French UCITS

H2O ALLEGRO SEMIANNUAL REPORT at 31 December 2015

Management company: H2O AM LLP Custodian: Caceis Bank France Statutory Auditors: PwC Sellam

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

www.h2o-am.com Distributor:

Natixis Asset Management 21 quai d’Austerlitz - 75634 Paris Cedex 13 France - Tel.: +33 (0)1 78 40 80 00 A French société anonyme (limited company) with a share capital of €50,434,604.76 - registered with the Paris Trade and Companies Registry under number 329 450 738 - APE 6630Z www.nam.natixis.com



ASSETS AND LIABILITIES At end of period *

Assets and liabilities

244,799,993.68

a) Financial securities b) Bank assets

44,096,742.02

c) Other fund assets

1,397,094,519.05

d) Total fund assets

1,685,991,254.75

e) Liabilities

-1,393,176,701.68 292,814,553.07

f) Net asset value (NAV) * Negative figures are preceded by a minus sign (-)



UNITS OUTSTANDING AND NET ASSET VALUE PER UNIT Units

Type of unit

H2O ALLEGRO R(C) in EUR

NAV

4,163.9362

19,685.87

HCHF-R(C)

9,171,244.97

748.2139

12,257.51

H2O ALLEGRO HSGD-R(C) in SGD HSGD-R(C)

4,160,726.29

31,715.8233

131.18

171,128,915.49

1,711.2822

100,000.40

HGBP-I(C)

3,914,804.95

15,243.5730

256.81

H2O ALLEGRO HUSD-R(C) in USD HUSD-R(C)

4,529,218.32

376.4728

12,030.66

H2O ALLEGRO I(C) in EUR H2O ALLEGRO HGBP-I(C) in GBP



Units outstanding

81,970,729.90

H2O ALLEGRO HCHF-R(C) in CHF

R(C)

NAV per unit

I(C)

H2O ALLEGRO HUSD-I(C) in USD

HUSD-I(C)

19,230,630.87

331.3945

58,029.42

H2O ALLEGRO HCHF-I(C) in CHF

HCHF-I(C)

1,519,357.10

28.5000

53,310.77

SECURITIES PORTFOLIO % Securities portfolio

Net asset value

Total asset value

Eligible financial securities and money market instruments admitted for trading on a regulated market that operates regularly and is recognised and open to the public, based in an EU or EEA member state.

79.85

13.87

Eligible financial securities and money market instruments traded on an exchange or market in another country, that is regulated, operates regularly, is recognised and open to the public, and provided that the exchange or market does not appear on an AMF list or that the choice of this exchange or market is prescribed by law, or by the fund's regulations or articles of association

4.43

0.77

Newly issued financial securities listed in Article R. 214-11 Section I paragraph 4 of the French Monetary and Financial Code Other assets

2



MOVEMENTS IN THE SECURITIES PORTFOLIO OVER THE PERIOD Movements (amount) Securities portfolio

Acquisitions

Disposals

Eligible financial securities and money market instruments admitted for trading on a regulated market that operates regularly and is recognised and open to the public, based in an EU or EEA member state.

77,271,673.32

82,468,145.51

Eligible financial securities and money market instruments traded on an exchange or market in another country, that is regulated, operates regularly, is recognised and open to the public, and provided that the exchange or market does not appear on an AMF list or that the choice of this exchange or market is prescribed by law, or by the fund's regulations or articles of association

6,468,431.62

5,102,940.07

Newly issued financial securities listed in Article R. 214-11 Section I paragraph 4 of the French Monetary and Financial Code Other assets



OTHER INFORMATION

Custodian: Caceis Bank France - 1-3 place Valhubert - 75013 - Paris

The detailed semiannual breakdown of assets is available within eight weeks from the end of the period. It can be obtained on request from the management company: Natixis Asset Management - 21 quai d'Austerlitz - 75634 - Paris Cedex 13

