AMUNDI DYNARBITRAGE VOLATILITE

Transcription

1 AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013 Amundi FCP Management Company: AMUNDI Sub-delegation of accounting function in title: CACEIS FUND ADMINISTRATION FRANCE Custodian: CACEIS BANK FRANCE Auditor: MAZARS A company owned by Crédit Agricole/Société Générale

2 Annual Report September 2013 AMUNDI DYNARBITRAGE VOLATILITE Investment objective The aim is to achieve performance greater than the EONIA index capitalised daily, after deduction of the running costs inherent to each unit category. Investment strategy Focused on volatility arbitrages in forward-based financial instruments and convertible bonds, the investment strategy offers investors privileged access to a new area for performance: volatility. Overall, accurate control over risk is carried out through the VaR. The fund is managed at all times with a maximum annual ex-ante VaR (estimated) of 4%: statistically, and under normal market conditions, the portfolio is arranged so as not to drop by more than 4% over a year, with a probability of 95%. VaR is a statistical approach which enables accurate risk monitoring but in no way guarantees a threshold performance level. 1 Strategies used: To achieve the fund's performance objective, a maximum of 90% of the portfolio shall be invested in volatility arbitrage strategies, with the remaining balance being invested in short-term money-market instruments and, on an ancillary basis, in directional strategies with an asymmetrical risk profile. The allocation between the various strategies is left up to the manager's own discretion. A) Volatility arbitrage strategies on equities, interest rates, currencies and credit. On the forward-based financial instruments market, volatility inefficiencies may arise:. Within a single asset class, between the different assets comprising it. The volatility of a share index can be arbitrated against that of another share index; similarly, the volatility of a basket of shares can be arbitrated against that of a share index. 2 AMF classification Diversified Dividend Policy - Capitalisation Tax regime The fund is not eligible for Personal Equity Plans (PEA). Benchmark AMUNDI DYNARBITRAGE VOLATILITE - I 100% CAPITALISED EONIA (D) (BASE 360) The EONIA shows the overnight euro money market rate. It is calculated by the ESCB (European System of Central Banks) as the average of interest rates on transactions conducted on the euro-denominated money markets by a panel of international banks. Changes in this depend on the money market policy implemented by the European Central Bank. The capitalised EONIA also takes into account the effect of reinvesting interest according to the OIS (Overnight Indexed Swap) method. AMUNDI DYNARBITRAGE VOLATILITE - P 100% CAPITALISED EONIA (D) (BASE 360) The EONIA shows the overnight euro money market rate. It is calculated by the ESCB (European System of Central Banks) as the average of interest rates on transactions conducted on the euro-denominated money markets by a panel of international banks. Changes in this depend on the money market policy implemented by the European Central Bank. The capitalised EONIA also takes into account the effect of reinvesting interest according to the OIS (Overnight Indexed Swap) method. Management fees and expenses AMUNDI DYNARBITRAGE VOLATILITE - I Management fees and management fees outside the management company (statutory auditor, custodian, distribution, legal) invoiced to the UCITS in the I-C unit: 0.60 max. % incl. tax of the net assets. Maximum indirect costs (management costs and fees): nil. Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

3 . Between different asset classes. The volatility of shares can therefore be arbitrated against that of State rates, or that of currencies, via forward-based financial instruments; similarly, it is possible to exploit inefficiencies between the credit level of an issuer and the volatility of their share. To do this, the fund can use Credit Default Swaps. The strategies implemented seek two sources of performance:. Anticipating the convergence of implied volatilities for different instruments;. Profiting from the difference between the realised volatility of an underlying and the implied volatility of a forward-based financial instrument on that underlying. To isolate the volatility component, the forward-based financial instruments used are hedged against the underlying market risk (a delta-neutral hedge) B) Volatility arbitrage strategies on convertible bonds A convertible bond is split up into a bond part and an optional part. Each of the two components may be valued based on market parameters (notably the yield curve, issuer credit risk and implied volatility of the underlying share), thus providing a theoretical valuation of the convertible bond. The strategies implemented seek two sources of performance: - the "Vega": The purchase of the convertible bond allows you to take advantage of a possible discount on issuance and on the secondary market, between its market price and theoretical value. This strategy thus aims to purchase at temporarily undervalued implied volatility. - the "Gamma": In order to preserve the neutrality of the equity exposure of the optional part (delta-neutral), the hedge is adjusted with equity purchase or sale transactions. This strategy consists in purchasing implied volatility that is less than the realised volatility of the underlying. In order to isolate the volatility component: - The interest-rate risk of the bond part is hedged by forward-based financial instruments on interest rates. - Currency risk of the convertible bond, in the event this or the shares into which it is convertible are not denominated in euros, is hedged by forward-based currency financial instruments. - The fund may enter into credit default swaps (credit derivatives) to hedge itself against credit risk or the bankruptcy of an issuer. - The equity exposure (delta) of the option part is neutralised by appropriate instruments allowing a hedge against a decline of the share. - The sensitivity of the convertible bonds' volatility may be hedged with forwardbased equity or benchmark financial instruments. Outperformance fee (I-C unit): : 15.00% of the difference between the valued assets (after deduction of fixed management fees) and the benchmark assets. These benchmark assets represent the portfolio's assets, after taking account of subscription/redemption amounts on each valuation, and valued according to the performance of the benchmark index (the EONIA capitalised). Management and administration fees are charged directly to the statement of operations of the UCITS. AMUNDI DYNARBITRAGE VOLATILITE - P Management fees and management fees outside the management company (statutory auditor, custodian, distribution, legal) invoiced to the UCITS on the P-C unit: 1.00 max. % incl. tax of the net assets. Maximum indirect costs (management costs and fees): nil. Outperformance fee (P-C unit): 15.00% of the difference between the valued assets (after deduction of fixed management fees) and the benchmark assets. These benchmark assets represent the portfolio's assets, after taking account of subscription/redemption amounts on each valuation, and valued according to the performance of the benchmark index (the EONIA capitalised). Fees payable by the investor, debited on subscriptions and redemptions: Subscription fees payable to the UCITS for the P-C unit of at most 1%. Management and administration fees are charged directly to the statement of operations of the UCITS. 3 Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

4 2 Description of assets used (excluding derivatives) - Interest rate products: Exposure to interest rate products may vary within a range of 0 to 100% of the net assets.. State bonds in the eurozone and international State bonds outside the eurozone, of all ratings. Credit bonds with a minimum "Investment Grade" rating corresponding to a BBB- rating on the Standard and Poor's rating scale and/or Baa3 on the Moody's scale, unrated speculative bonds or which have a minimum D rating on the Standard and Poor's rating scale and/or C on the Moody's scale, denominated in any currency. - Equities: Exposure to asset class shares may vary within a range of 0 to 100% of the net assets, and shall do so through direct securities, derivatives or UCITS. The fund shall be exposed to equity markets, with no restrictions as to the country, sector or cap size. - Money market instruments: Up to 100% of net assets:. Negotiable Certificate of Deposit (NCD). Pensions. BTAN. NDS (Negotiable Debt Security). Monetary UCITS - Currencies: All OECD currencies. The fund is hedged against currency risk. * Holding units or shares in other UCITS or investment funds The Fund may hold up to 10% of its assets in shares or units of the following UCITS or investment funds: UCITS which can invest up to 10% of their assets in UCITS or investment funds. French or foreign UCITS accredited in accordance with the Directive: up to 100% as an accumulated total of the net assets (statutory maximum). French or foreign UCIs or investment funds that respect the criteria set out in the Financial and Monetary Code: up to 30% as an accumulated total of the net assets (statutory maximum) These UCITS and investment funds may be managed by the Management Company or by a company affiliated to it. The risk profile of these UCITS is compatible with that of the UCITS. Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report 4 September 2013

5 3 Description of derivatives used The manager may invest in the following derivative instruments: - Types of markets: regulated, organised, over-the-counter. - Risks that the Fund manager seeks to mitigate: equity, interest-rate, currency and other risks: volatility, dividends, - Types of operations permitted (all operations are used for the sole purpose of achieving the investment objective): hedging, exposure, arbitrage - Types of instruments used:. futures: on shares or share indexes: hedging or exposure to equity risk. - on interest rates: hedging of or exposure to Government currency yield risk: hedging of or exposure to currency risk; - volatility: hedging of or exposure to volatility risk on equity, interest-rate and currency markets:. options: on shares or share indexes: hedging of or exposure to equity risk, hedging or exposure to share volatility risk. - on volatility indexes. - on interest rates: hedging of or exposure to government yield risk, hedging of or exposure to government yield volatility risk rates. - currency rates: hedging of or exposure to currency risk, hedging of or exposure to currency volatility risk. - on credit default swap indices: hedging of or exposure to credit issuer risk. - swaps:. equity swaps, equity default swaps: hedging of or exposure to equity risk. dividend swaps: hedging of dividend risk for a share or a share index.asset swaps: transformation of fixed to variable remuneration and vice versa. interest-rate swaps: hedging of or exposure to interest rate risk.variance swaps: hedging of or exposure to equity and currency market volatility risk. currency swaps: currency hedging - Contract For Differences (CFDs): hedging of or exposure to equity risk. forward exchange contracts: currency hedging - credit derivatives:. credit default swaps: hedging of or exposure to credit issuer risk. - Derivatives strategies used to achieve the investment objective:. general portfolio hedging: forward-based financial instruments are used to hedge the equity, interest-rate, currency, credit and volatility risks of the volatility arbitrage strategies put in place.. replication of synthetic exposure to volatility: the purchases or sales of options hedged for delta can be used to give the fund exposure to the underlying's volatility.. accuracy of the maximum authorised and sought leverage effect: the leverage effect is not sought in off-balance sheet transactions. 4 Description of securities with embedded derivatives Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report 5 September 2013

