTD KRW SEOUL SEMICONDUCTOR CO LTD KRW Cayman Islands ASM PACIFIC TECHNOLOGY LTD HKD CHINA HIGH SPEED TRANSMISSION HKD CHINA METAL RECYCLING HKD ENN ENERGY HOLDINGS LTD HKD LEE & MAN PAPER MANUFACTURING LTD HKD TIANNENG POWER INTL HKD TOWNGAS CHINA CO LTD HKD XINYI GLASS HOLDINGS LTD HKD Bermuda BEIJING ENTERPRISES WATER GR HKD CHINA RESOURCES GAS GROUP LTD HKD CHINA WATER AFFAIRS GROUP HKD Philippines ENERGY DEVELOPMENT CORP PHP MANILA WATER COMPANY PHP Thailand BTS GROUP HOLDINGS PCL THB India PETRONET LNG LTD INR Other transferable securities Options, Warrants, Rights BTS GROUP HOLDINGS PCL CW 01/11/2018 BTS G THB Total securities portfolio Page 190

193 Money Market Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Floating rate bonds Ireland INTESA SANP IRL 14-24/02/2015 FRN EUR Other transferable securities Floating rate bonds France CREDIT DU NORD SA 13-10/07/2015 FRN EUR Money Market Instruments France ABN AMRO BANK EONIA+0.310% /09/2014 CD EUR BANQUE FEDER EONIACAP+0.290% /10/2014 CD EUR BANQUE FEDER EONIACAP+0.310% /11/2014 CD EUR BANQUE FEDERATI EONIA+0.210% /06/2014 CD EUR BANQUE POSTALE EONIACAP+0.130% 28/07/2014 CD EUR BARCLAYS BANK EONIACAP+0.300% /11/2014 CD EUR BARCLAYS BANK EONIACAP+0.370% /12/2014 CD EUR BARCLAYS BANK P EONIA+0.310% /07/2014 CD EUR BNP PARIBAS EONIA+0.310% /08/2014 CD EUR BNP PARIBAS EONIACAP+0.360% /01/2015 CD EUR BPCE SA EONIA+0.350% 03/11/2014 CD EUR BRED BANQUE POPULAIRE 0.180% /03/2014 CD EUR CAISSE REGIONALE EONIA+0.330% /08/2014 CD EUR CAISSE REGIONALE EONIACAP+0.400% 13/02/2015 CD EUR CREDIT AGRIC EONIACAP+0.320% /10/2014 CD EUR CREDIT AGRICO EONIACAP+0.400% /02/2015 CD EUR CREDIT AGRICOLE EONIA+0.310% /09/2014 CD EUR CREDIT AGRICOLE SA 0.040% /03/2014 CD EUR CREDIT DU NORD EONIACAP+0.330% /10/2014 CD EUR CREDIT INDUSTRIEL EONIACAP+0.290% 01/10/2014 CD EUR CREDIT INDUSTRIEL EONIACAP+0.290% 01/10/2014 CD EUR CREDIT INDUSTRIEL EONIACAP+0.310% 03/11/2014 CD EUR CREDIT LYONNAIS EONIA+0.320% /09/2014 CD EUR CREDIT LYONNAIS EONIACAP+0.320% 13/11/2014 CD EUR NATIXIS EONIA+0.330% 05/08/2014 CD EUR NATIXIS EONIA+0.350% 01/09/2014 CD EUR NATIXIS EONIACAP+0.410% /01/2015 CD EUR PALATINE SA 0.000% 13/04/2014 CD EUR SOCIETE GENERALE EONIACAP+0.385% 02/02/2015 CD EUR Italy INTESA SANPAOLO SPA 0.000% /04/2014 CD EUR ITALY BOTS 13-14/07/2014 EUR ITALY BOTS 0.000% 13-14/04/2014 EUR ITALY BOTS 0.000% 14-30/06/2014 EUR ITALY BOTS 0.000% 14-31/07/2014 EUR The Netherlands IBERDROLA INTERNATIONA 0.000% /04/2014 ECP EUR ING BANK NV EONIACAP+0.350% /11/2014 CD EUR ING BANK NV EONIACAP+0.380% /01/2015 CD EUR ING BANK NV EONIACAP+0.390% /02/2015 CD EUR INTERNATIONAL ENDESA B 0.000% /03/2014 ECP EUR RABOBANK NEDERLAND EONIA+0.230% 02/09/2014 CD EUR Belgium BNP PARIBAS FORTIS SA 0.000% /02/2015 CD EUR VOLKSWAGEN GROUP SERVI 0.000% /08/2014 ECP EUR United Kingdom ABN AMRO BANK EONIACAP+0.350% /02/2015 CD CREDIT AGRICOLE EONIA+0.310% /09/2014 CD CREDIT SUISSE A EURIB+0.240% /01/2015 CD EUR EUR EUR Cayman Islands CAISSE CENTRALE EONIACAP+0.290% 01/10/2014 CD EUR CAISSE CENTRALE EONIACAP+0.310% 03/11/2014 CD EUR MORBIHAN(CAISSE EONIA /05/2014 CD EUR Luxembourg ENEL FINANCE INTERNATI 0.000% /03/2014 ECP EUR Shares/Units in investment funds France BNP PARIBAS INVEST 3 MOIS FCP EUR BNP PARIBAS MONEY 3M - IC EUR Luxembourg BNP PARIBAS INSTICASH MONEY 3M EUR - I - CAP EUR Total securities portfolio Page 191

194 Money Market USD Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America BANK OF AMERICA CORP 7.375% /05/2014 USD Money Market Instruments United States of America ABN AMRO FUND 0.000% /03/2014 USD ABN AMRO FUND 0.000% /05/2014 USD ALLIANCEBERNSTEIN 0.000% /03/2014 USD APACHE CORP 0.000% 14-03/03/2014 USD AXA FINANCIAL 0.000% 14-04/06/2014 USD AXA FINANCIAL 0.000% 14-19/05/2014 USD AXA FINANCIAL 0.000% 14-31/03/2014 USD BANK NOVA SCO NY 0.000% /04/2014 USD BANK OF AMERICA 0.190% /04/2014 USD BANK OF AMERICA NA 0.250% /06/2014 ECP USD BANK OF TOKYO MITSUBISHI 0.240% /04/2014 ECP USD CONS EDISON INC 0.000% /03/2014 USD CRED SUIS NY 0.000% 13-01/05/2014 USD CRED SUIS NY 0.000% 13-09/04/2014 USD CRED SUIS NY 0.500% 13-09/06/2014 USD CREDIT AGRI CIB 0.260% /03/2014 USD CREDIT AGRI CIB 0.260% /04/2014 USD CREDIT AGRI CIB 0.310% /06/2014 USD CREDIT AGRI CIB 0.310% /07/2014 USD DEUTSCHE BANK NY 0.240% /05/2014 USD DEUTSCHE BK FIN 0.000% /05/2014 USD DEUTSCHE BK FIN 0.000% /03/2014 USD DEVON ENERGY CORP 0.000% /04/2014 ECP USD DEVON ENERGY CORP 0.000% /04/2014 USD DOMINION RESOUR 0.000% /04/2014 USD ENBRIDGE US INC 0.000% /03/2014 USD ENBRIDGE US INC 0.000% /03/2014 USD ING (US) FUNDING 0.000% /03/2014 USD ING (US) FUNDING 0.000% /04/2014 USD ING (US) FUNDING 0.000% /04/2014 USD ING (US) FUNDING 0.000% /05/2014 USD ING (US) FUNDING 0.000% /04/2014 USD ING (US) FUNDING 0.000% /04/2014 USD JP MORGAN SEC LL 0.000% /04/2014 USD KINDER MORGAN EN 0.000% /03/2014 USD MITSUB UFJ T&B 0.400% 13-07/03/2014 USD MIZUHO BANK LTD 0.210% /03/2014 USD MIZUHO BANK LTD 0.220% /05/2014 USD MIZUHO BANK LTD/NY 0.000% /04/2014 ECP USD MIZUHO FUNDING 0.000% /05/2014 USD NATIXIS NY 0.250% 14-21/05/2014 USD NATIXIS NY 0.270% 14-16/05/2014 USD NATIXIS US FIN 0.000% 14-05/05/2014 USD NORINCHUKIN NY 0.210% /04/2014 USD NORINCHUKIN NY 0.220% /04/2014 USD NORINCHUKIN NY 0.220% /05/2014 USD ONEOK PARTNERS 0.000% /03/2014 USD PRUDENTIAL FINANCIAL 0.000% /03/2014 USD PRUDENTIAL FINANCIAL 0.000% /03/2014 USD PRUDENTIAL FINANCIAL 0.000% /04/2014 USD PRUDENTIAL FINANCIAL 0.000% /05/2014 USD SMBC NY 0.210% 14-14/05/2014 USD SOC GEN N AMER 0.000% /04/2014 USD SOC GEN N AMER 0.000% /05/2014 USD SOC GEN N AMER 0.000% /05/2014 USD SOC GEN N AMER 0.000% /05/2014 USD SOC GENERALE NY 0.650% /07/2014 USD STANDARD CHARTERED 0.000% /03/2014 USD STANDARD CHARTERED 0.000% /06/2014 USD STANDARD CHARTERED 0.260% /03/2014 ECP USD STANDARD CHARTERED NY 0.300% /03/2014 USD Sweden NORDEA BANK AB 0.000% /04/2014 USD NORDEA BANK AB 0.000% /03/2014 USD NORDEA BANK AB 0.000% /04/2014 USD SBAB BANK AB 0.000% 13-05/03/2014 USD SBAB BANK AB 0.000% 13-10/03/2014 USD SBAB BANK AB 0.000% 13-14/03/2014 USD SBAB BANK AB 0.000% 14-08/05/2014 USD SKANDI ENSK BANK 0.000% /04/2014 USD SKANDI ENSK BANK 0.000% /06/2014 USD France BPCE 0.000% 14-01/05/2014 USD BPCE 0.000% 14-02/06/2014 USD DEXIA CREDIT LOCAL 0.000% /08/2014 ECP USD DEXIA CREDIT LOCAL SA 0.000% /06/2014 ECP USD Canada BANK NOVA SC HOU 0.200% /05/2014 USD CAISSE CENT DESJ 0.000% /04/2014 USD CAISSE CENT DESJ 0.000% /06/2014 USD Japan SMBC NY 0.220% 14-05/06/2014 USD SMBC NY 0.220% 14-25/04/2014 USD SMBC NY 0.220% 14-28/04/2014 USD SUMITOMO MITSUI BAN 0.210% /05/2014 ECP USD Page 192

195 Money Market USD Expressed in USD Belgium GDF SUEZ 0.000% 13-25/03/2014 USD GDF SUEZ 0.000% 14-22/04/2014 USD GDF SUEZ 0.000% 14-27/05/2014 USD Cayman Islands NORINCHUKIN BANK 0.220% /03/2014 ECP USD NORINCHUKIN BANK NY 0.240% /03/2014 ECP USD United Kingdom ASB FINANCE LTD 0.000% /03/2014 USD Australia MIZUHO BANK LTD 0.220% /04/2014 ECP USD Germany DEUTSCHE BANK AG 0.630% /03/2014 USD Total securities portfolio Page 193

196 Multi-Strategy Low Vol Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America BB&T CORP USD JPMORGAN CHASE AND CO USD PNC FINANCIAL SERVICES GROUP USD US BANCORP USD WELLS FARGO & CO USD Germany DEUTSCHE WOHNEN AGBEARERPORT EUR DEUTSCHE WOHNEN AG-NEW EUR LEG IMMOBILIEN AG EUR TAG IMMOBILIEN AG EUR Luxembourg GAGFAH SA EUR Options, Warrants, Rights ( ) (0.15) CALL AUST AND NZ BANKING G (43) 26/06/ AUD (88 134) (0.09) 27 CALL CAC 40 INDEX 17/04/ EUR CALL COMMONWEALTH BANK OF (17) 26/06/ AUD (82 927) (0.09) CALL DJ EURO STOXX 50 - OP /03/ EUR CALL DJ EURO STOXX 50 - OP (206) 21/03/ EUR (30 900) (0.03) CALL DJ EURO STOXX 50 - OP /03/ EUR CALL FTSE 100 INDEX 17/04/ GBP CALL FTSEMIB INDEX - FTSE 21/03/ EUR CALL FTSEMIB INDEX - FTSE 21/03/14 (32) EUR (3 200) 0.00 CALL HANG SENG INDEX 28/03/ HKD CALL IBEX MINI INDEX 17/04/ EUR CALL IBEX MINI INDEX 17/04/14 (106) EUR (1 272) 0.00 CALL IBEX MINI INDEX 21/03/ EUR CALL IBEX MINI INDEX 21/03/14 (213) EUR (213) 0.00 CALL NATIONAL AUSTRALIA BA (40) 26/06/ AUD (88 114) (0.09) 2 CALL NIKKEI 225 (OSE) 13/06/ JPY CALL NIKKEI 225 (OSE) 14/03/ JPY (16) CALL NIKKEI 225 (OSE) 14/03/ JPY (114) 0.00 CALL WESTPAC BANKING CORP (42) 26/06/ AUD (89 350) (0.09) (12) PUT CHI AUD / USD 07/03/14 85 USD (130) 0.00 Other transferable securities Total securities portfolio Options, Warrants, Rights OPTPAR415042GS -C USD/CAD ( ) OPTPAR415043GS -C USD/CAD OPTPARM15041GS -C USD/CAD OPTPARM30056BN -C EUR/JPY OPTPARM430054BN -C EUR/JPY ( ) OPTPRMA430055BN -C EUR/JPY USD (32 162) (0.03) USD USD EUR EUR (76 922) (0.08) EUR Money Market Instruments France BANQUE FEDERATIVE DU CR 0.000% /05/2014 CD EUR BNP PARIBAS 0.000% 02/12/2014 CD EUR BPCE SA 0.000% 13/05/2014 CD EUR CREDIT AGRICOLE CIB 0.000% /05/2014 CD EUR CREDIT AGRICOLE CON FIN 0.000% /05/2014 CD EUR CREDIT AGRICOLE SA 0.000% /05/2014 CD EUR CREDIT DU NORD EONIA+0.150% /06/2014 CD EUR FRENCH BTF 0.000% 13-13/03/2014 EUR FRENCH BTF 0.000% 13-15/05/2014 EUR FRENCH BTF 0.000% 13-27/03/2014 EUR FRENCH BTF 0.000% 13-28/05/2014 EUR FRENCH BTF 0.000% 13-30/04/2014 EUR NATIXIS 0.000% 03/04/2014 CD EUR SOCIETE GENERALE 0.000% /05/2014 CD EUR UNICREDITO ITALIANO SPA 0.000% /05/2014 CD EUR Belgium BELGIUM T-BILL 0.000% 13-13/03/2014 EUR BELGIUM T-BILL 0.000% 13-15/05/2014 EUR United Kingdom BARCLAYS BANK PLC 0.000% /04/2014 CD EUR ROYAL BANK OF SCOTLAND 0.000% /04/2014 ECP EUR Italy INTESA SANPAOLO SPA 0.000% /05/2014 CD EUR Shares/Units in investment funds France BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS EURO LONG VOL - P EUR EASYETF S-BOX BNP PRB GL AGR EUR LYXOR ETF MSCI EMERGING MKTS A- EUR Luxembourg BNP PARIBAS INSTICASH EUR - I CAP EUR DB X-TRACKERS DBLCI-OY BALAN C-CAP EUR United States of America IPATH S+P 500 VIX M/T FU ETN USD Page 194

197 Multi-Strategy Medium Vol Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America BB&T CORP USD JPMORGAN CHASE AND CO USD PNC FINANCIAL SERVICES GROUP USD US BANCORP USD WELLS FARGO & CO USD Germany DEUTSCHE WOHNEN AGBEARERPORT EUR DEUTSCHE WOHNEN AG-NEW EUR LEG IMMOBILIEN AG EUR TAG IMMOBILIEN AG EUR Luxembourg GAGFAH SA EUR Floating rate bonds The Netherlands RABOBANK 13-13/03/2014 FRN EUR Options, Warrants, Rights ( ) (1.07) CALL AUST AND NZ BANKING G (82) 26/06/ AUD ( ) (0.48) 42 CALL CAC 40 INDEX 17/04/ EUR CALL COMMONWEALTH BANK OF (33) 26/06/ AUD ( ) (0.46) CALL DJ EURO STOXX 50 - OP /03/ EUR CALL DJ EURO STOXX 50 - OP (316) 21/03/ EUR (47 400) (0.13) CALL DJ EURO STOXX 50 - OP /03/ EUR CALL FTSE 100 INDEX 17/04/ GBP CALL FTSEMIB INDEX - FTSE 21/03/ EUR CALL FTSEMIB INDEX - FTSE 21/03/14 (51) EUR (5 100) (0.01) CALL HANG SENG INDEX 28/03/ HKD CALL IBEX MINI INDEX 17/04/ EUR CALL IBEX MINI INDEX 17/04/14 (167) EUR (2 004) (0.01) CALL IBEX MINI INDEX 21/03/ EUR CALL IBEX MINI INDEX 21/03/14 (334) EUR (334) 0.00 CALL NATIONAL AUSTRALIA BA (77) 26/06/ AUD ( ) (0.48) 4 CALL NIKKEI 225 (OSE) 13/06/ JPY CALL NIKKEI 225 (OSE) 14/03/ JPY (27) CALL NIKKEI 225 (OSE) 14/03/ JPY (192) 0.00 CALL WESTPAC BANKING CORP (81) 26/06/ AUD ( ) (0.49) (22) PUT CHI AUD / USD 07/03/14 85 USD (239) 0.00 Other transferable securities Options, Warrants, Rights OPTMEDV15041GS -C USD/CAD OPTMEDV15042GS -C USD/CAD ( ) OPTMEDV15043GS -C USD/CAD OPTMEDV30056BN -C EUR/JPY OPTMEDVL30055BN -C EUR/JPY OPTMEDVO30054BN -C EUR/JPY ( ) USD USD (50 427) (0.14) USD EUR EUR EUR ( ) (0.33) Money Market Instruments France FRENCH BTF 0.000% 13-15/05/2014 EUR FRENCH BTF 0.000% 13-27/03/2014 EUR FRENCH BTF 0.000% 14-07/05/2014 EUR FRENCH BTF 0.000% 14-24/04/2014 EUR Belgium BELGIUM T-BILL 0.000% 13-13/03/2014 EUR BELGIUM T-BILL 0.000% 13-17/04/2014 EUR Shares/Units in investment funds France BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR BNP PARIBAS EURO LONG VOL - P EUR EASYETF S-BOX BNP PRB GL AGR EUR LYXOR ETF MSCI EMERGING MKTS A- EUR Luxembourg BNP PARIBAS INSTICASH EUR - I CAP EUR DB X-TRACKERS DBLCI-OY BALAN C-CAP EUR United States of America IPATH S+P 500 VIX M/T FU ETN USD Total securities portfolio Page 195

198 Multi-Strategy Medium Vol (USD) Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America BB&T CORP USD JPMORGAN CHASE AND CO USD PNC FINANCIAL SERVICES GROUP USD US BANCORP USD WELLS FARGO & CO USD Germany DEUTSCHE WOHNEN AGBEARERPORT EUR DEUTSCHE WOHNEN AG-NEW EUR LEG IMMOBILIEN AG EUR TAG IMMOBILIEN AG EUR Luxembourg GAGFAH SA EUR Options, Warrants, Rights ( ) (1.09) CALL AUST AND NZ BANKING G (159) 26/06/ AUD ( ) (0.48) 80 CALL CAC 40 INDEX 17/04/ EUR CALL COMMONWEALTH BANK OF (65) 26/06/ AUD ( ) (0.47) CALL DJ EURO STOXX 50 - OP /03/ EUR CALL DJ EURO STOXX 50 - OP (602) 21/03/ EUR ( ) (0.13) CALL DJ EURO STOXX 50 - OP /03/ EUR CALL FTSE 100 INDEX 17/04/ GBP CALL FTSEMIB INDEX - FTSE 21/03/ EUR CALL FTSEMIB INDEX - FTSE 21/03/14 (95) EUR (13 121) (0.01) CALL HANG SENG INDEX 28/03/ HKD CALL IBEX MINI INDEX 17/04/ EUR CALL IBEX MINI INDEX 17/04/14 (313) EUR (5 188) (0.01) CALL IBEX MINI INDEX 21/03/ EUR CALL IBEX MINI INDEX 21/03/14 (626) EUR (865) 0.00 CALL NATIONAL AUSTRALIA BA (148) 26/06/ AUD ( ) (0.48) 8 CALL NIKKEI 225 (OSE) 13/06/ JPY CALL NIKKEI 225 (OSE) 14/03/ JPY (50) CALL NIKKEI 225 (OSE) 14/03/ JPY (490) 0.00 CALL WESTPAC BANKING CORP (156) 26/06/ AUD ( ) (0.49) (43) PUT CHI AUD / USD 07/03/14 85 USD (645) 0.00 Other transferable securities Options, Warrants, Rights OPTPARM15042GS -C USD/CAD ( ) OPTPARM15043GS -C USD/CAD OPTPARMA30054BN -C EUR/JPY ( ) OPTPARU15041GS -C USD/CAD OPTPARU30056BN -C EUR/JPY OPTPMAUS30055BN -C EUR/JPY USD ( ) (0.14) USD EUR ( ) (0.32) USD EUR EUR Money Market Instruments United States of America US TREASURY BILL 0.000% /03/2014 US TREASURY BILL 0.000% /05/2014 US TREASURY BILL 0.000% /03/2014 US TREASURY BILL 0.000% /03/2014 US TREASURY BILL 0.000% /04/2014 US TREASURY BILL 0.000% /03/2014 USD USD USD USD USD USD Germany FMS WERTMANAGEMENT 0.000% /05/2014 ECP USD Shares/Units in investment funds Luxembourg BNP PARIBAS INSTICASH FUND USD I - CAP USD DB X-TRACKERS DBLCI-OY BALAN C-CAP EUR France BNP PARIBAS EURO LONG VOL - P EUR EASYETF S-BOX BNP PRB GL AGR EUR LYXOR ETF MSCI EMERGING MKTS A- EUR United States of America IPATH S+P 500 VIX M/T FU ETN USD Total securities portfolio Page 196

199 Opportunities USA Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America ALLIED NEVADA GOLD CORP USD APACHE CORP USD APPLIED MATERIALS INC USD ARCHER DANIELS MIDLAND CO USD AVNET INC USD BECTON DICKINSON & CO USD CA INC USD COEUR D ALENE MINES CORP USD COLGATE-PALMOLIVE CO USD COMPUTER SCIENCES CORP USD CORNING INC USD DEVON ENERGY CORPORATION USD EMC CORP USD HARRIS CORP USD HECLA MINING CO USD HELMERICH & PAYNE INC USD INTL BUSINESS MACHINES CORP USD JOY GLOBAL INC USD MOSAIC CO/THE-WI USD NEWMONT MINING CORP USD PEABODY ENERGY CORP USD SOTHEBYS USD TERADYNE INC USD TEXAS PACIFIC LAND TRUST USD Canada AGNICO EAGLE MINES LTD USD BARRICK GOLD CORP USD CAMECO CORP USD DETOUR GOLD CORP CAD GOLDCORP INC CAD GOLDCORP INC USD GOLDEN STAR RESOURCES LTD USD IAMGOLD CORPORATION USD KINROSS GOLD CORP USD LAKE SHORE GOLD CORP CAD NOVAGOLD RESOURCES INC USD PAN AMERICAN SILVER CORP USD SILVER STANDARD RESOURCES INC USD Bermuda BUNGE LTD USD Curacao SCHLUMBERGER LTD USD The Netherlands CHICAGO BRIDGE & IRON-NY SHR USD Switzerland TRANSOCEAN LTD USD Shares/Units in investment funds France NEUFLIZE FIXED INCOME USD USD Total securities portfolio Page 197

200 Opportunities World Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America M CO USD ALLERGAN INC USD AMAZON.COM INC USD AMETEK USD APPLE INC USD CELGENE CORP USD COLGATE-PALMOLIVE CO USD DANAHER CORP USD DIRECTV USD DISCOVERY COMMUNICATIONS - A USD EMC CORP USD ESTEE LAUDER CO INC - A USD EXPRESS SCRIPTS INC USD FACEBOOK INC - A USD GOOGLE INC - A USD HERSHEY CO/THE USD HOME DEPOT INC USD INTL BUSINESS MACHINES CORP USD INTUIT INC USD LINKEDIN CORP - A USD MCKESSON CORP USD ORACLE CORP USD PEPSICO INC USD PHILIP MORRIS INTERNATIONAL USD PRICELINE.COM INC USD QUALCOMM INC USD SALESFORCE.COM INC USD SAMSONITE INTERNATIONAL SA HKD SANDISK CORP USD SBA COMMUNICATIONS CORP USD SERVICENOW INC USD STRATASYS LTD USD SYMANTEC CORP USD TARGET CORP USD UNION PACIFIC CORP USD UNITED TECHNOLOGIES CORP USD VEEVA SYSTEMS INC - CLASS A USD VERIZON COMMUNICATIONS INC USD VMWARE INC - A USD XILINX INC USD YAHOO INC USD YUM BRANDS INC USD United Kingdom ARM HOLDINGS PLC GBP BG GROUP PLC GBP CENTRICA PLC GBP HSBC HOLDINGS GBP RIO TINTO PLC ORD GBP TESCO PLC GBP Cayman Islands HENGAN INTL GROUP CO LTD HKD HOME INNS & HOTELS MANAG-ADR USD JU TENG INTERNATIONAL HOLDINGS HKD KAISA GROUP HOLDINGS LTD HKD MELCO CROWN ENTERTAINME ADR USD NETEASE.COM INC-ADR USD SANDS CHINA LTD HKD SINA CORP USD TENCENT HOLDINGS LTD HKD ZHEN DING TECHNOLOGY HOLDING TWD South Korea COSMAX INC KRW COWAY CO LTD KRW GS RETAIL CO LTD KRW HANJIN KAL CORP KRW HYUNDAI MOTOR CO LTD KRW INTERPARK CORPORATION KRW NAVER CORP KRW NCSOFT CORP KRW SHINSEGAE CO LTD KRW The Netherlands AKZO NOBEL NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD EUR Japan SOFTBANK CORP JPY Germany CONTINENTAL AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR Austria ANDRITZ AG EUR ERSTE GROUP BANK AG EUR Taiwan CATCHER TECHNOLOGY CO LTD TWD HON HAI PRECISION INDUSTRY TWD LARGAN PRECISION CO LTD TWD MEDIATEK INC TWD Spain BANCO BILBAO VIZCAYA ARGENTA EUR MEDIASET ESPANA COMUNICACION EUR France COMPAGNIE DE SAINT GOBAIN EUR TECHNIP SA EUR Sweden ARCAM SHS SEK ERICSSON LM - B SHS SEK TELIASONERA AB SEK China BEIJING CAPITAL INTL AIRPO - H HKD CHINA EASTERN AIRLINES CO - H HKD CHINA MODERN DAIRY HOLDINGS HKD GREAT WALL MOTOR COMPANY - H HKD QUNAR CAYMAN ISLANDS LTD-ADR USD SOUFUN HOLDINGS LTD - ADR USD YOUKU.COM INC-SPON ADR USD Ireland ACCENTURE PLC - A USD COVIDIEN PLC USD FLEETMATICS GROUP PLC USD Norway DNB ASA NOK TELENOR ASA NOK Page 198

