KEY INVESTOR INFORMATION This document provides you with key investor information about this Fund. It is not marketing material. The information is required by law to help you understand the nature and the risks of investing in this Fund. You are advised to read it so you can make an informed decision about whether to invest. advised to read it so you can make an informed decision about whether to invest., F UNITS (ISIN : FR0010605816 ) This Fund is UCITS managed by RIVOLI FUND MANAGEMENT Objectives and Investment Policy Key features of the UCITS : Other information : This Fund aims to achieve capital growth regardless of market conditions using quantitative investments techniques. The Fund targets absolute returns, which means that, according to the risk profile described in this prospectus, it will try to outperform the daily capitalized EONIA. The EONIA (Euro Overnight Index Average) index corresponds to the average overnight interest rates between banks in the euro zone. The Fund focuses on investing in the equity, bond, commodity index and currency markets. The portfolio's weightings are based on the outlook of the various markets concerned. The main selection criterion is the liquidity of the financial instruments. Although the Fund's exposure is likely to be concentrated on a single asset class, this exposure will only be temporary and occur on a limited number of occasions. Subscription and redemption requests are accepted before 12.00pm each day by the institution responsible for managing the Fund s liabilities and are executed on the basis of that day's (D) net asset value, published on the following business day (D+1). For subscriptions and redemptions via Euroclear France, delivery-versus-payment takes place on D+1 and via Cedel, Clearstream and Euroclear Banque on D+2. Risk and Reward Profile Lower risk Typically lower reward Higher risk Typically higher rewards 1 2 3 4 5 6 7 This synthetic risk and reward indicator is computed using a volatility that is consistent with the risk limit adopted by the UCITS. The risk limit adopted by the Fund is calculated using the probabilistic method (Value at Risk calculation) to calculate exposure to forward financial instruments. The Fund's Value at Risk (VaR) over a period of one month with a probability of 99% may not exceed 20%. This means that for a probability of 99%, the loss recorded over one month by a subscriber may not exceed 20%. Subscribers should note that this limit does not constitute a guarantee - it is merely an objective expressed in terms of probability. Historical data used to calculate this indicator may not be reliable indication for the future risk profile of the UCITS. Risk category shown is not guaranteed and may shift over time. The lowest category does not mean «risk free». The Fund s capital is not guaranteed. The Fund may invest in financial futures traded on French or foreign exchanges, or in forward financial instruments traded over-the-counter, according to the applicable laws, and within the limits described in risk profile provisions of this document. The Fund may enter into swap transactions and OTC transactions (CAP FLOOR, etc.). A maximum 10% of the Fund's assets will be invested in French or European UCITS and other investment Funds. This Fund may not be suitable for investors planning to withdraw their investment within three years. This Fund is an accumulation Fund. Risk materially relevant to the Fund but not adequately captured by the indicator : Market risk : the investment process is essentially based on a statistical and quantitative analysis used to systematically generate buy and sell signals. The quality of the signals is assessed using simulations undertaken on historical data. Under no circumstances this is a guarantee of the Fund's future performance. The Fund is a French Mutual Fund using derivatives products. Therefore, it bears the risks associated with these instruments, notably through volatility. The Fund also aims to generate performance by forecasting movements in certain markets in relation to others. The financial market movements may not correspond to the forecasts generated. Credit risk : The Fund is subject to a risk of default or of a downgrading of the issuers of financial instruments held in the portfolio, which could have a negative impact on the value of these instruments. This could lead to a corresponding fall in the Fund's net asset value. Counterparty risk : the counterparty risk is limited. The Fund may invest on international sovereign bond markets. In case of sovereign bonds, the counterparty risk does exist, but is very limited. Positions are also taken on futures markets. These markets are organized markets, in which the counterparty is a clearing house. The Fund may be exposed to counterparty risk due to the use of forward financial instruments or swaps concluded with a credit institution. The Fund would therefore be exposed to the risk that this institution may not honour its commitments under these instruments.
Charges for this Fund The charges you pay are used to pay the costs of running the Fund, including the costs of marketing and distributing it. These charges reduce the potential growth of your investment. One-off charges taken before or after you invest Entry charges 0,00% Exit charges 0,00% This is the maximum that might be taken ou of your money, before it is invested, and/or before the proceeds of your investment are paid out. Charges taken from the Fund over a year Ongoing charges Charges taken from the fund under certain specific conditions 0,30% Performance fee : Maximum 10% of the Fund's outperformance of the capitalized EONIA, deducted and calculated on an annual basis according to the High Water Mark principle. A provision for these fees is booked daily. In the event of a negative performance the provision is reduced accordingly. At the end of previous year, performances fees were 0.00% of average assets. The entry and exit charges shown are maximum figures. In some cases you might pay less. You can find this out from your financial adviser. The ongoing charges figure is based on expenses for the year ending, and can vary from year to year. It covers all the costs invoiced directly to the Fund. It excludes: transaction fees. Transaction fees include intermediation costs (brokerage fees, stock exchange taxes, etc.) and an activity charge, where applicable, which may charged by the custodian and management company in particular. performance fees portfolio transaction costs, except in the case of an entry/exit charge paid by the UCITS when buying or selling units in another collective investment undertaking. For more information concerning fees, charges and performances fee calculation methods, please refer to the prospectus, available on our website www.rivolifund.com Past performances 15% 13% 13,91% Past performance is not a reliable indicator of the future results. Performance may vary over time 11% 9% These performances are computed after deducting all charges paid by the Fund. 7% 6,21% 7,58% 5,84% 6,36% 7,50% Date of incorporation of the Fund: April 10th, 2008 5% 3% 4,00% 3,71% Performance shown are calculated in Euro. 1% 1,07% 0,72% 0,44% 0,88% 0,23% 0,09% 0,09% -1 % -0,11% -0,32% 2008 2009 2010 2011 2012 2013 2014 2015 2016 RICAP F EONIA Practical Information Minimum subscription : 1 unit Custodian, Institution responsible for the Fund s liabilities management and for centralising subscription/redemption orders : CACEIS Bank France Administrative and accounting agent : CACEIS Bank. Additional documents such as prospectus, annual reports, monthly reports can be sent free of charge upon written request to Rivoli Fund Management, 82 avenue Marceau 75008 Paris. Some of them are readily accessible on website www.rivolifund.com. Other information such as NAV are available during French office hours by phoning +33 (1) 56 88 24 40 or on website www.rivolifund.com. Depending on your tax status, any capital gains or income resulting from the ownership of the UCITS may be subject to tax. We advise you to obtain further information in this regard from the adviser of the UCITS or from your tax advisor. Rivoli Fund Management may be held liable solely on the basis of any statement contained in this document that is misleading, inaccurate or inconsistent with the relevant parts of the prospectus for the Fund. This Fund is authorized in France and regulated by the A.M.F.. This key investor information is accurate as of June, 15 th 2017