6 - Risks that the Fund manager seeks to mitigate: equity, rate, currency, credit and other risk: volatility, dividends - Types of operations and description of all operations used for the sole purpose of achieving the investment objective: hedging, exposure, arbitrage - Types of instruments used: warrants and subscription rights, bonds with share subscription warrants (OBSA) and bonds with share subscription and purchase warrants (OBSAR), Convertible Bonds - Integrated derivatives strategy, used to achieve the investment objective:. replication of synthetic exposure to volatility: the warrants, subscription rights, OBSA and OBSAR and convertible bonds will be delta-hedged and can be used to give the fund exposure to the underlying's volatility. 5 Deposits The Fund may use deposits with a maximum maturity of up to 12 months. The purpose of such deposits is to allow the Fund to manage cash in accordance with its investment objectives. 6 Cash borrowings: The UCITS may be in a debtor position as a result of operations related to cash flows (outstanding investments/disinvestments, subscription/redemption transactions) within a 10% limit of the net assets. 7 Temporary acquisitions and disposals of securities - Types of transactions used:. repurchase and reverse repurchase in accordance with the Monetary and Financial Code;. lending and borrowing securities in accordance with the Monetary and Financial Code; - Types of operations (all operations are used for the sole purpose of achieving the investment objective):. cash management: via reverse repos of securities;. optimisation of UCITS revenue: - Potential leverage effects: no. - Remuneration: see Fees and Commissions The commitment may not exceed 100% of the net assets. Risk Profile Your money shall be invested primarily in financial instruments selected by the management company. These financial instruments are subject to market fluctuations. Main risks related to this investment classification: - Volatility risk on convertible bonds and forward-based financial instruments Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report 6 September 2013

7 - Capital risk. Specific risks associated with management: - Credit risk - Dividend risk on the underlying equity of the convertible bonds - Market Risk Other risks: - Counterparty risk - Exchange risk - Risk of potential changes in certain items (taxation). Possible effects of the use of derivatives on the risk profile. The net asset value is liable to experience high volatility. Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report 7 September 2013

8 Business Report Economic Information and Investment Policy September 2013 June was a difficult time for the equity markets. The speech given by the Chairman of the Fed, evoking a gradual slowdown in the purchase of financial assets by the central bank, triggered sell positions on all financial stock exchanges. All the stock markets, except in Japan, closed in the red. In spite of this volatile situation, the EuroStoxx50 and S&P500 indexes did experience a slight increase. Our gains recorded on these indices failed to compensate for the losses relating to positions on the Nikkei index, which suffered owing to the continued upturn in implicit volatility, and also due to the high volatility produced. The Japanese market remained highly agitated in the first part of the month, with a produced volatility of around 50%. The volatility arbitrage strategies on interest rates had a slightly positive contribution, especially on the volatility buy position on TNotes. The strategies on convertible bonds were neutral this month. A fresh position on the Subsea 2013 convertible bond was implemented. With regard to strategies on shares, these all suffered over the course of the month, be they carry or relative value positions (see BMW and Daimler compared to LVMH and L'OREAL, which suffered from the heightened volatility in defensive securities compared to cyclical securities). What Bernanke said on 10 July declaring that the Fed policy would remain accommodating, the good results from companies in the financial sector, positive economic data in Europe and GDP figures from Q2 in China all combined to support the equity markets in July. In this environment, a net drop arose in produced volatility 1M of indexes (21.6% to 17% for Eurostoxx50, 17.4% to 7% for S&P500 and 46% to 24.8% for Nikkei225) and in the implicit volatility. Strategies on indexes performed with the Nikkei starting to settle down, despite the negative carry on the S&P500 volatility buy leg. The SMI volatility sell strategy against Dax benefited from an easing in the volatility of defensive securities. Strategies on shares also generally performed well, especially on carry positions (Renault, Carrefour) and relative value (purchase of Pernod- Ricard and H&M volatility vs. Heineken and Inditex; BMW and Daimler vs LVMH), except for the new mars14 volatility sell strategy on K+S. Finally, strategies on convertible bonds (Subsea 2013 and GBL/GdF 2017) ended neutral this month, while slight losses were recorded on Bund and T-Notes. The equity markets are focussed on two elements: the prospect of a drop in the purchase of assets by the Fed and the events in Syria. All stock markets closed down. However, the European market showed itself to be relatively resistant, held up by generally encouraging economic indicators. Implicit volatility went up this month. However, tension remained limited. The panic did not reach markets in developed countries. The produced volatility of these markets remains at low levels (10% for S&P500 and 14% for Eurostoxx50). Strategies on indexes had a positive contribution this month, following the rise in implicit volatility in the S&P500, while that of the Nikkei remained stable. The SMI volatility sell strategy against Dax provided part of the performance for July, following the rise in risk aversion on defensive securities. This also affected the performance of the strategies on shares such as Heineken and L'Oréal. With regard to convertible bonds, the contribution was positive this month, especially the Subsea 2013 position. Finally, volatility arbitrages on interest rates ended neutral despite the rise in volatility on T-Notes and our sell position, which was compensated by the carry position on Bund. The unexpected status quo of the Fed on the reduction of its monthly purchases and the avoidance of conflict in Syria thanks to diplomatic efforts translated into a net drop in the fears of investors and an upturn in the equity markets this month. 8 Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

9 Despite a slight rise at the end of the month, the implicit volatility of the indexes lost around 2 points for maturity in Dec. 13, owing to the persistent weakness of the produced volatility (around 10% for S&P500 and Eurostoxx50 in Sept.). This weakness in produced volatility affected strategies on indexes through the negative carry on these 2 indicators, while the Nikkei remained twice as volatile (20% in Sept.). The strategies on shares, however, benefited from this environment, with gains on the sale of defensive securities volatility (Danone, Heineken, Roche, H&M and L'Oréal, etc.), on the SMI volatility sell strategy against Dax and on the Alstom volatility buy strategy against Vinci and Lafarge. There were small gains on convertible bonds with the profit of GBL/ GdF Suez 2017 and Subsea 2013 as well as the contribution to RALLYE /CASINO 1% 2020 and GBL 0.375% 2018 issues. Slight gains were also recorded on carry strategies on Bund and T-Notes volatilities. Amundi ASSET MANAGEMENT Legal Publications AMUNDIDYNARBITRAGE VOLATILITE Annual Report September

10 AMUNDI DYNARBITRAGE VOLATILITE - I (C) Year in review Net asset value Financial year start date Last NAV published* Valuation date 31/05/ /09/2013 Net asset value 6 173, ,22 Net performance Fund Reference indicator Representing under performance -0,30 % 0,03 % -0,33 % AMUNDI DYNARBITRAGE VOLATILITE - P (C) Year in review Net asset value Financial year start date Last NAV published* Valuation date 31/05/ /09/2013 Net asset value 120,66 120,13 Net performance Fund Reference indicator Representing under performance -0,44 % 0,03 % -0,47 % *Performance is calculated on the basis of the last official net asset value for the balance sheet month. The Fund's performance is presented after deduction of management and running costs, with the net coupon reinvested if applicable. <<Past performance is not indicative of future performance. Performance does not remain constant over time.>> 10 Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

11 The UCITS over the financial year in review The investment policy of the Amundi Dynarbitrage Volatilité fund (I-C unit: FR ; P-C unit: FR ) was amended on 21 June The amendments brought were as follows: - Change in the strategies implemented:. Deletion of the maximum investment in volatility arbitrage strategies. Deletion of the paragraph concerning the directional strategies and the monetary strategy. Add a new strategy aiming to profit from discrepancies between credit spreads and equity volatility. Hedging of currency, interest rate risks and risks inherent to shares in order to isolate the volatility component shall now be performed in a discretionary manner. - Change in the investment universe:. Detail regarding interest rate products and shares used in management.. Deletion of the rating constraints on credit derivatives. We do hereby notify you of the change of the closure of the financial year for the fund Amundi Dynarbitrage Volatilité (I unit: FR ; P units: FR ): the closure of accounts shall from now on be the last trading day of September (and not the last trading day of May). As a result, the next accounts closure shall take place on 30 September Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

12 Specific Information Calculation of off-balance sheet liabilities Futures contracts are recorded at their market value as off-balance sheet liabilities on the basis of their settlement price. Options are converted into the underlying equivalent. Interest rate swaps made on over-the-counter markets are valued on the basis of their nominal value, plus or minus any corresponding valuation differential. Method chosen in calculating the ratio of the overall risk: - The Absolute VaR with a limit of 20%. - Indicative degree of leverage: 57%. - Calculation occurs daily, while the results are presented on an annualised basis (time root). - The calculation interval proposed is 95% and 99%. - The historical depth is 1 year (210 scenarios) and lasts from 30 September 2012 until 30 September VaR 95: - maximum: 6,89 % - minimum: 2,13 % - average: 4,14 %. VaR 99: - maximum: 21,80 % - minimum: 3,86 % - average: 8,88 %. Group funds To become familiar with the information on financial instruments held in the portfolio that are issued by the Management Company or by the entities in its group, please see the sections: 3. Additional information Financial instruments of the group held in the portfolio in the annual accounts for the year in review, included below. 12 Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

