ucits under french law - euronext

UCITS UNDER FRENCH LAW

DORVAL MANAGEURS EUROPE

ANNUAL REPORT

As at 31 December 2019

Management Company: Dorval ASSET MANAGEMENT

Custodian: Caceis Bank France Statutory Auditor: KPMG

DORVAL ASSET MANAGEMENT 1, rue de Gramont – 75002 Paris, France – Tel.: +33 (0)1 44 69 90 44

Société anonyme (French public limited company) with share capital of €303,025, registered in the Paris Trade and Companies Register B 391 392 768 – APE 6630 Z

www.dorval-am.com

http://www.dorval-am.com/

CONTENTS

1- Management report

2- Statutory auditor’s certification

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Dorval Manageurs Europe:

2019 Management Report

Category: Equities from countries in the European Union.

Management objective: Over a period of more than five years, by relying on a fundamental analysis of listed companies, its objective is to generate a performance exceeding that of the MSCI Pan-Euro index in euros with dividends reinvested over the recommended investment period.

Reference indicator: MSCI Pan-Euro NR

Risk profile: Your money will be primarily invested in financial instruments selected by the Management Company. These instruments will be subject to the trends and risks of the equity markets in the euro area. The Fund’s risk profile is intended for an investment period of over 5 years.

Net assets of the fund as at 12/31/19: €257,382,209.98

12/31/2019 R unit I unit N unit Q unit

NAV €179.11 €19,069.80 €78.79 €111.54

Number of units 713,099.54 6,163.715 96,808.024 40,213.962

Net assets €127,727,599.91 €117,540,828.34 €7,628,291.16 €4,485,490.57

Valuation: daily – Inception date: June 30, 2011

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1/ Economic and financial context

2019 on the equity markets can be split into four phases:

• From January to early May: after a correction at the end of 2018, market indices recovered on the back of hopes of the signature of a Chinese-US trade agreement to end the trade war, and a stabilization in the world economy, with the central banks as support.

• On May 5, as investors were expecting a forthcoming trade agreement between the US and China, Donald Trump pulled a surprise when he announced that duties on $200 bn in Chinese goods would be hiked from 10% to 25% the following week, and threatened to tax a further $325 bn in untaxed goods. World stock-market indices had gained overall 20-30% since the end of 2018, but shed around 7% over the month. China was not the only target for the United States’ trade war, as Europe, Mexico, India and Iran were also on the list. Meanwhile in Europe, Theresa May announced she would resign. The results of the European elections revealed voter mistrust of incumbent governments in France, Germany and also in Greece, which helped the Greek index continue its recovery. We also noted the gains for green candidates, which highlights the importance of ecology, the energy transition and changes in consumption that citizens are seeking, denoting a significant turning point in 2019.

• In August, Donald Trump again took everyone by surprise as he wrongfooted investors when he announced fresh border tariff hikes for September. The fresh surge in trade tension (Huawei blacklisted, etc.) triggered investor fears of a recession, although they were already expecting increased support from the central banks via rate cuts.

• From September onwards, hopes of an agreement, support from the central banks, an improvement in macroeconomic indicators, and the prospect of Brexit finally coming off reassured investors. Equity indices surged at the end of the year, with the US leading the pack.

On Friday December 13, Boris Johnson was re-elected, paving the way for Brexit by end-January 2020, while on the same day, Washington and Beijing proclaimed that they had reached an initial agreement, with Donald Trump announcing the cancellation of a hike in tariffs on Chinese products for December 15, after 19 months of trade tension between the two superpowers.

The MSCI PAN-EURO NR gained 25.8% in 2019.

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2/ Investment policy

• First half 2019 Risk aversion prevailed on the European markets right throughout the first half of the year, but markets ended at a high in June. Investors felt reassured on both world economic resilience in May/June and a winddown in tension in the US-China trade war following the G20 summit in Osaka. Over the first six months of 2019, the fund was buoyed in particular by strong showings from Worldline, Neste, Deutz and the takeover bid on Altran. We considerably cut back our positions on oil stocks (Total, RDSA, BP) in April pending the risk that oil prices would plummet (after a 40% gain in 2019). We sold Neste against this backdrop and on concerns of disappointing earnings for the current quarter. We also wound down our holding on TUI pending the vital summer season for profitability, which was unfortunately to remain hard hit by pricing pressure as in 2018. Conversely, we added Electrolux to the portfolio on low valuations on expectations of a forthcoming reassuring earnings report on the back of price rises at the start of the year and a much more flattering commodities situation than the previous year Thales joined the portfolio for the first time on renewed attractive valuations. AMS was also included in

the portfolio in April. After solid 1Q figures, the company’s valuation harbored significant upside.