KEY INVESTOR INFORMATION This document provides you with key investor information about this Fund. It is not marketing material. The information is required by law to help you understand the nature and the risks of investing in this Fund. You are advised to read it so you can make an informed decision about whether to invest. advised to read it so you can make an informed decision about whether to invest., I UNITS (ISIN : FR0010605808 ) This Fund is UCITS managed by RIVOLI FUND MANAGEMENT Objectives and Investment Policy Key features of the UCITS : Other information : This Fund aims to achieve capital growth regardless of market conditions using quantitative investments techniques. The Fund targets absolute returns, which means that, according to the risk profile described in this prospectus, it will try to outperform the daily capitalized EONIA. The EONIA (Euro Overnight Index Average) index corresponds to the average overnight interest rates between banks in the euro zone. The Fund focuses on investing in the equity, bond, commodity index and currency markets. The portfolio's weightings are based on the outlook of the various markets concerned. The main selection criterion is the liquidity of the financial instruments. Although the Fund's exposure is likely to be concentrated on a single asset class, this exposure will only be temporary and occur on a limited number of occasions. Subscription and redemption requests are accepted before 12.00pm each day by the institution responsible for managing the Fund s liabilities and are executed on the basis of that day's (D) net asset value, published on the following business day (D+1). For subscriptions and redemptions via Euroclear France, delivery-versus-payment takes place on D+1 and via Cedel, Clearstream and Euroclear Banque on D+2. Risk and Reward Profile Lower risk Typically lower reward Higher risk Typically higher rewards 1 2 3 4 5 6 7 This synthetic risk and reward indicator is computed using a volatility that is consistent with the risk limit adopted by the UCITS. The risk limit adopted by the Fund is calculated using the probabilistic method (Value at Risk calculation) to calculate exposure to forward financial instruments. The Fund's Value at Risk (VaR) over a period of one month with a probability of 99% may not exceed 20%. This means that for a probability of 99%, the loss recorded over one month by a subscriber may not exceed 20%. Subscribers should note that this limit does not constitute a guarantee - it is merely an objective expressed in terms of probability. Historical data used to calculate this indicator may not be reliable indication for the future risk profile of the UCITS. Risk category shown is not guaranteed and may shift over time. The lowest category does not mean «risk free». The Fund s capital is not guaranteed. The Fund may invest in financial futures traded on French or foreign exchanges, or in forward financial instruments traded over-the-counter, according to the applicable laws, and within the limits described in risk profile provisions of this document. The Fund may enter into swap transactions and OTC transactions (CAP FLOOR, etc.). A maximum 10% of the Fund's assets will be invested in French or European UCITS and other investment Funds. This Fund may not be suitable for investors planning to withdraw their investment within three years. This Fund is an accumulation Fund. Risk materially relevant to the Fund but not adequately captured by the indicator : Market risk : the investment process is essentially based on a statistical and quantitative analysis used to systematically generate buy and sell signals. The quality of the signals is assessed using simulations undertaken on historical data. Under no circumstances this is a guarantee of the Fund's future performance. The Fund is a French Mutual Fund using derivatives products. Therefore, it bears the risks associated with these instruments, notably through volatility. The Fund also aims to generate performance by forecasting movements in certain markets in relation to others. The financial market movements may not correspond to the forecasts generated. Credit risk : The Fund is subject to a risk of default or of a downgrading of the issuers of financial instruments held in the portfolio, which could have a negative impact on the value of these instruments. This could lead to a corresponding fall in the Fund's net asset value. Counterparty risk : the counterparty risk is limited. The Fund may invest on international sovereign bond markets. In case of sovereign bonds, the counterparty risk does exist, but is very limited. Positions are also taken on futures markets. These markets are organized markets, in which the counterparty is a clearing house. The Fund may be exposed to counterparty risk due to the use of forward financial instruments or swaps concluded with a credit institution. The Fund would therefore be exposed to the risk that this institution may not honour its commitments under these instruments.
Charges for this Fund The charges you pay are used to pay the costs of running the Fund, including the costs of marketing and distributing it. These charges reduce the potential growth of your investment. One-off charges taken before or after you invest Entry charges 0,00% Exit charges 0,00% This is the maximum that might be taken ou of your money, before it is invested, and/or before the proceeds of your investment are paid out. Charges taken from the Fund over a year Ongoing charges Charges taken from the fund under certain specific conditions 1,00% Performance fee : Maximum 10% of the Fund's outperformance of the capitalized EONIA, deducted and calculated on an annual basis according to the High Water Mark principle. A provision for these fees is booked daily. In the event of a negative performance the provision is reduced accordingly. At the end of previous year, performances fees were 0.00% of average assets. The entry and exit charges shown are maximum figures. In some cases you might pay less. You can find this out from your financial adviser. The ongoing charges figure is based on expenses for the year ending, and can vary from year to year. It covers all the costs invoiced directly to the Fund. It excludes: transaction fees. Transaction fees include intermediation costs (brokerage fees, stock exchange taxes, etc.) and an activity charge, where applicable, which may charged by the custodian and management company in particular. performance fees portfolio transaction costs, except in the case of an entry/exit charge paid by the UCITS when buying or selling units in another collective investment undertaking. For more information concerning fees, charges and performances fee calculation methods, please refer to the prospectus, available on our website www.rivolifund.com Past performances 15% 13% 11% 9% 13,00% Past performance is not a reliable indicator of the future results. Performance may vary over time These performances are computed after deducting all charges paid by the Fund. 7% 5% 3% 5,84% 4,00% 6,60% 3,06% 5,15% 5,62% 6,74% Date of incorporation of the Fund: April 10 th, 2008 Performance shown are calculated in Euro. 1% 0,72% 0,28% 0,44% 0,88% 0,23% 0,09% 0,09% -1 % -0,11% -0,32% 2008 2009 2010 2011 2012 2013 2014 2015 2016 RICAP I EONIA Practical Information Minimum subscription : 500.000,00 Euros Custodian, Institution responsible for the Fund s liabilities management and for centralising subscription/redemption orders : CACEIS Bank France Administrative and accounting agent : CACEIS Bank.. Additional documents such as prospectus, annual reports, monthly reports can be sent free of charge upon written request to Rivoli Fund Management, 82 avenue Marceau 75008 Paris. Some of them are readily accessible on website www.rivolifund.com. Other information such as NAV are available during French office hours by phoning +33 (1) 56 88 24 40 or on website www.rivolifund.com. Depending on your tax status, any capital gains or income resulting from the ownership of the UCITS may be subject to tax. We advise you to obtain further information in this regard from the adviser of the UCITS or from your tax advisor. Rivoli Fund Management may be held liable solely on the basis of any statement contained in this document that is misleading, inaccurate or inconsistent with the relevant parts of the prospectus for the Fund. This Fund is authorized in France and regulated by the A.M.F. This key investor information is accurate as of June 15 h 2017
KEY INVESTOR INFORMATION This document provides you with key investor information about this Fund. It is not marketing material. The information is required by law to help you understand the nature and the risks of investing in this Fund. You are advised to read it so you can make an informed decision about whether to invest. advised to read it so you can make an informed decision about whether to invest., P UNITS (ISIN : FR0010568709 ) This Fund is UCITS managed by RIVOLI FUND MANAGEMENT Objectives and Investment Policy Key features of the UCITS : Other information : This Fund aims to achieve capital growth regardless of market conditions using quantitative investments techniques. The Fund targets absolute returns, which means that, according to the risk profile described in this prospectus, it will try to outperform the daily capitalized EONIA. The EONIA (Euro Overnight Index Average) index corresponds to the average overnight interest rates between banks in the euro zone. The Fund focuses on investing in the equity, bond, commodity index and currency markets. The portfolio's weightings are based on the outlook of the various markets concerned. The main selection criterion is the liquidity of the financial instruments. Although the Fund's exposure is likely to be concentrated on a single asset class, this exposure will only be temporary and occur on a limited number of occasions. Subscription and redemption requests are accepted before 12.00pm each day by the institution