13 Regulatory Information Broker and Counterparty Selection Procedure Our management company and its "Trading" subsidiary attach great importance to the selection of our transaction service providers, both in terms of brokers and counterparties. Its selection methods are as follows: - Brokers are selected by geographical zone, then by profession. Counterparties are selected by field. - Brokers and counterparties are given a quarterly internal rating. The guidelines given by our company participating in the rating process are directly concerned by the services provided by these providers. Our company's "Trading" subsidiary organises and determines this rating on the basis of marks given by each team manager concerned according to the following criteria: For teams of managers, financial analysts and strategists: general business relationship, understanding of needs, relevance of contacts, quality of market and opportunity advice, following of advice, quality of research and publications, scope of securities covered, visits made by companies and their management. For teams of traders: quality of staff, knowledge of market and information about companies, confidentiality, price proposal, quality of execution, quality of transaction processing, connectivity, technical expertise and reactivity. Our company's "Compliance" and "Middle Office" sections have a right of veto. Accreditation of a new transaction service provider (broker or counterparty) The "Trading" subsidiary is responsible for creating accreditation files and obtaining approval from the "Risks" and "Compliance". When the transaction service provider (broker or counterparty) is accredited, it is subject to rating the following quarter. Monitoring committees for transaction service providers (brokers and counterparties) These monitoring committees meet every quarter, under the auspices of the "Trading" subsidiary. The committees' objectives are as follows: approve the previous business and the new selection to implement for the following quarter; decide on which service providers will belong to a group which is then given a certain number of transactions; define business prospects With this in mind, the monitoring committees review statistics and ratings given to each service provider and make the resulting decisions. Decision support service 13 Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

14 A report relating to brokerage fees is kept at the disposal of investors. This report can be consulted on the following website: Information regarding the environmental, social and governance quality (ESG) criteria: Overall in its active management*, Amundi applies strict rules over the integration of extra-financial criteria (ESG) which form the basis of its responsibility. In this way it: - excludes any direct investment in companies involved in the manufacture or trade of landmines and cluster bombs, in compliance with the Ottawa and Oslo conventions; - excludes companies which seriously and repeatedly contravene one or more of the Ten Principles of the United Nations Global Compact. Issuers in these two categories are rated G on the Amundi scale (scale of A to G, with A being the best rating and G the worst). Additional information on the methods of incorporating ESG criteria by Amundi are available on its website * Active management: excluding indexed UCITS and ETF limited by their benchmark index. 14 Legal Publications AMUNDI DYNARBITRAGE VOLATILITE Annual Report September 2013

15 AMUNDI DYNARBITRAGE VOLATILITE Guarantee securities received by the UCITS Valuation date 30/09/2013 COUNTERPARTY CODE COUNTERPARTY DENOMINATION AMOUNT (Portfolio currency) Collateral securities on LOAN ,94 SOGEFRPP SOCIETE GENERALE PAR ,94 15

16 AMUNDI DYNARBITRAGE VOLATILITE Valuation date 30/09/2013 Guarantee cash received by UCITS COUNTERPARTY CODE COUNTERPARTY DENOMINATION AMOUNT (Portfolio currency) Coll cash OTC ,29 MSLNGB2X MORGAN STANLEY & CO INTL LONDRES ,29 16

17 AMUNDI DYNARBITRAGE VOLATILITE Valuation date 30/09/2013 SECURITIES LENDING TOTAL: ,87 COUNTERPARTY CODE COUNTERPARTY DENOMINATION AMOUNT (Portfolio currency) MSLNGB2X MORGAN STANLEY & CO INTL LONDRES ,60 SBILGB2L CITIGROUP GLOBAL MARKETS LIMITED ,77 SOGEFRPP SOCIETE GENERALE PAR ,50 17

18 AMUNDI DYNARBITRAGE VOLATILITE Valuation date 30/09/2013 REVERSE REPURCHASE AGREEMENTS TOTAL: ,50 COUNTERPARTY CODE COUNTERPARTY DENOMINATION AMOUNT (Portfolio currency) BREDFRPP B.R.E.D. PARIS ,50 18

19 AMUNDI DYNARBITRAGE VOLATILITE FORWARD EXCHANGE Valuation date 30/09/2013 TOTAL: ,12 COUNTERPARTY CODE COUNTERPARTY DENOMINATION AMOUNT (Portfolio currency) CITIGB2L CITIBANK N.A. - LONDRES ,43 DEUTGB2L DEUTSCHE BANK AG LONDRES 320,51 MSLNGB2X MORGAN STANLEY & CO INTL LONDRES ,26 RBOSGB2L ROYAL BANK OF SCOTLAND LONDRES ,07 SOGEFRPP SOCIETE GENERALE PAR 1 572,34 UBSWGB2L UBS AG LONDON BRANCH ,35 19

20 MAZARS FCP AMUNDI DYNARBITRAGE VOLATILITE Statutory Auditor's report on the annual accounts Financial year ended 30 September 2013 MAZARS 20

21 FCP AMUNDI DYNARBITRAGE VOLATILITE 90, Boulevard Pasteur PARIS - France Statutory Auditor's report on the annual accounts Financial year ended 30 September

22 MUTUAL FUND AMUNDI DYNARBITRAGE VOLATILITE Financial year ended 30 September 2013 Statutory Auditor's report on the annual accounts In fulfilment of the mission which was entrusted to us by the Board of Directors of the fund's management company, we present our report relating to the financial year ended on 30 September 2013, on: the audit of the annual accounts for the mutual fund AMUNDI DYNARBITRAGE VOLATILITE, as appended to this report; the explanation for our assessments; and specific checks and information laid down by law. The annual accounts were authorised for issue by the Fund's management company. On the basis of our audit, it is our duty to express an opinion about said accounts. I - Opinion on the annual accounts We carried out our audit in accordance with the professional standards of conduct as applicable in France; these standards require the implementation of procedures so as to provide reasonable assurance that the annual accounts do not contain any significant anomalies. An audit consists of verifying by sampling or other selection methods those elements which justify the sums and information featured in the annual accounts. Since it concerns a UCITS, it does not take account of the databases provided by independent third parties for preparing the off-balance sheet statement included in the annual accounts. It also consists of assessing the accounting principles followed, any significant estimates made and the presentation of the accounts as a whole. We consider that the elements we have gathered are of a sufficient and appropriate nature to serve as the basis for our opinion. We certify that the annual accounts are, with regard to French accounting principles and rules, accurate, and give a faithful image of the results of transactions occurring during the financial year in question, as well as the financial position and asset situation of the UCITS at the close of the financial year. 22 1

23 MUTUAL FUND AMUNDI DYNARBITRAGE VOLATILITE Financial year ended 30 September 2013 Without seeking to question the opinion given above, we would like to draw your attention to the note in appendix, in the section regarding accounting rules and methods, in the annual accounts appendix, which details the methods for applying regulation in the Accounting Standards Authority. II - Justifications of assessment Pursuant to the provisions of Article L of the Commercial Code, relating to the justification of our assessment, we would like to draw the following to your attention: - our assessments in particular concerned compliance with the accounting policies and principles applicable to the UCITS, as defined in Regulation n of the French Accounting Regulation Committee ("Comité de la Réglementation Comptable"). Said evaluations as given are a part of our audit procedure for the annual accounts, taken as a whole, and thus contributed to forming the opinion we expressed in the first part of this report. Ill - Specific information and checks In accordance with the applicable professional standards in France, we also performed, the specific checks laid down by law. We do not have any qualifications to make as to the accuracy and consistency with the annual accounts of the information given in the annual report and the documents sent to unit holders regarding the financial situation and annual accounts. Signed in Courbevoie on 7 January 2014 Statutory Auditors Mazars: Pierre Masiéri 2 23

24 ASSETS AT 30/09/2013 IN 30/09/ /05/2013 Net fixed assets Deposits Financial instruments Equities and similar securities Traded on a regulated market or related market Not traded on a regulated market or related market Bonds and related securities Traded on a regulated market or related market Not traded on a regulated market or related market Debt securities Traded on a regulated market or related market Transferable debt securities Other debt securities Not traded on a regulated market or related market Undertakings for collective investment European coordinated UCITS and French general UCITS UCITS reserved for certain investors - Venture capital mutual funds (FCPR) - Managed futures funds (FCIMT) Investment funds and listed SPVs Non-quoted SPVs and Investment funds Temporary transactions on securities Debts representing securities received under repurchase agreement Debts representing lent securities Borrowed securities Securities delivered under repurchase agreements Other temporary transactions Futures Transactions on a regulated market or related market Other transactions Other financial instruments Debts Forward-based currency transactions Others Financial accounts Liquidity , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,29 70, , , , , ,99 Total Assets , ,94 24

25 LIABILITIES AT 30/09/2013 IN 30/09/ /05/2013 Shareholders' funds Capital Net previous appreciation and depreciation (undistributed) (a) Balance carried forward (a) Net appreciation and depreciation for the financial year (a, b) Financial year profit (a, b) Total shareholders funds (= Sum representing the net assets) Financial instruments Sale transactions of financial instruments Temporary transactions on securities Debts representing securities given under repurchase agreement Debts representing securities borrowed Other temporary transactions Futures Transactions on a regulated market or related market Other transactions Debts Forward-based currency transactions Others Financial accounts Current bank lending Borrowings , , , , , , , , , , , , , , , , , , , , , , , , ,14 Total Liabilities , ,94 (a) Including accruals (b) Less advance payments made in respect of the financial year 25