3



SECURITIES PORTFOLIO AT 31/12/2015

Type of security

Currency

Quantity (number or nominal value)

Current value

% net assets

Bonds and similar securities Bonds and similar securities traded on regulated or equivalent markets REPUBLIC OF MOZAMBIQUE REPUBLIC OF ZAMBIA 5.375% 20/09/2022

USD

4,400,000

TOTAL REPUBLIC OF MOZAMBIQUE

3,005,905.52

1.03

3,005,905.52

1.03

807,586.82

0.28

807,586.82

0.28

1,607,129.10

0.55

1,607,129.10

0.55

SPAIN SPAIN 4.70% 30/07/41

EUR

600,000

TOTAL SPAIN USA DEXIA FDG NLD L3MGBP 07-090217

GBP

1,200,000

TOTAL USA FRANCE AXA SA 5.25% 10-160440

EUR

200,000

230,623.77

0.08

AXA 6.6666% PERPETUAL / STEP-UP

GBP

450,000

641,437.28

0.22

AXA SA 5 1/2 07/22/49

USD

1,000,000

947,042.97

0.32

BNP PARIB 4.875% PERP *EUR

EUR

300,000

308,785.72

0.11

LAMON TF/TV 04/23/43

USD

200,000

201,110.19

0.07

LAMON 6 3/4 04/25/44

EUR

200,000

240,990.74

0.08

SOCIETE GENERALE TV PERPETL

EUR

700,000

880,835.30

0.30

SOCIETE GENERALE 5.75% 20/04/2016

USD

1,000,000

944,305.34

0.32

4,395,131.31

1.50

TOTAL FRANCE GREECE GREECE 15/10/2042

EUR

28,035,300

116,206.32

0.04

GREECE 3% 24/02/2023

EUR

5,287,400

4,102,733.77

1.40

GREECE 3% 24/02/2024

EUR

2,787,400

2,113,700.50

0.72

GREECE 3% 24/02/2025

EUR

10,587,400

7,820,175.61

2.67

GREECE 3% 24/02/2026

EUR

12,087,400

8,708,009.68

2.98

GREECE 3% 24/02/2027

EUR

16,387,400

11,507,402.89

3.94

GREECE 3% 24/02/2028

EUR

942,440

649,058.82

0.22

GREECE 3% 24/02/2029

EUR

1,506,560

1,017,214.87

0.35

GREECE 3% 24/02/2030

EUR

1,806,560

1,195,365.36

0.41

GREECE 3% 24/02/2031

EUR

6,560

4,252.00

GREECE 3% 24/02/2032

EUR

1,406,560

892,687.95

0.30

GREECE 3% 24/02/2033

EUR

2,006,560

1,259,699.13

0.43

GREECE 3% 24/02/2034

EUR

2,606,560

1,618,466.31

0.55

GREECE 3% 24/02/2035

EUR

306,560

188,243.29

0.06

GREECE 3% 24/02/2036

EUR

306,560

186,137.23

0.06

GREECE 3% 24/02/2037

EUR

292,640

175,199.30

0.06

GREECE 3% 24/02/2038

EUR

6,560

3,928.35

4



SECURITIES PORTFOLIO AT 31/12/2015 (continued)

Type of security

Currency

Quantity (number or nominal value)