At June 28, 2019, the 10 main equity positions were: Worldline, Altran Tech, Axa, Wirecard, S&T AG, Groupe Fnac, Solutions 30, Glencore Xstrata, STMicroelectronics, Leonardo. In our portfolio, Dorval Manageurs Europe invested in the following themes:

• Two transformation themes: industry 4.0 & energy transition on the one hand, and continued

robust growth in digital services on the other.

• A more cyclical economic theme, improving purchasing power in Europe.

• A selection of non-theme based stocks, with several continued attractive valuation/growth ratios

following the severe share drop in 2018.

Dorval Manageurs Europe posted a slightly lower performance than its reference indicator, rising 13% vs. 16.1% for the MSCI Pan-Euro NR: several major stocks in the European index that made substantial gains over the period were not included in our portfolio for valuation reasons i.e. Adidas, LVMH, Anheuser-Bush, SAP, Dassault Systèmes, etc.

• Second half 2019 In July, investors were caught between the continued slowdown in industry worldwide and the central banks easing their monetary policy. Dorval Manageurs Europe gained slightly, up 1.1% vs a 0.2% rise on the MSCI Pan-Euro NR. The semi-conductor sector provided the portfolio with a lift (AMS, STM) after its business cycle had hit a definite trough in 2Q 2019. However, the fund was dragged down by disappointing earnings reports from two cyclical industrial stocks, Aperam and Deutz, although they only account for a small part of our portfolio. We sold our Dufry holding as the outlook in the tourism sector was tough again in 2019. The fund held onto almost 8% in cash position. In August, the markets notched up three sources of stress i.e. the announcement of fresh border tariffs on Chinese imports into the US, the risk of a political shake-up in Italy orchestrated by Matteo Salvini and the specter of a no-deal Brexit rearing its ugly head with Boris Johnson’s arrival in Downing Street.

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However, fears on these last two points eased at the end of the month, so the markets kept their losses in check in absolute terms. In a defensive approach, we increased our portfolio’s cash position (15%) and reduced our exposure to financials (selling BNPP and Aegon), cyclical semi-conductors (selling STM and AMS) and commodities (selling Glencore), with cyclical companies accounting for less than 10% of the portfolio at that stage. We also hedged 8.5% of the fund. In September, the stock-markets continued to gain, fueled by central banks’ accommodative policies and hopes of a US-China trade agreement. The MSCI Pan-Euro surged 3.8% in October, and Dorval Manageurs Europe gained around half that over the period due to our cautious stance since early August. We kept a high cash position for our fund, and ramped up on non-cyclical stocks with high and stable dividend yield in our portfolio (Engie, Orange, Enel, etc.) to the detriment of financials (Axa, Aegon) and industrial stocks (Aperam, Deutz, Prima). In October, the MSCI Pan-Euro gained, as investors were increasingly justified in expecting a partial US-China trade agreement. In Europe the prospect of a no-deal Brexit faded. Conversely, Dorval Manageurs Europe put in a negative showing, mainly due to declines from four of our holdings, Solutions 30, Wirecard, Fnac and Worldline. With the overall environment improving, we put an end to the fund’s cautious slant at the end of the month and it became fully invested again. The month’s investments mainly involved financials (BNPP, Aegon), industrials (Wacker Neuson, Wienerberger), oil stocks (Total, Royal Dutch Shell) and UK airlines (Easyjet, Ryanair) that can benefit from the pound’s gains. Conversely, we wound down our positions on Orange and Thales following disappointing earnings reports. In November, the European equity markets continued their gains, buoyed by confirmation of a slight uptick in economic activity. Manufacturing orders stabilized and investors still hoped that a phase one agreement would materialize between the US and China. Dorval Manageurs Europe outperformed its reference indicator, the MSCI Pan-Euro Index NR which gained 2.42% in November, lifted by both the fund’s repositioning on more cyclical stocks and financials (BNPP, Ryanair, Aperam and Easyjet) and undervalued strong growth stocks catching up i.e. Ferratum, Worldline and Wirecard. In December, LVMH joined the portfolio, despite the fact that its valuation already reflected its world leading position, as we expected 2020 earnings projections to be upgraded, primarily on the back of business in China and medium-term synergies following the group’s Tiffany acquisition. We ramped up on the energy sector on expectations of a gradual increase in oil and natural gas (Total and Royal Dutch Shell), and conversely, we wound down positions on Enel and Engie in keeping with the fund’s more offensive positioning. In 2019, Dorval Manageurs Europe significantly underperformed its reference indicator – the