26 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN 30/09/ /05/2013 Hedging transactions Liabilities on regulated markets or related markets Futures agreements CBOT UST 1OA 0913 CME S&P500 MINI 0613 CME S&P500 MINI1213 GR SCHATZ 0613 SOFFEX SMI 1213 EX BOBL 0613 EX OSTX 0613 EX OSTX 1213 NYF NYF MN RUSS 1213 Options ADIDAS NOM. 12/2013 CALL 80. ADIDAS NOM. 12/2013 PUT 76. ADIDAS NOM. 12/2013 PUT 80. AKZO NOBEL 06/2013 CALL 48. AKZO NOBEL 06/2013 PUT 47. AKZO NOBEL 06/2013 PUT 48. ALSTOM 06/2013 PUT 32. ALSTOM 07/2013 CALL 31. ALSTOM 07/2013 PUT 27. ALSTOM 07/2013 PUT 28. ALSTOM 12/2013 CALL 28. ALSTOM 12/2013 CALL 32. ALSTOM 12/2013 PUT 25. ALSTOM 12/2013 PUT 26. AXA 03/2014 CALL 16. AXA 03/2014 CALL 18. AXA 07/2013 CALL 15. AXA 09/2013 CALL 16. AXA 10/2013 CALL 18. AXA 12/2013 CALL 14. AXA 12/2013 CALL 15. AXA 12/2013 CALL 17. AXA 12/2013 CALL 18. AXA 12/2013 CALL 19. AXA 12/2013 PUT 12. AXA 12/2013 PUT , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,84 26

27 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN BARRICK GOLD NPV 01/2014 CALL /09/ /05/ , ,85 BASF SE 07/2013 CALL 76. BASF SE 10/2013 CALL 80. BASF SE 10/2013 PUT 66. BASF SE 12/2013 CALL 76. BAYER 06/2013 CALL 84. BAYER 07/2013 CALL 84. BMW 12/2013 PUT 64. BMW 12/2013 PUT 68. BMW 12/2013 PUT 72. BNP PARIBAS 06/2013 PUT 36. BOUYGUES 06/2013 CALL 24. BOUYGUES 06/2013 PUT 20. CAP GEMINI 03/2014 PUT 44. CAP GEMINI12/2013 CALL 46. CAP GEMINI12/2013 PUT 40. CARREFOUR 12/2013 CALL 23. CARREFOUR 12/2013 CALL 24. CATERPILLAR INC 01/2014 PUT 85. CBOT US TRES NT 10A 08/2013 PUT 128. CBOT US TRES NT 10A 11/2013 CALL 128. CIE FIN.RICHEMONT 03/2014 PUT 92. DAIMLERCHRYSLER 06/2013 CALL 46. DAIMLERCHRYSLER 06/2013 PUT 40. DAIMLERCHRYSLER 12/2013 PUT 36. DAIMLERCHRYSLER 12/2013 PUT 40. DAIMLERCHRYSLER 12/2013 PUT 44. DANONE 12/2013 CALL 56. DAX Xetra 06/2014 PUT 8200 DEUTSCHE BANK AG NAM 12/2013 CALL 36. DEUTSCHE POST NAMEN 12/2013 CALL 22. DEUTSCHE TELEKOM 12/2013 PUT 8.5 DJ O STOXX 50 06/2013 CALL 2700 OJ O STOXX 50 06/2013 CALL 2800 DJ O STOXX 50 06/2013 CALL 2900 DJ O STOXX 50 06/2013 CALL 3000 DJ O STOXX 50 06/2013 PUT 2700 DJ O STOXX 50 06/2013 PUT 2800 DJ O STOXX 50 06/2014 CALL , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,78 27

28 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN DJ O STOXX 50 07/2013 CALL /09/ /05/ ,76 DJ O STOXX 50 12/2013 CALL 2900 DJ O STOXX 50 12/2013 CALL 3100 DJ O STOXX 50 12/2013 PUT 2400 DJ O STOXX 50 12/2013 PUT 2500 DJ O STOXX 50 12/2013 PUT 2800 DJ O STOXX 50 12/2013 PUT 2900 EAOS 03/2014 PUT 42. EAOS 12/2013 PUT 38. EAOS 12/2013 PUT 42. ESSILOR INTL 03/2014 CALL 88. EX O BUNO 06/2013 CALL 149. EX O BUNO 10/2013 CALL EX O BUNO 10/2013 CALL 142. EX O BUNO 11/2013 CALL FRANCE TELECOM 12/2013 CALL 8. GOF SUEZ 12/2013 CALL 18. GOLDCORP INC 01/2014 CALL 50. HEINEKEN 06/2013 PUT 54. HEINEKEN 12/2013 CALL 54. HEINEKEN 12/2013 CALL 56. HEINEKEN 12/2013 CALL 60. HENNES & MAURITZ B 07/2013 CALL 240. HENNES & MAURITZ B 12/2013 PUT 210. INOITEX SA 12/2013 CALL INOITEX SA 12/2013 CALL INOITEX SA 12/2013 CALL lng GROEP 03/2014 PUT 8. lng GROEP 12/2013 PUT 8.2 lng GROEP 12/2013 PUT 8.5 K S NOM 06/2013 PUT 38. LAFARGE 10/2013 PUT 47. LAFARGE 12/2013 CALL 50. LAFARGE 12/2013 CALL 58. L'OREAL 10/2013 PUT 120. L'OREAL 12/2013 CALL 140. LVMH 12/2013 CALL 140. LVMH 12/2013 CALL 150. NEWMONT MINING 01/2014 CALL , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,63 28

29 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN NIKKEY 225 SIMEX 06/2013 CALL /09/ /05/ ,63 NIKKEY 225 SIMEX 06/2013 CALL NIKKEY 225 SIMEX 06/2013 CALL NIKKEY 225 SIMEX 06/2013 CALL NIKKEY 225 SIMEX 06/2013 CALL NIKKEY 225 SIMEX 06/2013 CALL NIKKEY 225 SIMEX 06/2013 PUT NIKKEY 225 SIMEX 09/2013 CALL NIKKEY 225 SIMEX 09/2013 PUT NIKKEY 225 SIMEX 12/2013 CALL NIKKEY 225 SIMEX 12/2013 CALL NIKKEY 225 SIMEX 12/2013 CALL NIKKEY 225 SIMEX 12/2013 PUT NIKKEY 225 SIMEX 12/2014 CALL NIKKEY 225 SIMEX 12/2014 PUT NOVARTIS AG NOMI12/2013 CALL 70. NOVARTIS AG NOMI12/2013 PUT 70. ORANGE 12/2013 CALL 8.4 ORANGE 12/2013 PUT 7.6 PERNOD-RICARD 12/2013 PUT 90. PERNOD-RICARD 12/2013 PUT 92. RENAULT SA 06/2013 CALL 64. RENAULT SA 12/2013 CALL 60. RENAULT SA 12/2013 CALL 64. ROYAL PHILIPS 03/2014 CALL 25. ROYAL PHILIPS 06/2013 PUT 20. ROYAL PHILIPS 06/2013 PUT 21. ROYAL PHILIPS 10/2013 PUT 23.5 ROYAL PHILIPS 12/2013 CALL 26. SAINT-GOBAIN 06/2013 PUT 29. SAINT-GOBAIN 12/2013 CALL 30. SAP AG 10/2013 PUT 54. SCHNEIDER ELECT SA 06/2013 CALL 60. SCHNEIDER ELECT SA 12/2013 CALL 64. SCHNEIDER ELECT SA 12/2013 CALL 64. SCHNEIDER ELECT SA 12/2013 CALL 68. SOCIETE GENERALE A 12/2013 CALL 32. SOCIETE GENERALE A 12/2013 PUT 32 SOCIETE GENERALE A 12/2013 PUT , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,

30 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN 30/09/ /05/2013 S&P 500 INDEX 06/2013 CALL 1500 S&P 500 INDEX 06/2013 PUT 1500 S&P 500 INDEX 06/2013 PUT 1625 S&P 500 INDEX 07/2013 PUT 1650 S&P 500 INDEX 12/2013 PUT 1550 S&P 500 INDEX 12/2013 PUT 1700 TOTAL 06/2013 PUT 38. TOTAL 10/2013 PUT 42. TOTAL 11/2013 CALL44. TOTAL 12/ UBS NAMEN 03/2014 CALL 18. VINCI (EX SGE) 12/2013 CALL 44. VINCI (EX SGE) 12/2013 CALL 46. Over-the-counter liabilities Currency swaps OIS/0.0/FIX/0.072 Other liabilities Other transactions Liabilities on regulated markets or related markets Futures agreements CME S&P EX DAX SGX NIK SIM SGX NIK Options ADIDAS NOM. 12/2013 CALL 80. AKZO NOBEL 06/2013 PUT 44. AKZO NOBEL 12/2013 CALL 48. ALSTOM 06/2013 CALL 36. ALSTOM 07/2013 CALL 28. AXA 06/2013 PUT 13.5 AXA 06/2013 PUT 14. AXA 07/2013 PUT 15. AXA 12/2013 PUT 16. BARRICK GOLD NPV 01/2014 CALL 35. BASF SE 06/2013 CALL 76. BASF SE 10/2013 CALL 76. BASF SE 10/2013 PUT 60. BASF SE 12/2013 PUT , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,32 30