responsible for managing the Fund s liabilities and are executed on the basis of that day's (D) net asset value, published on the following business day (D+1). For subscriptions and redemptions via Euroclear France, delivery-versus-payment takes place on D+1 and via Cedel, Clearstream and Euroclear Banque on D+2. Risk and Reward Profile Lower risk Typically lower reward Higher risk Typically higher rewards 1 2 3 4 5 6 7 This synthetic risk and reward indicator is computed using a volatility that is consistent with the risk limit adopted by the UCITS. The risk limit adopted by the Fund is calculated using the probabilistic method (Value at Risk calculation) to calculate exposure to forward financial instruments. The Fund's Value at Risk (VaR) over a period of one month with a probability of 99% may not exceed 20%. This means that for a probability of 99%, the loss recorded over one month by a subscriber may not exceed 20%. Subscribers should note that this limit does not constitute a guarantee - it is merely an objective expressed in terms of probability. Historical data used to calculate this indicator may not be reliable indication for the future risk profile of the UCITS. Risk category shown is not guaranteed and may shift over time. The lowest category does not mean «risk free». The Fund s capital is not guaranteed. The Fund may invest in financial futures traded on French or foreign exchanges, or in forward financial instruments traded over-the-counter, according to the applicable laws, and within the limits described in risk profile provisions of this document. The Fund may enter into swap transactions and OTC transactions (CAP FLOOR, etc.). A maximum 10% of the Fund's assets will be invested in French or European UCITS and other investment Funds. This Fund may not be suitable for investors planning to withdraw their investment within three years. This Fund is an accumulation Fund. Risk materially relevant to the Fund but not adequately captured by the indicator : Market risk : the investment process is essentially based on a statistical and quantitative analysis used to systematically generate buy and sell signals. The quality of the signals is assessed using simulations undertaken on historical data. Under no circumstances this is a guarantee of the Fund's future performance. The Fund is a French Mutual Fund using derivatives products. Therefore, it bears the risks associated with these instruments, notably through volatility. The Fund also aims to generate performance by forecasting movements in certain markets in relation to others. The financial market movements may not correspond to the forecasts generated. Credit risk : The Fund is subject to a risk of default or of a downgrading of the issuers of financial instruments held in the portfolio, which could have a negative impact on the value of these instruments. This could lead to a corresponding fall in the Fund's net asset value. Counterparty risk : the counterparty risk is limited. The Fund may invest on international sovereign bond markets. In case of sovereign bonds, the counterparty risk does exist, but is very limited. Positions are also taken on futures markets. These markets are organized markets, in which the counterparty is a clearing house. The Fund may be exposed to counterparty risk due to the use of forward financial instruments or swaps concluded with a credit institution. The Fund would therefore be exposed to the risk that this institution may not honour its commitments under these instruments.
Charges for this Fund The charges you pay are used to pay the costs of running the Fund, including the costs of marketing and distributing it. These charges reduce the potential growth of your investment. One-off charges taken before or after you invest Entry charges 3,00% Exit charges 3,00% This is the maximum that might be taken ou of your money, before it is invested, and/or before the proceeds of your investment are paid out. Charges taken from the Fund over a year Ongoing charges Charges taken from the fund under certain specific conditions 2,25% Performance fee : Maximum 10% of the Fund's outperformance of the capitalized EONIA, deducted and calculated on an annual basis according to the High Water Mark principle. A provision for these fees is booked daily. In the event of a negative performance the provision is reduced accordingly. At the end of previous year, performances fees were 0.00% of average assets. The entry and exit charges shown are maximum figures. In some cases you might pay less. You can find this out from your financial adviser. The ongoing charges figure is based on expenses for the year ending, and can vary from year to year. It covers all the costs invoiced directly to the Fund. It excludes: transaction fees. Transaction fees include intermediation costs (brokerage fees, stock exchange taxes, etc.) and an activity charge, where applicable, which may charged by the custodian and management company in particular. performance fees portfolio transaction costs, except in the case of an entry/exit charge paid by the UCITS when buying or selling units in another collective investment undertaking. For more information concerning fees, charges and performances fee calculation methods, please refer to the prospectus, available on our website www.rivolifund.com Past performances 15% 10% 5% 0% -5% -10% 5,3% 4,0% 5,5% 0,7% 0,4% 1,7% 0,9% -1,0% 11,7% 3,8% 4,3% 0,2% 0,1% 0,1% 5,4% -0,1% -0,3% Past performance is not a reliable indicator of the future results. Performance may vary over time These performances are computed after deducting all charges paid by the Fund. Date of incorporation of the Fund: April 10th, 2008 Performance shown are calculated in Euro. -15% -14,0% -20% 2008 2009 2010 2011 2012 2013 2014 2015 2016 RICAP P EONIA Practical Information Minimum subscription : 1 unit Custodian, Institution responsible for the Fund s liabilities management and for centralising subscription/redemption orders : CACEIS Bank France Administrative and accounting agent : CACEIS Bank.. Additional documents such as prospectus, annual reports, monthly reports can be sent free of charge upon written request to Rivoli Fund Management, 82 avenue Marceau 75008 Paris. Some of them are readily accessible on website www.rivolifund.com. Other information such as NAV are available during French office hours by phoning +33 (1) 56 88 24 40 or on website www.rivolifund.com. Depending on your tax status, any capital gains or income resulting from the ownership of the UCITS may be subject to tax. We advise you to obtain further information in this regard from the adviser of the UCITS or from your tax advisor. Rivoli Fund Management may be held liable solely on the basis of any statement contained in this document that is misleading, inaccurate or inconsistent with the relevant parts of the prospectus for the Fund. This Fund is authorized in France and regulated by the A.M.F.. This key investor information is accurate as June15 th, 2017
MUTUAL FUND (FONDS COMMUN DE PLACEMENT) APPROVED BY THE AUTORITÉ DES MARCHES FINANCIERS (AMF) UCITS in compliance with European Directive 2014/91/UE PROSPECTUS PROSPECTUS APPROVAL DATE: MARCH 25 TH, 2008 UPDATED: JUNE 15 TH, 2017
CONTENTS OF THE PROSPECTUS GENERAL CHARACTERISTICS... 4 1. Form of the Fund... 4 2. Directory... 4 OPERATING AND MANAGEMENT PROCEDURES... 5 GENERAL CHARACTERISTICS... 5 1. Characteristics of the units... 6 2. Year-end... 6 3. Tax regime... 6 SPECIFIC PROVISIONS... 7 1. Investment objective... 7 2. Benchmark... 7 3. Investment strategy... 7 4. Risk profile... 12 5. Target subscribers and standard investor profile... 13 6. Method for determining and allocating income... 15 7. Characteristics of the units... 15 8. Subscription and redemption terms... 15 9. Charges and fees... 16 SALES AND MARKETING INFORMATION... 17 INVESTMENT RULES... 18 ASSET VALUATION AND ACCOUNTING RULES... 19 I. VALUATION RULES... 19 1. Equities... 19 2. Bonds... 19 3. Negotiable debt securities... 19 4. UCITS and other investment funds... 20 5. Repo transactions... 20 6. Off-balance sheet commitments... 20 7. Management fees... 20 II. ACCOUNTING METHOD... 21 FUND REGULATIONS TITLE 1 - ASSETS AND UNITS... 22 Article 1 - Co-ownership units... 22 Article 2 - Minimum amount of assets... 22 Article 3 - Issue and redemption of units... 22 Article 4 - Calculation of the net asset value... 23 TITLE 2 - MECHANICS OF THE FUND... 24 Article 5 - The management company... 24 Article 5a - Operating rules... 24 Article 6 - The custodian... 24 Article 7 - The statutory auditor... 24 Article 8 - The accounts and the management report... 25 TITLE 3 - ALLOCATION OF THE RESULTS... 25 Article 9... 25 TITLE 4 - MERGER - DEMERGER - DISSOLUTION - LIQUIDATION... 25 Article 10 - Merger - Demerger... 25 Article 11 - Dissolution - Extension... 26 Article 12 - Liquidation... 26 TITLE 5 - DISPUTES... 26 Article 13- Jurisdiction - Election of domicile... 26 2
WARNING : The reader must be aware that this document is an English translation of the French official prospectus of the fund ; the management company shall not be bound by the provisions contained into it. In case of doubt regarding the meaning of its contents, the reader is required to refer to the most updated French available prospectus, which shall remain the only binding documentation, available at the management company ( http://www.rivolifund.com) or at the French regulatory authority AMF (GECO Database search at http://www.amf-france.org/en_us/rechercheavancee.html?formid=geco ). 3