201 Opportunities World Expressed in EUR Denmark CARLSBERG AS - B DKK Italy ENI SPA EUR Israel CHECK POINT SOFTWARE TECHNOLOGIE USD Hong Kong CATHAY PACIFIC AIRWAYS HKD CHINA OVERSEAS LAND & INVEST HKD CHINA RESOURCES ENTERPRISE LTD HKD Philippines MELCO CROWN PHILIPPINES RESO PHP PUREGOLD PRICE CLUB INC PHP Bermuda BRILLIANCE CHINA AUTOMOTIVE HKD GOME ELECTRICAL APPLIANCES HKD Indonesia GUDANG GARAM TBK PT IDR MATAHARI DEPARTMENT STORE TB IDR Russia MEGAFON-GDR-WI USD Malaysia GENTING MALAYSIA BHD MYR Thailand CENTRAL PLAZA HOTEL PCL-FRGN THB India TATA MOTORS LTD-SPON ADR USD Total securities portfolio Page 199

202 Real Estate Securities Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares France FONCIERE DES REGIONS EUR GECINA SA EUR ICADE EUR KLEPIERRE EUR MERCIALYS EUR STE DE LA TOUR EIFFEL EUR UNIBAIL RODAMCO SE EUR United Kingdom BIG YELLOW GROUP GBP BRITISH LAND COMPANY PLC GBP CAPITAL + COUNTIES PROPERTIE GBP DERWENT LONDON PLC GBP GRAINGER TRUST GBP GREAT PORTLAND ESTATES PLC GBP HAMMERSON PLC GBP LAND SECURITIES GROUP PLC GBP SAFESTORE HOLINDS LTD GBP SEGRO PLC GBP UNITE GROUP PLC GBP Sweden CASTELLUM AB SEK FABEGE SEK FASTIGHETS AB BALDER - B SHS SEK KUNGSLEDEN AB SEK WIHLBORGS FASTIGHETER SEK The Netherlands CORIO NV EUR EUROCOMMERCIAL PROPERTIE - CV EUR NIEUWE STEEN INVESTMENTS NV EUR VASTNED EUR WERELDHAVE NV EUR Germany ALSTRIA OFFICE REIT - AG EUR DEUTSCHE WOHNEN AGBEARERPORT EUR DEUTSCHE WOHNEN AG-NEW EUR LEG IMMOBILIEN AG EUR PRIME OFFICE AG EUR Finland CITYCON OYJ EUR SPONDA OYJ EUR TECHNOPOLIS OYJ EUR Switzerland PSP SWISS PROPERTY AG CHF SWISS PRIME SITE CHF Norway NORWEGIAN PROPERTY ASA NOK Jersey Island ATRIUM EUROPEAN REAL ESTATE EUR LXB RETAIL PROPERTIES GBP Italy BENI STABILI SPA EUR Austria IMMOFINANZ AG EUR Luxembourg GRAND CITY PROPERTIES EUR Total securities portfolio Page 200

203 Real Estate Securities Pacific Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Japan HEIWA REAL ESTATE REIT INC JPY INDUSTRIAL & INFRASTRUCTURE JPY JAPAN HOTEL REIT INVESTMENT JPY JAPAN REAL ESTATE INVESTMENT JPY MITSUBISHI ESTATE CO LTD JPY MITSUI FUDOSAN CO LTD JPY NIPPON BUILDING FUND INC JPY NOMURA REAL ESTATE MASTER FU JPY NTT URBAN DEVELOPMENT CORP JPY SUMITOMO REALTY & DEVELOPMENT JPY TOKYO TATEMONO CO LTD JPY Hong Kong HANG LUNG PROPERTIES LTD HKD HENDERSON LAND DEVELOPMENT HKD HYSAN DEVELOPMENT CO HKD LINK REIT HKD SINO LAND CO HKD SUN HUNG KAI PROPERTIES HKD SWIRE PROPERTIES LTD HKD WHARF HOLDINGS LTD HKD Australia ABACUS PROPERTY GROUP AUD CROMWELL PROPERTY GROUP AUD DEXUS PROPERTY GROUP AUD FEDERATION CENTRES AUD INVESTA OFFICE FUND AUD MIRVAC GROUP AUD WESTFIELD GROUP AUD WESTFIELD RETAIL TRUST AUD Singapore CAPITACOMMERCIAL TRUST SGD CAPITALAND LTD SGD CAPITAMALLS ASIA LTD SGD GLOBAL LOGISTIC PROPERTIES L SGD LIPPO MALLS INDONESIA RETAIL SGD RELIGARE HEALTH TRUST SGD Bermuda HONGKONG LAND HOLDINGS LTD USD KERRY PROPERTIES LTD HKD Philippines AYALA LAND INC PHP Total securities portfolio Page 201

204 Real Estate Securities World Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United States of America AMERICAN CAMPUS COMMUNITIES USD BOSTON PROPERTIES INC USD BRANDYWINE REALTY TRUST USD CAMDEN PROPERTY TRUST USD CBL & ASSOCIATES PROPERTIES USD COUSINS PROPERTIES INC USD CUBESMART USD DCT INDUSTRIAL TRUST INC USD DDR CORP USD DIAMONDROCK HOSPITALITY CO USD DIGITAL REALTY TRUST INC USD DOUGLAS EMMETT INC USD EASTGROUP PROPERTIES INC USD EXTRA SPACE STORAGE INC USD HERSHA HOSPITALITY TRUST USD HOST HOTELS & RESORTS INC USD KILROY REALTY CORP USD KIMCO REALTY CORP USD LASALLE HOTEL PROPERTIES USD LIBERTY PROPERTY TRUST USD MACERICH CO / THE USD MID-AMERICA APARTMENT COMM USD PEBBLEBROOK HOTEL TRUST USD PROLOGIS INC USD RAMCO-GERSHENSON PROPERTIES USD RLJ LODGING TRUST USD SIMON PROPERTY GROUP INC USD SL GREEN REALTY CORPORATION USD VENTAS INC USD Japan INDUSTRIAL & INFRASTRUCTURE JPY JAPAN HOTEL REIT INVESTMENT JPY JAPAN REAL ESTATE INVESTMENT JPY MITSUBISHI ESTATE CO LTD JPY MITSUI FUDOSAN CO LTD JPY NIPPON BUILDING FUND INC JPY NTT URBAN DEVELOPMENT CORP JPY SUMITOMO REALTY & DEVELOPMENT JPY TOKYO TATEMONO CO LTD JPY Hong Kong HANG LUNG PROPERTIES LTD HKD HENDERSON LAND DEVELOPMENT HKD HYSAN DEVELOPMENT CO HKD SINO LAND CO HKD SUN HUNG KAI PROPERTIES HKD SWIRE PROPERTIES LTD HKD WHARF HOLDINGS LTD HKD Singapore CAPITALAND LTD SGD CAPITAMALLS ASIA LTD SGD GLOBAL LOGISTIC PROPERTIES L SGD France FONCIERE DES REGIONS EUR GECINA SA EUR ICADE EUR STE DE LA TOUR EIFFEL EUR UNIBAIL RODAMCO SE EUR Australia CROMWELL PROPERTY GROUP AUD DEXUS PROPERTY GROUP AUD FEDERATION CENTRES AUD MIRVAC GROUP AUD WESTFIELD GROUP AUD WESTFIELD RETAIL TRUST AUD The Netherlands CORIO NV EUR NIEUWE STEEN INVESTMENTS NV EUR VASTNED EUR WERELDHAVE NV EUR United Kingdom DERWENT LONDON PLC GBP SEGRO PLC GBP Bermuda HONGKONG LAND HOLDINGS LTD USD KERRY PROPERTIES LTD HKD Finland CITYCON OYJ EUR SPONDA OYJ EUR TECHNOPOLIS OYJ EUR Germany LEG IMMOBILIEN AG EUR Norway NORWEGIAN PROPERTY ASA NOK Sweden CASTELLUM AB SEK Philippines AYALA LAND INC PHP Jersey Island LXB RETAIL PROPERTIES GBP Canada ALLIED PROPERTIES REAL ESTAT CAD Total securities portfolio Page 202

205 Step 80 World Emerging Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany ALLIANZ SE EUR BASF SE EUR BAYER AG EUR BAYERISCHE MOTOREN WERKE AG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE BANK AG EUR DEUTSCHE POST AG-REG EUR DEUTSCHE TELEKOM AG EUR E.ON AG EUR MUENCHENER RUECKVERS AG EUR RWE AG EUR SAP AG EUR SIEMENS AG EUR VOLKSWAGEN AG PFD EUR The Netherlands AIRBUS GROUP NV EUR FUGRO NV-CVA EUR ING GROEP NV EUR KONINKLIJKE KPN NV EUR KONINKLIJKE PHILIPS ELECTRONICS EUR POSTNL SHS EUR REED ELSEVIER NV EUR WOLTERS KLUWER NV EUR Belgium ANHEUSER - BUSCH INBEV SA EUR BELGACOM SA EUR Luxembourg ARCELORMITTAL EUR Options, Warrants, Rights CALL ISHARES MSCI EMERGING M /01/15 33 CALL ISHARES MSCI EMERGING M /01/15 36 USD USD Total securities portfolio Page 203

206 Step 90 Commodities (EUR) Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany ALLIANZ SE EUR BASF SE EUR BAYER AG EUR BAYERISCHE MOTOREN WERKE AG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE BANK AG EUR DEUTSCHE POST AG-REG EUR DEUTSCHE TELEKOM AG EUR E.ON AG EUR FRAPORT AG FRANKFURT AIRPORT EUR HANNOVER RUECKVERSICHERUNGS EUR MUENCHENER RUECKVERS AG EUR RWE AG EUR SAP AG EUR SIEMENS AG EUR VOLKSWAGEN AG PFD EUR The Netherlands ASML HOLDING NV EUR GEMALTO EUR ING GROEP NV EUR KONINKLIJKE PHILIPS ELECTRONICS EUR Spain BANCO BILBAO VIZCAYA ARGENTA EUR GAMESA CORP TECNOLOGICA SA EUR TELEFONICA SA EUR Luxembourg ARCELORMITTAL EUR France UNIBAIL RODAMCO SE EUR Other transferable securities Options, Warrants, Rights CALL DJUBS COMMODITY 16/01/ USD Shares/Units in investment funds Luxembourg BNP PARIBAS INSTICASH EUR - I CAP EUR Total securities portfolio Page 204

207 Step 90 Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares Germany ADIDAS AG EUR ALLIANZ SE EUR BASF SE EUR BAYER AG EUR BAYERISCHE MOTOREN WERKE AG EUR DAIMLER AG-REGISTERED SHARES EUR DEUTSCHE BANK AG EUR DEUTSCHE POST AG-REG EUR DEUTSCHE TELEKOM AG EUR DEUTSCHE WOHNEN AGBEARERPORT EUR E.ON AG EUR FRESENIUS SE & CO KGAA EUR HENKEL AG & CO KGAA VORZUG EUR MUENCHENER RUECKVERS AG EUR RWE AG EUR SAP AG EUR VOLKSWAGEN AG PFD EUR The Netherlands AIRBUS GROUP NV EUR ASML HOLDING NV EUR HEINEKEN NV EUR ING GROEP NV EUR KONINKLIJKE AHOLD EUR KONINKLIJKE DSM NV EUR KONINKLIJKE KPN NV EUR KONINKLIJKE PHILIPS ELECTRONICS EUR Belgium ANHEUSER - BUSCH INBEV SA EUR Luxembourg ARCELORMITTAL EUR Finland NOKIA OYJ EUR Portugal GALP ENERGIA SGPS SA - B EUR Spain IBERDROLA SA EUR Options, Warrants, Rights CALL DJ EURO STOXX 50 - OP /12/ CALL DJ EURO STOXX 50 - OP /12/ EUR EUR Shares/Units in investment funds France BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR Total securities portfolio Page 205

208 Step 90 US Expressed in USD Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Options, Warrants, Rights CALL S&P 500 INDEX - SPX 2 20/12/ CALL S&P 500 INDEX - SPX 19 20/12/ USD USD Money Market Instruments United States of America US TREASURY BILL 0.000% /05/2014 US TREASURY BILL 0.000% /03/2014 US TREASURY BILL 0.000% /03/2014 US TREASURY BILL 0.000% /05/2014 US TREASURY BILL 0.000% /04/2014 US TREASURY BILL 0.000% /07/2014 USD USD USD USD USD USD Total securities portfolio Page 206

209 Sustainable Bond Euro Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France ACCOR 2.500% 13-21/03/2019 EUR AIR LIQUIDE FIN 2.125% 12-15/10/2021 EUR AUTOROUTES PARIS 2.250% /01/2020 EUR AXA BANK EUROPE 1.875% /09/2019 EUR AXA BANK EUROPE 2.250% /04/2017 EUR BANQUE POPULAIRE CB 2.625% /06/2015 EUR BANQUE PSA FIN 0.625% /04/2016 EUR BNP PARIBAS HOME 3.375% /01/2017 EUR BPCE 1.750% 12-14/03/2016 EUR BPCE SFH 1.500% 12-28/02/2018 EUR CASINO GUICHARD 3.994% /03/2020 EUR CASINO GUICHARD 4.472% /04/2016 EUR CREDIT MUTUEL ARKEA 2.500% /06/2015 EUR CREDIT MUTUEL ARKEA 4.500% /04/2021 EUR CREDIT MUTUEL- CIC 1.125% /02/2019 EUR CSSE REFIN HYPOT 4.100% /10/2015 EUR CSSE REFIN L HAB 3.750% /02/2020 EUR EDENRED 3.625% 10-06/10/2017 EUR ELEC DE FRANCE 2.250% /04/2021 EUR ELEC DE FRANCE 5.625% /02/2033 EUR EUTELSAT SA 4.125% 10-27/03/2017 EUR FRANCE O.A.T % 13-25/05/2018 EUR FRANCE O.A.T % 12-25/10/2022 EUR FRANCE O.A.T % 10-25/10/2020 EUR FRANCE O.A.T % 12-25/10/2027 EUR FRANCE O.A.T % 05-25/04/2055 EUR FRANCE O.A.T % 06-25/10/2038 EUR FRANCE O.A.T % 07-25/10/2017 EUR FRANCE O.A.T % 04-25/04/2035 EUR FRENCH BTAN 2.500% 11-25/07/2016 EUR GECINA 4.500% 10-19/09/2014 EUR LA BANQUE POSTALE 1.875% /09/2020 EUR LA BANQUE POSTALE 4.375% /11/2020 EUR LA POSTE 4.500% 08-27/02/2018 EUR ORANGE 3.000% 12-15/06/2022 EUR R.A.T.P % 08-28/05/2018 EUR RCI BANQUE 4.000% 11-16/03/2016 EUR RCI BANQUE 4.250% 12-27/04/2017 EUR RCI BANQUE 5.625% 12-13/03/2015 EUR RESEAU FERRE FRANCE 4.450% /11/2017 EUR RESEAU FERRE FRANCE 5.000% /10/2033 EUR RTE EDF TRANSPORT 4.875% /05/2015 EUR SCHNEIDER ELECTRIC 3.750% /07/2018 EUR SOCIETE GENERALE 2.375% /07/2015 EUR SOCRAM BANQUE 2.125% /02/2016 EUR ST GOBAIN 3.500% 11-30/09/2015 EUR ST GOBAIN 3.625% 12-15/06/2021 EUR ST GOBAIN 4.750% 07-11/04/2017 EUR UNEDIC 0.375% 13-29/04/2016 EUR UNIBAIL RODAM SE 3.875% /12/2017 EUR VALEO SA 3.250% 14-22/01/2024 EUR VIVENDI SA 4.750% 11-13/07/2021 EUR Spain BANCO BILBAO VIZCAYA 3.500% /10/2020 EUR BANCO BILBAO VIZCAYA 3.625% /01/2017 EUR BANCO BILBAO VIZCAYA 3.875% /01/2023 EUR BANCO BILBAO VIZCAYA 4.000% /02/2025 EUR BANCO SANTANDER 2.875% /01/2018 EUR BANCO SANTANDER 3.625% /04/2017 EUR BANESTO 4.750% 12-24/01/2017 EUR BANKINTER SA 3.875% 12-30/10/2015 EUR BANKINTER SA 4.125% 12-22/03/2017 EUR BBVA SENIOR FIN 4.375% /09/2015 EUR CAIXABANK 4.000% 12-16/02/2017 EUR CAJA AHORROS 5.125% 11-27/04/2016 EUR CAJA GUIPUZCOA 5.125% /04/2015 EUR IBERDROLA FIN SA 3.500% /06/2015 EUR IBERDROLA FIN SA 4.750% /01/2016 EUR INSTIT CRDT OFCL 4.000% /04/2018 EUR INSTIT CRDT OFCL 4.375% /05/2019 EUR INSTIT CRDT OFCL 4.875% /07/2017 EUR INSTIT CRDT OFCL 6.000% /03/2021 EUR KUTXABANK 3.000% 13-01/02/2017 EUR LA CAIXA 4.750% 11-18/03/2015 EUR RED ELECTRICA FI 4.875% /04/2020 EUR TELEFONICA EMIS 3.987% /01/2023 EUR TELEFONICA EMIS 4.693% /11/2019 EUR TELEFONICA EMIS 4.750% /02/2017 EUR TELEFONICA EMIS 5.811% /09/2017 EUR Italy ASSICURAZIONI GENERALI 2.875% /01/2020 EUR CASSA DEPO PREST 2.375% /02/2019 EUR CASSA DEPO PREST 4.250% /09/2016 EUR EDISON SPA 3.250% 10-17/03/2015 EUR EDISON SPA 3.875% 10-10/11/2017 EUR FERROV DEL STATO 4.000% /07/2020 EUR INTESA SANPAOLO 3.500% /01/2022 EUR INTESA SANPAOLO 4.375% /10/2019 EUR INTESA SANPAOLO 4.750% /06/2017 EUR INTESA SANPAOLO 5.000% /01/2021 EUR POSTE ITALIANE 3.250% 13-18/06/2018 EUR TERNA SPA 2.875% 12-16/02/2018 EUR TERNA SPA 4.125% 12-17/02/2017 EUR TERNA SPA 4.750% 11-15/03/2021 EUR UNICREDIT SPA 3.000% 14-31/01/2024 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR UNICREDIT SPA 3.625% 13-24/01/2019 EUR Page 207

210 Sustainable Bond Euro Expressed in EUR UNIONE DI BANCHE 2.875% /02/2019 EUR UNIONE DI BANCHE 3.125% /10/2020 EUR UNIONE DI BANCHE 3.125% /02/2024 EUR Germany DEUTSCHE BAHN FIN 3.000% /03/2024 EUR DEUTSCHE BAHN FIN 3.750% /07/2025 EUR DEUTSCHE BOERSE 1.125% /03/2018 EUR DEUTSCHLAND 4.250% 08-04/07/2018 EUR DEUTSCHLAND REP 1.500% /09/2022 EUR DEUTSCHLAND REP 2.250% /09/2021 EUR DEUTSCHLAND REP 3.250% /01/2020 EUR DEUTSCHLAND REP 3.250% /07/2042 EUR DEUTSCHLAND REP 4.000% /01/2037 EUR DEUTSCHLAND REP 4.000% /07/2016 EUR DEUTSCHLAND REP 4.750% /07/2028 EUR FMS WERTMANAGE 2.750% /06/2016 EUR KFW 0.500% 12-25/07/2016 EUR KFW 1.125% 13-16/10/2018 EUR KFW 2.125% 13-15/08/2023 EUR KFW 3.125% 09-04/07/2016 EUR LB BADEN-WUERT 1.375% /06/2018 EUR NORDRHEIN-WEST 0.875% /12/2017 EUR Belgium BELFIUS BANK SA 1.250% /11/2017 EUR BELFIUS BANK SA 2.250% /09/2018 EUR BELGIAN % 09-28/03/2019 EUR BELGIAN % 10-28/03/2041 EUR BELGIAN % 11-28/09/2021 EUR BELGIAN 1.250% 13-22/06/2018 EUR BELGIAN RETAIL 2.250% /06/2023 EUR Supranational EFSF 1.750% 13-29/10/2020 EUR EIB 1.375% 13-15/11/2019 EUR EIB 2.500% 10-15/07/2015 EUR EIB 4.000% 05-15/10/2037 EUR EIB 4.500% 09-15/10/2025 EUR ESM 1.250% 13-15/10/2018 EUR The Netherlands ABN AMRO BANK NV 6.375% /04/2021 EUR DEUTSCHE TEL FIN 5.750% /04/2015 EUR DEUTSCHE TEL FIN 6.625% /03/2018 EUR IBERDROLA INTL 3.000% /01/2022 EUR IBERDROLA INTL 3.500% /02/2021 EUR IBERDROLA INTL 4.250% /10/2018 EUR LANXESS FINANCE 2.625% /11/2022 EUR NETHERLANDS GOVT 2.500% /01/2033 EUR RABOBANK 4.125% 12-14/09/2022 EUR RABOBANK 4.250% 07-16/01/2017 EUR RABOBANK 4.375% 06-07/06/2021 EUR REPSOL INTL FIN 2.625% /05/2020 EUR United Kingdom ABBEY NATIONAL TREASURY % 14-14/01/2019 ABBEY NATIONAL TREASURY % 10-20/10/2015 CREDIT AGRICOLE 3.625% /03/2016 CREDIT AGRICOLE 3.900% /04/2021 CREDIT AGRICOLE 5.875% /06/2019 LLOYDS TSB BANK 6.500% /03/2020 EUR EUR EUR EUR EUR EUR Finland FINNISH GOVT 1.125% 13-15/09/2018 EUR FINNISH GOVT 1.500% 13-15/04/2023 EUR NORDEA BANK FIN 2.375% /07/2017 EUR Ireland ESB FINANCE LTD 4.375% /11/2019 EUR FGA CAPITAL IRE 2.875% /01/2018 EUR IBERDROLA INTL 4.500% /09/2017 EUR IRISH GOVT 3.400% 14-18/03/2024 EUR IRISH GOVT 5.900% 09-18/10/2019 EUR Austria ASFINAG 3.375% 10-22/09/2025 EUR REPUBLIC OF AUSTRIA 3.650% /04/2022 EUR REPUBLIC OF AUSTRIA 4.150% /03/2037 EUR Sweden SKANDINAVISKA ENSKILDA 1.625% /11/2020 EUR Slovakia SLOVAKIA GOVT 3.625% /01/2029 EUR United States of America AT&T INC 2.650% 13-17/12/2021 EUR NOVARTIS FINANCE 4.250% /06/2016 EUR ROCHE HOLDINGS INC 5.625% /03/2016 EUR Floating rate bonds France AXA SA 06-29/07/2049 SR EUR AXA SA 13-04/07/2043 FRN EUR BANQ FED CRD MUT 05-29/04/2049 SR EUR CAISSE EPARG ECR 06-29/12/2049 SR EUR CREDIT LOGEMENT /06/2017 FRN EUR ELEC DE FRANCE 14-29/01/2049 FRN EUR NATIXIS 07-29/10/2049 FRN EUR ORANGE 14-28/02/2049 FRN EUR Luxembourg FORTIS BANK SA/NV 04-29/10/2049 SR EUR FORTIS BANK SA/NV 06-23/03/2021 SR EUR Australia WESTPAC BANKING /11/2016 FRN EUR The Netherlands ALLIANZ FINANCE 11-08/07/2041 FRN EUR Germany ALLIANZ SE 12-17/10/2042 FRN EUR MUNICH RE 11-26/05/2041 FRN EUR Page 208

211 Sustainable Bond Euro Expressed in EUR Italy INTESA SANPAOLO 13-11/01/2016 FRN EUR UNICREDIT SPA 14-31/01/2017 FRN EUR Belgium GDF SUEZ 13-29/07/2049 FRN EUR Spain SANTANDER ISSUAN /03/2017 FRN EUR SANTANDER ISSUAN /10/2017 FRN EUR Norway DNB BANK ASA 13-26/09/2023 FRN EUR United Kingdom AVIVA PLC 13-05/07/2043 FRN EUR Total securities portfolio Page 209

212 Sustainable Bond Euro Corporate Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds France ACCOR 2.625% 14-05/02/2021 EUR ACCOR 2.875% 12-19/06/2017 EUR AIR LIQUIDE FIN 2.125% 12-15/10/2021 EUR ALD INTERNATION 1.875% /06/2016 EUR ALSTOM S 3.000% 13-08/07/2019 EUR AREVA SA 3.250% 13-04/09/2020 EUR AREVA SA 3.500% 10-22/03/2021 EUR AUTOROUTES DU SUD 4.000% /09/2018 EUR AUTOROUTES DU SUD 7.375% /03/2019 EUR AUTOROUTES PARIS 5.000% /01/2017 EUR AXA SA 10-16/04/2040 FRN EUR BANQ FED CRD MUT 4.125% /07/2020 EUR BANQUE FED CREDIT MUTUEL % 13-19/09/2019 EUR BANQUE FED CREDIT MUTUEL % 13-24/02/2021 EUR BANQUE FED CREDIT MUTUEL % 12-21/06/2017 EUR BANQUE FED CREDIT MUTUEL % 10-22/10/2020 EUR BANQUE PSA FIN 3.625% /04/2014 EUR BANQUE PSA FIN 3.875% /01/2015 EUR BANQUE PSA FIN 4.250% /02/2016 EUR BANQUE PSA FIN 4.875% /09/2015 EUR BNP PARIBAS 2.000% 13-28/01/2019 EUR BNP PARIBAS 2.500% 12-23/08/2019 EUR BNP PARIBAS 2.875% 12-24/10/2022 EUR BNP PARIBAS 2.875% 12-27/11/2017 EUR BOUYGUES 3.641% 10-29/10/2019 EUR BOUYGUES 4.000% 10-12/02/2018 EUR BOUYGUES 6.125% 08-03/07/2015 EUR BPCE 1.625% 13-08/02/2017 EUR BPCE 3.900% 09-30/10/2017 EUR BPCE 4.625% 13-18/07/2023 EUR CASINO GUICHARD 3.157% /08/2019 EUR CASINO GUICHARD 3.248% /03/2024 EUR CASINO GUICHARD 3.311% /01/2023 EUR CASINO GUICHARD 4.379% /02/2017 EUR CASINO GUICHARD 4.472% /04/2016 EUR CASINO GUICHARD 4.481% /11/2018 EUR CASINO GUICHARD 5.125% /01/2015 EUR DANONE 1.250% 13-06/06/2018 EUR DANONE 2.250% 13-15/11/2021 EUR EDENRED 3.625% 10-06/10/2017 EUR ELEC DE FRANCE 2.250% /04/2021 EUR ELEC DE FRANCE 3.875% /01/2022 EUR EUTELSAT SA 2.625% 13-13/01/2020 EUR EUTELSAT SA 4.125% 10-27/03/2017 EUR FRANCE TELECOM 1.875% /10/2019 EUR FRANCE TELECOM 3.875% /04/2020 EUR GECINA 4.750% 12-11/04/2019 EUR IMERYS SA 2.500% 13-26/11/2020 EUR KERING 2.500% 13-15/07/2020 EUR KLEPI 2.750% 12-17/09/2019 EUR KLEPIERRE 4.000% 10-13/04/2017 EUR LA POSTE 4.250% 06-08/11/2021 EUR LAFARGE SA 5.375% 10-29/11/2018 EUR LAFARGE SA 5.875% 12-09/07/2019 EUR LEGRAND SA 3.375% 12-19/04/2022 EUR NATIXIS 4.125% 06-20/01/2017 EUR ORANGE 5.625% 08-22/05/2018 EUR PPR 3.125% 12-23/04/2019 EUR RALLYE SA 5.000% 12-15/10/2018 EUR RALLYE SA 7.625% 09-04/11/2016 EUR RCI BANQUE 1.750% 13-06/07/2016 EUR RCI BANQUE 2.125% 12-24/11/2014 EUR RCI BANQUE 4.000% 11-16/03/2016 EUR RENAULT 3.125% 14-05/03/2021 EUR RENAULT 3.625% 13-19/09/2018 EUR RTE EDF TRANSPORT 2.875% /09/2023 EUR SANOFI 1.875% 13-04/09/2020 EUR SCHNEIDER ELECTRIC 2.500% /09/2021 EUR SCHNEIDER ELECTRIC 3.750% /07/2018 EUR SEB SA 4.500% 11-03/06/2016 EUR SOCIETE GENERALE 2.250% /01/2020 EUR SOCIETE GENERALE 2.375% /02/2018 EUR SOCIETE GENERALE 3.750% /03/2017 EUR SOCIETE GENERALE 4.000% /06/2023 EUR SOCIETE GENERALE 4.750% /03/2021 EUR ST GOBAIN 3.625% 12-15/06/2021 EUR ST GOBAIN 3.625% 12-28/03/2022 EUR ST GOBAIN 4.750% 07-11/04/2017 EUR SUEZ ENVIRONNEMENT 2.750% /10/2023 EUR TOTAL CAP INTL 2.125% 13-19/11/2021 EUR TOTAL CAP INTL 2.875% 13-19/11/2025 EUR UNIBAIL RODAM SE 3.000% /03/2019 EUR UNIBAIL RODAMCO 3.375% /03/2015 EUR UNIBAIL-RODAMCO 1.875% /10/2018 EUR UNIBAIL-RODAMCO 2.250% /08/2018 EUR UNIBAIL-RODAMCO 2.375% /02/2021 EUR UNIBAIL-RODAMCO 2.500% /02/2024 EUR VALEO SA 3.250% 14-22/01/2024 EUR VINCI SA 3.375% 12-30/03/2020 EUR VIVENDI SA 2.375% 13-21/01/2019 EUR VIVENDI SA 2.500% 12-15/01/2020 EUR VIVENDI SA 4.125% 12-18/07/2017 EUR The Netherlands ABN AMRO BANK NV 2.125% /11/2020 EUR ABN AMRO BANK NV 2.500% /11/2023 EUR ABN AMRO BANK NV 4.125% /03/2022 EUR ABN AMRO BANK NV 6.375% /04/2021 EUR ABN AMRO BANK NV 7.125% /07/2022 EUR ACHMEA BV 2.5% 13-19/11/2020 EUR ADECCO INT FIN 2.750% 13-15/11/2019 EUR ALLIANZ FINANCE 1.375% /03/2018 EUR BMW FINANCE NV 1.500% /06/2018 EUR Page 210