Current value

% net assets

GREECE 3% 24/02/2039

EUR

6,560

3,929.32

GREECE 3% 24/02/2040

EUR

206,560

123,756.17

0.04

GREECE 3% 24/02/2041

EUR

206,560

123,786.74

0.04

GREECE 3% 24/02/2042

EUR

6,560

3,935.05

GREECE 4.75% 17/04/2019

EUR

25,750,000

24,498,614.73

8.38

66,312,503.39

22.65

1,395,825.38

0.48

1,395,825.38

0.48

TOTAL GREECE IRAQ IRAQ 5.8% 15/01/28 REGS *USD

USD

2,150,000

TOTAL IRAQ ITALY BANCA CARIGE 6.75% 03/17

EUR

3,000,000

3,381,639.10

1.15

BTPS 4 3/4 09/01/44

EUR

1,000,000

1,430,242.31

0.49

ITALY 6 7/8% 23

USD

5,000,000

5,776,080.50

1.98

MARC M E3R+2.25% 27-01-64

EUR

1,300,000

691,746.54

0.24

SUNR S E1R+0.85% 27-11-31

EUR

1,300,000

1,302,234.99

0.44

SUNR S E1R+0.9% 27-05-35

EUR

1,700,000

1,702,962.76

0.58

14,284,906.20

4.88

4,688,795.81

1.60

4,688,795.81

1.60

TOTAL ITALY LUXEMBOURG ORYX S L3RUSD+1.6% 11-09-18

USD

5,000,000

TOTAL LUXEMBOURG MEXICO CORPORACION GEO SA DE CV 9.25% 30-06-20 DEFAULT

USD

1,170,000

13,463.13

CORPORACION GEO 8.875% 03/22 DEFAULT

USD

5,814,000

66,901.41

0.02

MEXICO 4.75% 06/18

MXN

360,000

1,934,823.96

0.66

URBI DESARROLLOS URBANOS 8.5% 19/04/2016

USD

1,600,000

51,551.14

0.02

URBI DESARROLLOS URBANOS 9.75% 03/02/2022 SERIE REGS DEFAUT

USD

2,618,000

84,350.55

0.03

2,151,090.19

0.73

2,739,949.73

0.94

2,739,949.73

0.94

277,417.15

0.09

TOTAL MEXICO NETHERLANDS AMAT FINA BV 8.25% 31-07-17

EUR

2,700,000

TOTAL NETHERLANDS PORTUGAL BANCO ESPIRITO SANTO S 2.625% 08/05/2017

EUR

1,700,000

BANCO ESPIRITO SANTO SA 4.75% 15/01/2018

EUR

2,100,000

404,142.12

0.14

PGB 2 7/8 10/15/25

EUR

31,900,000

33,094,854.59

11.30

PGB 5.65% 02/15/24

EUR

5,800,000

7,493,590.86

2.56

PORTUGUESE REPUBLIC 4.1% 15-02-45

EUR

29,600,000

32,878,202.03

11.23

PORTUGAL 4.95% 25/10/23

EUR

2,650,000

3,202,161.17

1.09

PORTUGAL 4.1% 06-150437

EUR

11,630,000

13,044,449.81

4.45

TAGU SOCI DE 1.99% 12-02-19

EUR

2,700,000

2,233,760.88

0.76

5



SECURITIES PORTFOLIO AT 31/12/2015 (continued)

Type of security

TAGU SOCI DE 2.98% 16-02-18

Currency

EUR

Quantity (number or nominal value) 4,000,000

TOTAL PORTUGAL

Current value

% net assets

2,334,914.66

0.80

94,963,493.27

32.42

UK DRIV U L1RGBP+0.5% 25-01-24

GBP

3,000,000

4,011,594.38

1.37

UK TSY 3.25% 22/01/2044

GBP

5,200,000

7,963,787.67

2.72

11,975,382.05

4.09

4,816,507.90

1.64

4,816,507.90

1.64

TOTAL UK RUSSIA RUSSIA 7.5% 27/02/19

RUB

396,000,000

TOTAL RUSSIA SLOVENIA SLOVENIA 4.375% 06/02/2019

EUR

1,300,000

1,516,741.70

0.52

SLOVENIA 4.375% 18/01/21

EUR

500,000

612,135.89

0.21

SLOVENIA 4.625% 09-090924

EUR

400,000

506,478.48

0.17

2,635,356.07

0.90

TOTAL bonds and similar securities traded on regulated or equivalent markets

215,779,562.74

73.69

TOTAL bonds and similar securities

215,779,562.74

73.69

TOTAL SLOVENIA

Debt securities Debt securities traded on regulated or equivalent markets FRANCE AXA SA 290316 FIX 0.0