MSCI Pan-Euro NR, which gained 25.8% – as a result of visible growth stocks, which have a hefty

weighting in the European index and which we had ruled out of our portfolio for valuation

reasons.

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3/ Fund performance and statistics at December 31, 2019 I unit

R unit

N unit

Q unit – inception 12/28/2018

Performances since inception Performance 2019

+11.54% +11.54%

2019 Jan Feb Mar Apr May Jun Jul Aug Sept Oct Nov Dec 2019

MSCI Pan-Euro

NR 5.8% 4.2% 2.3% 3.6% -4.8% 6.3% 0.3% -1.5% 3.8% 0.6% 2.4% 2.0% 25.0%

Dorval

Manageurs

Europe

I Unit 9.1% 2.3% 1.1% 6.1% -10.8% 4.4% 1.2% -5.2% 1.9%

-

3.9% 2.8% 0.8% 10.6%

Cash % 2.0% 1.4% 2.3% 4.0% 5.9% 5.0% 6.7% 14.9% 8.4% 8.9% 1.9% 0.0%

Futures -8.4% -9.1% 5.9% 2.3% 0.8%

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Specific provisions

● Management objective: Over a period of more than five years, by relying on a fundamental analysis of listed companies, its objective is to generate a performance exceeding that of the MSCI Pan-Euro NR index with net dividends reinvested over the recommended investment period. (Bloomberg code MSDEPEUN).

● Reference indicator: MSCI PAN-EURO NR

The MSCI Pan Euro Index is a stock-market benchmark index calculated as the weighted arithmetical average of free float-adjusted market capitalization of a sample of 200 European equities representative of the pan-European market. The equities that comprise the index are selected for their market capitalization and liquidity. The MSCI Pan Euro Index is calculated and published by MSCI Barra. Calculation of the index incorporates net dividends reinvested. (Bloomberg code MSDEPEUN).

Website: www.msci.com/products/indices/country_and_regional/dm/performance

Investors are advised that the portfolio’s composition may differ considerably from that of the reference indicator.

Investment strategy:

1 – Strategies used:

The Fund uses active management without restriction with the aim of outperforming the reference indicator. The MSCI Pan Euro is focused on around 200 securities. Investments may be made without distinction of size. This stock-picking will take place based solely on a strategy of individual, in-depth analysis of companies that does not aim to track its reference indicator. The portfolio is managed using a methodology based on the concepts of GARP (“growth at a reasonable price”). The methodology used in stock-picking is based on quantitative and qualitative screening, considering both past and prospective performances, based on the portfolio management team’s estimates. This means that the managers focus their investments on securities where the market price does not, in their view, reflect the prospects for growth and the true value of the company.

With these GARP investments, the managers will specifically seek to focus on a limited number of sectors offering higher-than-average growth prospects.

A geographical and sector balance in fund investments is also sought but only monitored retrospectively. If no investments corresponding to the selection criteria can be found, the portfolio managers will be permitted not to invest in equities and may thus hold debt securities and/or cash accounting for up to 25% of the assets.

The selection of companies is also based on the analyses and in-depth research conducted by Dorval Asset Management’s analysts and portfolio managers. These analyses are based on qualitative criteria relating to the executives or the management team. The management company has identified four main categories of executives in these companies i.e. empire builders, family heirs, homegrown managers and rescuers:

▪ Homegrown managers: these executives started their career in the company they manage today. In most cases, they have more than 10 years’ experience in the company in a management position in an international context.

▪ Rescuers: they were given authority during a crisis. These managers are the heads of a pool of

http://www.msci.com/products/indices/country_and_regional/dm/performance

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companies in turnaround situations.

▪ Empire builders: genuine niche developers, they have the ability to identify one or more long-term growth opportunities.