213 Sustainable Bond Euro Corporate Expressed in EUR BMW FINANCE NV 2.000% /09/2020 EUR COCA-COLA HBC BV 2.375% /06/2020 EUR CRH FINANCE BV 5.000% /01/2019 EUR DEUTSCHE TEL FIN 2.000% /10/2019 EUR DEUTSCHE TEL FIN 2.125% /01/2021 EUR DSM NV 1.750% 13-13/11/2019 EUR E.ON INTER FIN 6.375% 02-29/05/2017 EUR EDP FINANCE BV 5.250% /01/2021 USD ELSEVIER FINANCE 2.500% /09/2020 EUR ENBW 6.875% 08-20/11/2018 EUR HIT FINANCE BV 5.750% 11-09/03/2018 EUR IBERDROLA INTL 3.000% /01/2022 EUR IBERDROLA INTL 4.250% /10/2018 EUR ING BANK NV 1.875% 13-27/02/2018 EUR ING BANK NV 3.250% 12-03/04/2019 EUR ING BANK NV 3.875% 11-24/05/2016 EUR ING BANK NV 4.250% 12-13/01/2017 EUR ING GROEP NV 4.125% 06-11/04/2016 EUR ING VERZEKERING 02-07/05/2027 SR EUR KBC IFIMA NV 2.125% 13-10/09/2018 EUR KBC IFIMA NV 5.000% 11-16/03/2016 EUR LANXESS FINANCE 2.625% /11/2022 EUR LEASEPLAN CORP 2.375% /04/2019 EUR METRO FINANCE BV 2.250% /05/2018 EUR NOMURA EUROPE FN 1.875% /05/2018 EUR RABOBANK 3.875% 11-20/04/2016 EUR RABOBANK 4.125% 10-14/01/2020 EUR RABOBANK 4.125% 12-14/09/2022 EUR RABOBANK 4.375% 06-07/06/2021 EUR RABOBANK 4.750% 08-15/01/2018 EUR RABOBANK 5.875% 09-20/05/2019 EUR RED ELE FIN BV 3.875% 13-25/01/2022 EUR REPSOL INTL FIN 2.625% /05/2020 EUR REPSOL INTL FIN 4.375% /02/2018 EUR REPSOL INTL FIN 4.875% /02/2019 EUR REPSOL SA 4.250% 11-12/02/2016 EUR SCHLUMBERGER FIN 1.500% /03/2019 EUR SIEMENS FINAN 1.500% 12-10/03/2020 EUR SIEMENS FINAN 1.750% 13-12/03/2021 EUR VOLKSWAGEN INTFN 1.875% /05/2017 EUR VOLKSWAGEN INTFN 2.000% /03/2021 EUR WOLTERS KLUWER-C 2.875% /03/2023 EUR Spain ABERTIS 4.750% 12-25/10/2019 EUR ABERTIS 5.125% 07-12/06/2017 EUR AMADEUS CAP MKT 4.875% /07/2016 EUR BANESTO 4.080% 11-23/03/2016 EUR BBVA SENIOR FIN 2.375% /01/2019 EUR BBVA SENIOR FIN 3.250% /03/2016 EUR BBVA SENIOR FIN 4.375% /09/2015 EUR BBVA SENIOR FIN 4.875% /04/2016 EUR CAIXABANK 2.500% 13-18/04/2017 EUR CAIXABANK 3.250% 13-22/01/2016 EUR CAIXABANK S.A 3.125% 13-14/05/2018 EUR ENAGAS FIN SA 4.250% 12-05/10/2017 EUR FERROVIAL EMISIO 3.375% /06/2021 EUR FERROVIAL EMISIO 3.375% /01/2018 EUR IBERDROLA FIN SA 3.500% /06/2015 EUR IBERDROLA FIN SA 3.500% /10/2016 EUR IBERDROLA FIN SA 4.125% /03/2020 EUR RED ELECTRICA FI 2.375% /05/2019 EUR RED ELECTRICA FI 4.875% /04/2020 EUR SANTAN CONS FIN 1.450% /01/2016 EUR SANTAN CONS FIN 1.625% /04/2015 EUR SANTANDER INTL 3.381% /12/2015 EUR SANTANDER INTL 4.000% /03/2017 EUR SANTANDER INTL 4.500% /05/2015 EUR SANTANDER INTL 4.625% /03/2016 EUR TELEFONICA EMIS 2.736% /05/2019 EUR TELEFONICA EMIS 3.961% /03/2021 EUR TELEFONICA EMIS 3.987% /01/2023 EUR TELEFONICA EMIS 4.710% /01/2020 EUR TELEFONICA EMIS 4.967% /02/2016 EUR TELEFONICA EMIS 5.496% /04/2016 EUR TELEFONICA EMIS 5.811% /09/2017 EUR Italy ASSICURAZIONI GENERALI 2.875% /01/2020 EUR ASSICURAZIONI GENERALI 4.875% /11/2014 EUR ASSICURAZIONI GENERALI 5.125% /09/2024 EUR EDISON SPA 3.875% 10-10/11/2017 EUR HERA SPA 3.250% 13-04/10/2021 EUR INTESA SANPAOLO 3.000% /01/2019 EUR INTESA SANPAOLO 3.875% /04/2015 EUR INTESA SANPAOLO 4.000% /11/2018 EUR INTESA SANPAOLO 4.000% /11/2017 EUR INTESA SANPAOLO 4.375% /10/2019 EUR INTESA SANPAOLO 4.750% /06/2017 EUR INTESA SANPAOLO 5.000% /02/2017 EUR INTESA SANPAOLO 6.625% /09/2023 EUR TERNA SPA 2.875% 12-16/02/2018 EUR TERNA SPA 4.125% 12-17/02/2017 EUR UNICREDIT SPA 2.250% 13-16/12/2016 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR UNICREDIT SPA 6.125% 11-19/04/2021 EUR UNIONE DI BANCHE 2.875% /02/2019 EUR UNIONE DI BANCHE 3.125% /10/2020 EUR UNIONE DI BANCHE 3.750% /10/2015 EUR Page 211

214 Sustainable Bond Euro Corporate Expressed in EUR United Kingdom ABBEY NATIONAL TREASURY % 13-15/01/2018 EUR ABBEY NATIONAL TREASURY % 14-14/01/2019 EUR BG ENERGY CAP 3.000% 11-16/11/2018 EUR BRAMBLES FINANCE 4.625% /04/2018 EUR CREDIT AGRICOLE 1.750% /03/2018 EUR CREDIT AGRICOLE 1.875% /10/2017 EUR CREDIT AGRICOLE 2.375% /11/2020 EUR CREDIT AGRICOLE 3.125% /07/2023 EUR CREDIT AGRICOLE 3.625% /03/2016 EUR CREDIT AGRICOLE 3.900% /04/2021 EUR CREDIT AGRICOLE 5.971% /02/2018 EUR FCE BANK PLC 1.625% 13-09/09/2016 EUR FCE BANK PLC 1.750% 13-21/05/2018 EUR FCE BANK PLC 2.875% 12-03/10/2017 EUR LLOYDS TSB BANK 6.500% /03/2020 EUR RENTOKIL INITIAL 3.375% /09/2019 EUR SSE PLC 2.000% 13-17/06/2020 EUR SSE PLC 2.375% 13-10/02/2022 EUR STANDARD CHARTERED 1.625% /11/2018 EUR STANDARD CHARTERED 3.875% /10/2016 EUR WPP FINANCE % /11/2023 EUR Ireland CRH FINANCE 3.125% 13-03/04/2023 EUR CRH FINLAND SERV 2.750% /10/2020 EUR ESB FINANCE LTD 3.494% /01/2024 EUR ESB FINANCE LTD 4.375% /11/2019 EUR FGA CAPITAL IRE 2.875% /01/2018 EUR FGA CAPITAL IRE 4.375% /09/2014 EUR GE CAP EUR FUND 2.625% /03/2023 EUR GE CAP EUR FUND 3.750% /04/2016 EUR GE CAP EUR FUND 4.250% /03/2017 EUR GE CAP EUR FUND 5.375% /01/2020 EUR IBERDROLA INTL 2.875% /11/2020 EUR IBERDROLA INTL 4.500% /09/2017 EUR WILLOW NO.2 PLC 3.375% /06/2022 EUR United States of America AIR PROD & CHEM 2.000% /08/2020 AMER HONDA FIN 1.875% /09/2019 EUR EUR AMGEN INC 2.125% 12-13/09/2019 EUR AT&T INC 2.500% 13-15/03/2023 EUR AT&T INC 2.650% 13-17/12/2021 EUR AT&T INC 3.500% 13-17/12/2025 EUR BMW US CAP LLC 1.000% /07/2017 EUR COCA-COLA ENTER 2.375% /05/2025 EUR MONDELEZ INTERNATIONAL INC % 13-26/01/2021 EUR ORACLE CORP 2.250% 13-10/01/2021 EUR PROCTER & GAMBLE 2.000% /11/2021 EUR PROLOGIS LP 3.000% 13-18/01/2022 EUR SES GLOBAL GROUP 1.875% /10/2018 EUR SIMON PROPERTY GP LP 2.375% /10/2020 EUR WACHOVIA CORP 4.375% /08/2016 EUR WELLS FARGO & CO 2.250% /05/2023 EUR WELLS FARGO CO 2.250% /09/2020 EUR Sweden AKZO NOBEL SWEDEN 2.625% /07/2022 EUR NORDEA BANK AB 1.375% /04/2018 EUR NORDEA BANK AB 2.000% /02/2021 EUR NORDEA BANK AB 2.250% /10/2017 EUR SKANDINAVISKA ENSKILDA 2.000% /03/2019 EUR SKANDINAVISKA ENSKILDA 3.875% /04/2017 EUR SKF AB 1.875% 12-11/09/2019 EUR SKF AB 2.375% 13-29/10/2020 EUR SVENSKA CELLULOS 2.500% /06/2023 EUR SVENSKA HANDELSBANKEN 2.250% /06/18 EUR SVENSKA HANDELSBANKEN 2.250% /08/20 EUR SVENSKA HANDELSBANKEN 3.375% /07/2017 EUR SVENSKA HANDELSBANKEN 3.750% /02/2017 EUR SWEDBANK AB 1.750% 12-18/06/2015 EUR TELIASONERA AB 3.625% /02/2024 EUR TELIASONERA AB 4.750% /03/2017 EUR Germany BASF SE 2.000% 12-05/12/2022 EUR CIBA SPC CHEM FN 4.875% /06/2018 EUR COMMERZBANK AG 3.625% /07/2017 EUR COMMERZBANK AG 4.000% /09/2020 EUR CONTINENTAL AG 3.125% /09/2020 EUR EUROGRID GMBH 3.875% /10/2020 EUR LINDE AG 2.000% 13-18/04/2023 EUR METRO AG 3.375% 12-01/03/2019 EUR TELFONICA DEUTSC 1.875% /11/2018 EUR VIER GAS TRANSPO 2.000% /06/2020 EUR VIER GAS TRANSPO 3.125% /07/2023 EUR Luxembourg FORTIS BANK 5.757% 07-04/10/2017 EUR GENERALI FINANCE 3.875% /05/2015 EUR HEIDELCEMENT FIN 3.250% /10/2021 EUR HOLCIM US FINANC 2.625% /09/2020 EUR JOHN DEERE BANK 1.500% /07/2018 EUR MICHELIN LUX 2.750% 12-20/06/2019 EUR SES SA 4.625% 10-09/03/2020 EUR Australia BHP BILLITON FIN 2.125% /11/2018 EUR COM BK AUSTRALIA 5.500% /08/2019 EUR NATIONAL AUSTRALIA BANK 2.000% /11/2020 EUR Page 212

215 Sustainable Bond Euro Corporate Expressed in EUR NATIONAL AUSTRALIA BANK 3.750% /01/2017 TELSTRA CORPORATION LTD 2.500% /09/2023 TELSTRA CORPORATION LTD 3.500% /09/2022 EUR EUR EUR Belgium ELIA SYSTEM OP 3.250% 13-04/04/2028 EUR GDF SUEZ 2.250% 12-01/06/2018 EUR New Zealand WESTPAC SEC NZ L 3.875% /03/2017 EUR Austria TELEKOM FINANZ 3.125% /12/2021 EUR TELEKOM FINANZ 6.375% /01/2016 EUR Cayman Islands PETROBRAS INTL 3.250% /04/2019 EUR Denmark VESTAS WIND SYSTEMS 4.625% /03/2015 EUR Floating rate bonds France AXA SA 06-29/07/2049 SR EUR AXA SA 07-29/10/2049 FRN EUR AXA SA 13-04/07/2043 FRN EUR CAISSE EPARG ECR 07-29/10/2049 FRN EUR CCCE 06-29/07/2049 FRN EUR CREDIT AGRICOLE SA /01/2049 FRN USD CREDIT LOGEMENT /11/2049 FRN EUR ELEC DE FRANCE 13-PERP FRN EUR ELEC DE FRANCE 14-29/01/2049 FRN EUR ORANGE 14-29/12/2049 FRN EUR RCI BANK 05-07/04/2015 FRN EUR SOCIETE GENERALE 05-29/01/2049 SR EUR SOCIETE GENERALE /09/2049 FRN EUR The Netherlands ALLIANDER 13-29/11/2049 FRN EUR ALLIANZ FINANCE 11-08/07/2041 FRN EUR ING BANK NV 05-16/09/2020 SR EUR ING BANK NV 14-25/02/2026 FRN EUR TELEFONICA EUROP /09/2049 FRN EUR VOLKSWAGEN INTFN /09/2049 FRN EUR Spain BANCO BILBAO VIZCAYA /05/2049 FRN USD BANCO BILBAO VIZCAYA /12/2049 FRN EUR CAIXABANK 13-14/11/2023 FRN EUR MAPFRE SA 07-24/07/2037 FRN EUR Italy ASSICURAZIONI GENERALI /07/2042 FRN EUR UNICREDIT SPA 13-28/10/2025 FRN EUR Germany ALLIANZ SE 12-17/10/2042 FRN EUR ALLIANZ SE 13-29/10/2049 FRN EUR HENKEL KGAA 05-25/11/2104 SR EUR MUNICH RE 07-29/06/49 FRN EUR MUNICH RE 12-26/05/2042 FRN EUR Luxembourg FORTIS BANK SA/NV 04-29/10/2049 SR EUR TALANX FINANZ 12-15/06/2042 FRN EUR United Kingdom AVIVA PLC 04-29/11/2049 SR EUR NGG FINANCE 13-18/06/2076 FRN EUR STANDARD CHARTERED /10/2025 FRN EUR Norway DNB BANK ASA 13-26/09/2023 FRN EUR Belgium GDF SUEZ 13-29/07/2049 FRN EUR Sweden SVENSKA HANDELSBANKEN /01/2024 FRN EUR SWEDBANK AB 12-05/12/2022 FRN EUR Ireland CLOVERIE PLC 12-01/09/2042 FRN EUR Other transferable securities Options, Warrants, Rights SOLARWORLD ANRECHTE AUF 72 31/12/2049 RTS SOLARWORLD ANRECHTE ERWER 72 21/02/2014 RTS EUR EUR Total securities portfolio Page 213

216 Sustainable Equity Europe Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Shares United Kingdom AGGREKO PLC GBP BG GROUP PLC GBP BHP BILLITON PLC GBP GLAXOSMITHKLINE PLC GBP KINGFISHER PLC GBP LLOYDS BANKING GROUP PLC GBP MARKS & SPENCER GROUP PLC GBP PRUDENTIAL PLC GBP RECKITT BENCKISER GROUP PLC GBP ROYAL DUTCH SHELL PLC - B SHS GBP ROYAL MAIL PLC - W/I GBP TULLOW OIL PLC GBP UNILEVER PLC GBP VODAFONE GROUP SHS GBP WOLSELEY SHS GBP France ACCOR SA EUR ARKEMA EUR AXA EUR BNP PARIBAS EUR CAP GEMINI SA EUR CGG EUR CREDIT AGRICOLE S.A. EUR DANONE SA EUR LOREAL EUR MICHELIN (CGDE) - B EUR NUMERICABLE GROUP- W/I EUR PEUGEOT SA EUR RENAULT SA EUR REXEL SA EUR SANOFI AVENTIS EUR SEB SA EUR VINCI SA EUR Germany ADIDAS AG EUR ALLIANZ SE EUR BAYERISCHE MOTOREN WERKE AG EUR DEUTSCHE TELEKOM AG EUR E.ON AG EUR HEIDELBERGCEMENT AG EUR HENKEL AG & CO KGAA VORZUG EUR MUENCHENER RUECKVERS AG EUR SAP AG EUR SIEMENS AG EUR TELEFONICA DEUTSCHLAND HOLDI EUR Switzerland ABB LTD CHF NESTLE SA CHF NOVARTIS AG CHF ROCHE HOLDING AG GENUSSCHEIN CHF SGS SA-REG CHF The Netherlands ING GROEP NV EUR KONINKLIJKE AHOLD EUR KONINKLIJKE PHILIPS ELECTRONICS EUR ZIGGO NV EUR Spain AMADEUS IT HOLDING SA - A SHS EUR BANCO BILBAO VIZCAYA ARGENTA EUR BANCO SANTANDER SA EUR INDITEX EUR REPSOL SA EUR TELEFONICA SA EUR Sweden ERICSSON LM - B SHS SEK SWEDBANK AB SEK VOLVO AB - B SHS SEK Italy ASSICURAZIONI GENERALI EUR INTESA SANPAOLO EUR Belgium KBC GROEP NV EUR Ireland SHIRE PLC GBP Norway STATOIL ASA NOK Finland NOKIA OYJ EUR Total securities portfolio Page 214

217 V350 Expressed in EUR Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market Bonds United States of America ACCR A2D 05-25/12/2035 FRN USD AHM A 04-25/10/2034 FRN USD AMER INTL GROUP 8.250% /08/2018 USD ARSI 2003-W3 M /09/2033 FRN USD AXIS A D 4.940% 13-20/07/2018 USD AXIS A E 6.410% 13-22/10/2018 USD BANK OF AMERICA CORP 2.000% /01/2018 USD BANK OF AMERICA CORP 2.600% /01/2019 USD CAMMT A 14-15/12/2053 FRN USD CAMMT M 5.500% 14-15/12/2053 USD CARR 2006-RFC1 A /05/2036 FRN USD CAS 2013-C01 M /10/2023 FRN USD CAS 2014-C01 M /01/2024 FRN USD CITIGROUP INC 1.750% 13-01/05/2018 USD CNH CAPITAL LLC 3.875% /11/2015 USD COMM 2013-CR11 D 13-10/10/2046 FRN USD COMM 2013-CR12 D 13-10/10/2046 FRN USD CONTINENTAL RES 4.500% /04/2023 USD CPS 2012-C D 5.110% 12-16/12/2019 USD CPS 2013-A E 6.410% 13-15/06/2020 USD CSFB AR28 6M /12/2033 FRN USD CSMC 2006-TF2A SVE /10/2021 FRN USD CWL AF /10/2035 FRN USD DRCT C 4.830% 13-20/11/2020 USD DTAOT A D 3.980% /01/2021 USD FHR 2975 SJ 05-15/05/2035 FRN USD FHR 3218 AS 06-15/09/2036 FRN USD FHR 3237 BO 0.000% 06-15/11/2036 USD FHR 3311 IA 07-15/05/2037 FRN USD FHR 3703 DI 4.000% 10-15/07/2029 USD FHR 3759 DI 4.000% 10-15/10/2029 USD FHR 3807 WS 11-15/08/2038 FRN USD FHR 3851 PI 4.000% 11-15/08/2038 USD FHR 3928 SH 11-15/08/2040 FRN USD FHR 3994 JS 12-15/03/2040 FRN USD FHR 4019 GI 4.500% 12-15/12/2041 USD FHR 4094 MI 4.500% 12-15/03/2041 USD FHR 4097 IC 2.500% 12-15/08/2027 USD FHR 4143 MS 12-15/12/2042 FRN USD FHR 4253 IA 5.000% 13-15/08/2041 USD FHS 209 IO 7.500% 00-01/09/2030 USD FHS 268 S /08/2042 FRN USD FHS 287 IO 3.000% 12-15/10/2027 USD FHS 303 C % 13-15/01/2043 USD FHS 303 C % 13-15/12/2040 USD FNR SD 02-25/02/2032 FRN USD FNR SE 02-25/02/2032 FRN USD FNR SE 04-25/10/2033 FRN USD FNR AS 05-25/11/2035 FRN USD FNR QI 05-25/12/2035 FRN USD FNR S 05-25/04/2035 FRN USD FNR SY 05-25/04/2035 FRN USD FNR SA 05-25/08/2025 FRN USD FNR SW 06-25/06/2036 FRN USD FNR UI 06-25/07/2036 FRN USD FNR WN 06-25/03/2036 FRN USD FNR CI 07-25/06/2037 FRN USD FNR ID 07-25/06/2037 FRN USD FNR SN 09-25/01/2040 FRN USD FNR AI 3.500% 10-25/07/2023 USD FNR SE 10-25/06/2040 FRN USD FNR IC 4.500% 10-25/05/2030 USD FNR PI 5.000% 11-25/04/2039 USD FNR GI 5.000% 11-25/05/2040 USD FNR MI 4.500% 12-25/12/2040 USD FNR CS 12-25/10/2042 FRN USD FNR LI 4.500% 12-25/07/2041 USD FNR MI 4.500% 12-25/07/2041 USD FNR SD 12-25/03/2042 FRN USD FNR KS 12-25/04/2040 FRN USD FNR SC 12-25/03/2042 FRN USD FNR IY 4.500% 12-25/11/2041 USD FNR LS 12-25/02/2042 FRN USD FNR KS 12-25/03/2041 FRN USD FNR SD 12-25/09/2042 FRN USD FNR YI 3.000% 13-25/05/2033 USD FNS % 03-01/12/2033 USD FNS % 05-01/07/2035 USD FNS % 05-01/09/2035 USD FNS % 05-01/02/2036 USD FNS % 07-25/02/2037 USD FNS % 07-25/03/2035 USD FNS % /11/2037 USD FNS /11/2037 FRN USD FNS 390 C % 08-25/12/2034 USD FNS /10/2039 FRN USD FNS 401 C % 09-25/10/2039 USD FNS /01/2040 FRN USD FNS /10/2040 FRN USD FNS 409 C % 12-25/04/2042 USD FNS 409 C % 12-25/04/2042 USD FNS /08/2043 FRN USD FNS 418 C % 13-25/08/2033 USD FNS 418 C % 13-25/08/2043 USD FNW 2004-W1 1IO /11/2043 FRN USD FREMF 2012-K21 C 12-25/07/2045 FRN USD FREMF 2013-K25 C 13-25/11/2045 FRN USD FREMF 2013-K26 C 13-25/12/2045 FRN USD FREMF 2013-K27 B 13-25/01/2046 FRN USD GEN MOTORS FIN 2.750% /05/2016 USD GENERAL MOTORS 3.500% /10/2018 USD GENWORTH HOLDING 4.900% /08/2023 USD GNR S 03-20/10/2033 FRN USD GNR SD 04-20/10/2034 FRN USD GNR QS 05-16/07/2034 FRN USD GNR SN 05-20/03/2032 FRN USD GNR SG 05-20/06/2035 FRN USD GNR SA 06-20/12/2036 FRN USD GNR OE 0.000% 08-20/09/2035 USD GNR IQ 5.000% 09-20/10/2038 USD GNR NI 5.000% 09-16/05/2037 USD GNR IA 4.500% 09-20/04/2036 USD GNR BS 09-16/04/2032 FRN USD Page 215