1,999,951.46

0.68

TOTAL FRANCE

EUR

2,000,000

1,999,951.46

0.68

TOTAL debt securities traded on regulated or equivalent markets

1,999,951.46

0.68

9,999,377.86

3.42

9,999,377.86

3.42

2,999,967.50

1.03

2,999,967.50

1.03

1,999,994.44

0.68

1,999,994.44

0.68

TOTAL debt securities not traded on regulated or equivalent markets

14,999,339.80

5.13

TOTAL debt securities

16,999,291.26

5.81

Debt securities not traded on regulated or equivalent markets SPAIN SANTANDER CONSUMER FINANCE S.A 290116 FIX 0.0

EUR

10,000,000

TOTAL SPAIN USA HEWLETT PACKARD ENTERPRISE CO. 270116 FIX 0.0

EUR

3,000,000

TOTAL USA NETHERLANDS IBERDROLA INTERNATIONAL BV 110116 FIX 0.0 TOTAL NETHERLANDS

EUR

2,000,000

6



SECURITIES PORTFOLIO AT 31/12/2015 (continued)

Type of security

Currency

Quantity (number or nominal value)

Current value

% net assets

Undertakings for collective investment UCITS and general AIF intended for non-professionals and equivalents in other states FRANCE H2O MULTIEMERGING DEBT I USD C

USD

106

4,931,665.86

1.68

TOTAL FRANCE

4,931,665.86

1.68

TOTAL UCITS and general AIF intended for nonprofessionals and equivalents in other states

4,931,665.86

1.68

TOTAL undertakings for collective investment

4,931,665.86

1.68

Securities deposited Bonds and similar securities traded on regulated or equivalent markets BTPS 2.35 09/15/24

EUR

5,000,000

5,849,940.95

2.00

BTPS 4 3/4 09/01/44

EUR

11,800,000

16,876,859.23

5.77

SPAIN 4.90% 07-300740

EUR

1,450,000

1,999,639.73

0.68

ITALY 4.50% 03/24

EUR

500,000

629,405.96

0.21

ITALY 5% 09-010940

EUR

1,000,000

1,442,782.69

0.49

PORTUGAL 4.1% 06-150437

EUR

500,000

560,810.40

0.19

SPGB 4.4% 10/31/23

EUR

1,350,000

1,660,991.98

0.57

TOTAL bonds and similar securities traded on regulated or equivalent markets

29,020,430.94

9.91

TOTAL securities deposited

29,020,430.94

9.91

424

35,952.02

0.01 0.03

Futures and options Futures commitments Futures commitments on regulated or equivalent markets CBO CBOT USUL 3 0316

USD

EUR EUR EUREX O 0316

EUR

-38

79,800.00

EUR GR EURO BTP 0316

EUR

162

11,990.00

FV CBOT US H6

USD

-6,474

1,451,155.96

0.50

OSE JGB 0316

JPY

-75

-167,283.39

-0.06

R LIFFE L H6

GBP

-416

397,476.43

0.14

TU CBOT US H6

USD

-361

73,831.00

0.03

TY CBOT YS H6

USD

-132

32,147.55

0.01

US US TBON H6

USD

-45

-7,134.31

XEUR FGBL BUND 10 H6

EUR

-266

510,900.00

XEUR FGBM BOBL H6

EUR

-75

-10,110.00

0.17

TOTAL futures commitments on regulated markets

2,408,725.26

0.83

TOTAL futures commitments

2,408,725.26

0.83

Options commitments Options commitments on over-the-counter markets EUR/NOK OTC 03/2016 CALL 10