UCITS in compliance with European Directive 2014/91/UE PROSPECTUS GENERAL CHARACTERISTICS 1. Form of the Fund Name: Legal form: Country of incorporation: French mutual fund (FCP) France AMF approval date: 25/03/2008 Date of incorporation: 10/04/2008 Anticipated duration: Overview: Unit Category Initial Net Asset Value 99 years ISIN Code Allocation of Income Base Currency F 100 FR0010605816 Capitalisation Euro I 100 FR0010605808 Capitalisation Euro P 100 FR0010568709 Capitalisation Euro Subscribers All subscribers All subscribers All subscribers Minimum Subscription 1 unit 500,000 1 unit Place or location where the latest annual report and interim documents can be obtained: The Fund's latest annual and interim documents as well as the composition of the assets will be sent to unitholders within eight business days from receipt of their written request, which should be sent to: RIVOLI FUND MANAGEMENT 82 avenue Marceau Paris 75008, France Tel: +(33) 1 56 88 24 40 Fax: +(33) 1 56 88 24 41 info@rivolifund.com These documents are also available from www.rivolifund.com 2. Directory 4
Management Company Rivoli Fund Management A French limited liability company (société anonyme simplifiée) Registered office: 82 avenue Marceau, 75008 Paris, France An asset management company registered with the AMF on 29/10/1998 under No. GP 98-047 Custodian / Institution responsible for liabilities management CACEIS Bank A credit institution registered with the French Credit Institutions and Investment Firms Committee (Comité des Etablissements de Crédit et des Entreprises d'investissement, CECEI) to operate as a bank and as an investor services provider. Registered office: 1-3 Place Valhubert, 75013 Paris, France Postal address: 1-3 Place Valhubert, 75206 Paris Cedex 13, France Statutory Auditor PricewaterhouseCoopers Audit 63 rue de Villiers 92200 Neuilly-sur-Seine, France Signatory : Frédéric SELLAM Promoter: Rivoli Fund Management SAS Administrative and accounting agent CACEIS Fund Administration Limited liability company Registered office: 1-3 Place Valhubert, 75013 Paris, France Postal address: 1-3 Place Valhubert, 75206 Paris Cedex 13, France Institution responsible for centralising subscription/redemption orders - For subscriptions/redemptions via Euroclear France: CACEIS Bank, as a delegate of the management company A credit institution registered with the French Credit Institutions and Investment Firms Committee (Comité des Etablissements de Crédit et des Entreprises d'investissement, CECEI) to operate as a bank and as an investor services provider. Registered office: 1-3 Place Valhubert, 75013 Paris, France Postal address: 1-3 Place Valhubert, 75206 Paris Cedex 13, France - For subscriptions/redemptions via Clearstream/Euroclear Banque, pre-centralisation at: Rivoli Fund Management SAS 82 avenue Marceau, 75008 Paris Tel: +(33) 1 56 88 24 57 Fax: +(33) 1 56 88 24 41 Advisors: N/A OPERATING AND MANAGEMENT PROCEDURES GENERAL CHARACTERISTICS 5
1. Characteristics of the units ISIN code: F Units: FR0010605816 I Units: FR0010605808 P Units: FR0010568709 Nature: Registration: Voting right: Form of the units: Type of units: Each unitholder has a co-ownership right to the Fund's assets, in proportion to the number of units held. Liabilities recorded by the custodian. Registered with Euroclear France. No voting rights are attached to the units as decisions are taken by the management company. Bearer Initial net asset value: F Units: 100 I Units: 100 P Units: 100 Decimalised (ten-thousandths). 2. Year-end Last stock market trading day of the year. 3. Tax regime Taxation (according to the notice in the publication Bulletin Officiel des Impôts dated March 26 th 1993) - Individuals who are tax resident in France: Capital gains or losses realised by individuals are taxed when the Fund units are assigned or redeemed. - Individuals who are tax resident outside France: Tax-exempt on capital gains realised when the Fund units are sold, subject to tax treaties. - Legal entities: Legal entities are taxed in accordance with the corporation tax standards, depending on capital gains or losses recorded at the end of the year, calculated fromthe lastest known net asset value. For tax purposes, switching from one category of unit to another, i.e. a redemption followed by a subscription, is considered as a disposal for valuable consideration, and may incur taxable capital gains. Investors should be aware that the information provided is simplistic overview of the French taxation regime applicable to subscribers investing in a French capitalisation fund. We therefore recommend that investors assess their own situation with their tax adviser. 6
SPECIFIC PROVISIONS ISIN code: F Units: FR0010605816 I Units: FR0010605808 P Units: FR0010568709 Classification: Diversified fund ( OPCVM Diversifié ) 1. Investment objective To outperform the capitalised EONIA in absolute terms over the recommended investment horizon, after the deduction of management fees, regardless of market movements, using quantitative investment techniques. 2. Benchmark The EONIA (Euro Overnight Index Average) has been a daily benchmark on the eurozone money market index since 4 January 1999. It represents the European overnight risk-free interest rate. It corresponds to the average overnight interest rate (weighted by the volume of transactions) for deposits/loans traded on the euro inter-bank money market by a sample of 57 eurozone banks. This rate is calculated by the European Central Bank, to three decimal places, and is published daily by the European Banking Federation. On Saturdays and Sundays the EONIA is that corresponding to the previous Friday and on statutory holidays the EONIA is that applicable on the previous business day. 3. Investment strategy Unlike a traditional fund, the Fund may implement arbitrage and trading strategies that exploit inefficiencies that can arise on markets. The Fund's investment objective is therefore to achieve an absolute return, i.e. a positive return irrespective of whether the markets are trending upwards or downwards. The Fund focuses on investing in the equity, bond, commodity index and currency markets. The portfolio's weightings are based on the outlook of the various markets. The main selection criterion is the liquidity of the financial instruments. Although the Fund's exposure is likely to be concentrated on a single asset class, this exposure will only be temporary and occur on a limited number of occasions. The Fund may invest in financial futures traded on French or foreign exchanges, or forward financial instruments traded over-the-counter. The Fund may, in addition, use the swap technique and carry out over-the-counter transactions (cap/floor). Subscribers should be aware that the Fund uses the probabilistic method when calculating global risk (market risk of the portfolio of the fund). Thus, the Fund's Value at Risk (VaR) over a period of 20 days with a probability of 99% may not exceed 20%. This means that, for a probability of 99%, the loss recorded over 20 days by a subscriber may not exceed 20%. Subscribers should note that this limit does not constitute a guarantee - it is merely an objective expressed in terms of probability. The Fund is subject to volatility on the markets on which it invests. Nonetheless, the portfolio s diversification in terms of investment strategies, geographical areas and asset classes, together 7
with risk monitoring implemented, aim to limit the Fund's annualised performance volatility to below 9% over the minimum recommended investment horizon. This volatility objective is provided solely for information purposes and is calculated in relation to normal market conditions. It does not constitute a guarantee and does not take into consideration all risks. For further details on these risks please refer to the section entitled "Risk profile". A maximum 10% of the Fund's assets shall be invested in French or European UCITS and other investment funds. 3.1 Strategies used 1. Relative value arbitrage strategies: These strategies utilise statistical tools developed by the management company to profit from temporary price differences between assets that are linked by statistical or economical relationships. These strategies involve simultaneously taking short positions on overvalued assets and long positions on undervalued assets. These strategies may be classified as follows: a. Yield curve arbitrage strategies: These strategies are used to profit from temporary abnormal differences in the yield curves on the main global currencies. b. Yield curve convexity arbitrage strategies: These strategies are used to profit from temporary abnormal differences in the yield curve convexity on the main global currencies. c. Inter-currency arbitrage strategies: These strategies are used to profit from temporary differences between the rates, yield curves, and yield curve convexities of the various currencies. d. Index arbitrage strategies: These strategies are used to profit from the over or undervaluation of a stock market, sector, group of correlated stocks or stock in relation to another stock market, sector, or group of correlated stocks or stock provided there is a sufficient degree of correlation. e. Currency arbitrage strategies: These strategies are used to profit from the temporary over- or undervaluation of a currency in relation to another currency, provided there is a sufficient degree of correlation. f. Arbitrage strategies on the various maturities on the same futures market. g. Arbitrage strategies between related assets: If the prices of different assets become sufficiently correlated, and even if the relationship is not necessarily justified from an economic standpoint, arbitrage opportunities may appear temporarily. 