31 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN BMW 12/2013 CALL /09/ /05/ ,40 BMW 12/2013 CALL 84. BNP PARIBAS 06/2013 PUT 34. BOUYGUES 06/2013 PUT 17. CAP GEMINI 03/2014 CALL 44. CARREFOUR 12/2013 CALL 28. CARREFOUR 12/2013 PUT 19. CARREFOUR 12/2013 PUT 22. CBOT US TRES NT 1OA 08/2013 CALL /130. CBOT US TRES NT 10A 11/2013 PUT 120. CBOT US TRES NT 10A 11/2013 PUT CIE FIN.RICHEMONT 03/2014 PUT 82. DAIMLERCHRYSLER 06/2013 PUT 36. DAIMLERCHRYSLER 12/2013 CALL 44. DANONE 06/2013 CALL 58. DEUTSCHE POST NAMEN 12/2013 CALL 20. DEUTSCHE POST NAMEN 12/2013 PUT 20. DEUTSCHE TELEKOM 12/2013 PUT 9. DJ O STOXX 50 06/2013 CALL 2500 DJ O STOXX 50 06/2013 CALL 2600 DJ O STOXX 50 06/2013 PUT 2500 DJ O STOXX 50 06/2013 PUT 2600 DJ O STOXX 50 06/2014 PUT 2500 DJ O STOXX 50 12/2013 CALL 2500 DJ O STOXX 50 12/2013 CALL 2600 DJ O STOXX 50 12/2013 PUT 2500 DJ O STOXX 50 12/2013 PUT 2600 EADS 12/2013 CALL42. EADS 12/2013 PUT 34. ESSILOR INTL 03/2014 PUT 76. EX O BUND 06/2013 PUT EX O BUND 06/2013 PUT FRANCE TELECOM 12/2013 PUT 7.6 GOLDCORP INC 01/2014 CALL 40. HEINEKEN 12/2013 PUT 46. HEINEKEN 12/2013 PUT 50. HEINEKEN 12/2013 PUT 54. HENNES & MAURITZ B 12/2013 CALL 250. INDITEX SA 06/2013 CALL , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,56 31

32 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN INDITEX SA 12/2013 PUT /09/ /05/ ,48 INDITEX SA 12/2013 PUT INDITEX SA 12/2013 PUT lng GROEP 12/2013 CALL 8.5 LAFARGE 10/2013 CALL 52. LAFARGE 12/2013 PUT 42. LAFARGE 12/2013 PUT 46. L'OREAL 12/2013 PUT 100. L'OREAL 12/2013 PUT 110. L'OREAL 12/2013 PUT 120. LVMH 12/2013 PUT 120. NEWMONT MINING 01/2014 CALL 45. NIKKEY 225 SIMEX 06/2013 CALL NIKKEY 225 SIMEX 06/2013 CALL 9000 NIKKEY 225 SIMEX 06/2013 PUT NIKKEY 225 SIMEX 06/2013 PUT NIKKEY 225 SIMEX 06/2013 PUT NIKKEY 225 SIMEX 06/2013 PUT 7000 NIKKEY 225 SIMEX 06/2013 PUT 9000 NIKKEY 225 SIMEX 09/2013 PUT NIKKEY 225 SIMEX 10/2013 PUT NIKKEY 225 SIMEX 12/2013 CALL NIKKEY 225 SIMEX 12/2013 CALL NIKKEY 225 SIMEX 12/2013 CALL 9000 NIKKEY 225 SIMEX 12/2013 PUT NIKKEY 225 SIMEX 12/2013 PUT NIKKEY 225 SIMEX 12/2013 PUT NIKKEY 225 SIMEX 12/2013 PUT 9000 NOVARTIS AG NOMI12/2013 PUT 64. ORANGE 12/2013 PUT 7.2 PERNOD-RICARD 12/2013 CALL 100. PERNOD-RICARD 12/2013 CALL 110. RENAULT SA 06/2013 PUT 56. RENAULT SA 06/2013 PUT 58. RENAULT SA 10/2013 CALL 60. RENAULT SA 12/2013 PUT 52. ROYAL PHILIPS 03/2014 PUT 22. ROYAL PHILIPS 06/2013 CALL 23. ROYAL PHILIPS 06/2013 PUT , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,81 32

33 OFF-BALANCE SHEET ITEMS AT 30/09/2013 IN ROYAL PHILIPS 10/2013 PUT 21. ROYAL PHILIPS 12/2013 PUT 22. RUSSELL 2000 INDEX 12/2013 CALL 1050 RUSSELL 2000 INDEX 12/2013 PUT 900. RUSSELL 2000 INDEX 12/2013 PUT /09/ /05/ , , , , ,77 SAINT-GOBAIN 06/2013 PUT 27. SCHNEIDER ELECT SA 06/2013 PUT 52. SCHNEIDER ELECT SA CALL 68. SOCIETE GENERALE A 12/2013 CALL 30. SOCIETE GENERALE A 12/2013 CALL 34. SOCIETE GENERALE A 12/2013 PUT 30. S&P 500 INDEX 06/2013 PUT 1250 S&P 500 INDEX 06/2013 PUT 1350 S&P 500 INDEX 06/2013 PUT 1450 S&P 500 INDEX 07/2013 CALL 1650 S&P 500 INDEX 12/2013 CALL 1550 S&P 500 INDEX 12/2013 PUT 1550 SWISS MARKET INDEX 06/2014 PUT 7000 TOTAL 06/2013 PUT 36. TOTAL 10/2013 PUT 38. TOTAL 11/2013 PUT 39. UBS NAMEN 03/2014 PUT 17. VINCI (EX SGE) 11/2013 PUT 36. VINCI (EX SGE) 11/2013 PUT 38. VINCI (EX SGE) 12/2013 PUT 40. Over-the-counter liabilities Other liabilities , , , , , , , , , , , , , , , , , , , , ,98 33

34 STATEMENT OF OPERATIONS AT 30/09/2013 IN 30/09/ /05/2013 Income from financial transactions Income from deposits and financial accounts Income from shares and related securities Income from bonds and related securities Income from debt securities Income from temporary acquisitions and disposals of securities Income from futures Other financial income Total (1) 954, , , , ,49 421, , , , , , , , ,95 Charges for financial transactions Charges for temporary acquisitions and disposals of securities Charges for futures Charges for financial debts Other financial debts Total (2) , , , , , , ,99 Income from financial transactions (1 2) Other income (3) Management fees and provisions for depreciation (4) , , , ,01 Net profit for the financial year (L ) ( ) Income equalisation for the financial year (5) Advance payments made in respect of the financial year (6) , , , ,11 Profit ( ) , ,84 34

35 NOTES TO ANNUAL ACCOUNTS 1 - ACCOUNTING METHODS AND RULES The annual accounts are drawn up in line with the provisions laid down in the rules of the accounting regulation committee no as amended, relating to the chart of accounts for UCITS. The general accounting principles apply: - faithful image, comparable nature, going concern; - regularity and accuracy; - prudence, - consistency of methods from one financial year to the next. The selected accounting method used to record proceeds from fixed-income securities is that of interest collected. Purchases and sales of securities are recorded exclusive of costs. The reference currency for portfolio accounting is the euro. The length of the financial year is 4 months. Article 18 of the order provides for the possibility of distributing net appreciation for the financial years open from 1 January The UCITS accounting plan was amended to take into account this new possibility. Article 15 of regulation CRC no amending regulation CRC no provides for the possibility of applying this early for financial years opened from 1 January In this case, the management company decided to apply these changes to the accounting plan early. The changes relate to the definition of the distributable amounts. The produced appreciation, net of costs, less the produced depreciation, net of costs, is added to the net profit to determine the distributable amounts. Data from previous financial years was not reprocessed. Valuation Rules for Assets Financial instruments are recorded for accounting purposes according to the historical cost method, and entered on the balance sheet at their current value, which is determined using the last known market value or, should no market exist, by all external means or using financial models. Differences between current values used to calculate the net asset value and historical cost of securities upon entering the portfolio are recorded in a "Valuation differentials" account. Securities not in the portfolio currency are assessed according to the principle outlined above, then converted into the portfolio currency at the currency value prevailing on the valuation date. Deposits: Deposits with a residual maturity of less than or equal to 3 months are valued using the straight-line method. Equities, bonds and other securities traded on a regulated market or related market: For the calculation of the net asset value, equities and other securities traded on a regulated market or related market, are assessed on the basis of the last stock market price of the day. Bonds and related securities are assessed at the closing price sent by various financial service providers. Interest accrued on bonds and related securities is calculated until the net asset value date. Equities, bonds and other securities not traded on a regulated market or related market: Securities not traded on a regulated market are assessed under the control of the management company using methods based on the net asset value and yield, taking into consideration the prices used during recent major transactions. Transferable debt securities: 35

36 Transferable debt securities and related securities which are not subject to major transactions are valued using an actuarial method, on the basis of a benchmark rate defined below, which is increased, if appropriate, by a differential representative of the intrinsic characteristics of the issuer: Debt securities with a maturity less than or equal to 1 year: Interbank rate in euro (Euribor): Debt securities with a maturity exceeding 1 year: Short-dated government bond rate (BTAN) or OAT (Fungible Treasury Bond) with similar maturity dates for the longer durations. Swap transactions:valued on the basis of the OIS curve (Overnight Indexed Swaps) Debt securities with a maturity exceeding three months (money market funds) valued on the basis of the OIS curve (Overnight Indexed Swap). Transferable debt securities with a residual maturity of less than or equal to 3 months may be valued by the straight-line method. Treasury Bills are valued on the basis of market prices, as published daily by the Bank of France. UCITS held: UCITS shares or units will be valued at the last known net asset value. Temporary transactions on securities: Securities received under repurchase agreements are recorded under the heading "Debts representing securities received under repurchase agreements" for the sum scheduled in the agreement, with the addition of accrued interest to be received. Securities delivered under repurchase agreements are recorded in the investment portfolio at their current value. Liabilities representing securities delivered under repurchase agreements are recorded in the disinvestment portfolio, at the value determined on the contract date, with the addition of accrued interest payable. Lent securities are valued at their current value and are recorded on the asset side under the heading "Debts representing lent securities" at the current value with the addition of accrued interest to be received. Borrowed securities are recorded on the asset side under the heading "Borrowed securities" for the sum scheduled in the agreement, and on the liabilities side under the heading "Debts representing borrowed securities" for the sum scheduled in the agreement in the agreement plus accrued interest payable Futures: Futures traded on a regulated market or related market: Futures traded on regulated markets are valued at the settlement price for the day. Futures not traded on a regulated market or similar: Swaps: Interest rate and/or currency swaps are valued at their market value using the price calculated by the interest flow method at the interest rate and/or currency exchange rate prevailing on the market. This price is adjusted to the issuer's risk. Index swaps are assessed actuarially on the basis of a benchmark rate provided by the counterparty. Other swaps are assessed at their market value or a value estimated according to the procedures laid down by the management company. Off-balance sheet liabilities: Futures contracts are recorded at their market value as off-balance sheet liabilities at the price used in the portfolio. Options are converted into the underlying equivalent. Foreign-exchange contract commitments are presented at their nominal value, or in the absence of a nominal value, at an equivalent amount. 36