EUR

-4,000,000

-28,143.03

-0.01

EUR/NOK OTC 03/2016 CALL 10

EUR

-4,500,000

-31,660.91

-0.01

EUR/NOK OTC 03/2016 PUT 9.24

EUR

4,500,000

17,581.83

0.01

7



SECURITIES PORTFOLIO AT 31/12/2015 (continued)

Type of security

Currency

Quantity (number or nominal value)

Current value

% net assets

EUR/NOK OTC 03/2016 PUT 9.24

EUR

4,000,000

15,628.29

0.01

EUR/PLN OTC 04/2016 CALL 4.7

EUR

-11,000,000

-10,625.00

EUR/USD OTC 02/2016 CALL 0.9

EUR

-700,000

-140.00

EUR/USD OTC 02/2016 CALL 1.15

EUR

-5,000,000

-4,045.78

EUR/USD OTC 02/2016 PUT 0.9

EUR

700,000

140.00

EUR/USD OTC 02/2016 PUT 0.965

EUR

-22,500,000

-1,687.50

EUR/USD OTC 02/2016 PUT 0.975

EUR

5,000,000

180.95

EUR/USD OTC 02/2016 PUT 0.975

EUR

-5,000,000

-180.95

EUR/USD OTC 02/2016 PUT 1.065

EUR

15,000,000

96,825.00

0.03

EUR/USD OTC 02/2016 PUT 1.065

EUR

-7,500,000

-48,412.50

-0.02

EUR/USD OTC 04/2016 PUT 0.95

EUR

64,600,000

20,528.70

0.01

EUR/USD OTC 04/2016 PUT 0.95

EUR

26,000,000

8,262.33

EUR/USD OTC 04/2016 PUT 0.95

EUR

-16,200,000

-5,148.07

EUR/USD OTC 04/2016 PUT 0.95

EUR

-16,200,000

-5,148.07

EUR/USD OTC 04/2016 PUT 0.95

EUR

-27,000,000

-8,580.11

EUR/USD OTC 04/2016 PUT 0.95

EUR

-93,300,000

-29,649.04

-0.01

EUR/USD OTC 04/2016 PUT 1.05

EUR

62,200,000

511,784.67

0.16

EUR/USD OTC 04/2016 PUT 1.05

EUR

18,000,000

148,104.89

0.04

EUR/USD OTC 04/2016 PUT 1.05

EUR

10,800,000

88,862.93

0.03

EUR/USD OTC 04/2016 PUT 1.05

EUR

10,800,000

88,862.93

0.03

EUR/USD OTC 04/2016 PUT 1.05

EUR

-13,300,000

-109,433.06

-0.04

EUR/USD OTC 04/2016 PUT 1.05

EUR

-13,600,000

-111,901.47

-0.04

USD/JPY OTC 07/2016 CALL 135

USD

12,000,000

16,509.97

0.01

USD/JPY OTC 07/2016 CALL 135

USD

-12,000,000

-16,509.97

-0.01

USD/JPY OTC 07/2016 PUT 112.5

USD

12,000,000

79,102.88

0.03

USD/JPY OTC 07/2016 PUT 112.5

USD

-12,000,000

-79,102.88

-0.03

USD/JPY OTC 11/2016 CALL 132.25

USD

-8,600,000

-47,436.29

-0.02

USD/JPY OTC 11/2016 CALL 132.25

USD

-11,700,000

-64,535.41

-0.02

USD/JPY OTC 11/2016 CALL 133.25

USD

-8,200,000

-40,300.99

-0.01

USD/JPY OTC 11/2016 PUT 112

USD

11,700,000

137,541.15

0.05

USD/JPY OTC 11/2016 PUT 112

USD

8,600,000

101,098.62

0.03

USD/JPY OTC 11/2016 PUT 112

USD

8,200,000

96,396.36

0.03

USD/RUB OTC 02/2016 CALL 180

USD

-6,000,000

-571.67

USD/RUB OTC 02/2016 CALL 190

USD

-3,600,000

-343.00

USD/RUB OTC 02/2016 PUT 60

USD

6,000,000