218 V350 Expressed in EUR GNR SY 09-16/06/2039 FRN USD GNR S 10-16/09/2040 FRN USD GNR KI 4.000% 10-16/10/2024 USD GNR AI 4.000% 10-16/04/2040 USD GNR GS 10-16/12/2039 FRN USD GNR GI 5.000% 10-16/06/2036 USD GNR 2010-H19 JI 10-20/08/2060 FRN USD GNR SH 11-20/09/2041 FRN USD GNR PS 11-16/06/2041 FRN USD GNR NS 11-16/04/2040 FRN USD GNR NI 6.000% 11-16/04/2041 USD GNR EI 6.000% 11-20/04/2041 USD GNR CO 0.000% 11-20/12/2040 USD GNR 2011-H03 HI 11-20/01/2061 FRN USD GNR 2011-H05 HI 11-20/01/2061 FRN USD GNR SK 12-16/01/2041 FRN USD GNR MI 5.000% 12-16/04/2042 USD GNR 2012-H02 AI 12-20/01/2062 FRN USD GNR GS 13-20/09/2043 FRN USD GNR 2013-H01 FI 13-20/01/2063 FRN USD GNR 2013-H04 BI 13-20/02/2063 FRN USD GNR 2013-H08 IO 13-20/03/2063 FRN USD GNR IT 14-20/02/2040 FRN USD GOLDMAN SACHS GP 2.625% /01/2019 USD GOLDMAN SACHS GP 2.900% /07/2018 USD GSMS 2013-GC13 D 13-10/07/2046 FRN USD GSR F 2A % 05-25/09/2035 USD GSR F 3A % 05-25/09/2035 USD HEAT A /04/2036 FRN USD HOST HOTELS & RESORTS 3.750% /10/2023 USD IMSA A /03/2033 FRN USD JPMBB 2013-C12 D 13-15/07/2045 FRN USD JPMCC 2011-C5 B 11-15/08/2046 FRN USD JPMCC 2012-C8 D 12-15/10/2045 FRN USD MALT A % 04-25/07/2034 USD MORGAN STANLEY 2.125% /04/2018 USD MSBAM 2013-C12 A /10/2046 FRN USD MSBAM 2013-C13 B 13-15/11/2046 FRN USD NBC UNIVERSAL ENT 1.974% /04/2019 USD NCHET M % 03-25/11/2033 USD PFMLT A /05/2035 FRN USD PRUDENTIAL COVER 2.997% /09/2015 USD SAST M /05/2035 FRN USD SURF 2003-BC4 A3B 03-25/11/2034 FRN USD SVHE 2005-OPT4 2A /12/2035 FRN USD TOLL BR FIN CORP 4.000% /12/2018 USD UNISON LEASE FND 5.780% /03/2020 USD US STRIP PRINC 0.000% 09-15/08/2039 USD US STRIP PRINC 0.000% 12-15/08/2042 USD US TREASURY N/B 2.500% /08/2023 USD US TSY INFL IX N/B 0.375% /07/2023 USD US TSY INFL IX N/B 0.625% /02/2043 USD VENDE IO 92-15/09/2022 FRN USD VENDE A 1IO /09/2024 FRN USD VENDE IO /02/2026 FRN USD VENDE DI 10-15/04/2040 FRN USD VENDE IO 11-15/10/2041 FRN USD VERIZON COMMUNICATIONS 3.650% /09/2018 USD VERIZON COMMUNICATIONS 5.150% /09/2023 USD Germany BUNDESOBL 0.500% 12-13/10/2017 EUR BUNDESOBL % 09-11/04/2014 EUR BUNDESOBLIGATION-I/L 0.750% /04/2018 EUR BUNDESSCHATZANW 0.250% /03/2015 EUR DAIMLER AG 1.750% 13-08/11/2017 GBP DEUTSCHLAND REP 4.250% /07/2014 EUR DT PFANDBRIEFBAN 1.875% /12/2019 GBP United Kingdom ABBEY NATIONAL TREASURY % 14-14/01/2019 EUR BARCLAYS BANK PLC 2.500% /02/2019 USD BP CAPITAL PLC 2.177% 14-28/09/2021 EUR CAIXA GERAL DEPO 3.000% /01/2019 EUR CENTRICA PLC 6.375% 09-10/03/2022 GBP ROYAL BANK SCOTLAND 2.550% /09/2015 USD SANTANDER UK PLC 5.000% /11/2023 USD UK TREASURY 4.250% 08-07/12/2049 GBP UK TSY I/L GILT 0.125% 12-22/03/2024 GBP Spain BANCO BILBAO VIZCAYA 3.500% /12/2017 EUR BANKINTER SA 2.750% 13-26/07/2016 EUR SPANISH GOVT 3.150% 05-31/01/2016 EUR SPANISH GOVT 4.800% 08-31/01/2024 EUR TELEFONICA EMIS 5.597% /03/2020 GBP The Netherlands ABN AMRO BANK NV 2.250% /09/2017 GBP ABN AMRO BANK NV 2.500% /10/2018 USD DAIMLER INTL FIN 3.500% /06/2019 GBP GAS NATURAL CAP 6.375% /07/2019 EUR IBERDROLA INTL 4.250% /10/2018 EUR RABOBANK 3.875% 13-25/07/2023 EUR VOLKSWAGEN FIN 2.625% /07/2019 GBP VOLKSWAGEN INTFN 1.250% /08/2015 GBP Italy INTESA SANPAOLO 3.125% /01/2016 USD INTESA SANPAOLO 3.875% /01/2019 USD INTESA SANPAOLO 4.000% /11/2017 EUR ITALY BTPS 3.500% 12-01/11/2017 EUR ITALY BTPS 5.500% 12-01/09/2022 EUR UNICREDIT SPA 3.250% 14-14/01/2021 EUR Canada CANADA GOVT 1.250% 13-01/09/2018 CAD Japan MIZUHO CORP BANK 1.850% /03/2018 USD Poland POLAND GOVT BOND 3.000% I/L /08/2016 PLN REPUBLIC OF POLAND 5.000% /03/2022 USD Page 216

219 V350 Expressed in EUR France BPCE 2.500% 13-10/12/2018 USD FRANCE O.A.T % 09-25/10/2019 EUR SOCIETE GENERALE 2.625% /10/2018 USD Russia LUKOIL INTL FIN 7.250% /11/2019 USD RUSSIA - EUROBOND 5.000% /04/2020 USD RUSSIAN FEDERATION 00-31/03/ STEP UP USD Australia AUSTRALIAN I/L 4.000% /08/2020 FLAT AUD Brazil BANCO BRASIL 5.875% 11-26/01/2022 USD REP OF BRAZIL 2.625% 12-05/01/2023 USD REP OF BRAZIL 5.625% 09-07/01/2041 USD REP OF BRAZIL 7.125% 06-20/01/2037 USD TELEMAR N L 5.500% 10-23/10/2020 USD Cayman Islands IPIC GMTN LTD 5.875% 11-14/03/2021 EUR KUWAIT PROJECTS 9.375% /07/2020 USD SAUDI ELECTRCITY 4.211% /04/2022 USD VOTO - VOTORANTIM 6.625% /09/2019 USD Colombia BANCOLOMBIA 5.950% 11-03/06/2021 USD ECOPETROL SA 7.625% 09-23/07/2019 USD REP OF COLOMBIA 4.375% /07/2021 USD Kazakhstan KAZATOMPROM 6.250% 10-20/05/2015 USD KAZMUNAIGAZ FINA % /01/2015 USD KMG FINANCE SUB 7.000% /05/2020 USD Sweden NORDEA BANK AB 2.125% /11/2019 GBP South Africa REPUBLIC OF SOUTH AFRICA 4.665% /01/2024 USD Mexico PETROLEOS MEXICA 3.500% /01/2023 USD UNITED MEXICAN 3.625% /03/2022 USD Panama PANAMA 6.700% 06-26/01/2036 USD PANAMA 9.375% 99-01/04/2029 USD Chile CHILE 3.875% 10-05/08/2020 USD ENAP 6.250% 09-08/07/2019 USD Lithuania LITHUANIA 7.375% 10-11/02/2020 USD British Virgin Islands PCCW - HKT CAP NO % /02/2016 SINOPEC GRP OVER 3.900% /05/2022 USD USD Malaysia SARAWAK INT 5.500% 05-03/08/2015 USD Qatar STATE OF QATAR 4.500% /01/2022 USD Trinidad & Tobago PETROTRIN 9.750% 09-14/08/2019 USD South Korea EXP - IMP BANK KOREA 5.125% /06/2020 USD KOREA RESOURCES CO 4.125% /05/2015 USD Ireland RUSSIAN RAILWAYS 5.739% /04/2017 USD Luxembourg SB CAPITAL SA 5.499% 10-07/07/2015 USD Argentina ARGENTINA 8.280% 05-31/12/2033 USD Floating rate bonds United Kingdom UK TSY I/L STOCK 7.522% 83-26/07/2016 GBP Australia COM BK AUSTRALIA /09/2015 FRN GBP United States of America INT BANK RECON&DEV /01/2016 FRN GBP Russia BANK OF MOSCOW 05-25/11/2015 SR USD Options, Warrants, Rights CALL US 10YR NOTE FUT (CBT) 30 25/04/ USD CALL US 10YR NOTE FUT (CBT) 30 25/04/ USD CALL US 10YR NOTE FUT CB 21/03/ USD CALL US 10YR NOTE FUT CB 21/03/ USD Other transferable securities ( ) (1.03) Bonds United States of America GNR 7 SI 06-20/02/2036 USD VENDE 1 2IO 01-15/10/2030 USD VENDE 1 IO 97-15/02/2027 USD VENDE 2 IO 01-15/02/2031 USD VENDE 3 2IO 93-15/10/2023 USD Options, Warrants, Rights PUT 6M GBP-LIBOR 02/06/ GBP PUT USD / EUR 14/11/ USD PUT USD/TRY 05/05/ TRY To be Announced ("TBA") ( ) (1.31) Mortgage Back Securities United States of America ( ) (1.31) ( ) FNCL 3.5 3/ % 12-25/08/2041 USD ( ) (1.31) Money Market Instruments Belgium BELGIUM T-BILL 0.000% 13-13/03/2014 EUR Page 217

220 V350 Expressed in EUR France FRENCH BTF 0.000% 14-24/04/2014 EUR Total securities portfolio Page 218

221 World Commodities Expressed in USD Money Market Instruments Shares/Units in investment funds France BANQUE FED CREDIT MUTUEL % 03/06/2014 CD USD BFCM 0.000% 03/03/2014 CD USD BNP PARIBAS SA 0.000% /06/2014 CD USD BPCE SA 0.000% 03/03/2014 CD USD CAISSE DEPOTS ET CONSI 0.000% /03/2014 ECP USD CREDIT AGRICOLE ALTERNA 0.000% /03/2014 CD USD HSBC FRANCE 0.000% 19/05/2014 CD USD RESEAU FERRE DE FRANCE 0.000% /04/2014 ECP USD SOCIETE GENERALE SA 0.000% /03/2014 CD USD Australia ANZ BANKING GROUP LIMI 0.000% /05/2014 ECP USD MACQUARIE BANK LTD 0.000% /05/2014 ECP USD MIZUHO BANK LTD/AU 0.000% /05/2014 CD USD MIZUHO BANK LTD/SYDNEY 0.000% /05/2014 CD USD RABOBANK NEDERLAND AU 0.000% /03/2014 CD USD United States of America CREDIT AGRICOLE CORPORA 0.000% /06/2014 CD USD MITSUBISHI UFJ TRUST % /05/2014 CD USD ZURICH FINANCE (USA) I 0.000% /04/2014 ECP USD Finland FINGRID OYJ 0.000% 05/03/2014 ECP USD POHJOLA BANK PLC 0.000% /03/2014 ECP USD Germany DZ BANK AG DEU.ZENTRAL 0.000% /04/2014 ECP USD LANDESKREDITBANK BADEN 0.000% /03/2014 ECP USD The Netherlands BANK NEDERLANDSE GEMEE 0.000% /03/2014 ECP USD UNILEVER NV 0.000% 14/05/2014 ECP USD Luxembourg BANQUE ET CAISSE D EPARGNE % 16/04/2014 ECP USD BNP PARIBAS FORTIS SA 0.000% /05/2014 CD USD Sweden SBAB BANK AB 0.000% /05/2014 ECP USD SKANDINAVISKA ENSKILDA 0.000% /03/2014 ECP USD Japan SUMITOMO MITSUI BANKING 0.000% /03/2014 CD USD United Kingdom STANDARD CHARTERED BAN 0.000% /05/2014 ECP USD Norway DNB BANK ASA 0.000% /05/2014 ECP USD Switzerland CREDIT SUISSE SYDNEY 0.000% /05/2014 ECP USD China BANK OF CHINA LIMITED 0.000% /04/2014 CD USD Luxembourg PARVEST COMMODITIES ARBITRAGE - X - CAP USD Total securities portfolio Page 219

222 Notes to the financial statements Page 220

223 Notes to the financial statements at 28/02/2014 Note 1 - General information Since 1 March 2013 the Company has proceeded to the following changes: At 21 May 2013 the share class Classic PmRv merged into Classic - Distribution. At 23 July 2013 the sub-fund Resilient Assets has been liquidated. a) Change the name of sub-funds Sub-fund Date Events Multi-Strategy High Vol (USD) 1 March 2013 Renamed Multi-Strategy Low Vol (USD) Multi-Strategy Low Vol (USD) 1 June 2013 Renamed Multi-Strategy Medium Vol (USD) Equity Russia Opportunity 1 November 2013 Renamed Equity Russia Opportunities b) Complete merger of sub-funds Sub-fund Date Events Absolute Return Balanced 25 March 2013 Absorbing BNP Paribas L1 Absolute Return Balanced Absolute Return Growth 25 March 2013 Absorbing BNP Paribas L1 Absolute Return Growth Absolute Return Stability 25 March 2013 Absorbing BNP Paribas L1 Absolute Return Stability Bond Euro Long Term 25 March 2013 Absorbing BNP Paribas L1 Bond Euro Long Term Equity Best Selection Europe ex-uk 25 March 2013 Absorbing BNP Paribas L1 Equity Best Selection Europe ex-uk Equity Pacific ex-japan 25 March 2013 Absorbing BNP Paribas L1 Equity Pacific ex-japan Sustainable Bond Euro 25 March 2013 Absorbing BNP Paribas L1 Sustainable Bond Euro World Volatility 25 March 2013 Absorbing BNP Paribas L1 World Volatility Bond Asia ex-japan 21 May 2013 Absorbing BNP Paribas L1 Bond Asia ex-japan Bond Best Selection World Emerging 21 May 2013 Absorbing BNP Paribas L1 Bond Best Selection World Emerging Bond USD 21 May 2013 Absorbing BNP Paribas L1 Bond USD Bond World High Yield 21 May 2013 Absorbing BNP Paribas L1 Bond World High Yield Equity Best Selection Asia ex-japan 21 May 2013 Absorbing BNP Paribas L1 Equity Best Selection Asia ex-japan Equity Best Selection Europe 21 May 2013 Absorbing BNP Paribas L1 Equity Best Selection Europe Equity China 21 May 2013 Absorbing BNP Paribas L1 Equity China Equity Europe Emerging 21 May 2013 Absorbing BNP Paribas L1 Equity Europe Emerging Equity High Dividend Pacific 21 May 2013 Absorbing BNP Paribas L1 Equity High Dividend Pacific Equity India 21 May 2013 Absorbing BNP Paribas L1 Equity India Equity Indonesia 21 May 2013 Absorbing BNP Paribas L1 Equity Indonesia Equity Russia 21 May 2013 Absorbing BNP Paribas L1 Equity Russia Equity USA Growth 21 May 2013 Absorbing BNP Paribas L1 Equity USA Growth Equity USA Small Cap 21 May 2013 Absorbing BNP Paribas L1 Equity USA Small Cap Equity World Emerging 21 May 2013 Absorbing BNP Paribas L1 Equity World Emerging Equity World Energy 21 May 2013 Absorbing BNP Paribas L1 Equity World Energy Equity World Finance 21 May 2013 Absorbing BNP Paribas L1 Equity World Finance Equity World Health Care 21 May 2013 Absorbing BNP Paribas L1 Equity World Health Care Equity World Low Volatility 21 May 2013 Absorbing BNP Paribas L1 Equity World Low Volatility Equity World Materials 21 May 2013 Absorbing BNP Paribas L1 Equity World Materials Equity World Technology 21 May 2013 Absorbing BNP Paribas L1 Equity World Technology Equity World Utilities 21 May 2013 Absorbing BNP Paribas L1 Equity World Utilities Opportunities USA 21 May 2013 Absorbing BNP Paribas L1 Opportunities USA Bond Europe Emerging 27 May 2013 Absorbing BNP Paribas L1 Bond Europe Emerging Bond World 27 May 2013 Absorbing BNP Paribas L1 Bond World Bond World Emerging Corporate 27 May 2013 Absorbing BNP Paribas L1 Bond World Emerging Corporate Equity Best Selection Asia ex-japan 27 May 2013 Absorbing BNP Paribas L1 Equity Asia Emerging Equity Best Selection Euro 27 May 2013 Absorbing BNP Paribas L1 Equity Best Selection Euro Equity Europe Growth 27 May 2013 Absorbing BNP Paribas L1 Equity Europe Growth Page 221

224 Notes to the financial statements at 28/02/2014 Sub-fund Date Events Equity Germany 27 May 2013 Absorbing BNP Paribas L1 Equity Germany Equity High Dividend USA 27 May 2013 Absorbing BNP Paribas L1 Equity High Dividend USA Equity Turkey 27 May 2013 Absorbing BNP Paribas L1 Equity Turkey Equity USA Growth 27 May 2013 Absorbing BNP Paribas L1 Equity Best Selection USA Equity World Consumer Durables 27 May 2013 Absorbing BNP Paribas L1 Equity World Consumer Durables Equity World Health Care 27 May 2013 Absorbing BNP Paribas L1 Equity Europe Health Care Equity World Telecom 27 May 2013 Absorbing BNP Paribas L1 Equity World Telecom Equity World Utilities 27 May 2013 Absorbing BNP Paribas L1 Equity Europe Utilities Green Tigers 27 May 2013 Absorbing BNP Paribas L1 Green Tigers Opportunities World 27 May 2013 Absorbing BNP Paribas L1 Opportunities World Real Estate Securities Pacific 27 May 2013 Absorbing BNP Paribas L1 Real Estate Securities Pacific Real Estate Securities World 27 May 2013 Absorbing BNP Paribas L1 Real Estate Securities World V May 2013 Absorbing BNP Paribas L1 V350 World Commodities 27 May 2013 Absorbing BNP Paribas L1 World Commodities Equity World Low Volatility 27 May 2013 Absorbing BNP Paribas L1 Equity High Dividend World Equity World Consumer Durables 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Consumer Durables Equity World Consumer Durables 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Consumer Goods Equity World Energy 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Energy Equity Best Selection Europe 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Finance Equity Best Selection Europe 3 June 2013 Absorbing Equity Europe Converging Equity Best Selection Europe 3 June 2013 Absorbing Equity Europe LS 30 Equity Best Selection Euro 3 June 2013 Absorbing Equity France Equity Best Selection Europe 3 June 2013 Absorbing Equity Switzerland Equity High Dividend USA 3 June 2013 Absorbing Equity USA Value Equity World Technology 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Industrials Equity World Materials 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Materials Equity World Technology 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Technology Equity World Technology 3 June 2013 Absorbing Equity World Technology Innovators Equity World Telecom 3 June 2013 Absorbing BNP Paribas L1 Equity Europe Telecom Equity World Consumer Durables 3 June 2013 Absorbing BNP Paribas L1 Equity World Consumer Goods Equity World Technology 3 June 2013 Absorbing BNP Paribas L1 Equity World Industrials Opportunities World 3 June 2013 Absorbing Equity World Next Generation World Commodities 3 June 2013 Absorbing World Agriculture World Commodities 3 June 2013 Absorbing World Agriculture (USD) Multi-Strategy Low Vol (USD) Renamed on 1 June 2013 into Multi- Strategy Medium Vol (USD) Multi-Strategy Low Vol (USD) Renamed on 1 June 2013 into Multi- Strategy Medium Vol (USD) 17 June June 2013 Multi-Strategy Medium Vol 17 June 2013 Multi-Strategy Medium Vol 17 June 2013 Multi-Strategy Medium Vol 17 June 2013 Multi-Strategy Medium Vol 17 June 2013 Multi-Strategy Medium Vol 17 June 2013 Multi-Strategy Medium Vol 17 June 2013 Absorbing BNP Paribas Alternative Funds Serenity Portfolio (USD Reference) Absorbing BNP Paribas Alternative Funds Opportunity Portfolio (USD Reference) Absorbing BNP Paribas Alternative Funds Serenity Portfolio (EURO Reference) Absorbing BNP Paribas Alternative Funds Serenity Portfolio (CHF Reference) Absorbing BNP Paribas Alternative Funds Serenity Portfolio (GBP Reference) Absorbing BNP Paribas Alternative Funds Opportunity Portfolio (EURO Reference) Absorbing BNP Paribas Alternative Funds Opportunity Portfolio (CHF Reference) Absorbing BNP Paribas Alternative Funds Opportunity Portfolio (GBP Reference) Short Term Euro Premium 25 November 2013 Absorbed by BNP Paribas L1 Bond Euro Premium Bond Russia 20 January 2014 Absorbing BNP PARIBAS FLEXI III Bond Russia Equity Nordic Small Cap 3 February 2014 Absorbing BNP PARIBAS A FUND Nordic Small Cap Page 222

225 Notes to the financial statements at 28/02/2014 Sub-fund Date Events Equity World Emerging Low Absorbing BNP Paribas Flexi I Equity World Emerging Low 3 February 2014 Volatility Volatility Real Estate Securities Europe 3 February 2014 Absorbing BNP Paribas L1 Real Estate Securities Europe c) New Master sub-funds The following sub-funds become Master of the same sub-funds of BNP Paribas L1. The conversion of the current portfolios of the Feeders has been done, by subscription in kind in the X category of the Masters under the control of the common auditor of the Master and Feeder. Sub-fund Date Events Bond Euro High Yield 21 May 2013 By absorbing BNP Paribas L1 Bond Euro High Yield Bond World Emerging Local 21 May 2013 By absorbing BNP Paribas L1 Bond World Emerging Local Convertible Bond World 21 May 2013 By absorbing BNP Paribas L1 Convertible Bond World Equity World Emerging 21 May 2013 By receiving a contribution in kind of BNP Paribas L1 Equity World Emerging d) From 29 November 2013 the following sub-funds become Master of the following Italian Feeder Funds The conversion of the current portfolio of the Italian Feeders has been done, by subscription in kind in the X category of the Masters under the control of the auditor of the Master working together with the auditor of the Feeder. PARVEST Master sub-fund Bond World Emerging Equity High Dividend Europe Equity USA Growth Equity World Emerging Italian Feeder Fund BNL Obbligazioni Emergenti BNL Azioni Europa Dividendo BNL Azioni America BNL Azioni Emergenti e) Transformed categories and classes Sub-fund Date Events World Agriculture 1 March 2013 Transformation of share class Classic - Capitalisation into Classic H EUR - Capitalisation World Agriculture 1 March 2013 Transformation of share class I into IH EUR World Agriculture 1 March 2013 Transformation of share class Privilege - Capitalisation into Privilege H EUR - Capitalisation f) Merged, liquidated or launched share classes Sub-fund Date Events Bond Euro 6 March 2013 Launch of share class Privilege - Distribution Bond Euro Corporate 6 March 2013 Launch of share class Privilege - Distribution Bond Euro Government 6 March 2013 Launch of share class Privilege - Distribution Bond Euro Inflation-Linked 6 March 2013 Launch of share class Privilege - Distribution Bond World Emerging 6 March 2013 Launch of share class Privilege - Distribution Bond World Inflation-Linked 6 March 2013 Launch of share class Privilege - Distribution Convertible Bond Europe 6 March 2013 Launch of share class Privilege - Distribution Enhanced Cash 6 Months 6 March 2013 Launch of share class Privilege - Distribution Equity Japan 6 March 2013 Launch of share class Privilege - Distribution Global Environment 6 March 2013 Launch of share class Privilege - Capitalisation Money Market Euro 6 March 2013 Launch of share class Privilege - Distribution Multi-Strategy Medium Vol 19 March 2013 Launch of share class N Convertible Bond Asia 24 May 2013 Launch of share class Privilege - Distribution Commodities Arbitrage 3 June 2013 Launch of share class X Bond World Emerging Advanced 14 June 2013 Launch of share class X Equity Australia 14 June 2013 Launch of share class X Page 223

226 Notes to the financial statements at 28/02/2014 Sub-fund Date Events Equity Russia Opportunities 21 June 2013 Launch of share class X Bond USA High Yield 12 November 2013 Launch of share class Classic H AUD MD Equity Japan Small Cap 12 November 2013 Launch of share class Classic H USD - Capitalisation Step 80 World Emerging 15 November 2013 Classic USD - Capitalisation share class absorbed by Classic - Capitalisation share class registered in EUR Diversified Inflation 3 December 2013 Launch of share class X Equity Japan 9 December 2013 Launch of share class Classic H USD - Capitalisation Bond Euro Inflation-Linked 10 December 2013 Launch of share class X Equity USA Mid Cap 10 December 2013 Launch of share class Privilege H EUR - Capitalisation Bond JPY 11 December 2013 Launch of share class X Bond World Corporate 11 December 2013 Launch of share class Privilege - Capitalisation Bond World Emerging Advanced 12 December 2013 Launch of share classes N and Privilege - Capitalisation Bond World Inflation-Linked 12 December 2013 Launch of share class X Convertible Bond Asia 12 December 2013 Launch of share class X Convertible Bond Europe Small Cap 12 December 2013 Launch of share class X Environmental Opportunities 12 December 2013 Launch of share classes N and X Commodities Arbitrage 13 December 2013 Launch of share classes N and Privilege - Capitalisation Diversified Dynamic 13 December 2013 Launch of share class X Diversified Inflation 13 December 2013 Launch of share class N and Privilege - Capitalisation Equity Europe Value 17 December 2013 Launch of share class X Equity South Korea 17 December 2013 Launch of share classes X and Privilege - Capitalisation Equity USA Mid Cap 17 December 2013 Launch of share class X Equity Brazil 18 December 2013 Launch of share class X Equity Bric 18 December 2013 Launch of share class X Equity Latin America 18 December 2013 Launch of share class X Flexible Bond World 20 December 2013 Launch of share class X Flexible Assets EUR 23 December 2013 Launch of share class X Flexible Equity Europe 23 December 2013 Launch of share classes N, X and Privilege - Capitalisation Global Environment 23 December 2013 Launch of share class X Money Market USD 23 December 2013 Launch of share class X Multi-Strategy Low Vol 23 December 2013 Launch of share class X Multi-Strategy Medium Vol 23 December 2013 Launch of share classes Privilege - Capitalisation and Privilege - Distribution Multi-Strategy Medium Vol (USD) 23 December 2013 Launch of share class X Sustainable Equity Europe 23 December 2013 Launch of share class X Equity Japan Small Cap 6 January 2014 Launch of share class Privilege H EUR - Capitalisation Bond World Corporate 25 February 2014 Launch of share classes Classic H EUR - Capitalisation and IH EUR Equity Japan 25 February 2014 Launch of share class Privilege H EUR - Capitalisation g) Change of base Sub-fund Date Event World Agriculture 1 March 2013 Change of base from EURO to USD h) Eligibility for the Plan Epargne en Actions (PEA) Owing to their eligibility for French share savings schemes (PEA), the sub-funds of the PARVEST SICAV listed below permanently invest at least 75% of their net in shares and rights that are eligible for the PEA and are issued by companies established in France, another Member State of the European Union or in Iceland or Norway and which are subject to corporation tax or an equivalent regime. Equity Best Selection Euro Equity Europe Mid Cap Equity Germany Sustainable Equity Europe Equity Best Selection Europe Equity Europe Small Cap Equity High Dividend Europe Equity Europe Growth Equity Europe Value Flexible Equity Europe Page 224