2. Directional arbitrage strategies: These strategies utilise statistical tools developed by the management company to profit from medium-term price spread movements between assets related by statistical or economical relationships. These strategies involve simultaneously taking long positions on assets that will become overvalued and short positions on assets that will become relatively undervalued. These strategies may be classified as follows: a. Yield curve directional arbitrage strategies: These strategies are used to profit from the steepening or flattening of the yield curves on the main global currencies. b. Directional arbitrage strategies on yield curve convexity: These strategies are used to identify convexification or linearisation movements of the yield curves on the main global currencies. c. Inter-currency directional arbitrage strategies: These strategies are used to profit from trends in differences in the rates, yield curve slopes, and yield curve convexities of the various currencies. 8
d. Index directional arbitrage strategies: These strategies are used to identify medium-term spread movements between a stock market, sector, group of correlated stocks or a stock, and another stock market, sector or group of correlated stocks or stock provided there is a sufficient degree of correlation. e. Currency directional arbitrage strategies: These strategies are used to identify medium-term price movements of a currency in relation to another currency, provided there is a sufficient degree of correlation. f. Directional arbitrage strategies between various maturities on a futures market. g. Directional arbitrage strategies between related assets: If the prices of different assets become sufficiently correlated, and even if the relationship is not necessarily justified from an economic standpoint, these strategies profit from any medium-term spread movements between these related assets. 3. Short-term tactical trading strategies: These strategies have short-term trading horizons, i.e. less than one month. They are used to profit from temporary movements in directional markets that occur under clearly defined market configurations. These strategies are applied across all markets on which the Fund trades. There are two types of short-term strategies: a. Trend tracking strategies: Markets generally move in cycles comprising consolidation phases and trend phases during which movements occur. Trend tracking strategies aim to identify trend phases using suitable statistical tools, and taking subsequent positions. b. Pattern recognition strategies: The in-depth analysis of market behaviour is used to identify patterns that occur regularly, and to take subsequent positions. 4. Medium-term strategic trading strategies: These strategies use the same tools as the shortterm tactical trading strategies, but they are adapted to trading horizons of over one month. They are used to profit from medium-term directional market movements that occur under clearly defined market configurations. These strategies are applied across all markets on which the Fund trades. 5. Mean reverting or contrarian strategies: These strategies are adapted specifically to markets during consolidation phases, during which prices change at stable, relatively long intervals. Using specific statistical tools, these strategies are used to identify these market configurations, and where appropriate, to calculate the probable price ranges in which the market is likely to trade, enabling the Fund to take short positions when the market is trading close to the upper limits, and long positions close to the lower limits. These strategies are applied across all markets on which the Fund trades. 3.2 Tools and methods used The tools developed and implemented by Rivoli Fund Management utilise quantitative techniques to exploit opportunities that may arise on the markets. In addition, by investing on derivatives markets Rivoli Capital is able to generate positive performances in both bull and bear markets, unlike traditional funds. It therefore constitutes a source of diversification for a portfolio and an alternative to standard investment products. - Databases The mathematical and quantitative study of the markets requires the use of reliable, comprehensive databases. For this purpose, the management company has exhaustive databases covering all markets on which it intends to invest, which it has been using since their creation. 9
These databases, which are duly verified and supervised, are monitored carefully since they constitute the main working tool for a manager's activities. They are updated daily using the main sources of information available on the market and are then tested for quality control purposes. - Trend tracking methods These methods make it possible to detect and take advantage of trends that appear on the markets by using filtering techniques enabling the management company to distinguish clearly between a true trend and false signals with no real significance. In this context, the management company uses a range of analysis tools enabling it to determine very short (from a few days to a few weeks) as well as longer (in excess of 18 months) trends, in the interests of risk diversification. - Arbitrage strategies These methods are used to take advantage of temporary inefficiencies that may exist between the various markets. We may also profit from yield-curve movements. They are based on statistical relationships between markets and offer a certain degree of decorrelation in relation to taking positions on markets viewed in isolation. - Market force indicators In conjunction with the trend tracking tools, the management company uses indicators to determine the strength and significance of movements observed on the markets. These indicators are used to measure the market configuration and to anticipate future short-term trends or trend reversals. In addition, when a market does not offer any major opportunities, they enable the manager to refrain from taking positions on this market. - Volatility analysis The techniques used by the management company focus on analysis of market volatility. Developed with a view to confirming trends or anticipating arbitrage, these techniques are used to filter position-taking on all markets on which the Fund invests. - Simulation tools The management company has developed proprietary IT applications using the latest technology available, making it possible to simulate all the statistics based on past performance and to measure their profitability, risk and regularity. These simulations are carried out in the most realistic manner possible, in particular taking into account the various expenses that would be noted in a real trade. Using these simulations makes it possible to realistically estimate the expected performance of the Fund, but above all the risk of underperformance. Risk management In the context of the Fund's Front Office management, Rivoli Fund Management has developed a computer programme that makes it possible to manage all positions in real time, both in terms of results and in terms of following models used on the markets. This Front Office programme feeds in real time a Middle Office programme, which manages the entire Fund's valuation. The statements generated in this respect make a comparison possible with the Fund's administrative and accounting agent, in order to guarantee and verify the accuracy and due execution of the transactions and valuation of Rivoli Capital. These dual controls make it possible to detect very quickly any position and valuation differences, and to take the measures necessary in order to resolve anomalies that may arise, immediately. 10
