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