227 Notes to the financial statements at 28/02/2014 Note 2 - Principal accounting methods a) Net asset value This annual report is prepared on the basis of the last net asset value as at 28 February b) Globalized statements for the various sub-funds PARVEST s (consolidated) financial statements are expressed in EUR by converting the financial statements of the sub-funds denominated in currencies other than EUR at the exchange rate prevailing at the end of the financial year. c) Currency conversion The accounts of each sub-fund are kept in the in which its net asset value is expressed, and the financial statements are expressed in that. The purchase price of securities purchased in a other than that of the sub-fund is converted into the of the sub-fund on the basis of the exchange rates prevailing on the date of purchase of the securities. The income and expenses denominated in a other than that of the sub-fund are converted into the of the sub-fund on the basis of the exchange rates prevailing on the transaction date. On the closing date, the market values of the securities (determined by the method described below), the claims, bank deposits and debt denominated in a other than that of the sub-fund are converted into the of the subfund on the basis of the exchange rates prevailing on that date, with any exchange differentials resulting from the conversion of the securities, claims, bank deposits and debt being included in the net result for the financial year. d) Presentation of the financial statements The financial statements are presented on the basis of the latest net asset value calculated during the financial year. In accordance with the prospectus, the net asset values were calculated using the latest exchange rates known at the time of calculation. The stock market prices and exchange rates are those of 28 February This principle has been applied uniformly and consistently for all the sub-funds. By way of information, a certain lead time is required before indicative prices become available for certain illiquid securities, so that for these securities it was impossible for material reasons to use prices as at 28 February 2014 in the last net asset value of the financial year. However, these net asset values would not have been significantly different from those shown in the annual accounts. For the sub-fund World Agriculture (absorbed by World Commodities on 3 June 2013), due to change of base, the net asset value at the beginning of the year is converted into USD. The statement of operations and changes in net covers the financial year from 1 March 2013 to 28 February e) Valuation of the securities portfolio The valuation of all securities listed on a stock exchange or any other regulated market, which functions regularly, is recognized and accessible to the public, is based on the closing price on the order acceptance date, and, if the securities concerned are traded on several markets, on the basis of the most recent price on the major market on which they are traded. If this price is not a true reflection, the valuation shall be based on the probable sale price estimated by the Board of Directors in a prudent and bona fide manner. The Board of Directors use this possibility for the valuation of the securities listed on Asian and Pacific markets. In these cases, the aforesaid last known closing price is adjusted by using a method reviewed by the auditors of the Company and monitored by the Management Company to reflect a fair value price of the concerned. Unlisted securities or securities not traded on a stock exchange or another regulated market which functions in a regular manner, is recognised and accessible to the public, shall be valued on the basis of the probable sale price estimated in a prudent and bona fide manner by a qualified professional appointed for this purpose by the Board of Directors. Page 225

228 Notes to the financial statements at 28/02/2014 f) Valuation of forward foreign exchange contracts Forward foreign exchange contracts remaining open at the closing date are valued by reference to the forward foreign exchange rate corresponding to the remaining life of the contract. Any unrealised gains and losses are included when determining the result of the transactions. To calculate the net positions per, the positions are converted at the forward exchange rates corresponding to the remaining life of the contract. g) Valuation of financial instruments Financial futures are valued at their last-known market price. The other financial instruments are valued at the prices at which the position would be able to be liquidated, depending on the conditions prevailing on the market at the valuation date. Realised and unrealised profits or losses resulting there from are included in the Statement of operations and changes in net. To calculate the net positions per on financial instruments, the positions are converted at the exchange rate effective on the closing date. h) Valuation of credit default swaps The value of a Credit Default Swap shall be determined by comparing the value of the protection swap leg and the value of the premium swap leg. The value of the premium leg is obtained by discounting the future premium flows using the relevant risk-adjusted discount. The value of the protection leg is the present value of the expected loss inherent to the contract. Default probabilities used to compute the expected loss are derived from the structure of par market swap rates. Par market swap rates will be obtained from a cross-section of market counterparties. i) Valuation of total return swaps and performance swaps The Company may enter into Total Return Swap contracts ( TRS ) and performance swaps in which the Company and the counterparty agree to exchange payments, where one or both of the parties pays/pay returns generated by a basket of, an index, etc. The payments made by the Company to the counterparty and vice versa are calculated by reference to a specific security, a specific index or a given nominal amount in a financial instrument. Underlying securities or instruments must be transferable securities and indices must be indices deriving from a regulated market. The valuation of these TRS and performance swaps will reflect at any time the difference between the last-known price of the underlying security and the valuation that was taken into account when the transaction was established. The details of the underlying securities are available on request from BNP Paribas Investment Partners Luxembourg. j) Presentation of options Options contracts traded over-the-counter are valued at the prices at which the position could be liquidated under the market conditions prevailing at the valuation date. The liquidation value of forward contracts or options contracts traded on regulated markets will be based on the latest available settlement price of these contracts on the regulated markets on which these forward contracts or option contracts are traded by the SICAV; provided that if a forward contract or an options contract cannot be liquidated on the day on which the net are valued, the basis that will be used to determine the liquidation value of this contract will be determined fairly and reasonably by the Board of Directors. Options are included in the Securities portfolio statement under the heading Options. k) Valuation of securities lending, reverse repurchase and repurchase agreements Securities lending attracts remuneration for the sub-fund according to the contracts and is accounted for in the Statement of operations and changes in net under Income on investments and. Securities that have been lent are shown in the net of the sub-fund in question, at their market value. Page 226

229 Notes to the financial statements at 28/02/2014 Securities reverse repurchase (or repurchase) transactions are treated as borrowing (or lending) transactions guaranteed by the underlying securities. They are transactions by which the transferor transfers ownership of securities to another person (the transferee) and by which the transferor irrevocably undertakes to repurchase them and the transferee irrevocably undertakes to retrocede them, at an agreed price and date. Securities reverse repurchase agreements are valued at their purchase price expressed in the original, irrespective of the market value of the underlying securities, the interest accrued pro rata since the purchase date being shown under the heading Other. Securities repurchase agreements are valued at their market value. l) Valuation of interest rate swaps Interest rate swaps are valued on the basis of the difference between the value of all future interest payable by the Company to its counterparty on the valuation date at the zero coupon swap rate corresponding to the maturity of these payments and the value of all future interest payable by the counterparty to the Company on the valuation date at the zero coupon swap rate corresponding to the maturity of these payments. m) Valuation of volatility swaps A volatility swap is a forward contract whose underlying is the volatility of a given product. The underlying is usually a foreign exchange rate, equity or index. At given point in time, the valuation of the volatility swap will reflect the difference between the last known volatility of the underlying and the valuation on the basis of which the initial agreement was concluded. n) Comparisons Concerning the sub-funds that merged during the financial year and that were still open on 28 February 2014, mergers involving absorption of the net of the absorbed sub-funds or funds were recorded in the accounts by means of a subscription in the absorbing sub-funds at the merger dates. Consequently, the line Net subscriptions/(redemptions) in the Statement of operations and changes in net includes the net of the absorbed sub-funds or funds at the merger dates. o) Geographic distribution The geographic distribution of the securities portfolio is based on the issuing country. p) Note on Indian Tax Each sub-fund may be subject to corporation taxes in certain countries in which it invests. Capital gains realised when disposing of certain Indian securities held by a sub-fund are subject to capital gains tax in India, which, if any, is disclosed in the Statement of operations and changes in net under the heading taxes. The tax is computed on net realised gains, and realised losses in excess of gains may under certain conditions be carried forward one year to offset future gains. Indian tax law imposes a tax on net realised gains from Indian securities sold within one year from the date of purchase. Given the Company s intent to hold portfolio securities for more than one year, the Company does not accrue a deferred tax liability on net unrealised gains on Indian securities. In case the Company incurred a total realised loss on security sales as at fiscal year-end, the Company could recover the taxable amount paid during the year on net realised gains, provided that a claim to the Tax Administration is introduced within three years. q) To be announced "To be announced are subject to current commercial market practices in relation to securities guaranteed by bonds, according to which a security will buy/sell a basket of mortgage loans for a fixed price at a later date. At the time of the purchase/sale, the exact security is not known but its principal features are. Even if a price is agreed at the time of purchase/sale, the final face value will not yet have been fixed. Page 227

230 Notes to the financial statements at 28/02/2014 The to-be-announced ( TBA ) Mortgage Back Securities positions are shown in the securities portfolio as at 28 February At the closing date, the purchase/sale of these securities had not yet been settled. As a result, the amounts relating to payables/receivables on securities are included under Other liabilities / Other in the Statement of net. r) Cross-investments The value of the cross-investments of the sub-funds has not been taken into consideration for the calculation of the total net of the funds. The total value of those cross-investments as at 28 February 2014 amounted to: Sub-fund investing in other PARVEST Sub-funds held by other Market Value (in Currency sub-funds PARVEST sub-funds EUR) Bond Best Selection World Emerging (launched on 21 May 2013) Bond World Emerging Corporate USD Bond USD (launched on 21 May 2013) Bond World Emerging USD Bond World Emerging Bond World Emerging Corporate USD Bond World Emerging Local (launched on Bond World Emerging Advanced, 21 May 2013) Bond World Emerging Corporate USD Equity Russia (launched on 21 May 2013) Equity Russia Opportunities EUR World Commodities (launched on 27 May 2013) Commodities Arbitrage USD Total: The net at the end of the financial year of combined figures would be EUR without taken into account the cross investment. Note 3 - Management and advisory fees (maximum per annum) The maximum annual fee payable monthly and calculated on the average net asset value of each share class for each sub-fund over the past month. For certain sub-funds a reduced management fee was charged during financial year/period. The management fees applicable to the Classic class are also applicable for the Classic EUR, Classic H AUD MD, Classic H CZK, Classic H EUR, Classic H SGD MD, Classic MD, Classic New Distri, Classic USD MD and N classes. The management fees applicable to the I class are also applicable for the class IH EUR. No management fee is charged for the X class. A sub-fund may not invest in a UCITS, or other UCIS, with a management fee exceeding 3.00% per annum. Sub-fund Classic Privilege I Absolute Return Balanced (launched on 25 March 2013) 0.75% 0.40% 0.20% Absolute Return Growth (launched on 25 March 2013) 1.00% 0.50% 0.25% Absolute Return Stability (launched on 25 March 2013) 0.50% 0.25% 0.15% Bond Asia ex-japan (launched on 21 May 2013) 1.25% 0.75% 0.60% Bond Best Selection World Emerging (launched on 21 May 2013) 1.50% 0.75% 0.60% Bond Euro 0.75% 0.40% 0.30% Bond Euro Corporate 0.75% 0.40% 0.30% Bond Euro Government 0.70% 0.35% 0.25% Bond Euro High Yield (launched on 21 May 2013) 1.20% 0.60% 0.55% Bond Euro Inflation-Linked 0.75% 0.40% 0.30% Bond Euro Long Term (launched on 25 March 2013) 0.70% 0.35% 0.25% Bond Euro Medium Term 0.50% 0.25% 0.20% Bond Euro Short Term 0.50% 0.25% 0.20% Bond Europe Emerging (launched on 27 May 2013) 1.50% 0.75% 0.60% Page 228

231 Notes to the financial statements at 28/02/2014 Sub-fund Classic Privilege I Bond JPY 0.75% 0.40% 0.30% Bond Russia (launched on 20 January 2014) 1.25% 0.75% 0.60% Bond USA High Yield 1.20% 0.60% 0.55% Bond USD (launched on 21 May 2013) 0.75% 0.40% 0.30% Bond USD Government 0.75% 0.40% 0.30% Bond World (launched on 27 May 2013) 0.75% 0.40% 0.30% Bond World Corporate 0.75% 0.40% 0.30% Bond World Emerging 1.50% 0.75% 0.60% Bond World Emerging Advanced 1.50% 0.75% 0.60% Bond World Emerging Corporate (launched on 27 May 2013) 1.50% 0.75% 0.60% Bond World Emerging Local (launched on 21 May 2013) 1.50% 0.75% 0.60% Bond World High Yield (launched on 21 May 2013) 1.20% 0.60% 0.55% Bond World Inflation-Linked 0.75% 0.40% 0.30% Commodities Arbitrage 1.75% 0.90% 0.80% Convertible Bond Asia 1.20% 0.65% 0.60% Convertible Bond Europe 1.20% 0.65% 0.60% Convertible Bond Europe Small Cap 1.20% 0.65% 0.60% Convertible Bond World (launched on 21 May 2013) 1.20% 0.65% 0.60% Diversified Dynamic 1.10% 0.55% 0.50% Diversified Inflation 1.00% 0.50% 0.40% Enhanced Cash 6 Months 0.50% 0.25% 0.20% Enhanced Cash 18 Months 0.50% 0.25% 0.20% Environmental Opportunities 2.20% 1.10% 1.00% Equity Australia 1.50% 0.75% 0.60% Equity Best Selection Asia ex-japan (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity Best Selection Euro (launched on 27 May 2013) 1.50% 0.75% 0.60% Equity Best Selection Europe (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity Best Selection Europe ex-uk (launched on 25 March 2013) 1.50% 0.75% 0.60% Equity Brazil 1.75% 0.90% 0.75% Equity Bric 1.75% 0.90% 0.75% Equity China (launched on 21 May 2013) 1.75% 0.90% 0.75% Equity Europe Converging (absorbed by Equity Best Selection Europe on 3 June 2013) 1.50% 0.80% 0.60% Equity Europe Emerging (launched on 21 May 2013) 1.75% 0.90% 0.75% Equity Europe Growth (launched on 27 May 2013) 1.50% 0.75% 0.60% Equity Europe LS 30 (absorbed by Equity Best Selection Europe on 3 June 2013) 1.50% 0.80% 0.60% Equity Europe Mid Cap 1.50% 0.75% 0.60% Equity Europe Small Cap 1.75% 0.90% 0.70% Equity Europe Value 1.50% 0.75% 0.60% Equity France (absorbed by Equity Best Selection Euro on 3 June 2013) 1.50% 0.80% 0.60% Equity Germany (launched on 27 May 2013) 1.50% 0.75% 0.60% Equity High Dividend Europe 1.50% 0.75% 0.60% Equity High Dividend Pacific (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity High Dividend USA (launched on 27 May 2013) 1.50% 0.75% 0.60% Equity India (launched on 21 May 2013) 1.75% 0.90% 0.75% Equity Indonesia (launched on 21 May 2013) 1.75% 0.90% 0.75% Equity Japan 1.50% 0.75% 0.60% Equity Japan Small Cap 1.75% 0.90% 0.70% Equity Latin America 1.75% 0.90% 0.75% Equity Nordic Small Cap (launched on 3 February 2014) 1.75% 0.90% 0.80% Equity Pacific ex-japan (launched on 25 March 2013) 1.50% 0.75% 0.60% Equity Russia (launched on 21 May 2013) 1.75% 0.90% 0.75% Equity Russia Opportunities 1.75% 0.90% 0.75% Equity South Korea 1.75% 0.90% 0.75% Page 229

232 Notes to the financial statements at 28/02/2014 Sub-fund Classic Privilege I Equity Switzerland (absorbed by Equity Best Selection Europe on 3 June 2013) 1.50% 0.80% 0.60% Equity Turkey (launched on 27 May 2013) 1.75% 0.90% 0.75% Equity USA 1.50% 0.75% 0.60% Equity USA Growth (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity USA Mid Cap 1.75% 0.90% 0.70% Equity USA Small Cap (launched on 21 May 2013) 1.75% 0.90% 0.70% Equity USA Value (absorbed by Equity High Dividend USA on 3 June 2013) 1.75% 1.00% 0.70% Equity World Consumer Durables (launched on 27 May 2013) 1.50% 0.75% 0.60% Equity World Emerging (launched on 21 May 2013) 1.75% 0.90% 0.75% Equity World Emerging Low Volatility (launched on 3 February 2014) 1.75% 0.90% 0.75% Equity World Energy (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity World Finance (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity World Health Care (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity World Low Volatility (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity World Materials (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity World Next Generation (absorbed by Opportunities World on 3 June 2013) 1.50% 0.80% N/A Equity World Technology (launched on 21 May 2013) 1.50% 0.75% 0.60% Equity World Technology Innovators (absorbed by Equity World Technology on 3 June 2013) 1.50% 0.80% 0.60% Equity World Telecom (launched on 27 May 2013) 1.50% 0.75% 0.60% Equity World Utilities (launched on 21 May 2013) 1.50% 0.75% 0.60% Flexible Assets EUR 1.30% 0.65% 0.60% Flexible Bond Europe Corporate 0.90% 0.45% 0.40% Flexible Bond World 0.75% 0.40% 0.30% Flexible Equity Europe 1.75% 0.90% 0.70% Global Environment 1.75% 0.90% 0.70% Green Tigers (launched 27 May 2013) 1.50% 0.75% 0.60% Money Market Euro 0.50% 0.25% 0.20% Money Market USD 0.50% 0.25% 0.20% Multi-Strategy Low Vol 1.00% 0.50% 0.40% Multi-Strategy Medium Vol 1.30% 0.65% 0.55% Multi-Strategy Medium Vol (USD) (launched on 1 June 2013) 1.30% 0.65% 0.55% Opportunities USA (launched on 21 May 2013) 1.50% 0.75% 0.60% Opportunities World (launched on 27 May 2013) 1.50% 0.75% 0.60% Real Estate Securities Europe (launched on 3 February 2014) 1.50% 0.75% 0.60% Real Estate Securities Pacific (launched on 27 May 2013) 1.50% 0.75% 0.60% Real Estate Securities World (launched on 27 May 2013) 1.50% 0.75% 0.60% Resilient Assets (liquidated on 23 July 2013) 1.30% 0.65% 0.55% Short Term Euro Premium (liquidated on 25 November 2013) 0.50% 0.25% 0.20% Step 80 World Emerging 1.50% N/A N/A Step 90 Commodities (EUR) 1.50% N/A N/A Step 90 Euro 1.50% N/A N/A Step 90 US 1.50% N/A N/A Sustainable Bond Euro (launched 25 March 2013) 0.75% 0.40% 0.30% Sustainable Bond Euro Corporate 0.75% 0.40% 0.30% Sustainable Equity Europe 1.50% 0.75% 0.60% V350 (launched on 27 May 2013) 0.75% 0.40% 0.30% World Agriculture (absorbed by World Commodities on 3 June 2013) 1.50% 0.80% 0.60% World Agriculture (USD) (absorbed by World Commodities on 3 June 2013) 1.50% 0.80% 0.60% World Commodities (launched on 27 May 2013) 1.50% 0.75% 0.60% World Volatility (launched 25 March 2013) 1.50% 0.75% 0.50% Page 230

233 Notes to the financial statements at 28/02/2014 A maximum advisory fee of 0.15% is applied to all the share classes, excepted to the X share class, of the sub-funds Equity High Dividend USA, Equity Japan Small Cap and Equity USA Mid Cap. Note 4 - Performance fees: calculation method and summary table BNP Paribas Investment Partners Luxembourg will receive a performance fee if the performance of the sub-fund s share category for the relevant reference period (1) is: - first, positive, - and second, better than the performance of the benchmark index or hurdle rate indicated in the table below, when the High Water Mark (HWM) principle is applied. The High Water Mark will be the last Net Asset Value in the previous financial year for which a performance fee was paid (the reference value). This means that, for sub-funds that calculate a performance fee by comparison with a benchmark index, the performance fee may be paid if the relevant share category outperformed the benchmark index and if the net asset value per share is greater than the reference value, on the understanding that the share category s net asset value may not be at its all-time highest at that particular moment in time. For sub-funds that calculate a performance fee by comparison with a hurdle rate, this means that the performance fee will only be paid if: - the relevant share category has outperformed the hurdle rate, and - the share category s net asset value has reached an all-time high. For the purposes of the calculation: - A performance fee will be provisionally allocated to each net asset value that is calculated. The annual fee will correspond to the results obtained by adding the fees thus allocated over the year. The performance fee will be paid at the end of the financial year. - If shares of the category are redeemed during the period, the fraction of the provisioned performance fee that corresponds to the total amount redeemed for the category will still be charged and paid at the end of the financial period. - The performance fee for distributing class shares will be adjusted to take into account any dividends paid. In this case, the High Water Mark for distributing class shares will be adjusted at the end of the financial year to reflect dividends paid over the year. - Benchmark indexes, hurdle rates and performance fee rates may only be modified at the end of a financial year. Summary table of the sub-funds with Performance fee The Performance Fee is charged for all share categories except for the X category Sub-fund Categories Annual performance fee Benchmark index Hurdlerate rate Absolute Return Balanced I 10% - EONIA Absolute Return Growth I 10% - EONIA Absolute Return Stability I 10% - EONIA Commodities Arbitrage Classic, I, N and 15% - Libor USD 3M Equity Europe LS 30 (absorbed on 3 June 2013) Multi-Strategy Low Vol Privilege All categories except for X All categories except for X 10% MSCI Europe - 10% - EONIA (1) The reference period shall mean the SICAV s financial year, unless the share category s net asset value at the beginning of the financial year is less than the reference value or HWM. In that case, the reference period shall run from the HWM date. When a sub-fund introduces a performance fee mid-year, the first reference period shall run from the day the fee is introduced and shall end at the end of that financial year. Page 231

234 Notes to the financial statements at 28/02/2014 Sub-fund Categories Annual performance fee Benchmark index Hurdlerate rate Multi-Strategy Medium Vol All categories except for X 15% - EONIA Multi-Strategy Medium Vol All categories Libor USD 15% - (USD) except for X Overnight (*) V350 I 15% - EONIA World Volatility I 15% - EONIA (*) For the Classic EUR, 15% above Libor USD Overnight expressed in euro as hurdle rate. Note 5 - Other fees Other fees are calculated and deducted monthly from the average net of a sub-fund, share category, or share class and serving to cover general custody expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the shareholders, providing and printing the documents legally required for the shareholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for transactions not related to the deposit, director fees, interest and bank fees, one-off expenses, and the taxe d abonnement in force in Luxembourg, as well as any other specific foreign tax and other regulators levy. Note 6 - Taxes At the date of the Prospectus, the Company is not liable to any Luxembourg income tax or capital gains tax. The Company is liable to an annual taxe d abonnement in Luxembourg representing 0.05% of the net asset value. This rate is reduced to 0.01% for: a) sub-funds with the exclusive objective of collective investments in money market instruments and deposits with credit institutions; b) sub-funds with the exclusive objective of collective investments in deposits with credit institutions; c) sub-funds, categories, or classes reserved for Institutional Investors, Managers, and UCIs. The following are exempt from this taxe d abonnement : a) the value of represented by units or shares in other UCIs, provided that these units, or shares have already been subject to the taxe d abonnement ; b) sub-funds, share categories and/or classes: (i) whose securities are reserved to Institutional Investors, Managers or UCIs and (ii) whose sole object is the collective investment in money market instruments and the placing of deposits with credit institutions, and (iii) whose weighted residual portfolio maturity does not exceed 90 days, and (iv) that have obtained the highest possible rating from a recognised rating agency; c) sub-funds, share categories and/or classes reserved to: (i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or more employers for the benefit of their employees, and (ii) companies having one or more employers investing funds to provide pension benefits to their employees; d) sub-funds whose main objective is investment in microfinance institutions; e) sub-funds, shares categories and/or classes: (i) whose securities are listed or traded on at least one stock exchange or another regulated market operating regularly that is recognized and open to the public, and (ii) whose exclusive object is to replicate the performance of one or several indices. When due, the taxe d abonnement is payable quarterly based on the relevant net and calculated at the end of the quarter for which it is applicable. In addition, the Company may be subject to foreign UCI s tax, and/or other regulators levy in the country where the sub-fund is registered for distribution. Page 232

235 Notes to the financial statements at 28/02/2014 Note 7 - Dividends For the Classic MD share class, the following dividends were paid: - Payment dates Month Record Date (1) NAV ex-dividend Date (2) Payment Date (3) March April April April May May June July July July August September September September October October November December December December January February February February (1) If this day is not a bank business day in Luxembourg, the record date will be the next following bank business day. (2) Dates are based on a valuation simulation in as a consequence, dates may change depending on the composition of the portfolio at this date. if for a particular reason, the day in question the valuation was not possible, the ex-date would be put off to the valuation day possible immediately afterwards. (3) If this day is not a bank business day in Luxembourg, the payment date will be the next following bank business day. If for a particular reason, the settlement is not possible (e.g. bank holiday on a specific or country), settlement will be made the 1st business day after or any other day communicated by the local agent. - Monthly amount from March until December 2013: Sub-fund Class Currency Dividend Bond Asia ex-japan Classic H AUD MD AUD 0.50 Bond Asia ex-japan Classic H SGD MD SGD 0.40 Bond Asia ex-japan Classic MD USD 0.40 Bond Best Selection World Emerging Classic MD USD 0.16 Bond USA High Yield Classic MD USD 0.41 Bond USD Classic MD USD 0.23 Bond USD Government Classic MD USD 0.21 Bond World Emerging Classic MD USD 0.58 Bond World Emerging Local Classic H SGD MD SGD 0.58 Bond World Emerging Local Classic MD USD 0.57 Bond World High Yield Classic MD USD 0.48 Convertible Bond Asia Classic MD USD 0.29 Equity High Dividend Pacific Classic MD USD 0.33 Flexible Bond World Classic MD USD Monthly amount since January 2014: Sub-fund Class Currency Dividend Bond Asia ex-japan Classic MD USD 0.37 Bond Asia ex-japan Classic H AUD MD AUD 0.53 Bond Asia ex-japan Classic H SGD MD SGD 0.37 Bond Asia ex-japan Privilege MD USD 0.40 Bond Best Selection World Emerging Classic MD USD 0.16 Bond USA High Yield Classic MD USD 0.55 Bond USA High Yield Classic H AUD MD AUD 0.83 Bond USD Classic MD USD 0.22 Bond USD Government Classic MD USD 0.17 Bond World Emerging Classic MD USD 0.58 Page 233