Market risk control In the interest of diversification, Rivoli Capital operates on a number of markets with several strategies per market. Stop levels are defined for each of these strategies. They vary depending on their investment objectives, making it possible to close a position taken through a strategy on a market in the event of its unfavourable development. These stop levels vary depending on the kind of strategy implemented and depending on the characteristics specific to each market (volatility, liquidity). All of these data are automatically taken into account in the Front Office trading information systems, which enable the managers to track the Fund's market risk in real time. 3.3 Asset categories - ASSETS EXCLUDING EMBEDDED DERIVATIVES Unless stipulated otherwise, the financial instruments selected shall not be restricted to a geographical area. o Equities: The Fund may hold, directly or indirectly (primarily via swap contracts), capital securities. These are securities of large, mid or small-cap companies from any business sector that have made public issues. o Debt securities and money market instruments: Government bonds: Yes Floating rate bonds: Yes Treasury bills: Yes Certificates of deposit: Yes Other negotiable debt securities: Yes With regard to the maturity of these financial instruments, the management company is not restricted to any duration when selecting investments. o UCITS or other investment funds and trackers or ETF : Up to 10% of the Fund's assets may be invested in shares or units of the following : - UCITS compliant funds investing up to 10% of their assets in UCITS or other investment funds ; - French or foreign non-ucits compliant funds, in case they comply with the four conditions provided at article R214-13 of the Code Monetaire et Financier ; The fund will also be able to invest in trackers, listed index underlyings or ETF (exchange traded funds) These UCITS and other investment funds may be managed by the management company or a related company. - DERIVATIVE INSTRUMENTS Derivative instruments generally take the form of contracts on regulated futures markets, and are used to gain exposure for the Fund (commodities investments are undertaken exclusively via commodity index futures contracts). The management company may also use other derivative instruments, traded over-the-counter, for the purposes of hedging (primarily currency hedging), or to replicate synthetic exposure. Type of market: - All regulated markets 11
Category of market: Type of investments: Type of instruments: Strategy: - All organised markets - All over-the-counter markets - All equity markets - All fixed-income markets - All currency markets - All commodities markets (commodity index futures only) - All exposure transactions - All hedging transactions - Arbitrage - Forward/futures contracts - All forward currency transactions - Currency, interest rate and total return swaps - Replicating synthetic exposure (primarily equities) - Increasing market exposure (primarily futures) - Hedging (currency) - CASH AND CASH DEPOSITS The Fund may hold cash, but limited to an ancillary threshold. It shall be used for cash management purposes, namely with a view to meeting unit redemption requests. In addition, the Fund may make sight and term deposits or use other money market instruments. Where appropriate, deposits may represent in the aggregate up to 100% of assets. - CASH BORROWINGS The Fund's aim does not include being a cash borrower. Nonetheless, it may on occasion record a debit position due to transactions associated with cash movements and in such cases it may borrow up to 10% of its net assets. - MANDATORY AND OPTIONAL REPO AND REVERSE REPO TRANSACTIONS (by reference to the French Monetary and Financial Code) As part of its cash management activities, the Fund may enter into unleveraged mandatory and optional repo and reverse repo transactions. Any income generated from these transactions shall be retained by the Fund. 4. Risk profile Funds under management shall be invested primarily in financial instruments selected by the management company. These instruments will be exposed to the market's movements and vagaries. The Fund's risk profile corresponds to a minimum investment horizon of three years. As with any financial investment, potential investors should be aware that the value of the Fund's assets is subject to market fluctuations, and that this value may vary significantly. The Fund's net asset value may therefore fall sharply. The risk factors described below are not exhaustive. Investors should analyse the risk inherent in their investment and form their own opinion independently of that of Rivoli Fund Management. If necessary they should consult advisers that specialise in this area to ensure, in particular, that this investment is suitable for their financial position. Model risk The investment process is essentially based on a statistical and quantitative analysis used to systematically generate buy and sell signals. The quality of the signals is assessed using 12
simulations undertaken on historical data. There is a risk that the model may not be efficient as there is no guarantee that historical market circumstances will reoccur in the future. Under no circumstances does the investment process constitute a guarantee of the Fund's future performance. Risk associated with arbitrage strategies The Fund also aims to generate performance by forecasting movements in certain markets in relation to others. The financial market movements may not correspond to the forecasts generated by the strategies, which could result in a negative performance and therefore a decline in the Fund's net asset value. Risk of capital loss As the Fund is exposed to market risk, investors may not get back their original investment. The Fund does not offer any guarantee or protection of the capital initially invested. Equity risk The Fund is exposed to equity risk on the eurozone and international markets through its investments in financial instruments. It is exposed to equity risk via countries, (particularly emerging countries), and through the selection of companies in terms of their market capitalisation (illiquidity risk on small caps). In view of the use of equity derivatives, a fall, but also a rise in the equity markets may generate losses and result in a fall in the net asset value. Risk associated with forward financial instruments By using forward financial instruments the Fund can generate over-exposure to any market, asset, index or financial instrument (excluding directly-held commodities futures). This can cause the Fund's net asset value to decline more significantly and more quickly than that of the markets on which the Fund is invested. Interest rate risk The Fund is exposed to interest rate risk on the eurozone and international markets through its investments in financial instruments. An increase in interest rates will result in a fall in the value of these financial instruments and, accordingly, a fall in the Fund's net asset value. Credit risk The Fund is subject to a risk of default or of a downgrading of the issuers of financial instruments held in the portfolio, which could have a negative impact on the value of these instruments. This could lead to a corresponding fall in the Fund's net asset value. Counterparty risk The Fund may be exposed to counterparty risk due to the use of forward financial instruments concluded with a credit institution (which is particularly the case with forward currency hedging transactions). The Fund will therefore be exposed to the risk that this institution may not honour its commitments under these instruments. Currency risk The Fund may carry out forward currency transactions. These transactions shall carried out solely for the purposes of hedging and their use shall therefore be limited. All subscribers. 5. Target subscribers and standard investor profile 13
This collective investment product is aimed at informed investors, corporates and institutional investors, looking to boost and diversify their financial investments. Rivoli Capital is a French mutual fund (Fonds Commun de Placement) that is able to diversify its portfolio as its performance is not correlated with standard investment products. The incorporation of this asset class within a portfolio must be undertaken with a view to optimising the investor's risk/return ratio. Rivoli Capital may also be used in conjunction with a unit-linked life insurance policy. The recommended investment horizon is a minimum three years. The amount that is reasonable to invest in this Fund depends on each investor's particular circumstances. To determine this, investors should seek the advice of a professional, in order to diversify their investments and determine the proportion of the financial portfolio or assets to be invested in this Fund, in respect of the recommended investment horizon and exposure to the aforementioned risks, their personal wealth, needs and own objectives. We recommend that investors read this prospectus and consult their banker, legal adviser, accountant or other financial adviser if they are unsure of whether to invest in the Fund. Subscribers are strongly advised to diversify their portfolio so as not to be exposed solely to the risks of this Fund. Disclaimer for U.S. Persons : The Units have not been, and will not be, registered under the U.S. Securities Act of 1933 or qualified under any applicable U.S. state statutes, and the Units may not be transferred, offered or sold in the United States of America (including its territories and possessions) or to or for the benefit of, directly or indirectly, any U.S. Person (as defined in Regulation S in the U.S. Securities Act of 1933), except pursuant to registration or an applicable exemption. The Fund is not, and will not be, registered under the 1940 Act, and investors will not be entitled to the benefit of registration under the 1940 Act. Any resales or transfers of the