37 Management fees Management fees and running costs cover all fees relating to the UCITS:financial and administrative management, accounting, storage, distribution, audit costs, etc. These fees are charged to the UCITS statement of operations. Management fees do not include transaction fees. For more details about the fees charged to the UCITS, please refer to the prospectus. They are recorded pro rata temporis for each net asset value calculation. The total of these costs complies with the maximum fee rate of 1.00% of the net assets (including tax) for unit CI, and 0.60% of the net assets (incl. tax) for unit CO as indicated in the fund's prospectus or regulations. The outperformance fee is based on the comparison between the portfolio's valued assets (after fixed management fees) and the "benchmark assets". The benchmark assets represent the portfolio's assets, after taking account of subscription/redemption amounts on each valuation, and valued according to the performance of the benchmark index (capitalised EONIA) of the portfolio. This comparison is carried out over an observation period which may last 1, 2 or 3 years. The fund's performance is calculated according to the changes in the net asset value. At the end of each year: - If the fund's valued assets are greater than those in the benchmark index, the provision is paid to the management company (this provision represents 15% of the difference between these two asset figures) and a new observation period begins. The benchmark asset level selected for the new observation period is then realigned to the fund's valued asset level. - If the fund's valued assets are lower than those of the benchmark index, then no provision is declared and the observation period is extended by one year, while maintaining the initial benchmark asset level. At the end of the third year: the benchmark asset level is automatically adjusted to the fund's valued asset level (after payment of a provision if need be) and a new observation period of 1 to 3 years begins. In the event that the fund's valued assets are lower than those of the benchmark index between two net asset values, any provision previously transferred will be adjusted via a recovery on provision. Reversals of provisions may not exceed the sum of the prior allocations. The observation period will begin when the first net asset value is calculated for June and will end on the last net asset value calculated for the following May each year. Only the first observation period will exceptionally be greater than one, two or three years, since it will begin when the first net asset value is calculated for April 2012 and will end on the last net asset value calculated for the following May each year. In case of redemption, the proportion of the accrued provision corresponding to the number of units redeemed is immediately deducted by the management company. Profit allocation Definition of distributable amounts: The distributable amounts are made up of: The profit: The net income for the financial year is equal to the amount of interest, arrears, dividends, premiums and prizes, director s fees as well as all proceeds generated by the securities held in the portfolio of the Fund, plus income generated by temporary cash holdings, less management fees and borrowing costs. This is increased by any balance carried forward, with the addition or reduction of the income equalisation accounts. Appreciation and depreciation: The appreciation, net of costs, less the depreciation produced, net of costs, as seen over the course of the financial year, plus the net appreciation of a similar nature noted over the course of the previous financial years not subject to distribution or capitalisation and reduced or increased by the balance of the appreciation equalisation account. 37

38 Methods for allocating the distributable amounts: Distributable amounts Allocation of net profit Net realised appreciation or depreciation allocation C0, CI Unit Accumulation Accumulation 38

39 2. CHANGE IN NET ASSETS AT 30/09/2013 IN 30/09/ /05/2013 Net assets at the beginning of the financial year Subscriptions (including subscription fees payable to the fund) Redemptions (after deduction of redemption commissions payable to the Fund) Capital gains made on deposits and financial instruments Depreciation produced on deposits and financial instruments Appreciation made on financial futures instruments. Depreciation made on financial futures. Transaction fees Exchange differences Variations in valuation differential for deposits and financial instruments Valuation differential for financial year N Valuation differential for year N-1 Variations in valuation differential for futures Valuation differential for financial year N Valuation differential for year N-1 Distribution for previous year on net appreciation and depreciation Distribution for previous year on profits Net profit for the financial year before equalisation account Advance payment(s) made over the financial year on appreciation and depreciation Advance payment(s) made over the financial year on profits Other items Net assets at the end of the financial year , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , , ,04 AMUNDI DYNARBITRAGE VOLATILITE : ANNUAL ACCOUNTS 30/09/

40 3. ADDITIONAL INFORMATION 3.1. BREAKDOWN BY LEGAL OR ECONOMIC TYPE OF FINANCIAL INSTRUMENT Amount % Assets Bonds and related securities Convertible bonds traded on a regulated or related market TOTAL Bonds and related securities Debt securities Treasury Certificates Deposit certificates TOTAL Debt securities , , , , ,78 1,75 1,75 6,01 36,85 42,86 Liabilities Sale transactions of financial instruments TOTAL Sale transactions of financial instruments Off-balance sheet Hedging transactions Shares Rate TOTAL Hedging transactions Other transactions Shares Rate TOTAL Other transactions , , , , , ,32 207,89 11,69 219,58 185,30 1,06 186,38 AMUNDI DYNARBITRAGE VOLATILITE : ANNUAL ACCOUNTS 30/09/

41 3.2. BREAKDOWN BY INTEREST-RATE TYPE OF ASSET, LIABILITY AND OFF-BALANCE SHEET ENTRIES Fixed rate % Variable rate % Floating rate % Others % Assets Deposits Bonds and related securities ,85 1,75 Debt securities Temporary transactions on securities ,01 6, , ,33 36,85 7,51 Financial accounts ,31 7,98 Liabilities Temporary transactions on securities Financial accounts Off-balance sheet Hedging transactions ,48 11,69 Other transactions D,88 1, BREAKDOWN BY RESIDUAL MATURITY OF ASSET, LIABILITY AND OFF- BALANCE SHEET ENTRIES <3 months % )3 months 1 year) % )1 3 years) % )3-5 years) % > 5 years % Assets Deposits Bonds and related securities ,27 0, ,47 0, ,11 0,83 Debt securities ,18 24, ,60 18,80 Temporary transactions on securities ,33 7,51 Financial accounts ,31 7,98 Liabilities Temporary transactions on securities Financial accounts Off-balance sheet Hedging transactions ,48 11,69 Other transactions ,88 1,08 Futures positions are presented according to the underlying maturity. 41

42 3.4 BREAKDOWN BY LISTING OR ASSESSMENT CURRENCY OF ASSET, LIABILITY AND OFF-BALANCE SHEET ENTRIES JPY USD CHF Other currencies Amount % Amount % Amount % Amount % Assets Deposits Shares and related securities ,95 0, ,44 1, ,05 0,03 Bonds and related securities ,85 0, ,27 0, ,28 0,15 Debt securities UCI Temporary transactions on securities Debts Financial accounts , ,82 3,93 1, , ,25 2,01 2,86 166, , ,44 0,05 2,24 4, , ,98 0,03 1,26 Liabilities Sale transactions of financial instruments Temporary transactions on securities Debts Financial accounts ,02 9, ,26 9, ,90 3, ,76 1,33 Off-balance sheet Hedging transactions Other transactions , ,88 88,81 90, , ,16 30,69 29, , ,32 3,99 2, ,46 0, DEBTS AND ACCOUNTS RECEIVABLE: BREAKDOWN BY TYPE 30/09/2013 Debts Forward purchase of foreign currency ,61 Funds receivable from forward currency sales ,73 Deferred payment sales ,45 Cash collateral deposits ,72 Total accounts receivable ,51 Debts Forward currency salesx ,09 Funds to be paid on forward-based purchase of foreign currencies ,13 Deferred payment purchases ,22 Management fees ,15 Variable management fees 26,80 Collateral ,29 Other debts 685,73 Total debts ,41 42

43 3.6 SHAREHOLDERS' FUNDS Number of securities issued or redeemed AMUNDI DYNARBITRAGE VOLATILITE I Units subscribed during the financial year Units redeemed during the financial year Net balance of subscriptions/redemptions AMUNDI DYNARBITRAGE VOLATILITE P Units subscribed during the financial year Units redeemed during the financial year Net balance of subscriptions/redemptions In units 8 031, , , , , ,661 By amount , , , , , , Subscription and/or redemption fees AMUNDI DYNARBITRAGE VOLATILITE I By amount Redemption fees received Subscription fees received Total fees received AMUNDI DYNARBITRAGE VOLATILITE P Redemption fees received Subscription fees received Total fees received 3.7 MANAGEMENT FEES AMUNDI DYNARBITRAGE VOLATILITE I 30/09/2013 Guarantee commissions Fixed management fees ,50 Percentage of fixed management fees 0,60 Variable management fees 26,80 Management fee retrocessions AMUNDI DYNARBITRAGE VOLATILITE P Guarantee commissions Fixed management fees ,85 Percentage of fixed management fees 1,00 Variable management fees Management fee retrocessions 43