▪ Family heirs: they have a family link with the Builder and take on the operational management of the company. They often start out with a poor image which is not always justified. They are often supported in their initiatives by an experienced manager.

The assessment method for executives is based on the analysis of their professional experience, their managerial profile and through regular direct contact. The portfolio managers assess the executives using 9 criteria that measure their intrinsic qualities as well as their ability to deliver a growth surplus over time. These criteria are based on two concepts: “developer” and “manager”. Non-financial environmental, social and governance criteria (ESG) are also taken on board in this assessment, which enables portfolio managers to identify the investment universe of securities eligible to be included in the portfolio.

Scores achieved on the various criteria are not necessarily an indicator of eligibility or exclusion of the security in the portfolio insofar as the fund's managers and analysts believe that there is potential for progress and revaluation of the security.

The criteria assessed for developer and manager profiles are as follows:

Qualities of the Developer Qualities of the Manager

Business skills/experience and contact

network

Charisma/ability to convince and gain

support from others

Knowledge of the competitive environment Ability to deliver/margin culture

Strategic foresight/ability to adapt,

innovation capabilities

Respect for financial

commitments/transparency

Control of external growth Participation in capital/convergence of

interests

Environmental, social and governance (ESG) criteria

After applying this management screening, the portfolio management team selects securities and focuses in particular on companies’ valuations, zooming in on companies where medium-term profitability may be upgraded by the market consensus.

The fund will not invest in securities issued on emerging markets.

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2 – Description of assets used (excluding derivatives):

The allocation will be distributed between:

• Equities of the European Union: exposure of 75% to 130%, including minimum exposure of 60% to European Union equities.

• Money-market instruments and debt securities: exposure of 0% to 25%.

Equities:

As the Fund is eligible for the PEA (plan d’épargne en actions, French equity savings plan), at least 75% of its assets are permanently invested in securities eligible for the PEA or French UCITS which invest at least 75% of their assets in PEA-eligible securities.

The Fund undertakes to respect a minimum degree of 60% exposure to equities of the European Union.

The portfolio may be exposed to currency risk on currencies of the European Union, excluding the euro. Beyond the threshold of 75%, the Fund may invest in currencies other than those of the European Union, but exposure to currency risk for currencies outside the European Union will be hedged in order to never exceed 10%.

Debt securities:

Securities with an Investment Grade (BBB-) rating as a minimum. The management company relies on its teams and its own methodology to appraise credit risk. The securities comprising the portfolio must satisfy rating constraints as described below: Standard & Poor’s rating or equivalent.

The fund can invest in all bond categories, in particular:

- borrowings issued or guaranteed by an OECD member state, by local authorities of a European Union Member State or one that is party to the agreement on the European Economic Area, or by a public international organization to which one or more European Union Member States, or states party to the agreement on the European Economic Area belong, or securities issued by CADES (the French social security debt repayment fund);

- mortgage bonds;

- public sector or semi-public sector borrowing;

- private sector borrowing.

In the event that an issuer’s rating is downgraded to below BBB, the position will be sold.

Shares or units of other UCITS or investment funds:

The UCITS may hold up to 10% of its assets in French UCITS, European UCITS in accordance with Directive 2009/65/EC and AIFs authorized for marketing purposes in France. The investments in equity UCIs will be made in UCIs that invest in securities of listed companies of all market capitalizations, primarily in European Union countries. These UCIs are classified as “equity” or “diversified” (according to the ECB classification), or “bonds and other debt securities denominated in euros” or “euro money market” and/or “short-term variable net asset value money market”. The portfolio manager will use these UCIs to meet special investment needs for which they do not have sufficient expertise and competence

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(sector or specific geographical area, interest rate products, etc.). These UCITS will be selected based on their performance track record and their rating.

The UCIs and funds held by the Fund may be managed by Dorval Asset Management or one of the asset management companies in Groupe BPCE.

Derivative financial instruments:

Based on the portfolio managers’ expectations of the direction of the equity markets, in order to leverage or protect performance, the Fund may use futures or options traded on organized or regulated markets. The Fund may be overexposed up to 130%.

The Fund will not be subject to counterparty risk.

Securities with embedded derivatives and usage strategy (certificates, subscription warrants, etc.)

On a temporary basis only, if the stocks held issue this type of instrument.