4,432.48

USD/RUB OTC 02/2016 PUT 60

USD

3,600,000

2,659.49

USD/RUB OTC 02/2016 PUT 60

USD

-3,500,000

-2,585.61

USD/RUB OTC 02/2016 PUT 60

USD

-6,100,000

-4,506.35

USD/TRY OTC 02/2016 CALL 3

USD

5,500,000

43,290.89

0.01

8



SECURITIES PORTFOLIO AT 31/12/2015 (continued)

Type of security

Currency

Quantity (number or nominal value)

Current value

% net assets

USD/TRY OTC 02/2016 CALL 3

USD

2,750,000

21,645.45

0.01

USD/TRY OTC 02/2016 CALL 3

USD

2,750,000

21,645.45

0.01

USD/TRY OTC 02/2016 CALL 3.15

USD

-3,437,500

-5,907.56

USD/TRY OTC 02/2016 CALL 3.15

USD

-3,437,500

-5,907.56

USD/TRY OTC 02/2016 CALL 3.15

USD

-6,875,000

-11,815.12

USD/TRY OTC 02/2016 PUT 2.725

USD

-2,750,000

-1,011.37

USD/TRY OTC 02/2016 PUT 2.725

USD

-2,750,000

-1,011.37

USD/TRY OTC 02/2016 PUT 2.725

USD

-5,500,000

-2,022.73

TOTAL options commitments on over-the-counter markets

842,761.89

0.28

Options commitments on regulated or equivalent markets EURO$ 3M 03/2016 CALL 99.625

USD

-50

-287.67

EURO$ 3M 03/2016 PUT 97.25

USD

-25

-143.84

EURO$ 3M 03/2016 PUT 98.25

USD

25

143.84

EUR/PLN OTC 04/2016 PUT 3.9

EUR

11,000,000

2,291.82

MID-CURVE 1YR USD 09/2016 PUT 98

USD

260

68,811.56

0.02

MID-CURVE 1YR USD 09/2016 PUT 98.75

USD

-52

-58,938.60

-0.02

USD/CNH OTC 09/2016 CALL 7

USD

800,000

164,779.53

0.06

USD/CNH OTC 10/2016 CALL 7

USD

600,000

131,869.65

0.05

308,526.29

0.11

TOTAL options commitments

1,151,288.18

0.39

TOTAL futures and options

3,560,013.44

1.22

TOTAL options commitments on regulated markets

Margin calls CA Indosuez margin calls in GBP

GBP

-292,960

-397,476.42

-0.14

CA Indosuez margin calls in USD

USD

-2,110,029.99

-1,942,400.80

-0.66

CA Indosuez margin calls in EUR

EUR

-675,210.25

-675,210.25

-0.23

CA Indosuez margin calls in JPY

JPY

21,860,000

167,283.39

0.06

-2,847,804.08

-0.97

1,370,514,043.92

468.05

-1,386,159,686.90

-473.40

41,017,035.89

14.01

292,814,553.07

100.00

TOTAL margin calls Receivables Payables Financial accounts Net asset value

H2O ALLEGRO HGBP-I(C)

GBP

15,243.5730

256.81

H2O ALLEGRO HCHF-I(C)

CHF

28.5000

53,310.77

H2O ALLEGRO HSGD-R(C)

SGD

31,715.8233

131.18

H2O ALLEGRO HCHF-R(C)

CHF

748.2139

12,257.51

H2O ALLEGRO R(C)

EUR

4,163.9362

19,685.87

H2O ALLEGRO I(C)

EUR

1,711.2822

100,000.40

H2O ALLEGRO HUSD-I(C)

USD

331.3945

58,029.42

H2O ALLEGRO HUSD-R(C)

USD

376.4728

12,030.66

9