236 Notes to the financial statements at 28/02/2014 Sub-fund Class Currency Dividend Bond World Emerging Corporate Classic MD USD 0.50 Bond World Emerging Local Classic MD USD 0.50 Bond World Emerging Local Classic H SGD MD SGD 0.57 Bond World High Yield Classic MD USD 0.68 Bond World High Yield Classic H AUD MD AUD 0.83 Bond World High Yield Classic H USD MD USD 0.67 Convertible Bond Asia Classic MD USD 0.15 Equity Europe Growth Classic H SGD MD SGD 0.19 Equity Europe Growth Classic H USD MD USD 0.19 Equity High Dividend Pacific Classic MD USD 0.39 Equity High Dividend Pacific Privilege MD USD 0.36 Flexible Bond World Classic MD USD 0.03 The following dividends were paid on 30 April 2013 for shares outstanding as at 17 April 2013: Sub-fund Class Coupon n Currency Dividend Bond Euro Classic - Distribution 16 EUR 2.03 Bond Euro Corporate Classic - Distribution 11 EUR 2.11 Bond Euro Government Classic - Distribution 13 EUR 4.18 Bond Euro Long Term Classic - Distribution 49 EUR Bond Euro Medium Term Classic - Distribution 15 EUR 1.46 Bond Euro Short Term Classic - Distribution 13 EUR 1.09 Bond JPY Classic - Distribution 49 JPY Bond World Corporate Classic - Distribution 13 USD 2.94 Bond World Emerging Classic - Distribution 13 USD 4.43 Bond World Emerging Classic EUR - Distribution 13 EUR Convertible Bond Asia Classic - Distribution 13 USD 1.69 Convertible Bond Europe Classic - Distribution 13 EUR 2.56 Convertible Bond Europe Small Cap Classic - Distribution 13 EUR 3.38 Diversified Dynamic Classic - Distribution 15 EUR 3.13 Environmental Opportunities Classic - Distribution 13 EUR 1.87 Equity Australia Classic - Distribution 12 AUD Equity Best Selection Europe ex-uk Classic - Distribution 85 EUR 2.58 Equity Brazil Classic - Distribution 13 USD 4.73 Equity Bric Classic - Distribution 13 USD 3.51 Equity Europe Converging Classic - Distribution 15 EUR 3.95 Equity Europe LS 30 Classic - Distribution 13 EUR 2.65 Equity Europe Mid Cap Classic - Distribution 17 EUR 8.85 Equity Europe Small Cap Classic - Distribution 13 EUR 3.33 Equity Europe Value Classic - Distribution 13 EUR 3.48 Equity France Classic - Distribution 20 EUR 9.33 Equity High Dividend Europe Classic - Distribution 12 EUR 1.62 Equity Japan Classic - Distribution 19 JPY Equity Japan Small Cap Classic - Distribution 16 JPY Equity Latin America Classic - Distribution 12 USD Equity Pacific ex-japan Classic - Distribution 85 EUR 4.16 Equity Russia Opportunities Classic - Distribution 13 USD 2.64 Equity South Korea Classic - Distribution 13 USD 1.15 Equity Switzerland Classic - Distribution 19 CHF Equity USA Classic - Distribution 21 USD 1.35 Equity USA Mid Cap Classic - Distribution 13 USD 2.55 Equity USA Value Classic - Distribution 13 USD 1.69 Equity World Next Generation Classic - Distribution 13 EUR 3.11 Equity World Technology Innovators Classic - Distribution 11 USD 1.50 Flexible Bond Europe Corporate Classic - Distribution 13 EUR 0.65 Flexible Equity Europe Classic - Distribution 13 EUR 4.26 Page 234

237 Notes to the financial statements at 28/02/2014 Sub-fund Class Coupon n Currency Dividend Global Environment Classic - Distribution 13 EUR 2.74 Money Market Euro Classic - Distribution 16 EUR 0.08 Money Market USD Classic - Distribution 23 USD 0.32 Sustainable Bond Euro Classic - Distribution 85 EUR 2.00 Sustainable Bond Euro Corporate Classic - Distribution 13 EUR 2.08 Sustainable Equity Europe Classic - Distribution 13 EUR 2.61 It has been decided to not pay dividends for the following sub-funds for shares in issue on 18 April 2013: Sub-fund Class Coupon n Absolute Return Balanced Classic - Distribution 85 Absolute Return Growth Classic - Distribution 85 Absolute Return Stability Classic - Distribution 85 Bond Euro Inflation-linked Classic - Distribution 13 Bond World Inflation-linked Classic - Distribution 13 Enhanced Cash 6 Months Classic - Distribution 13 Enhanced Cash 18 Months Classic - Distribution 13 Flexible Assets EUR Classic - Distribution 13 Multi-Strategy Low Vol (USD) Classic - Distribution 13 World Volatility Classic - Distribution 13 Note 8 - Exchange rates The exchange rates used for consolidation and for the conversion of share classes denominated in a other than the reference of the relevant sub-fund: EUR 1 = AUD EUR 1 = CHF EUR 1 = CZK EUR 1 = GBP EUR 1 = HUF EUR 1 = JPY EUR 1 = NOK EUR 1 = PLN EUR 1 = SGD EUR 1 = USD Note 9 - Futures contracts As at 28 February 2014, the following positions were outstanding: Absolute Return Balanced Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 144 S EURO-BUND FUTURE 06/03/ (71 660) EUR 268 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ GBP 102 P FTSE 100 INDEX 21/03/ USD 468 P US 10YR NOTE FUT (CBT) 19/06/ CAD 419 S CAN 10YR BOND FUTURE 19/06/ ( ) Page 235

238 Notes to the financial statements at 28/02/2014 Absolute Return Balanced (continued) Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) USD 193 P RUSSELL 2000 MINI INDEX FUTURES 21/03/ USD 488 S S&P 500 E-MINI FUTURE 21/03/ ( ) Total: ( ) Absolute Return Growth Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 114 S EURO-BUND FUTURE 06/03/ (56 200) EUR 218 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ GBP 83 P FTSE 100 INDEX 21/03/ USD 537 P US 10YR NOTE FUT (CBT) 19/06/ CAD 345 S CAN 10YR BOND FUTURE 19/06/ ( ) JPY 23 P JPN 10Y BOND (TSE) 11/03/ USD 158 P RUSSELL 2000 MINI INDEX FUTURES 21/03/ USD 397 S S&P 500 E-MINI FUTURE 21/03/ ( ) CAD 58 P S&P / TSE 60 IX FUTURE 20/03/ Total: Absolute Return Stability Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 3 S EURO-BUND FUTURE 06/03/ (1 490) EUR 6 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ GBP 2 P FTSE 100 INDEX 21/03/ USD 10 P US 10YR NOTE FUT (CBT) 19/06/ CAD 9 S CAN 10YR BOND FUTURE 19/06/ (6 358) USD 4 P RUSSELL 2000 MINI INDEX FUTURES 21/03/ USD 11 S S&P 500 E-MINI FUTURE 21/03/ (33 630) Total: (5 031) Bond Euro Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 128 S EURO-BUND FUTURE 06/03/ ( ) EUR 158 P EURO-SCHATZ FUTURE 06/03/ EUR 255 P EURO-BOBL FUTURE 06/03/ Total: Page 236

239 Notes to the financial statements at 28/02/2014 Bond Euro Corporate Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 773 S EURO-BUND FUTURE 06/03/ ( ) EUR P EURO-SCHATZ FUTURE 06/03/ EUR S EURO-BOBL FUTURE 06/03/ ( ) Total: ( ) Bond Euro Government Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 33 S EURO-BUND FUTURE 06/03/ EUR 110 P EURO-SCHATZ FUTURE 06/03/ (6 050) Total: Bond Euro Inflation-Linked Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 38 S EURO-BUND FUTURE 06/03/ ( ) EUR 12 P EURO-SCHATZ FUTURE 06/03/ Total: ( ) Bond Euro Medium Term Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 139 P EURO-SCHATZ FUTURE 06/03/ EUR 256 P EURO-BOBL FUTURE 06/03/ Total: Bond Euro Short Term Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 800 P EURO-SCHATZ FUTURE 06/03/ (12 670) Total: (12 670) Bond USD Currency Quantity Purchase/ Sale Description Maturity Commitment (in USD) Net unrealised gain/loss (in USD) USD 142 S US 10YR NOTE FUT (CBT) 19/06/ (43 266) USD 9 S US LONG BOND FUT (CBT) 19/06/ (9 563) AUD 49 S AUST 3 YR BOND FUTURE 17/03/ USD 10 S ULTRA LONG TERM US TREASURY BOND 19/06/ (16 406) FUTURE USD 25 P US 2YR NOTE FUTURE (CBT) 30/06/ USD 98 S US 5YR NOTE FUTURE (CBT) 30/06/ (18 860) AUD 5 P AUST 10 YR BOND 17/03/ (725) CAD 1 P CAN 10YR BOND FUTURE 19/06/ Page 237

240 Notes to the financial statements at 28/02/2014 Bond USD (continued) Currency Quantity Purchase/ Sale Description Maturity Commitment (in USD) Net unrealised gain/loss (in USD) USD 41 S 90DAYS EURO USD FUT 14/12/ (19 475) USD 41 P 90DAYS EURO USD FUT 19/12/ Total: (76 450) Bond USD Government Currency Quantity Purchase/ Sale USD 101 S USD 2 P USD 20 S USD 11 P USD 36 S Bond World Currency Quantity Purchase/ Sale Description US 10YR NOTE FUT (CBT) US LONG BOND FUT (CBT) ULTRA LONG TERM US TREASURY BOND FUTURE US 2YR NOTE FUTURE (CBT) US 5YR NOTE FUTURE (CBT) Description Maturity Commitment (in USD) Net unrealised gain/loss (in USD) 19/06/ (25 249) 19/06/ /06/ (32 648) 30/06/ (266) 30/06/ (5 438) Maturity Commitment (in EUR) Total: (61 710) Net unrealised gain/loss (in EUR) EUR 11 P EURO-BUND FUTURE 06/03/ EUR 46 S EURO-SCHATZ FUTURE 06/03/ EUR 7 S EURO-BOBL FUTURE 06/03/ USD 118 S USD 49 P AUD 76 S USD 10 P US 10YR NOTE FUT (CBT) US LONG BOND FUT (CBT) AUST 3 YR BOND FUTURE ULTRA LONG TERM US TREASURY BOND FUTURE 19/06/ (26 032) 19/06/ /03/ (898) 19/06/ USD 13 P US 2YR NOTE FUTURE (CBT) 30/06/ USD 201 S US 5YR NOTE FUTURE (CBT) 30/06/ (28 321) AUD 15 P AUST 10 YR BOND 17/03/ CAD 16 P CAN 10YR BOND FUTURE 19/06/ EUR 15 P EURO BUXL 30Y BONDS 06/03/ GBP 42 S LONG GILT FUTURE (LIFFE) 26/06/ (29 048) JPY 11 P JPN 10Y BOND (TSE) 11/03/ KRW 22 P KOREA 3YR BND FUTURE 18/03/ USD 58 S 90DAYS EURO USD FUT 16/03/ (35 098) USD 17 P 90DAYS EURO USD FUT 17/03/ USD 55 S 90DAYS EURO USD FUT 14/12/ (18 915) USD 55 P 90DAYS EURO USD FUT 19/12/ Page 238

241 Notes to the financial statements at 28/02/2014 Bond World (continued) Currency Quantity Purchase/ Sale EUR 43 P EUR 16 P Description 3MO EURO EURIBOR LIFFE 3MO EURO EURIBOR LIFFE Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) 16/03/ /03/ (1 200) Total: Bond World Corporate Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in USD) (in USD) EUR 32 S EURO-BUND FUTURE 06/03/ (67 953) EUR 44 S EURO-BOBL FUTURE 06/03/ (80 535) USD 13 P US LONG BOND FUT (CBT) 19/06/ Total: ( ) Bond World Inflation-Linked Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 8 S EURO-BOBL FUTURE 06/03/ (10 000) USD 60 P US 10YR NOTE FUT (CBT) 19/06/ USD 8 S US LONG BOND FUT (CBT) 19/06/ (5 498) USD 32 S ULTRA LONG TERM US TREASURY BOND 19/06/ (33 851) FUTURE USD 3 S US 5YR NOTE FUTURE (CBT) 30/06/ (328) AUD 23 S AUST 10 YR BOND 17/03/ (44 870) GBP 36 S LONG GILT FUTURE (LIFFE) 26/06/ (18 006) JPY 3 S JPN 10Y BOND (TSE) 11/03/ (30 645) Total: ( ) Convertible Bond World Currency Quantity Purchase/ Sale USD P Description EURO FX CURR FUT (CME) Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) 17/03/ Total: Diversified Dynamic Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 37 P EURO-BUND FUTURE 06/03/ USD 63 P US 10YR NOTE FUT (CBT) 19/06/ USD 159 P EURO FX CURR FUT (CME) 17/03/ EUR 45 P EURO-BTP FUTURE 06/03/ USD 150 P S&P 500 E-MINI FUTURE 21/03/ Page 239

242 Notes to the financial statements at 28/02/2014 Diversified Dynamic (continued) Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 600 P DJ STOXX /03/ JPY 45 P NIKKEI 225 (SGX) 13/03/ (19 966) Total: Diversified Inflation Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 2 S EURO-BUND FUTURE 06/03/ (3 380) USD 7 S US 10YR NOTE FUT (CBT) 19/06/ (1 742) GBP 3 S LONG GILT FUTURE (LIFFE) 26/06/ (2 075) USD 1 S 90DAYS EURO USD FUT 14/12/ (353) USD 1 P 90DAYS EURO USD FUT 19/12/ Total: (7 043) Enhanced Cash 18 Months Currency Quantity Net unrealised Purchase/ Commitment Description Maturity gain/loss Sale (in EUR) (in EUR) EUR 28 P EURO-SCHATZ FUTURE 06/03/ USD 66 S US 10YR NOTE FUT (CBT) 19/06/ (5 973) USD 18 P US LONG BOND FUT (CBT) 19/06/ USD 18 S US 2YR NOTE FUTURE (CBT) 30/06/ (407) JPY 25 P 10 YR MINI JGB FUT (SGX) 10/03/ Total: Equity Australia Currency Quantity Purchase/ Sale AUD 44 P Equity Europe Value Currency Quantity Purchase/ Sale Description S&P/ASX 200 INDEX (AS51) Description Maturity Commitment (in AUD) Net unrealised gain/loss (in AUD) 20/03/ Maturity Commitment (in EUR) Total: Net unrealised gain/loss (in EUR) EUR 105 P DJ STOXX 50 - FUTURES 21/03/ (15 450) Total: (15 450) Equity Germany Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 17 P DAX INDEX - FUTURE 21/03/ Total: Page 240

243 Notes to the financial statements at 28/02/2014 Flexible Assets EUR Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 32 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ (7 100) GBP 22 P FTSE 100 INDEX 21/03/ JPY 5 P JPN 10Y BOND (TSE) 11/03/ CAD 12 P S&P / TSE 60 IX FUTURE 20/03/ Total: Flexible Bond Europe Corporate Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 155 S EURO-BUND FUTURE 06/06/ EUR 48 S EURO-SCHATZ FUTURE 06/06/ EUR 679 S EURO-BOBL FUTURE 06/06/ USD 20 S USD 41 S Flexible Bond World Currency Quantity Purchase/ Sale US 10YR NOTE FUT (CBT) US 5YR NOTE FUTURE (CBT) Description 19/06/ (3 055) 30/06/ (3 943) Maturity Commitment (in USD) Total: Net unrealised gain/loss (in USD) EUR 9 S EURO-BUND FUTURE 06/03/ (3 867) EUR 3 P EURO-SCHATZ FUTURE 06/03/ EUR 9 P EURO-BOBL FUTURE 06/03/ (483) USD 48 S USD 5 S AUD 50 S USD 1 P US 10YR NOTE FUT (CBT) US LONG BOND FUT (CBT) AUST 3 YR BOND FUTURE ULTRA LONG TERM US TREASURY BOND FUTURE 19/06/ (14 625) 19/06/ (5 313) 17/03/ /06/ USD 9 P US 2YR NOTE FUTURE (CBT) 30/06/ USD 69 S US 5YR NOTE FUTURE (CBT) 30/06/ (13 477) CAD 1 P CAN 10YR BOND FUTURE 19/06/ EUR 4 P EURO BUXL 30Y BONDS 06/03/ GBP 5 S LONG GILT FUTURE (LIFFE) 26/06/ (4 776) JPY 2 P JPN 10Y BOND (TSE) 11/03/ USD 13 S 90DAYS EURO USD FUT 16/03/ (10 863) USD 7 P 90DAYS EURO USD FUT 17/03/ (44) USD 48 S 90DAYS EURO USD FUT 14/12/ (22 801) USD 48 P 90DAYS EURO USD FUT 19/12/ EUR 3 P EURO-BTP FUTURE 06/03/ EUR 10 P EUR 16 P 3MO EURO EURIBOR LIFFE 3MO EURO EURIBOR LIFFE 16/03/ /03/ (1 657) Page 241

244 Notes to the financial statements at 28/02/2014 Flexible Bond World (continued) Currency Quantity Purchase/ Sale EUR 2 S EUR 11 P Description EURO OAT FUTURE FRENCH GOVT BD 10YR 6% SHORT TERM EURO BTP Maturity Commitment (in USD) Net unrealised gain/loss (in USD) 06/03/ (9 268) 06/03/ FUTURES EUR 4 P SPANISH 10YR FUTURE 06/03/ Total: Flexible Equity Europe Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 750 P DJ STOXX /03/ Total: Multi-Strategy Low Vol Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 9 P EURO-BUND FUTURE 06/03/ EUR 45 P CAC40 EURO FUT 21/03/ EUR 10 S DAX INDEX - FUTURE 21/03/ ( ) EUR 10 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ (100) GBP 1 P FTSE 100 INDEX 21/03/ EUR 1 P EURO-SCHATZ FUTURE 06/03/ EUR 7 S EURO-BOBL FUTURE 06/03/ (4 270) USD 9 P US 10YR NOTE FUT (CBT) 19/06/ USD 19 S EURO FX CURR FUT (CME) 17/03/ (18 879) USD 11 P US 5YR NOTE FUTURE (CBT) 30/06/ AUD 2 P AUST 10 YR BOND 17/03/ GBP 1 P LONG GILT FUTURE (LIFFE) 26/06/ EUR 9 P EURO-BTP FUTURE 06/03/ USD 5 P S&P 500 E-MINI FUTURE 21/03/ (588) EUR 3 P FTSEMIB INDEX - FTSE / 21/03/2014 MIB INDEX EUR 15 S SHORT TERM EURO BTP 06/03/2014 FUTURES (19 800) USD 3 S E-MINI MSCI EMERGING 21/03/2014 MARKETS INDEX JPY 2 P NIKKEI 225 (SGX) 13/03/ (3 877) JPY 2 S 10 YR MINI JGB FUT (SGX) 10/03/ (1 582) USD 11 P EURO E-MINI FUT 17/03/ EUR 2 P IBEX35 EURO 21/03/ Total: (2 449) Page 242

245 Notes to the financial statements at 28/02/2014 Multi-Strategy Medium Vol Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 14 P EURO-BUND FUTURE 06/03/ EUR 71 P CAC40 EURO FUT 21/03/ EUR 17 S DAX INDEX - FUTURE 21/03/ ( ) EUR 17 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ EUR 1 P EURO-SCHATZ FUTURE 06/03/ EUR 10 S EURO-BOBL FUTURE 06/03/ (6 100) USD 14 P US 10YR NOTE FUT (CBT) 19/06/ USD 1 P US LONG BOND FUT (CBT) 19/06/ USD 29 S EURO FX CURR FUT (CME) 17/03/ (28 871) USD 15 P US 5YR NOTE FUTURE (CBT) 30/06/ AUD 3 P AUST 10 YR BOND 17/03/ GBP 2 P LONG GILT FUTURE (LIFFE) 26/06/ EUR 18 P EURO-BTP FUTURE 06/03/ USD 10 P S&P 500 E-MINI FUTURE 21/03/ (1 177) EUR 5 P FTSEMIB INDEX - FTSE / 21/03/2014 MIB INDEX EUR 28 S SHORT TERM EURO BTP 06/03/2014 FUTURES (36 960) USD 6 S E-MINI MSCI EMERGING 21/03/2014 MARKETS INDEX JPY 3 P NIKKEI 225 (SGX) 13/03/ (5 815) JPY 5 S 10 YR MINI JGB FUT (SGX) 10/03/ (3 795) USD 21 P EURO E-MINI FUT 17/03/ USD 1 S JPY CURRENCY FUTURE 17/03/ (2 226) EUR 4 P IBEX35 EURO 21/03/ Total: (14 044) Multi-Strategy Medium Vol (USD) Currency Quantity Purchase/ Sale Description Maturity Commitment (in USD) Net unrealised gain/loss (in USD) EUR 28 P EURO-BUND FUTURE 06/03/ EUR 134 P CAC40 EURO FUT 21/03/ EUR 33 S DAX INDEX - FUTURE 21/03/ ( ) EUR 31 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ GBP 3 P FTSE 100 INDEX 21/03/ EUR 1 S EURO-SCHATZ FUTURE 06/03/ (193) EUR 20 S EURO-BOBL FUTURE 06/03/ (16 850) USD 26 P US 10YR NOTE FUT (CBT) 19/06/ USD 1 P US LONG BOND FUT (CBT) 19/06/ USD 55 S EURO FX CURR FUT (CME) 17/03/ (75 587) USD 29 P US 5YR NOTE FUTURE (CBT) 30/06/ AUD 6 P AUST 10 YR BOND 17/03/ Page 243

246 Notes to the financial statements at 28/02/2014 Multi-Strategy Medium Vol (USD) (continued) Currency Quantity Purchase/ Sale Description Maturity Commitment (in USD) Net unrealised gain/loss (in USD) GBP 4 P LONG GILT FUTURE (LIFFE) 26/06/ EUR 35 P EURO-BTP FUTURE 06/03/ USD 18 P S&P 500 E-MINI FUTURE 21/03/ (2 925) EUR 10 P FTSEMIB INDEX - FTSE / 21/03/2014 MIB INDEX EUR 54 S SHORT TERM EURO BTP 06/03/2014 FUTURES (97 551) USD 11 S E-MINI MSCI EMERGING 21/03/2014 MARKETS INDEX JPY 6 P NIKKEI 225 (SGX) 13/03/ (16 063) JPY 9 S 10 YR MINI JGB FUT (SGX) 10/03/ (9 612) USD 16 P EURO E-MINI FUT 17/03/ USD 2 S JPY CURRENCY FUTURE 17/03/ (6 163) EUR 8 P IBEX35 EURO 21/03/ Total: (97 095) Opportunities USA Currency Quantity Purchase/ Sale Description Maturity Commitment (in USD) Net unrealised gain/loss (in USD) USD 110 S US LONG BOND FUT (CBT) 19/06/ ( ) USD 410 S S&P 500 E-MINI FUTURE 21/03/ ( ) Total: ( ) Opportunities World Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 82 P DOW JONES EURO STOXX 50 - FUTURE 21/03/ GBP 30 P FTSE 100 INDEX 21/03/ JPY 54 P TOPIX INDX FUTR 13/03/ ( ) USD 75 P S&P 500 E-MINI FUTURE 21/03/ Total: Sustainable Bond Euro Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 58 P EURO-SCHATZ FUTURE 06/03/ EUR 16 S EURO-BOBL FUTURE 06/03/ (32 640) EUR 21 P EURO BUXL 30Y BONDS 06/03/ Total: Sustainable Bond Euro Corporate Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 73 S EURO-BUND FUTURE 06/06/ Total: Page 244

247 Notes to the financial statements at 28/02/2014 V350 Currency Quantity Purchase/ Sale Description Maturity Commitment (in EUR) Net unrealised gain/loss (in EUR) EUR 166 S EURO-BUND FUTURE 06/03/ ( ) EUR 185 S EURO-SCHATZ FUTURE 06/03/ (14 035) EUR 35 P EURO-BOBL FUTURE 06/03/ (4 950) USD 119 P USD 73 S AUD 217 S USD 99 S US 10YR NOTE FUT (CBT) US LONG BOND FUT (CBT) AUST 3 YR BOND FUTURE ULTRA LONG TERM US TREASURY BOND FUTURE 19/06/ /06/ (32 910) 17/03/ /06/ ( ) USD 126 S US 2YR NOTE FUTURE (CBT) 30/06/ USD S US 5YR NOTE FUTURE (CBT) 30/06/ ( ) AUD 37 S AUST 10 YR BOND 17/03/ (19 332) CAD 5 S CAN 10YR BOND FUTURE 19/06/ (1 603) EUR 1 S EURO BUXL 30Y BONDS 06/03/ (5 500) GBP 169 S LONG GILT FUTURE (LIFFE) 26/06/ ( ) JPY 9 S JPN 10Y BOND (TSE) 11/03/ (142) USD 97 S 90DAYS EURO USD FUT 16/03/ (58 692) USD 74 P 90DAYS EURO USD FUT 17/03/ USD 173 S 90DAYS EURO USD FUT 14/12/ (59 498) USD 174 P 90DAYS EURO USD FUT 19/12/ EUR 73 P EUR 95 P EUR 13 S Brokers for Futures contracts: BNP Paribas Securities Services New Edge UBS AG London 3MO EURO EURIBOR LIFFE 3MO EURO EURIBOR LIFFE EURO OAT FUTURE FRENCH GOVT BD 10YR 6% 16/03/ /03/ (7 125) 06/03/ (43 630) Total: ( ) Note 10 - Forward foreign exchange contracts As at 28 February 2014, the total amount purchased per and the total amount sold per in the context of forward foreign exchange contracts were as follows: Absolute Return Balanced Currency Purchase amount Currency Sale amount EUR CAD GBP USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 15 May Page 245

248 Notes to the financial statements at 28/02/2014 Absolute Return Growth Currency Purchase amount Currency Sale amount CZK CAD EUR EUR GBP JPY USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 15 May Absolute Return Stability Currency Purchase amount Currency Sale amount EUR CAD USD Net unrealised gain (in EUR) 796 As at 28 February 2014, the latest maturity of all outstanding contracts is 15 April Bond Asia ex-japan Currency Purchase amount Currency Sale amount AUD AUD EUR EUR SGD SGD USD THB USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 24 March Bond Best Selection World Emerging Currency Purchase amount Currency Sale amount BRL BRL COP HUF EUR MXN HUF NGN IDR RUB TRY TRY UAH UAH USD USD ZAR Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 May Bond Euro Corporate Currency Purchase amount Currency Sale amount EUR GBP Net unrealised loss (in EUR) (24 964) As at 28 February 2014, the latest maturity of all outstanding contracts is 13 March Bond Euro High Yield Currency Purchase amount Currency Sale amount EUR EUR GBP GBP NOK NOK Net unrealised loss (in EUR) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Page 246

249 Notes to the financial statements at 28/02/2014 Bond Europe Emerging Currency Purchase amount Currency Sale amount EUR HUF HUF RON TRY RUB USD TRY USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 May Bond USA High Yield Currency Purchase amount Currency Sale amount AUD USD EUR Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Bond USD Currency Purchase amount Currency Sale amount AUD AUD USD CAD EUR USD Net unrealised gain (in USD) 622 As at 28 February 2014, the latest maturity of all outstanding contracts is 10 April Bond USD Government Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Bond World Currency Purchase amount Currency Sale amount AUD AUD CAD CAD CHF CHF CLP CLP CZK EUR DKK GBP EUR HUF GBP JPY HKD KRW HUF MXN ILS MYR INR NOK JPY NZD KRW PLN MXN SEK MYR SGD NOK TRY NZD USD SEK ZAR SGD THB TRY Page 247

250 Notes to the financial statements at 28/02/2014 Bond World (continued) Currency Purchase amount Currency Sale amount USD ZAR Net unrealised loss (in EUR) (94 924) As at 28 February 2014, the latest maturity of all outstanding contracts is 10 April Bond World Corporate Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised loss (in USD) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Bond World Emerging Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Bond World Emerging Advanced Currency Purchase amount Currency Sale amount BRL BRL COP HUF HUF MYR IDR NGN MYR PEN PEN RON TRY TRY UAH UAH USD USD UYU Net unrealised loss (in USD) (23 971) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 May Bond World Emerging Corporate Currency Purchase amount Currency Sale amount EUR TRY USD USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 May Page 248