Units in the U.S. or to U.S. Persons may constitute a violation of U.S. law and requires the prior written consent of the Company. The Company, however, reserves the right to make a private placement of its Shares to a limited number or category of U.S. Persons. Any resales or transfers of the Shares in the U.S. or to U.S. Persons may constitute a violation of U.S. law and requires the prior written consent of the CEO of the management company of the fund. Applicants for Units will be required to certify in writing that they are not U.S. Persons. The CEO of the management company of the fund have the power to impose restrictions on (i) the unitholdings by (and consequently to redeem Units held by), or (ii) the transfer of Units to, any U.S. Person. Such power covers any person who appears to be in breach of the laws or requirements of any country or government authority, or by any person or persons in circumstances (whether directly or indirectly affecting such person or persons, and whether taken alone or in conjunction with any other persons, connected or not, or any other circumstances appearing to the CEO of the management company of the FCP to be relevant) which, in the opinion of the CEO of the management company of the Fund, might result in the Fund suffering any disadvantage which the Fund might not otherwise have incurred or suffered. The Units have not been approved or disapproved by the SEC, any state securities commission or other U.S. regulatory authority, nor have any of the foregoing authorities passed upon or endorsed the merits of this offering or the accuracy or adequacy of these offering materials. Any representation to the contrary is unlawful. Unitsholders are required to notify the Fund immediately in the event that they become U.S. Persons. Unitholders who become U.S. Persons will be required to dispose of their Units at any time to non-u.s. Persons. The Fund reserves the right to repurchase any Units which are or become owned, directly or indirectly, by a U.S. Person or if the holding of the Units by any person is unlawful or detrimental to the interests of the Fund. Definitions : US Person: Precluded Persons are U.S. Persons as defined in U.S. SEC Regulation S (Part 230-17 CFR 230.902). Such definition is available at http://www.sec.gov/about/laws/secrulesregs.htm (current as of Sept 29th 2016). An unofficial translation in French of this definition is available on our website www.rivolifund.com. 14
"Beneficial ownership": Beneficial Ownership generally means having a direct or indirect financial or economic interest in a security, including an interest through members of the household. You should consult the complete legal definition in Rule 16a-1(a)(2) under the U.S. Securities Exchange Act of 1934 (Part 240-17 CFR 240.16a-1) at: http://www.sec.gov/about/laws/secrulesregs.htm (current as of Sept 29th 2016). 6. Method for determining and allocating income The distributable amounts shall be fully capitalized. 7. Characteristics of the units F Units I Units P Units Currency Euro Euro Euro Form of units Bearer Bearer Bearer Type of units Decimalised Decimalised Decimalised (ten-thousandths) (ten-thousandths) (ten-thousandths) Minimum subscription 1 unit 500,000 1 unit Initial value 100 100 100 8. Subscription and redemption terms Subscription and redemption conditions Net asset value Institution responsible for receiving subscriptions/ redemptions Subscription and redemption requests are accepted before midday each day by the institution responsible for managing the company's liabilities and are executed on the basis of that day's net asset value (D), published on the following business day (D+1). For subscriptions and redemptions via Euroclear France settlement/delivery takes place on D+1 and via Cedel, Clearstream and Euroclear Banque on D+2. Calculated daily (each stock market trading day in Paris, excluding statutory holidays in France). Place of publication: www.rivolifund.com. CACEIS Bank, a French limited liability company (société anonyme) and a credit institution registered with the French Credit Institutions and Investment Firms Committee (Comité des Etablissements de Crédit et des Entreprises d'investissement, CECEI) on April 1 st 2005 to operate as a bank and an investor services provider. Registered office: 1-3 Place Valhubert, 75013 PARIS F (Founder) units are issued over a defined three-month period. This subscription period shall start on the date of the first net asset value and shall end three months later. If the net asset value is not available on that day the subscription period will be extended until the next net asset value date. At the end of this period F units will no longer be issued. 15
9. Charges and fees Charges payable by the investor, deducted when subscriptions and redemptions are made Subscription fee not earned by the Fund Subscription fee earned by the Fund Redemption fee not earned by the Fund Redemption fee earned by the Fund Basis Net asset value x number of units Net asset value x number of units Net asset value x number of units Net asset value x number of units Rate/Scale F Units: 0% I Units: 0% P Units: Maximum 3% all taxes included Not applicable F Units: 0% I Units: 0% P Units: Maximum 3% all taxes included Not applicable Charges invoiced to the Fund Basis Rate/Scale Operating and management charges all taxes included ( included (including all charges excepting Net I Units: transaction costs, performance-based assets included commissions and fees associated with P Units: investments in UCITS or investment included funds) Performance-based commission Service providers charging activity charges Transaction charges: - Financial instrument transactions - Cash flows - Currency transactions High Water Mark procedure Net assets F Units : Maximum 0.3% all taxes Maximum 1.0% all taxes Maximum 2.25% all taxes Maximum 10% of the Fund's outperformance of the capitalised EONIA, deducted and calculated on an annual basis according to the High Water Mark principle. A provision for these fees is booked daily. In the event of a negative performance the provision is reduced accordingly. Not applicable Maximum 29.90 all taxes included Maximum 45.45 all taxes included Maximum 215.28all taxes included Each time the net asset value is calculated a provision is posted for variable management fees (performance fee). This figure varies according to the Fund's performance and can be either positive or negative. If the provision is positive at the end of the year, the provision account is reset to zero and the variable management fees provisioned are paid to the management company. If the provision is negative at the end of the year, the management company applies the High Water Mark rule, using the highest net asset value for the year as the reference threshold that gave rise to the application of the variable management fees. The provision account (negative) for the variable management fees is reset to zero at the start of the year, but remains frozen (even if the Fund posts positive performances). A new provision will only be 16
posted for the variable management fees if the Fund's net asset value exceeds this reference threshold. Benefits in kind The brokers used may make available, free of charge to Rivoli Fund Management, information systems, market analyses and analysts' reports, which may help the managers in their decisions. For further information, subscribers should refer to the Fund's annual report, available free of charge from the management company. SALES AND MARKETING INFORMATION The interim documents (annual or semi-annual reports) will detail the transactions undertaken and include: - The financial results of these transactions - The liabilities as a percentage of the Fund's assets at the end of the period - Any changes in the use of financial instruments (strategies, impact on the portfolio's profits and exposure). The principles and accounting methods used in relation to the financial instruments will be described in the annual report, in the section covering the accounting information certified by the statutory auditors. Subscribers can obtain a copy of these documents on request from the management company and the valuing agent. Information on environmental, social and governance criterias (ESG) considered by the Fund as an investment strategy component shall be mentioned on the website www.rivolifund.com, and in the annual report. 17