44 3.8 COMMITMENTS MADE AND RECEIVED Guarantees received by the UCITS: Nil Other commitments received and/or made: Nil 44

45 3.9. OTHER INFORMATION Current value of securities subject to temporary purchase 1 Securities taken under repurchase agreement Borrowed securities 30/09/ , Current value of securities used as pledges 30/09/2013 Financial instruments pledged and held in their original entry ,01 [ Financial instruments received as a pledge and not entered on the balance sheet Group financial instruments held in the portfolio Isin code Denomination 30/09/2013 Shares ,06 FR SOCIETE GENERALE A ,06 Bonds Transferable debt securities ,57 ITCN CREDIT AGRICOLE SA OIS ,69 ITCN SG -SOCIETE GENERALE OIS ,88 UCITS ,29 FR AMUNDI TRESO EONIA ISR I ,35 Futures FR LYXOR DJ O STOXX ,94 45

46 3.10. DISTRIBUTABLE AMOUNTS ALLOCATION TABLE Table for the allocation of the share in the distributable amounts relating to the profit 30/09/ /05/2013 Sums still to allocate Balance carried forward Profit Total , , , ,84 30/09/ /05/2013 AMUNDI DYNARBITRAGE VOLATILITE I Allocation Distribution Balance carried forward for the financial year Accumulation , ,63 Total , ,63 AMUNDI DYNARBITRAGE VOLATILITE P 30/09/ /05/2013 Allocation Distribution Balance carried forward for the financial year Accumulation Total 3 553, , , ,79 Table for the allocation of the share in the distributable amounts relating to net appreciation and depreciation 30/09/ /05/2013 Sums still to allocate Previous net appreciation and depreciation not distributed Net appreciation and depreciation for the financial year ,53 Advance payments made on net appreciation and depreciation in the financial year Total ,53 30/09/ /05/2013 AMUNDI DYNARBITRAGE VOLATILITE I Allocation Distribution Net appreciation and depreciation not distributed Accumulation Total , ,43 46

47 30/09/ /05/2013 AMUNDI DYNARBITRAGE VOLATILITE P Allocation Distribution Net appreciation and depreciation not distributed Accumulation Total , ,10 47

48 3.11. INCOME TABLE AND OTHER CHARACTERISTIC FEATURES OF THE VEHICLE OVER PAST FIVE FINANCIAL YEARS 31/05/ /05/ /05/ /05/ /09/2013 Overall net assets in , , , , ,86 AMUNDI DYNARBITRAGE VOLATILITE I Net assets in Number of securities Unit net asset value in , , , , , , , , , , , , , , ,22 Unit capitalisation on appreciation and -113,04 depreciation net in Unit accumulation in on the profits 6,33 21,57 45,39 12,50 10,82 AMUNDI DYNARBITRAGE VOLATILITE P Net assets in Number of securities Unit net asset value in Unit capitalisation on appreciation and depreciation net in , , ,05-0, , , ,41-0, , , ,55 0, , , ,66-0, , , ,13-2,20 0,05 48

49 3.12. ASSET INVENTORY Name of security Currency No. or nomina qty Current value % Net Assets Equities and similar securities Equities and related securities traded on a regulated market or related market GERMANY ADIDAS NOM. BASF SE BMW BAYERISCHE MOTOREN WERKE DAIMLERCHRYSLER DEUTSCHE POST AG NAMEN SAPAG GERMANY TOTAL , , , , , , ,46 0,69 0,75 0,09 0,03 2,69 0,54 4,79 CANADA GOLDCORP INC CANADA TOTAL CAD , ,76 0,02 0,02 UNITED STATES OF AMERICA CATERPILLAR INC UNITED STATES OF AMERICA TOTAL USD , ,95 0,85 0,85 FRANCE ALSTOM AXA BNP PARIBAS CAP GEMINI CARREFOUR ESSILOR INTERNATIONAL LAFARGE L'OREAL LVMH (LOUIS VUITTON- MOET HENNESSY) ORANGE PERNOD RICARD RENAULT SA SAINT-GOBAIN SCHNEIDER ELECTRIC SA SOCIETE GENERALE A TOTAL VINCI (EX SGE) TOTAL FRANCE , , , , , , , , , , , , , , , ,04 0,56 0,07 0,66 2,02 0,24 1,86 0,18 0,47 1,42 1,37 0,42 1,31 0,88 0,76 0,12 12,34 NETHERLANDS OPEAN AERONAUTIC DEFENSE AND SPACE COMPANY EADS HEINEKEN lng GROEP , , ,85 0,11 0,14 0,67 49

50 Name of security Currency No. or nomina qty Current value % Net Assets ROYAL DUTCH SHELL A ,44 ROYAL PHILIPS ,18 0,10 NETHERLANDS TOTAL ,73 1,02 SWEDEN HENNES & MAURITZ SER'B SEK ,29 0,01 SWEDEN TOTAL 7 768,29 0,01 SWITZERLAND NOVARTIS AG NOMINATIF CHF ,49 0,45 UBS NAMEN CHF ,95 0,95 SWITZERLAND TOTAL ,44 1,40 TOTAL Equities & rel. secs. traded on regul. or rel ,67 20,43 mkts. TOTAL equities and related securities ,67 20,43 Bonds and related securities Equities and related securities traded on a regulated market or related market BELGIUM SAGERPAR 0.375% 10/18 CV ,53 SOFINA SA CV 19/09/2016 USD ,27 0,57 BELGIUM TOTAL ,27 1,10 FRANCE RALLYE 1% 02/10/ ,11 0,31 TOTAL FRANCE ,11 0,31 JAPAN SUMITOMO FORESTY 0%08/18 CV JPY ,85 0,11 TOTAL JAPAN ,85 0,11 NETHERLANDS AMOENE 3.375% 06/03/ ,34 0,08 NETHERLANDS TOTAL ,34 0,08 SWITZERLAND SCHINDLER HOLDING SA 0.375% 05/06/17 CHF ,28 0,15 SWITZERLAND TOTAL ,28 0,15 TOTAL Bonds & similar securities traded on a ,85 1,75 regulated or related market ,85 1,75 TOTAL Bonds & similar securities Debt securities Debt securities traded on a regulated market or related market FRANCE BFCM OIS BPCE SA OIS 0.14% 13/11/13 CREDIT AGRICOLE SA OIS , , , ,87 9,02 9,02 6,02 3,76 50

51 Name of security Currency No. or nomin qty Current value % Net Assets SG -SOCIETE GENERALE OIS ,88 9,02 TOTAL FRANCE ,77 36,84 TOTAL Debt secs traded on regul. or rel. mkts ,77 36,84 TOTAL Debt securities ,77 36,84 Undertakings for collective investment French general UCITS FRANCE AMUNDI TRESO EONIA ISR I TOTAL FRANCE 24, , ,35 4,03 4,03 TOTAL French general UCITS ,35 4,03 TOTAL Undertakings for Collective Investment Deposit securities established ,35 4,03 Debt securities traded on a regulated market or related market FRANCE 0% 17/10/2013 TOTAL Debt secs traded on regul. or rel. mkts TOTAL Securities put in deposit Securities pledged French general UCITS LYXOR DJ O STOXX 50 TOTAL French general UCITS , , , ,94 6,01 6,01 6,01 1,85 TOTAL Securities pledged ,94 1,85 Securities received under repurchase agreements ,94 1,85 ITALY ITALIE El2.15% ITALY TOTAL ,50 7,51 TOTAL Securities received under repurchase agreement ,50 7,51 Payments on securities received under repurchase agreement ,50 7,51 Debts representing securities lent 596,83 GERMANY BASF SE GERMANY TOTAL ,60 0,15 FRANCE ,60 0,15 AXA PERNOD RICARD ,50 1,66 TOTAL FRANCE ,43 0,58 NETHERLANDS ,93 2,24 HEINEKEN NETHERLANDS TOTAL ,34 1,46 TOTAL Debts representing lent securities ,34 1, ,87 3,85 51

52 Name of security Currency No. or nomina qty Current value % Net Assets Proceeds from lent securities 616,86 Debts representing securities pledged Futures ,94-1,85 Futures liabilities Futures liabilities on regulated markets CME S&P500 MINI1213 EX DAX SOFFEX SMI 1213 EX OSTX 1213 NYF NYF MN RUSS 1213 SGX NIK TOTAL Futures liabilities on a regulated market USD CHF USD JPY , , , , , ,19 0,12-0,01 0,01 0,11-0,10 0,22 TOTAL Futures liabilities ,77 0,35 Conditional futures Option liabilities on regulated or related markets ,77 0,35 ADIDAS NOM. 12/2013 CALL 80. ADIDAS NOM. 12/2013 PUT 80. ALSTOM 12/2013 CALL 28. ALSTOM 12/2013 CALL 32. ALSTOM 12/2013 PUT 25. ALSTOM 12/2013 PUT 26. AXA 03/2014 CALL 16. AXA 03/2014 CALL 18. AXA 10/2013 CALL 18. AXA 12/2013 CALL 17. AXA 12/2013 CALL 18. AXA 12/2013 CALL 19. AXA 12/2013 PUT 15. AXA 12/2013 PUT 16. BARRICK GOLD NPV 01/2014 CALL 35. BARRICK GOLD NPV 01/2014 CALL 45. BASF SE 10/2013 CALL 76. BASF SE 10/2013 CALL 80. BASF SE 10/2013 PUT 60. BASF SE 10/2013 PUT 66. BASF SE 12/2013 CALL 76. BASF SE 12/2013 PUT 60. BMW 12/2013 CALL 84. BMW 12/2013 PUT 64. BMW 12/2013 PUT 68. USD USD , , , , ,03 0,03 0,02 0,03 0,03-0,10-0,05 0,01-0,04-0,04-0,01-0,01-0,03-0,06-0,02 0,02 0, ,00 0,01 52