251 Notes to the financial statements at 28/02/2014 Bond World Emerging Local Currency Purchase amount Currency Sale amount BRL BRL COP HUF EUR MYR HUF NGN IDR PEN MYR RON PEN TRY SGD UAH TRY USD UAH USD UYU Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 May Bond World High Yield Currency Purchase amount Currency Sale amount AUD EUR EUR GBP USD USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Bond World Inflation-Linked Currency Purchase amount Currency Sale amount AUD AUD CAD CAD DKK DKK EUR EUR GBP GBP JPY JPY SEK SEK USD USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 10 April Convertible Bond Asia Currency Purchase amount Currency Sale amount SGD JPY USD USD Net unrealised loss (in USD) (15 210) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Convertible Bond Europe Currency Purchase amount Currency Sale amount CHF EUR USD Net unrealised loss (in EUR) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 13 March Convertible Bond World Currency Purchase amount Currency Sale amount CHF EUR CZK GBP EUR HKD JPY JPY Page 249

252 Notes to the financial statements at 28/02/2014 Convertible Bond World (continued) Currency Purchase amount Currency Sale amount NOK SEK PLN SGD SEK USD USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Diversified Dynamic Currency Purchase amount Currency Sale amount EUR JPY Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 27 March Diversified Inflation Currency Purchase amount Currency Sale amount USD EUR Net unrealised loss (in EUR) (10 062) As at 28 February 2014, the latest maturity of all outstanding contracts is 15 May Equity Best Selection Euro Currency Purchase amount Currency Sale amount CZK EUR SGD USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity Europe Growth Currency Purchase amount Currency Sale amount SGD EUR USD Net unrealised loss (in EUR) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity Europe Mid Cap Currency Purchase amount Currency Sale amount EUR GBP Net unrealised loss (in EUR) (45 178) As at 28 February 2014, the latest maturity of all outstanding contracts is 10 March Equity Europe Small Cap Currency Purchase amount Currency Sale amount EUR GBP Net unrealised loss (in EUR) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 10 March Equity Europe Value Currency Purchase amount Currency Sale amount GBP EUR Net unrealised loss (in EUR) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 13 March Page 250

253 Notes to the financial statements at 28/02/2014 Equity High Dividend USA Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity Japan Currency Purchase amount Currency Sale amount EUR EUR JPY JPY USD USD Net unrealised gain (in JPY) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity Japan Small Cap Currency Purchase amount Currency Sale amount EUR JPY USD Net unrealised gain (in JPY) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity USA Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity USA Growth Currency Purchase amount Currency Sale amount CZK EUR EUR USD USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity USA Mid Cap Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Equity USA Small Cap Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Flexible Assets EUR Currency Purchase amount Currency Sale amount CAD CHF EUR EUR GBP JPY NOK USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 15 May Page 251

254 Notes to the financial statements at 28/02/2014 Flexible Bond Europe Corporate Currency Purchase amount Currency Sale amount EUR CHF USD EUR GBP USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 27 May Flexible Bond World Currency Purchase amount Currency Sale amount AUD AUD CAD CAD CHF CHF CLP CLP EUR EUR GBP GBP HUF HUF INR JPY JPY KRW KRW MXN MXN MYR MYR NOK NOK NZD NZD PLN SEK SEK SGD SGD TRY TRY USD USD ZAR ZAR Net unrealised loss (in USD) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 10 April Multi-Strategy Low Vol Currency Purchase amount Currency Sale amount AUD AUD CAD CAD CHF CHF EUR EUR JPY GBP MXN HUF NOK JPY NZD MXN PLN NOK SGD NZD TRY PLN USD SGD ZAR TRY USD ZAR Net unrealised loss (in EUR) (38 061) As at 28 February 2014, the latest maturity of all outstanding contracts is 1 April Page 252

255 Notes to the financial statements at 28/02/2014 Multi-Strategy Medium Vol Currency Purchase amount Currency Sale amount AUD AUD CAD CAD CHF CHF EUR EUR JPY GBP MXN HUF NOK JPY NZD MXN PLN NOK SGD NZD TRY PLN USD SGD ZAR TRY USD ZAR Net unrealised loss (in EUR) (67 479) As at 28 February 2014, the latest maturity of all outstanding contracts is 1 April Multi-Strategy Medium Vol (USD) Currency Purchase amount Currency Sale amount AUD AUD CAD CAD CHF CHF EUR EUR JPY GBP MXN HUF NOK JPY NZD MXN PLN NOK SGD NZD TRY PLN USD SGD ZAR TRY USD ZAR Net unrealised loss (in USD) ( ) As at 28 February 2014, the latest maturity of all outstanding contracts is 1 April Opportunities USA Currency Purchase amount Currency Sale amount EUR EUR GBP USD USD Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Step 80 World Emerging Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 13 March Page 253

256 Notes to the financial statements at 28/02/2014 Step 90 Commodities (EUR) Currency Purchase amount Currency Sale amount EUR EUR USD USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 13 March Sustainable Bond Euro Corporate Currency Purchase amount Currency Sale amount EUR USD Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 7 March V350 Currency Purchase amount Currency Sale amount AUD AUD BRL BRL CAD CAD CHF CHF CLP CLP EUR EUR GBP GBP HUF HUF INR JPY JPY KRW KRW MXN MXN MYR MYR NOK NOK NZD NZD PLN RUB RUB SEK SEK SGD SGD TRY TRY USD USD ZAR ZAR Net unrealised gain (in EUR) As at 28 February 2014, the latest maturity of all outstanding contracts is 10 April World Commodities Currency Purchase amount Currency Sale amount CZK USD EUR Net unrealised gain (in USD) As at 28 February 2014, the latest maturity of all outstanding contracts is 14 March Counterparties to Forward foreign exchange contracts: Barclays Bank London Barclays Bank Plc Wholesale London BNP Paribas Paris BNP Paribas Securities Services Chase Manhattan Intl Ltd Citibank N.A London Citigroup Global Market Citigroup Global Markets Limited Credit Suisse First Boston Deutsche Bank AG Deutsche Bank London Page 254

257 Notes to the financial statements at 28/02/2014 Goldman Sachs International London HSBC Bank Plc JP Morgan Securities Ltd JP Morgan Chase Bank, N.A Morgan Stanley And Co. International Nomura International Plc The Royal Bank of Scotland Societe Generale The Toronto-Dominion Bank UBS Ltd London Note 11 - Swaps Credit Default Swaps The Company has entered into swap agreements whereby it exchanges fixed income for income linked to changes in credit events, whether with respect to an index or a bond (see details in the tables below), and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the amount of the unrealised capital gain is stated under Net Unrealised gain on financial instruments in the Statement of net, and the amount of net capital loss is given under Net Unrealised loss on financial instruments in the Statement of net. Absolute Return Growth Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/12/2018 CDX IG CDSI S21 5Y V1 20/12/ % Net unrealised gain (in EUR) Bond Best Selection World Emerging Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/06/2015 DP WORLD LTD 6.85% 07-02/07/ % USD 20/03/ % TURKEY REP OF % 00-15/01/2030 Net unrealised gain (in USD) Bond Euro Corporate Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/06/2016 HOLCIM FINANCE L 4.375% 04-09/12/ % EUR 20/03/2018 LANXESS FINANCE 7.75% 09-09/ % EUR 20/06/2018 CS GRP FIN (GRN) 99-29/07/2019 FRN 1.000% EUR 20/12/ % ENEL (ENTNZENEL) 5.25% 07-20/06/ EUR 20/12/2018 LLOYDS TSB BANK 3.375% 10-20/04/ % EUR 20/03/2019 HOLCIM FINANCE L 4.375% 04-09/12/ % EUR 20/03/2019 TELEFONICA EMIS 4.375% 06-02/02/ % EUR 20/03/2019 UBS AG LONDON 6% 08-18/04/ % EUR 20/03/2021 ST GOBAIN 4% 10-08/10/ % Net unrealised gain (in EUR) Page 255

258 Notes to the financial statements at 28/02/2014 Bond Euro High Yield Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/03/2019 ABENGOA SA 8.5% 10-31/03/ % EUR 20/03/2019 ABENGOA SA 8.5% 10-31/03/ % Net unrealised loss (in EUR) (71 698) Bond USD Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/12/ % MARKIT CDX.NA.IG.15 12/15 20/12/ USD 20/03/2016 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/03/ % PRUDENTIAL FIN 4.5% 03-15/07/ USD 20/03/2017 METLIFE INC 5% 05-15/06/ % USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/06/ % FORD MOTOR CRED 5% 11-15/05/ USD 20/09/2017 CITIGROUP INC 6.125% 08-15/05/ % USD 20/09/ % GOLDMAN SACHS 5.95% 08-18/01/ USD 20/12/2017 METLIFE INC 4.75% 10-08/02/ % USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/12/ % CDX EM CDSI S20 V1 5Y PRC 20/12/ USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/ % CDX EM CDSI S20 V1 5Y PRC 20/12/ USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % Net unrealised loss (in USD) ( ) Page 256

259 Notes to the financial statements at 28/02/2014 Bond World Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/12/ % MARKIT CDX.NA.IG.15 12/15 20/12/ USD 20/03/2016 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/03/ % PRUDENTIAL FIN 4.5% 03-15/07/ USD 20/03/2017 METLIFE INC 5% 05-15/06/ % USD 20/06/ % FORD MOTOR CRED 5% 11-15/05/ USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/09/ % GOLDMAN SACHS 5.95% 08-18/01/ USD 20/09/2017 CITIGROUP INC 6.125% 08-15/05/ % USD 20/12/2017 METLIFE INC 4.75% 10-08/02/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 SUBFIN CDSI S20 5Y V1 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % EUR 20/06/ % US TREASURY NB 4.875% 06-15/08/ EUR 20/09/ % US TREASURY NB 4.875% 06-15/08/ EUR 20/06/ % US TREASURY NB 4.875% 06-15/08/ USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % Net unrealised gain (in EUR) Page 257

260 Notes to the financial statements at 28/02/2014 Bond World Emerging Corporate Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/03/ % TURKEY REP OF % 00-15/01/ USD 20/03/ % TURKEY REP OF % 00-15/01/ USD 20/03/ % TURKEY REP OF % 00-15/01/ USD 20/03/ % TURKEY REP OF % 00-15/01/ USD 20/03/ % TURKEY REP OF % 00-15/01/2030 Net unrealised gain (in USD) Enhanced Cash 6 Months Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/06/ % ITRAXX EUR CDSI S19 3Y 20/06/ EUR 20/06/2018 ITRAXX EUR CDSI S19 5Y V1 20/06/ % Net unrealised loss (in EUR) (869) Flexible Bond Europe Corporate Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/06/ % ITRAXX EUR CDSI S19 3Y 20/06/ EUR 20/06/2018 ITRAXX EUR CDSI S19 5Y V1 20/06/ % EUR 20/03/2023 HOLCIM FINANCE L 4.375% 04-09/12/ % Net unrealised loss (in EUR) ( ) Flexible Bond World Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/03/2016 SPANISH GOVT 5.5% 02-30/07/ % USD 20/06/ % FORD MOTOR CRED 5% 11-15/05/ USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/09/ % GOLDMAN SACHS 5.95% 08-18/01/ USD 20/09/2017 CITIGROUP INC 6.125% 08-15/05/ % USD 20/12/2017 METLIFE INC 4.75% 10-08/02/ % USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/2018 Page 258

261 Notes to the financial statements at 28/02/2014 Flexible Bond World (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ USD 20/06/ % CDX EM CDSI S19 V1 5Y PRC 20/06/ EUR 20/12/2018 SUBFIN CDSI S20 5Y V1 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % USD 20/12/ % CDX EM CDSI S20 V1 5Y PRC 20/12/ USD 20/12/ % CDX EM CDSI S20 V1 5Y PRC 20/12/ USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % EUR 20/06/ % US TREASURY NB 4.875% 06-15/08/ USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % Net unrealised gain (in USD) Sustainable Bond Euro Corporate Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/06/2018 HOLCIM FINANCE L 4.375% 04-09/12/ % EUR 20/06/2018 ALSTOM 4% 09-23/09/ % EUR 20/06/2018 BARCLAYS BK PLC 05-27/10/2015 FRN 1.000% Net unrealised loss (in EUR) (11 297) Page 259

262 Notes to the financial statements at 28/02/2014 V350 Nominal Currency Maturity Sub-fund paid Sub-fund received USD 20/12/ % MARKIT CDX.NA.IG.15 12/15 20/12/ USD 20/03/2016 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/03/ % PRUDENTIAL FIN 4.5% 03-15/07/ USD 20/03/2017 METLIFE INC 5% 05-15/06/ % USD 20/06/ % FORD MOTOR CRED 5% 11-15/05/ USD 20/06/2017 FORD MOTOR CO 6.5% 98-01/08/ % USD 20/09/ % GOLDMAN SACHS 5.95% 08-18/01/ USD 20/09/2017 CITIGROUP INC 6.125% 08-15/05/ % USD 20/09/ % SPANISH GOVT 5.5% 02-30/07/ USD 20/12/2017 METLIFE INC 4.75% 10-08/02/ % EUR 20/12/2018 SUBFIN CDSI S20 5Y V1 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % EUR 20/12/2018 ITRAXX XOVER CDSI S20 5Y 20/12/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % USD 20/12/2018 CDX NA HY S18 5Y/500 BP (DBK) 20/06/ % EUR 20/06/ % US TREASURY NB 4.875% 06-15/08/ EUR 20/09/ % US TREASURY NB 4.875% 06-15/08/ USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % USD 11/05/2063 CDS CMBX NA BBB CDSI S6 PRC 11/05/ % Net unrealised gain (in EUR) Page 260

263 Notes to the financial statements at 28/02/2014 Interest Rate Swaps The Company has entered into swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other in the Statement of net, while the payable amount is given under Other liabilities in the Statement of net. Bond Euro Medium Term Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 02/08/2016 EURIBOR 3 M % Net unrealised gain (in EUR) Bond USD Nominal Currency Maturity Sub-fund paid Sub-fund received USD 26/09/ % LIBOR 3 M USD Net unrealised gain (in USD) Bond World Nominal Currency Maturity Sub-fund paid Sub-fund received JPY 27/04/ % LIBOR JPY 6 M PLN 26/04/ % WARSAW INTERBK OFFER RATE 6 M PLN 17/06/ % WARSAW INTERBK OFFER RATE 6 M EUR 05/07/ % EURIBOR 6 M 360 DAYS JPY 11/10/2032 LIBOR JPY 6 M 1.531% GBP 13/12/2032 LIBOR GBP 6 M 2.708% USD 26/09/ % LIBOR 3 M USD EUR 05/07/ % EURIBOR 6 M 360 DAYS GBP 28/09/2042 LIBOR GBP 6 M 2.926% Net unrealised loss (in EUR) (73 344) Flexible Bond World Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 05/07/2032 EURIBOR 6 M 360 DAYS 2.770% EUR 05/07/ % EURIBOR 6 M 360 DAYS Net unrealised gain (in USD) 521 V350 Nominal Currency Maturity Sub-fund paid Sub-fund received GBP 07/03/ % LIBOR GBP 6 M SEK 09/03/2016 STOCKHOLM INTERBK OFFER RATE 3 M 3.715% USD 19/03/ % LIBOR 3 M USD PLN 26/04/ % WARSAW INTERBK OFFER RATE 6 M PLN 17/06/ % WARSAW INTERBK OFFER RATE 6 M USD 19/03/ % LIBOR 3 M USD JPY 21/06/ % LIBOR JPY 6 M EUR 05/07/2032 EURIBOR 6 M 2.770% JPY 16/06/ % LIBOR JPY 6 M USD 26/09/ % LIBOR 3 M USD Page 261

264 Notes to the financial statements at 28/02/2014 V350 (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 05/07/ % EURIBOR 6 M GBP 07/03/ % LIBOR GBP 6 M Net unrealised loss (in EUR) ( ) Inflation Swaps The Company has entered into inflation swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other in the Statement of net, while the payable amount is given under Other liabilities in the Statement of net. Absolute Return Balanced Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 06/03/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 14/06/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 17/06/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 14/06/2023 EUROSTAT EUROZONE HICP EX TOBACCO 1.845% Net unrealised loss (in EUR) ( ) Absolute Return Growth Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 06/03/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 14/06/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 17/06/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 14/06/2023 EUROSTAT EUROZONE HICP EX TOBACCO 1.845% Net unrealised loss (in EUR) ( ) Absolute Return Stability Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 06/03/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 14/06/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 17/06/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 14/06/2023 EUROSTAT EUROZONE HICP EX TOBACCO 1.845% Net unrealised loss (in EUR) (22 313) Page 262

265 Notes to the financial statements at 28/02/2014 Bond World Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 30/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 30/09/2015 FRANCE CPI EX TOBACCO 1.870% EUR 18/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 18/09/2016 FRANCE CPI EX TOBACCO 1.580% EUR 13/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 25/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 13/09/2023 EUROSTAT EUROZONE HICP EX TOBACCO 2.248% USD 29/10/ % US CPI URBAN CONSUMERS NS EUR 24/02/2024 EUROSTAT EUROZONE HICP EX TOBACCO 1.693% Net unrealised loss (in EUR) (19 968) Diversified Inflation Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 13/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 25/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 13/09/2023 EUROSTAT EUROZONE HICP EX TOBACCO 2.248% GBP 24/01/ % UK RPI NSA Net unrealised loss (in EUR) (7 286) Flexible Bond World Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 18/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 18/09/2016 FRANCE CPI EX TOBACCO 1.580% EUR 13/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 25/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 13/09/2023 EUROSTAT EUROZONE HICP EX TOBACCO 2.248% USD 23/09/ % USCPI EUR 24/02/2024 EUROSTAT EUROZONE HICP EX TOBACCO 1.693% Net unrealised loss (in USD) (36 669) V350 Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 30/09/2015 FRANCE CPI EX TOBACCO 1.870% EUR 30/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 09/03/ % EUROSTAT EUROZONE HICP EX TOBACCO Page 263

266 Notes to the financial statements at 28/02/2014 V350 (continued) Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 09/03/2016 FRANCE CPI EX TOBACCO 2.415% EUR 22/03/2016 FRANCE CPI EX TOBACCO 2.380% EUR 22/03/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 18/09/2016 FRANCE CPI EX TOBACCO 1.580% EUR 18/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 13/09/ % EUROSTAT EUROZONE HICP EX TOBACCO EUR 13/09/2023 EUROSTAT EUROZONE HICP EX TOBACCO 2.248% EUR 24/02/2024 EUROSTAT EUROZONE HICP EX TOBACCO 1.693% Net unrealised gain (in EUR) Total Return Swaps A Total Return Swap (TRS) is an agreement to exchange the total performance of a bond or other underlying asset (share, index, etc.) for a benchmark rate plus a spread. The total performance includes the interest coupons, dividends and profits and losses on the underlying asset over the life of the agreement, depending on the type of underlying concerned. The risk in this type of agreement is linked to the fact that the benefit for each counterparty will depend on how the underlying asset performs over time, which is unknown at the time at which the agreement is entered into. Absolute Return Balanced Nominal Currency Maturity Sub-fund paid Sub-fund received USD 11/06/2014 LIBOR 3 M USD MSCI US REIT GROSS TR Net unrealised gain (in EUR) Absolute Return Growth Nominal Currency Maturity Sub-fund paid Sub-fund received USD 11/06/2014 LIBOR 3 M USD MSCI US REIT GROSS TR Net unrealised gain (in EUR) Absolute Return Stability Nominal Currency Maturity Sub-fund paid Sub-fund received USD 11/06/2014 LIBOR 3 M USD MSCI US REIT GROSS TR Net unrealised gain (in EUR) Bond Euro High Yield Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 20/03/ % IBOXX EUR LIQUID HIGH YIELD INDEX TR EUR 20/03/ % IBOXX EUR LIQUID HIGH YIELD INDEX TR EUR 20/06/ % IBOXX EUR LIQUID HIGH YIELD INDEX TR Net unrealised gain (in EUR) Page 264

267 Notes to the financial statements at 28/02/2014 Commodities Arbitrage Nominal Currency Maturity Sub-fund paid Sub-fund received USD 12/06/ % BARCLAYS TIMING ARBITRAGE x4er INDEX USD 18/06/ % SG ALPHA 1 VOLTARGET 8% ER USD 18/06/ % SG ROLL ALPHA F5-F0 XPM U SERIES USD 18/06/ % CS ALPHA DOUBLE LEVERAGED LONG CSCUBNER SHORT DJUBS INDEX ER USD 18/06/ % JP MORGAN CUSTOM ALPHA 412 INDEX EXCESS RETURN Net unrealised loss (in USD) ( ) Diversified Inflation Nominal Currency Maturity Sub-fund paid Sub-fund received USD 30/06/ % GS DJUBS E181 ER USD 30/06/ % GS DJUBS E181 ER USD 30/06/ % GS DJUBS E181 ER Net unrealised gain (in EUR) Step 80 World Emerging Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 05/01/2015 PERFORMANCE OF BASKET SHARES * EURIBOR 3 M % Net unrealised gain (in EUR) Step 90 Commodities (EUR) Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 02/06/2015 PERFORMANCE OF BASKET SHARES * EURIBOR 3 M % Net unrealised gain (in EUR) Step 90 Euro Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 31/08/2015 PERFORMANCE OF BASKET SHARES * EURIBOR 3 M % EUR 16/03/2017 PERFORMANCE OF BASKET SHARES ** EURIBOR 3 M % Net unrealised loss (in EUR) ( ) World Commodities Nominal Currency Maturity Sub-fund paid Sub-fund received USD 25/04/ % DJUBS COMMODITIES USD 25/04/ % DJUBSF USD 25/04/ % DJUBSF USD 25/04/ % DJUBSCI-F USD 25/04/ % DJUBSCI-F USD 25/04/ % CS COMMODITY BACKWARDATION N E REIT INDEX Net unrealised gain (in USD) Page 265

268 Notes to the financial statements at 28/02/2014 World Volatility Nominal Currency Maturity Sub-fund paid Sub-fund received EUR 05/05/2014 NEGATIVE PERFORMANCE POSITIVE PERFORMANCE OF OF LIBERTY BASKET*** LIBERTY BASKET*** Net unrealised gain (in EUR) This swap is a fully funded swap. The nominal was paid to the swap counterparty and is recorded in Net realised results on financial instruments. No cost is recognized on this swap. The market value is recorded under the caption Net unrealised gain on financial instruments. Counterparty risk is mitigated through collateralization. See note 15 - Collateral. (*)The basket of shares consists of the following: Step 80 World Emerging Airbus Group NV Deutsche Bank AG Reed Elsevier NV Allianz SE-Reg Deutsche Post AG RWE AG Anheuser-Busch Inbev NV Deutsche Telekom AG SAP AG Arcelormittal EON SE UCB BB BASF SE Fugro NV Unilever NV Bayer AG-Reg ING Groep Volkswagen AG Bayerische Motoren Werke AG Koninklijke Philips NV Wolters Kluwer Belgacom SA Munschener Rueckver AG Daimler AG Post NL (*)The basket of shares consists of the following: Step 90 Commodities (EUR) Allianz SE-Reg Deutsche Post AG-Reg Muenchener Rueckver AG-Reg ArcelorMittal Deutsche Telekom AG-Reg RWE AG ASML Holding NV EON SE SAP AG Banco Bilbao Vizcaya Argenta Fraport AG Frankfurt Airport Siemens AG-Reg BASF SE Gamesa Corp Tecnologica SA Telefonica SA Bayer AG-Reg Gemalto Unibail-Rodamco SE Bayerische Motoren Werke AG Hannover Rueck SE Volkswagen AG-PREF Daimler AG-Reg ING Groep NV-CVA Deutsche Bank AG-Reg Koninklijke Philips NV (*)The basket of shares consists of the following: Step 90 Euro Airbus Group NV Deutsche Bank AG-Reg ING Groep NV-CVA Allianz SE-Reg Deutsche Post AG-Reg Koninklijke DSM NV Anheuser-Busch Inbev NV Deutsche Telekom AG-Reg Koninklijke Philips NV ArcelorMittal Deutsche Wohnen AG-BR Muenchener Rueckver AG-Reg ASML Holding NV EON SE Nokia OYJ BASF SE Galp Energia SGPS SA SAP AG Bayer AG-Reg Heineken NV Volkswagen AG-PREF Bayerische Motoren Werke AG Henkel AG & CO KGAA Vorzug Daimler AG-Reg Iberdrola SA Page 266

269 Notes to the financial statements at 28/02/2014 (**)The basket of shares consists of the following: Step 90 Euro Adidas AG Daimler AG-Reg ING Groep NV-CVA Allianz SE-Reg Deutsche Bank AG-Reg Koninklijke Ahold NV Anheuser-Busch Inbev NV Deutsche Post AG-Reg Koninklijke KPN NV ArcelorMittal Deutsche Telekom AG-Reg Koninklijke Philips NV ASML Holding NV EON SE Muenchener Rueckver AG-Reg BASF SE Fresenius SE & CO KGAA RWE AG Bayer AG-Reg Heineken NV SAP AG Bayerische Motoren Werke AG Henkel AG & CO KGAA Vorzug Volkswagen AG-PREF (***)The LIBERTY basket consists of the following: World Volatility BNP PARIBAS Dynamic Rolling 1 Y ATMF Straddle Euro ER Index Daily Weekly US ER Strategy E-Volution Euro ER Strategy Daily Weekly Euro ER Strategy Dynamic Basket US ER Straddle E-Volution US ER Strategy Counterparties to Swaps contracts: Barclays Bank London BNP Paribas London Branch BNP Paribas Paris Chase Manhattan Bank Citibank N.A London Citigroup Global Market Credit Suisse International Deutsche Bank AG Deutsche Bank London Goldman Sachs International London HSBC Bank Plc JP Morgan London JP Morgan Securities Ltd Morgan Stanley London Morgan Stanley International Nomura International Plc The Royal Bank of Scotland Societe Generale UBS Warburg London Note 12 - Share currencies As at 28 February 2013 and 28 February 2014, the net asset value per share is priced in the of the share class, as at 28 February 2012, the net asset value per share is priced in the of the sub-fund in section key figures relating to the last 3 years. Page 267

270 Notes to the financial statements at 28/02/2014 Note 13 - Short options positions As at 28 February 2014, the following positions on options sold were outstanding: Flexible Equity Europe Currency Quantity Description EUR 700 EUR EUR EUR EUR 600 EUR 600 EUR EUR 700 EUR EUR Multi-Strategy Low Vol PUT DJ EURO STOXX 50 - OPT 20/06/ PUT DJ EURO STOXX 50 - OPT 20/06/ PUT DJ EURO STOXX 50 - OPT 21/03/ PUT DJ EURO STOXX 50 - OPT 20/06/ PUT DJ EURO STOXX 50 - OPT 19/12/ PUT DJ EURO STOXX 50 - OPT 19/09/ PUT DJ EURO STOXX 50 - OPT 19/12/ PUT DJ EURO STOXX 50 - OPT 19/12/ CALL DJ EURO STOXX 50 - OP 21/03/ CALL DJ EURO STOXX 50 - OP 21/03/ Currency Quantity Description Maturity date Strike Commitment (in EUR) +/- unrealised value (in EUR) 20/06/ /06/ /03/ /06/ /12/ /09/ /12/ /12/ /03/ /03/ Maturity date Strike Commitment (in EUR) Total: /- unrealised value (in EUR) USD OPTPAR415042GS -C USD/CAD /04/ USD 12 PUT CHI AUD / USD 07/03/ /03/ EUR OPTPARM430054BN -C EUR/JPY /05/ EUR 206 CALL DJ EURO STOXX 50 - OP 21/03/ /03/ EUR 213 CALL IBEX MINI INDEX 21/03/ /03/ EUR 32 CALL FTSEMIB INDEX - FTSE 21/03/ /03/ EUR 106 CALL IBEX MINI INDEX 17/04/ /04/ JPY 16 CALL NIKKEI 225 (OSE) 14/03/ /03/ AUD 43 CALL AUST AND NZ 26/06/2014 BANKING G 26/06/ ( ) Page 268