INVESTMENT RULES Rivoli Capital is a UCITS complying with European Directive 2014/91/UE. It will undertake investments in accordance with the regulatory provisions in force and applicable to this category, as defined in the French Monetary and Financial Code (and the AMF's General Regulations, where appropriate). The following investment limits apply. Risk diversification ratio for deposits 20% per credit institution. Cash borrowings 10% Risk diversification rules 5%/10%/ 40% Loans guaranteed by the issuer (public loans or the equivalent) 35%/100% - 6 issues Shares or units of UCITS and other investment funds 10% Counterparty risk ratio 10% Inclusion of underlyings in the ratios Yes Inclusion of repos in the ratios Yes Securities borrowings 10% (Cash) reverse repos 100% Concentration limit 10% Concentration limit on UCITS and other investment funds 25% Total ratio 20% Total ratio for secured loans/real estate bonds 35% Exposure ratio calculation method Subscribers should be aware that the Fund uses the probabilistic method when calculating global risk (market risk of the portfolio of the fund). Thus, the Fund's Value at Risk (VaR) over a period of 20 days with a probability of 99% may not exceed 20%. This means that, for a probability of 99%, the loss recorded over 20 days by a subscriber may not exceed 20%. Subscribers should note that this limit does not constitute a guarantee - it is merely an objective expressed in terms of probability. Investment rules specific to Rivoli Capital Rivoli Capital is authorised to invest in funds managed by Rivoli Fund Management. In such cases no subscription or redemption fees will be charged, with the exception of any charges retained by the Fund. 18
ASSET VALUATION AND ACCOUNTING RULES I. VALUATION RULES 1. Equities French, European and international stocks are valued on the basis of the last known market price. 2. Bonds French bonds are valued on the basis of the last known market price including the accrued dividend calculated on the Fund's net asset calculation day. Foreign securities are valued on the basis of the closing price on their main market converted into euros at the foreign exchange rate applicable on the valuation day. Unlisted securities are valued according to an actuarial method on the basis of the reference rate referred to below, increased by, where applicable, a margin representing the issuer's intrinsic characteristics: - Euro Interbank Offered Rate (EURIBOR) for tranches with a floating rate that is revised annually; - Treasury Bond (OAT) rate with short maturities for the fixed rate tranches. Loans that are audited are valued at the latest listed price, or if there have not been any significant transactions, on the basis of discounted future cash flows. Securities not traded on a regulated market are valued by the management company at their probable trading value. 3. Negotiable debt securities Negotiable debt securities and equivalent securities are valued: - for those traded in significant volumes, at market price; - for the others, on an actuarial basis according to the yield curves defined below, increased by, where applicable, a margin to represent the issuer's intrinsic characteristics: o Euro Interbank Offered Rate (EURIBOR) for negotiable debt securities with a duration of a maximum one year; o Treasury Bill (BTAN) rate published by the Banque de France for negotiable debt securities with a maturity of between one year and five years; o For negotiable debt securities with a maturity of more than five years, the shortterm Treasury bond (OAT) rate; o For floating-rate negotiable debt securities, by reference to a credit curve reflecting the issuer's intrinsic characteristics; o For synthetic securities, on the basis of future cash flows. Asset swaps are valued on the basis of a price reflecting the counterparties' prices. However, negotiable debt securities with a residual duration of three months or less, with low sensitivity, may be valued using the straight-line method. 19
4. UCITS and other investment funds Shares or units of UCITS and other investment funds are valued at the last known net asset value. 5. Repo transactions Securities traded under repo and reverse repo transactions are valued at the contract's initial price, increased by the agreed remuneration, pro rata temporis. 6. Off-balance sheet commitments Options contracts on French stocks traded on the French regulated market are valued at the closing price on the valuation day. Other futures and options contracts traded on European regulated markets are valued at the closing price. Futures and options contracts traded on other regulated markets are valued on the basis of the closing prices on their respective markets converted into euros at the exchange rate stipulated on the valuation day. Futures contracts are valued by applying the nominal value of these contracts to their closing prices. Options contracts are translated into the equivalent underlying asset. Over-the-counter commitments Interest rate swaps are valued using an actuarial method based on prices provided by Reuters. They are valued at their nominal value, increased by the accrued interest and their assessed market value. Index swaps are valued using an actuarial method based on the prices provided by the counterparty. They are valued at their nominal value, increased by the assessed market value. Currency forwards are valued at the price of the currencies on the valuation day, taking into account amortisation of positive or negative balances carried forward. Caps and floors are valued on the basis of the prices provided by the counterparty. However, for transactions with a residual life of three months or less, the valuation methods may be simplified in compliance with the rules set by the Autorité des Marchés Financiers. Fixed management fees 7. Management fees Fixed management fees are recognised each time the net asset value is calculated. The calculation is carried out pro rata temporis, on the basis of the assets under management. Maximum annual fee: F Units: 0.3% all taxes included I Units: 1.0% all taxes included P Units: 2.25% all taxes included Variable management fees These are paid to the management company at the end of the financial year. Between two financial years a provision (or provision reversal) is posted in respect of the variable management fees. It is calculated each time the net asset value is determined, in accordance with 20
the High Water Mark rule. If the Fund under-performs, the variable management fee provision is adjusted by means of a provision reversal, which may not exceed the provisions previously posted. A new positive provision can only be posted once all the past under-performances have been offset. II. ACCOUNTING METHOD The annual accounts are drawn up in accordance with the accounting rules set forth under current regulations, and particularly with the chart of accounts for mutual funds (French Accounting Regulation Committee Rule No. 2003-02 as of October 2 nd 2003). Portfolio securities are recognised on the balance sheet at their market value. Income generated from bonds and receivables of any kind is recognised on a cash basis. Transactions are recognised net of fees. The accounting data is neither restated nor adjusted when the accounts for the financial year are drawn up. This method is therefore consistent with that used for the calculation of net asset values (principles of consistent net asset value calculation methods). 21
UCITS in compliance with European Directive 2014/91/UE REGULATIONS TITLE 1 - ASSETS AND UNITS Article 1 - Co-ownership units The co-owners' rights are expressed in units, each unit corresponding to the same fraction of the Fund's assets. Each unitholder has a co-ownership right over the Fund's assets proportional to the number of units held. The duration of the Fund is 99 years beginning on 10 April 2008, except in the event of early dissolution or of extension provided for in these regulations. The characteristics of the different categories of unit and their conditions of access are stated in the Fund's simplified prospectus and detailed memorandum. The different categories of unit may: - benefit from different systems in terms of distributable amounts (distribution or capitalisation); - be denominated in different currencies; - incur different management fees; - incur different subscription and redemption fees; - have a different par value. Aggregation or division of units Units may be divided upon decision of the management company's Executive Committee into tenths, hundredths, thousandths or ten-thousandths, referred to as fractions of units. The rules providing for the issue and the redemption of the units shall apply to fractions of units whose value will always be proportional to the value of the unit they represent. All other rules relating to the units shall apply to fractions of the units without any necessity to specify this, except when it shall be otherwise provided for. The management company's Executive Committee may proceed at its own discretion with a division of the units by creating new units that will be allocated to unitholders in exchange for the old units. Article 2 - Minimum amount of assets The units may not be redeemed if the Fund's assets amount to less than 300,000. In this case, unless the assets increase above this amount during this time, the management company will take the necessary measures to carry out the merger or dissolution of the Fund within a period of thirty days. Article 3 - Issue and redemption of units The units shall be issued at any time at the request of the unitholders on the basis of their net asset value plus subscription fees, if applicable. However, F units shall only be issued during a defined three-month period. This subscription period starts on the date of the first net asset value and ends three months later. If the net asset value is not available on that day the subscription period will be extended until the next net asset value date. At the end of this period F units will no longer be issued. 22