53 Name of security Currency No. or nominal qty Current value % Net assets BMW 12/2013 PUT ,01 CAP GEMINI 03/2014 CALL ,00 0,09 CAP GEMINI 03/2014 PUT ,00 0,09 CAP GEMINI12/2013 CALL ,04 CAP GEMINI12/2013 PUT ,00 0,02 CARREFOUR 12/2013 CALL ,00-0,47 CARREFOUR 12/2013 CALL ,00 0,08 CARREFOUR 12/2013 PUT ,30-0,01 CARREFOUR 12/2013 PUT ,00-0,05 CATERPILLAR INC 01/2014 PUT 85. USD ,01 0,10 CBOT US TRES NT 10A 11/2013 CALL 128. USD ,66-0,03 CBOT US TRES NT 10A 11/2013 PUT 120. USD ,01-0,01 CBOT US TRES NT 10A 11/2013 PUT USD ,50-0,01 CIE FIN.RICHEMONT 03/2014 PUT 82. CHF ,84-0,04 CIE FIN.RICHEMONT 03/2014 PUT 92. CHF ,96 0,05 DAIMLERCHRYSLER 12/2013 PUT ,01 DAIMLERCHRYSLER 12/2013 PUT DAX Xetra 06/2014 PUT ,00 0,18 DEUTSCHE POST NAMEN 12/2013 CALL ,33 DEUTSCHE POST NAMEN 12/2013 CALL ,00-0,79 DEUTSCHE POST NAMEN 12/2013 PUT DJ O STOXX 50 06/2014 CALL ,59 DJ O STOXX 50 06/2014 PUT ,00-0,69 DJ O STOXX 50 12/2013 CALL ,80 DJ O STOXX 50 12/2013 CALL ,00 4,18 DJ O STOXX 50 12/2013 CALL ,00-0,21 DJ O STOXX 50 12/2013 CALL ,00-0,18 DJ O STOXX 50 12/2013 PUT ,00-0,04 DJ O STOXX 50 12/2013 PUT ,14 DJ O STOXX 50 12/2013 PUT ,00 0,37 DJ O STOXX 50 12/2013 PUT ,00 0,26 EADS 03/2014 PUT ,08 EADS 12/2013 CALL ,14 EADS 12/2013 PUT EADS 12/2013 PUT ,01 EADS 12/2013 PUT ,01 ESSILOR INTL 03/2014 CALL ,03 ESSILOR INTL 03/2014 PUT ,06 EX O BUND 10/2013 CALL ,03 53

54 Name of security Currency No. or nominal qty Current value % Net Assets EX O BUND 10/2013 CALL ,01 EX O BUND 11/2013 CALL ,01 GOLDCORP INC 01/2014 CALL 40. USD ,69 GOLDCORP INC 01/2014 CALL 50. USD ,93 HEINEKEN 12/2013 CALL ,05 HEINEKEN 12/2013 CALL ,02 HEINEKEN 12/2013 CALL HEINEKEN 12/2013 PUT ,02 HENNES & MAURITZ B 12/2013 PUT 210. SEK ,42 INDITEX SA 12/2013 PUT ,01 lng GROEP 03/2014 PUT ,08 lng GROEP 12/2013 CALL ,04 lng GROEP 12/2013 PUT ,06 lng GROEP 12/2013 PUT ,03 LAFARGE 10/2013 CALL ,02 LAFARGE 10/2013 PUT LAFARGE 12/2013 CALL ,00-0,23 LAFARGE 12/2013 CALL ,04 LAFARGE 12/2013 PUT ,01 LAFARGE 12/2013 PUT ,03 L'OREAL 10/2013 PUT ,01 L'OREAL 12/2013 CALL ,00-0,02 L'OREAL 12/2013 PUT L'OREAL 12/2013 PUT ,01 L'OREAL 12/2013 PUT ,07 LVMH 12/2013 CALL ,00-0,06 LVMH 12/2013 PUT ,01 NEWMONT MINING 01/2014 CALL 45. USD ,75 NEWMONT MINING 01/2014 CALL 55. USD ,29 NIKKEY 225 SIMEX 10/2013 PUT JPY ,79-0,01 NIKKEY 225 SIMEX 12/2013 CALL JPY ,77 5,56 NIKKEY 225 SIMEX 12/2013 CALL JPY ,79-9,32 NIKKEY 225 SIMEX 12/2013 CALL JPY ,45-5,22 NIKKEY 225 SIMEX 12/2013 CALL JPY ,01 1,77 NIKKEY 225 SIMEX 12/2013 CALL JPY ,09-0,19 NIKKEY 225 SIMEX 12/2013 CALL 9000 JPY ,00 12,45 NIKKEY 225 SIMEX 12/2013 PUT JPY ,42-0,05 NIKKEY 225 SIMEX 12/2013 PUT JPY ,18 0,10 NIKKEY 225 SIMEX 12/2013 PUT JPY ,79-0,05 AMUNDI DYNARBITRAGE VOLATILITE : ANNUAL ACCOUNTS 30/09/

55 Name of security Currency No. or nominal qty Current value % Net Assets NIKKEY 225 SIMEX 12/2013 PUT JPY ,41-0,13 NIKKEY 225 SIMEX 12/2013 PUT 9000 JPY ,70-0,01 NIKKEY 225 SIMEX 12/2014 CALL JPY ,46-0,24 NIKKEY 225 SIMEX 12/2014 PUT JPY ,33 0,76 NOVARTIS AG NOMI12/2013 CALL 70. CHF ,17-0,02 NOVARTIS AG NOMI12/2013 PUT 64. CHF ,71-0,01 NOVARTIS AG NOMI12/2013 PUT 70. CHF ,85 0,02 ORANGE 12/2013 CALL ,00-0,07 ORANGE 12/2013 PUT ,01 ORANGE 12/2013 PUT ,02 PERNOD-RICARD 12/2013 CALL ,01 PERNOD-RICARD 12/2013 CALL PERNOD-RICARD 12/2013 PUT ,21 RENAULT SA 10/2013 CALL ,03 RENAULT SA 12/2013 CALL ,10 RENAULT SA 12/2013 CALL ,00-0,13 RENAULT SA 12/2013 PUT ,04 ROYAL PHILIPS 03/2014 CALL ,03 ROYAL PHILIPS 03/2014 PUT ,05 ROYAL PHILIPS 10/2013 PUT ROYAL PHILIPS 10/2013 PUT ROYAL PHILIPS 12/2013 CALL ,02 ROYAL PHILIPS 12/2013 PUT ,02 RUSSELL 2000 INDEX 12/2013 CALL 1050 USD ,89 0,28 RUSSELL 2000 INDEX 12/2013 PUT 900. USD ,40-0,03 RUSSELL 2000 INDEX 12/2013 PUT 950. USD ,04-0,05 SAINT-GOBAIN 12/2013 CALL ,09 SAP AG 10/2013 PUT ,02 SCHNEIDER ELECT SA 12/2013 CALL ,09 SCHNEIDER ELECT SA 12/2013 CALL ,03 SCHNEIDER ELECT SA 12/2013 CALL ,03 SOCIETE GENERALE A 12/2013 CALL ,28 SOCIETE GENERALE A 12/2013 CALL ,35 SOCIETE GENERALE A 12/2013 PUT ,02 SOCIETE GENERALE A 12/2013 PUT ,05 S&P 500 INDEX 12/2013 CALL 1550 USD ,59 1,88 S&P 500 INDEX 12/2013 PUT 1550 USD ,30-0,22 S&P 500 INDEX 12/2013 PUT 1700 USD ,05 0,79 SWISS MARKET INDEX 06/2014 PUT 7000 CHF ,63-0,12 55

56 Name of security Currency No. or nomina qty Current value % Net Assets TOTAL PUT TOTAL PUT ,01 TOTAL 11/2013 CALL ,03 TOTAL PUT ,01 UBS NAMEN 03/2014 CALL 18. CHF ,84-0,20 UBS NAMEN 03/2014 PUT 17. CHF ,77-0,09 VINCI (EX SGE) PUT VINCI (EX SGE) 11/2013 PUT VINCI (EX SGE) 12/2013 CALL ,04 VINCI (EX SGE) CALL ,01 VINCI (EX SGE) PUT 40. TOTAL Option liabilities on markets TOTAL Option liabilities TOTAL Futures , ,73-0,02 9,95 9,95 Margin call ,50 10,30 C.A. Indo margin calls in USD C.A. Indo margin calls in CHF C.A. Indo USD , ,46-0,03 margin calls in C.A. Indo CHF ,42-0,01 margin calls in YEN , ,70-0,06 TOTAL margin calls JPY ,18-0,21 Debts ,76-0,31 Debts ,51 29,51 Financial accounts ,41-27,90 Net assets ,31 7, ,86 10 AMUNDI DYNARBITRAGE VOLATILITE I , ,22 AMUNDI DYNARBITRAGE VOLATILITE P , ,13 56

57 Amundi French public limited company (société anonyme) with capital of 584,710,755. Portfolio Management Company authorised by the AMF under number GP Registered office: 90, boulevard Pasteur Paris - France Paris Trade Register A company owned by Crédit Agricole/Société Générale