271 Notes to the financial statements at 28/02/2014 Multi-Strategy Low Vol (continued) Currency Quantity Description AUD 17 AUD 40 AUD 42 Multi-Strategy Medium Vol CALL COMMONWEALTH BANK OF 26/06/ CALL NATIONAL AUSTRALIA BA 26/06/ CALL WESTPAC BANKING CORP 26/06/ Currency Quantity Description USD OPTMEDV15042GS -C USD/CAD USD 22 PUT CHI AUD / USD 07/03/ EUR OPTMEDVO30054BN -C EUR/JPY EUR 316 CALL DJ EURO STOXX 50 - OP 21/03/ EUR 334 CALL IBEX MINI INDEX 21/03/ EUR 51 CALL FTSEMIB INDEX - FTSE 21/03/ EUR 167 CALL IBEX MINI INDEX 17/04/ JPY 27 CALL NIKKEI 225 (OSE) 14/03/ AUD 82 CALL AUST AND NZ BANKING G 26/06/ CALL AUD 33 COMMONWEALTH BANK OF 26/06/ CALL NATIONAL AUD 77 AUSTRALIA BA 26/06/ CALL WESTPAC AUD 81 BANKING CORP 26/06/ Maturity date Strike Commitment (in EUR) +/- unrealised value (in EUR) 26/06/ ( ) 26/06/ ( ) 26/06/ ( ) Maturity date Strike Commitment (in EUR) Total: /- unrealised value (in EUR) 15/04/ /03/ /05/ /03/ /03/ /03/ /04/ /03/ /06/ ( ) 26/06/ ( ) 26/06/ ( ) 26/06/ ( ) Total: Page 269

272 Notes to the financial statements at 28/02/2014 Multi-Strategy Medium Vol (USD) Currency Quantity Description USD OPTPARM15042GS -C USD/CAD USD 43 PUT CHI AUD / USD 07/03/ EUR OPTPARMA30054BN -C EUR/JPY EUR 602 CALL DJ EURO STOXX 50 - OP 21/03/ EUR 626 CALL IBEX MINI INDEX 21/03/ EUR 95 CALL FTSEMIB INDEX - FTSE 21/03/ EUR 313 CALL IBEX MINI INDEX 17/04/ JPY 50 CALL NIKKEI 225 (OSE) 14/03/ AUD 159 CALL AUST AND NZ BANKING G 26/06/ CALL AUD 65 COMMONWEALTH BANK OF 26/06/ CALL NATIONAL AUD 148 AUSTRALIA BA 26/06/ CALL WESTPAC AUD 156 BANKING CORP 26/06/ Counterparties to Options: BNP Paribas Paris BNP Paribas Securities Services Goldman Sachs International London Maturity date Strike Commitment (in USD) +/- unrealised value (in USD) 15/04/ /03/ /05/ /03/ /03/ /03/ /04/ /03/ /06/ ( ) 26/06/ ( ) 26/06/ ( ) 26/06/ ( ) Total: Note 14 - Securities lending As at 28 February 2014, the total value of securities lent by the Fund is as follows: Sub-fund Currency Securities lending - Convertible Bond Asia USD Convertible Bond Europe EUR Convertible Bond World EUR Equity Australia AUD Equity Best Selection Euro EUR Equity China USD Equity Europe Small Cap EUR Equity Germany EUR Equity Japan JPY Page 270

273 Notes to the financial statements at 28/02/2014 Sub-fund Currency Securities lending - Equity Pacific ex-japan EUR Equity Turkey EUR Equity USA Small Cap USD Real Estate Securities Pacific EUR As at 28 February 2014, the guarantee delivered consists of pledged securities registered in a tripartite account held with JP Morgan Chase under the name BNP Paribas Investment Partners Luxembourg on behalf of the funds, pursuant to Circular 08/356. This represents % of the required guarantee. Counterparties to Securities lending: Citigroup Global Markets Limited Credit Suisse Securities (Europe) Limited Fixed Inc Deutsche Bank AG London Merrill Lynch International Societe Generale UBS Limited For the year ended 28 February 2014, the securities lending income generated by the Fund is as follows: Sub-fund Currency Net income Cost and fees Gross income Absolute Return Balanced (launched on 25 March 2013) EUR Absolute Return Growth (launched on 25 March 2013) EUR Absolute Return Stability (launched on 25 March 2013) EUR Bond Asia ex-japan (launched on 21 May 2013) USD Bond Euro EUR Bond Euro Corporate EUR Bond Euro Government EUR Bond Euro Inflation-Linked EUR Bond Euro Long Term (launched on 25 March 2013) EUR Bond Euro Medium Term EUR Bond Euro Short Term EUR Bond USA High Yield USD Bond USD (launched on 21 May 2013) USD Bond World (launched on 27 May 2013) EUR Convertible Bond Asia USD Convertible Bond Europe EUR Convertible Bond Europe Small Cap EUR Convertible Bond World (launched on 21 May 2013) EUR Enhanced Cash 6 Months EUR Enhanced Cash 18 Months EUR Equity Best Selection Asia ex- Japan (launched on 21 May 2013) EUR Equity Best Selection Euro (launched on 27 May 2013) EUR Page 271

274 Notes to the financial statements at 28/02/2014 Sub-fund Currency Net income Cost and fees Gross income Equity Best Selection Europe (launched on 21 May 2013) EUR Equity Best Selection Europe ex- UK (launched on 25 March 2013) EUR Equity China (launched on 21 May 2013) USD Equity Europe Emerging (launched on 21 May 2013) EUR Equity Europe Growth (launched on 27 May 2013) EUR Equity Europe LS 30 (absorbed by Equity Best Selection Europe EUR on 3 June 2013) Equity Europe Mid Cap EUR Equity Europe Small Cap EUR Equity France (absorbed by Equity Best Selection Euro on EUR June 2013) Equity Germany (launched on 27 May 2013) EUR Equity High Dividend Europe EUR Equity High Dividend Pacific (launched on 21 May 2013) EUR Equity Japan JPY Equity Latin America USD Equity Pacific ex-japan (launched on 25 March 2013) EUR Equity Russia (launched on 21 May 2013) EUR Equity Switzerland (absorbed by Equity Best Selection Europe on CHF June 2013) Equity Turkey (launched on 27 May 2013) EUR Equity USA USD Equity USA Growth (launched on 21 May 2013) USD Equity USA Small Cap (launched on 21 May 2013) USD Equity World Consumer Durables (launched on 27 May 2013) EUR Equity World Emerging (launched on 21 May 2013) USD Equity World Energy (launched on 21 May 2013) EUR Equity World Finance (launched on 21 May 2013) EUR Equity World Health Care (launched on 21 May 2013) EUR Equity World Low Volatility (launched on 21 May 2013) EUR Equity World Materials (launched on 21 May 2013) EUR Equity World Technology (launched on 21 May 2013) EUR Page 272

275 Notes to the financial statements at 28/02/2014 Sub-fund Currency Net income Cost and fees Gross income Equity World Technology Innovators (absorbed by Equity World Technology on USD June 2013) Equity World Telecom (launched on 27 May 2013) EUR Equity World Utilities (launched on 21 May 2013) EUR Flexible Bond Europe Corporate EUR Flexible Equity Europe EUR Money Market Euro EUR Opportunities USA (launched on 21 May 2013) USD Real Estate Securities Pacific (launched on 27 May 2013) EUR Real Estate Securities World (launched on 27 May 2013) EUR Since 1 October 2013, the only remaining fees attributable to lending securities income are the agency (BP2S) fees which will be 20%. Note 15 - Collateral In order to limit counterparty risk on swap agreements, the SICAV has put a collateralisation process in place. As at 28 February 2014, the SICAV pledged the following collateral (cash) in favour of swap agreement counterparties: Sub-fund Currency OTC collateral Absolute Return Balanced EUR Absolute Return Growth EUR Bond Best Selection World Emerging USD Bond Euro High Yield EUR Bond USD USD Bond World EUR Bond World Emerging Local USD Bond World High Yield EUR Convertible Bond World EUR Enhanced Cash 6 Months EUR Equity Europe Value EUR Equity Japan JPY Flexible Bond Europe Corporate EUR Flexible Bond World USD Multi-Strategy Medium Vol EUR V350 EUR As at 28 February 2014, the counterparties to swap agreements pledged the following collateral (cash) in favour of the SICAV: Sub-fund Currency OTC collateral Absolute Return Balanced EUR Absolute Return Growth EUR Bond Asia ex-japan USD Bond Best Selection World Emerging USD Bond Euro Corporate EUR Page 273

276 Notes to the financial statements at 28/02/2014 Sub-fund Currency OTC collateral Bond Euro High Yield EUR Bond Euro Medium Term EUR Bond Europe Emerging EUR Bond USD USD Bond World EUR Bond World Emerging USD Bond World Emerging Local USD Bond World High Yield EUR Convertible Bond World EUR Equity High Dividend USA USD Opportunities USA USD Step 90 Commodities (EUR) EUR V350 EUR World Commodities USD World Volatility EUR Note 16 - Soft dollar fees With the aim of optimising execution, broker fees on portfolio transactions for the Company may be granted by portfolio managers in compensation for brokers research and services in executing transactions. Research, information and other services allow portfolio managers to strengthen their own research and analyses by giving them access to information from their counterparts in other companies. These services do not incorporate travel expenses, accommodation, entertainment, general back-office, office and premises equipment, membership fees, wages and payments directly charged to the fund managers. During the financial year ending 28 February 2014, the following fund manager was able to conclude soft dollar agreements: BNPP AM Brazil BNPP AM Inc Fairpointe Capital LLC Neuflize Private Assets S.A. Note 17 - Related party transactions The related parties may, in their capacity as portfolio managers, also conduct transactions or invest in currencies or other financial products for the account of each sub-fund for which the related parties act as broker or for their own account or as counterparty for their clients, including in the case in which the related parties or their clients have the option of conducting transactions for their own account at the same time as for the account of each sub-fund. When handling purchases and sales of securities for each sub-fund, the related parties may also have acted as counterparty at the best market conditions. The Company considers that the commissions, increases and reductions invoiced by the related parties are competitive, although it is in the related parties interests to receive favorable commission rates, and increases and reductions for each sub-fund. Page 274

277 Notes to the financial statements at 28/02/2014 Note 18 - List of investment managers at 28 February 2014 Alfred Berg Kapitalförvaltning AB, Stockholm, Sweden Alfred Berg Kapitalforvaltning AS, Oslo, Norway Arnhem Investment Management Pty Ltd., Sydney, Australia, abbreviated to Arnhem BNP Paribas Asset Management, Paris, abbreviated to BNPP AM France BNP Paribas Asset Management Inc, Boston, Massachusetts, USA abbreviated to BNPP AM Inc BNP Paribas Asset Management Brasil Ltda, Sao Paulo SP, Brazil, abbreviated to BNPP AM Brazil BNP Paribas Investment Partners Asia Limited, Hong Kong, abbreviated to BNPP IP Asia BNP Paribas Investment Partners Japan Ltd., Tokyo, Japan, abbreviated to BNPP IP Japan BNP Paribas Investment Partners Netherlands N.V., Amsterdam, The Netherlands, abbreviated to BNPP IP NL BNP Paribas Investment Partners Singapore Limited, Singapore, abbreviated to BNPP IP Singapore BNP Paribas Investment Partners UK Limited, London, abbreviated to BNPP IP UK CamGestion S.A, Paris, France, abbreviated to CamGestion Fairpointe Capital LLC, Chicago, Illinois, USA, abbreviated to Fairpointe Fischer Francis Trees & Watts UK Ltd., London, United Kingdom, abbreviated to FFTW UK Fischer Francis Trees & Watts, Inc., New York, abbreviated to FFTW US FOURPOINTS Investment Managers Sas, Paris Impax Asset Management Limited Plc., London, abbreviated to Impax Neuflize Private Assets S.A., Paris, abbreviated to NPA (absorbed by Neuflize OBC Investissements, abbreviated to NOBC) River Road Asset Management, LLC.Louisville, USA Shinhan BNP Paribas Asset Management Co. Ltd., Seoul, Korea, abbreviated to Shinhan Sumitomo Mitsui Asset Management Co. Ltd., Tokyo, Japan, abbreviated to Sumitomo TEB Portföy Yönetimi A.Ş., Istanbul, Turkey, abbreviated to TEB THEAM S.A.S, Paris, France, abbreviated to THEAM TKB BNP Paribas Investment Partners J.S.C., St. Petersburg, Russian Federation, abbreviated to TKB JSC Equity Europe Value Convertible Bond Asia Sub-fund Equity Australia Equity World Consumer Durables (launched on 27 May 2013) Equity World Emerging (launched on 21 May 2013) Equity World Energy (launched on 21 May 2013) Equity World Finance (launched on 21 May 2013) Equity World Health Care (launched on 21 May 2013) Equity World Materials (launched on 21 May 2013) Equity World Technology (launched on 21 May 2013) Equity World Telecom (launched on 27 May 2013) Equity World Utilities (launched on 21 May 2013) Equity Europe Converging (absorbed on 3 June 2013) Equity USA Growth (launched on 21 May 2013) Equity USA Small Cap (launched on 21 May 2013) Bond Euro Bond Euro Government Bond Euro Inflation-Linked Bond Euro Medium Term Bond Euro Short Term Enhanced Cash 6 Months Enhanced Cash 18 Months Equity France (absorbed on 3 June 2013) Green Tigers (launched on 27 May 2013) Money Market Euro Sustainable Bond Euro (launched on 25 March 2013) Sustainable Bond Euro Corporate Asset managers CamGestion BNPP IP Asia sub delegating to BNPP IP UK for the management of FX Arnhem BNPP AM Inc BNPP AM Inc sub delegating to BNPP IP UK for the management of FX BNPP AM France Page 275

278 Notes to the financial statements at 28/02/2014 Sub-fund Bond Euro Corporate Convertible Bond Europe Convertible Bond Europe Small Cap Equity Europe LS 30 (absorbed on 3 June 2013) Equity Europe Mid Cap Equity Europe Small Cap Flexible Bond Europe Corporate Flexible Equity Europe Sustainable Equity Europe Bond Euro High Yield (launched on 21 May 2013) Convertible Bond World (launched on 21 May 2013) Equity Brazil Equity Latin America Equity Japan Equity USA Equity Russia (launched on 21 May 2013) Equity Russia Opportunities Bond World Corporate Bond World High Yield (launched on 21 May 2013) World Commodities (launched on 27 May 2013) Money Market USD Commodities Arbitrage Equity Germany (launched on 27 May 2013) Equity World Emerging Low Volatility (launched on 3 February 2014) Equity World Low Volatility (launched on 21 May 2013) Short Term Euro Premium (liquidated on 25 November 2013) Step 90 Commodities (EUR) Step 90 Euro Step 90 US World Agriculture (absorbed on 3 June 2013) World Volatility (launched on 25 March 2013) Diversified Dynamic Equity Switzerland (absorbed on 3 June 2013) Multi-Strategy Low Vol Multi-Strategy Medium Vol Multi-Strategy Medium Vol (USD) Step 80 World Emerging World Agriculture (USD) (absorbed on 3 June 2013) Diversified Inflation Bond JPY Equity Japan Small Cap Asset managers BNPP AM France sub delegating to BNPP IP UK for the management of FX BNPP AM France sub delegating to BNPP IP UK for the management of FX BNPP IP UK for the management of FX BNPP AM Brazil sub delegating to BNPP IP UK for the management of FX BNPP AM France BNPP IP UK for the management of FX Alfred Berg AB, Sweden advised by TKB sub delegating to BNPP IP UK for the management of FX FFTW US sub delegating to BNPP IP UK for the management of FX FFTW UK BNPP AM SAS FFTW US sub delegating to BNPP IP UK for the management of FX FFTW UK BNPP AM SAS BNPP IP UK for the management of FX THEAM BNPP AM France BNPP IP UK for the management of FX FFTW US THEAM THEAM sub delegating to BNPP IP UK for the management of FX BNPP IP UK FFTW UK BNPP IP Japan Sumitomo BNPP IP UK for the FX management Page 276

279 Notes to the financial statements at 28/02/2014 Sub-fund Real Estate Securities Europe (launched on 3 February 2014) Real Estate Securities Pacific (launched on 27 May 2013) Real Estate Securities World (launched on 27 May 2013) Opportunities World (launched on 27 May 2013) Equity High Dividend Europe Bond USA High Yield Equity World Next Generation (absorbed on 3 June 2013) Bond World Emerging Bond World Emerging Advanced Flexible Bond World Bond World Inflation-Linked Bond Best Selection World Emerging (launched on 21 May 2013) Bond World Emerging Local (launched on 21 May 2013) V350 (launched on 27 May 2013) Bond USD Government Environmental Opportunities Global Environment Equity World Technology Innovators (absorbed on 3 June 2013) Equity USA Mid Cap Equity USA Value (absorbed on 3 June 2013) Equity South Korea Equity Bric Absolute Return Balanced (launched on 25 March 2013) Absolute Return Growth (launched on 25 March 2013) Absolute Return Stability (launched on 25 March 2013) Bond Euro Long Term (launched on 25 March 2013) Equity Europe Growth (launched on 27 May 2013) Flexible Assets EUR Resilient Assets (liquidated on 23 July 2013) Bond Asia ex-japan (launched on 21 May 2013) Bond Europe Emerging (launched on 27 May 2013) Bond USD (launched on 21 May 2013) Bond World (launched on 27 May 2013) Bond World Emerging Corporate (launched on 27 May 2013) BNPP IP NL Asset managers BNPP IP NL BNPP AM Inc BNPP IP UK for the management of FX BNPP IP NL sub delegating to BNPP IP UK for the management of FX FFTW US BNPP IP UK for the management of FX CamGestion FFTW UK (main manager) FFTW US BNPP IP UK for the management of FX FFTW UK (main manager) FFTW US FFTW US (main manager) FFTW UK FFTW US FFTW UK BNPP IP UK for the FX management FFTW US (main manager) FFTW UK BNPP IP UK for the FX management Impax FOURPOINTS Investment Managers SAS sub delegating to BNPP IP UK for the management of FX Fairpointe BNPP IP UK for the FX management Pzena BNPP IP UK for the FX management Shinhan BNPP AM Inc sub delegating to BNPP IP Asia, to BNPP AM Brazil and to BNPP IP UK for the FX Management BNPP IP UK BNPP AM France (additional manager pool) until 19 December 2013 BNPP IP UK BNPP IP Singapore BNPP IP UK for the FX management FFTW UK FFTW US Page 277

280 Notes to the financial statements at 28/02/2014 Sub-fund Equity Best Selection Asia ex-japan (launched on 21 May 2013) Equity China (launched on 21 May 2013) Equity India (launched on 21 May 2013) Equity Indonesia (launched on 21 May 2013) Equity Pacific ex-japan (launched on 25 March 2013) Equity Best Selection Euro (launched on 27 May 2013) Equity Best Selection Europe ex-uk (launched on 25 March 2013) Equity Best Selection Europe (launched on 21 May 2013) Equity High Dividend USA (launched on 27 May 2013) Opportunities USA (launched on 21 May 2013) Bond Russia (launched on 20 January 2014) Equity Nordic Small Cap (launched on 3 February 2014) Equity Europe Emerging (launched on 21 May 2013) Equity Turkey (launched on 27 May 2013) Equity High Dividend Pacific (launched on 21 May 2013) BNPP IP Asia BNPP IP UK BNPP AM France Asset managers BNPP IP UK BNPP AM France sub delegating to BNPP IP UK for the FX Management River Road BNPP IP UK for the FX management NOBC (absorbed NPA on 2 January 2014) BNPP IP UK for the FX management Alfred Berg AS, Norway (advised by TKB JSC) Alfred Berg AB, Sweden Alfred Berg AB, Sweden advised by TKB JSC and TEB sub delegating to BNPP IP UK for the FX Management TEB sub delegating to BNPP IP UK for the FX Management BNPP IP Asia BNPP IP UK for the FX management Note 19 - Transaction fees Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage fees, custody fees, VAT, stock exchange fees, RTO fees (Reception and Transmission of Orders) and dilution levy. In line with bond market practice, a bid-offer spread is applied when buying or selling securities and other financial instruments. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker s remuneration. Page 278

281 Unaudited appendix Consideration of environmental, social and governance (ESG) criteria BNP Paribas Asset Management applies a Responsible Investment Policy which sets out a certain number of ESG criteria applicable to our investment decisions. This policy is based on the criteria of the United Nations Global Compact, an international framework built on international conventions relating to human rights, labour, the environment and anti-corruption. This global initiative is supplemented by criteria aimed at controlling investment in certain business sectors, such as nuclear and coal-fired power stations, and prohibiting investment in controversial products, such as anti-personnel mines and cluster bombs. The investment criteria and implementation principles included in our Responsible Investment Policy can be consulted on our website at Furthermore, with regard to this UCITS, BNP Paribas Asset Management has applied a Socially Responsible Investment (SRI) policy, the principles of which are described in the AFG-FIR-Eurosif Transparency Code available on our website at for the following sub-funds: - Environmental Opportunities - Global Environment - Sustainable Equity Europe - Sustainable Bond Euro Corporate Global market risk exposure The Management Company of the Fund after a risk profile assessment, decides between the commitment approach and the VAR (99%, 1 Month) to determine the global market risk exposure. The VaR limit use (minimum, maximum and average) is calculated by dividing the Daily VaR by the daily VaR limit (20% for absolute return VaR sub funds and 2 times benchmark VaR for relative VaR for relative VaR sub funds). The global market risk exposure information for the sub-funds using VaR for the year ending 28 February 2014, is as follows: Sub-fund Global Risk calculation Method VaR model Reference Portfolio VaR limit Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year Absolute Return Balanced (launched on 25 March 2013) VaR Absolute Monte Carlo No Benchmark 20% 0.34% 20.23% 8.59% 251% Absolute Return Growth (launched on 25 March 2013) VaR Absolute Monte Carlo No Benchmark 20% 9.26% 37.83% 17.33% 501% Absolute Return Stability (launched on 25 March 2013) VaR Absolute Monte Carlo No Benchmark 20% 2.17% 8.81% 3.62% 108% Bond Euro High Yield (launched on 21 May 2013) Relative VaR Monte Carlo ML - BB B European Currency Non Financial HY Constrained Index (HP4N) 2 times Benchmark VaR 44.59% 62.79% 52.58% 26% Bond Europe Emerging (launched on 27 May 2013) Relative VaR Monte Carlo JPM [50% GBI-EM Global Diversified Europe + 50% Euro EMBI Divers. Europe] (EUR) 2 times Benchmark VaR 41.34% 62.33% 50.78% 41% Page 279

282 Unaudited appendix Sub-fund Global Risk calculation Method VaR model Reference Portfolio VaR limit Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year Bond USD (launched on 21 May 2013) Relative VaR Monte Carlo 100% Barclays US (Aggregate) 2 times Benchmark VaR 39.00% 69.23% 53.54% 106% Bond USD Government Relative VaR Monte Carlo JPM GBI United States / JPM USD (08/00 - JPM 5/7 USD) 2 times Benchmark VaR 39.30% 57.27% 48.90% 33% Bond World (launched on 27 May 2013) Relative VaR Monte Carlo Barclays Global Aggregate Gross Return Index 2 times Benchmark VaR 39.42% 55.87% 44.62% 462% Bond World Emerging Relative VaR Monte Carlo JPM EMBI Global Diversified 2 times Benchmark VaR 47.46% 60.91% 54.04% 15% Bond World Emerging Advanced Relative VaR Monte Carlo 50% JPM GBI-EM Global Diversified+50% JPM EMBI Global Diversified Investment Grade 2 times Benchmark VaR 40.46% 63.21% 50.02% 33% Bond World Inflation-Linked Relative VaR Monte Carlo Barclays WLD Government Inflation Linked All Mat (EUR HD) 2 times Benchmark VaR 26.00% 48.47% 38.54% 219% Commodities Arbitrage VaR Absolute Monte Carlo No Benchmark 20% 6.61% 32.19% 21.45% 73% Convertible Bond Asia Relative VaR Monte Carlo UBS Convertible Asia Ex Japan 2 times Benchmark VaR 34.31% 64.08% 44.95% 62% Convertible Bond Europe Relative VaR Monte Carlo UBS CB European Focus (RI) 2 times Benchmark VaR 26.50% 44.44% 38.32% 48% Convertible Bond Europe Small Cap Relative VaR Monte Carlo UBS Europe Convertible Bond Index 2 times Benchmark VaR 24.51% 51.90% 35.75% 45% Convertible Bond World (launched on 21 May 2013) Relative VaR Monte Carlo UBS Convertible Global Focus Vanilla (Hedged in EUR) (EUR) RI 2 times Benchmark VaR 30.26% 43.41% 37.17% 168% Enhanced Cash 18 Months VaR Absolute Monte Carlo No Benchmark 20% 2.28% 22.08% 5.11% 111% Flexible Bond Europe Corporate Relative VaR Monte Carlo Merrill Lynch EMU Corporates (1/3 Years) 2 times Benchmark VaR 50.48% % 74.22% 77% Flexible Bond World VaR Absolute Monte Carlo No Benchmark 20% 23.12% 75.04% 37.80% 560% Page 280

283 Unaudited appendix Sub-fund Global Risk calculation Method VaR model Reference Portfolio VaR limit Lowest utilisation of VaR limit Highest utilisation of VaR limit Average utilisation of VaR limit Average level of leverage reached during the year Flexible Equity Europe Relative VaR Monte Carlo MSCI Europe TR 2 times Benchmark VaR 27.40% 48.60% 39.48% 26% Multi-Strategy Low Vol VaR Absolute Monte Carlo No Benchmark 20% 1.10% 8.46% 3.10% 112% Multi-Strategy Medium Vol VaR Absolute Monte Carlo No Benchmark 20% 4.83% 43.89% 13.42% 476% Multi-Strategy Medium Vol (USD) VaR Absolute Monte Carlo No Benchmark 20% 1.58% 33.46% 9.32% 469% Opportunities World (launched on 27 May 2013) Relative VaR Monte Carlo MSCI AC World Free (EUR) NR 2 times Benchmark VaR 42.79% 58.20% 52.96% 8% V350 (launched on 27 May 2013) VaR Absolute Monte Carlo No Benchmark 20% 6.08% 36.84% 9.91% 438% World Commodities (launched on 27 May 2013) Relative VaR Monte Carlo Dow Jones-UBS Commodity Index 2 times Benchmark VaR 26.81% 59.07% 44.44% 81% World Volatility (launched on 25 March 2013) VaR Absolute Monte Carlo No Benchmark 20% 7.30% 81.09% 17.38% 173% The sub-funds not disclosed in the table here above use the commitment approach in order to measure and monitor the global exposure. Page 281

284 A global presence Europe Austria Belgium France Germany Greece Italy Luxembourg Portugal Spain Switzerland The Netherlands UK North America Canada USA Latin America Argentina Brazil Chile Colombia Mexico Uruguay Asia Pacific Australia Brunei China Hong Kong India Indonesia Japan Malaysia Singapore South Korea Taiwan Nordics Denmark Finland Norway Sweden EEMEA Bahrain Czech Republic Kuwait Morocco Russia Turkey Office addresses can be found in the About Us section of 14, rue Bergère Paris - France

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