Deposits:

The Fund may use deposits subject to a limit of 20% of its assets with the same credit institution to ensure liquidity to Fund unitholders and to take advantage of market opportunities.

Cash borrowings:

Cash borrowings may not represent more than 10% of the assets and may be used, occasionally, to ensure liquidity for holders wishing to redeem their units without penalizing the overall management of assets.

Temporary purchase and sale of securities:

None

Contracts providing financial guarantees:

None

Leverage:

The Fund may expose between 100% and 130% of its assets, representing leverage of 1.3.

3 – Risk Profile: Your money will be primarily invested in financial instruments selected by the Management Company. The Fund’s risk profile is intended for an investment period of over 5 years. These instruments will be subject to the trends and risks of the equity markets in the euro area. The risks to which unitholders are exposed through the Fund are primarily as follows:

Risk of capital loss:

The portfolio is managed on a discretionary basis and is not covered by any capital protection or guarantee. A capital loss occurs when a unit is sold at a price that is lower than its purchase price.

Equity risk:

The Fund’s net asset value may vary upwards or downwards given that a large proportion of the portfolio is invested in equity markets. Due to its management strategy, the Fund is exposed in particular to small and mid-cap companies which, as a result of their specific characteristics, may have a liquidity risk due

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to the potentially illiquid nature of their market and fall further than large-caps in periods of stress

Currency risk:

Currency risk is related to exposure, via investments and by trades in futures and options, in a currency other than the fund’s valuation currency. Currency fluctuations with respect to the euro may have a positive or negative effect on the Fund’s net asset value.

Interest rate risk:

Interest rate risk results in a decrease in the net asset value in the event of changes in interest rates. When the sensitivity of the portfolio is positive, an increase in interest rates may lead to a fall in the value of the portfolio. When the sensitivity is negative, a fall in interest rates may lead to a fall in the value of the portfolio.

Credit risk:

Credit risk is the risk that an issuer cannot meet its commitments. In the event of a deterioration in the quality of the issuers, such as their rating by the financial rating agencies, the value of the bonds may fall and cause the Fund's net asset value to fall.

Transfer commissions and intermediation fees:

The report relating to intermediary fees provided for in Article 314-82 of the Autorité des Marchés Financiers (French Financial Markets Authority or AMF) General Regulation is available at the following website address: www.dorval-am.com

Asset manager’s policy on voting rights:

Pursuant to Articles 319-21 to 321-132 of the General Regulation of the Autorité des Marchés Financiers (French Financial Markets Authority or AMF), the information and report on the voting policy are available on the website of the Management Company and/or at the registered office.

Selection and evaluation procedure for intermediaries and counterparties:

The main criteria used for the selection and assessment of intermediaries and counterparties are:

- The cost of the intermediation. - The quality of the execution (capacity for best execution in accordance with the regulations in

effect). - The quality of administrative processing (transmission of confirmations, quality of the back

office, etc.). - The quality of the business monitoring: quality of monitoring by the person responsible for the

account at the intermediary and the relevance of their work.

Other criteria may be added in order to improve the evaluation made.

It should be noted that the financial analysis criterion is to be considered independently pursuant to Article 314-75-1 of the AMF General Regulation.

Every year, Dorval Asset Management establishes a rating of the intermediaries and counterparties on the basis of the criteria defined above.

Information on the procedures for calculating overall risk:

The overall risk on financial contracts is calculated using the commitment approach.

http://www.dorval-am.com/

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Information on social, environmental, and governance criteria (Art. L. 533-22-1 and D. 533-16-1 French Monetary and Financial Code):

The Fund’s investment policy includes Environmental, Social and Governance (ESG) non-financial

criteria. Dorval Asset Management also applies an exclusion policy to all its collective management.

Dorval Asset Management’s ESG approach is outlined in its ESG Integration Charter, available on its

website at:

https://www.dorval-am.com/sites/dorval/files/charteesgdorvalamuk.pdf

Information on efficient portfolio management techniques and financial derivative instruments used by the Fund, pursuant to AMF position n°2013-06

Efficient portfolio management techniques

At the date of financial year end, the Fund did not use efficient portfolio management techniques.

Financial derivative instruments

At the date of financial year end, the Fund did not use financial derivative instruments.

SFTR Regulations: Not applicable

Remuneration:

The remuneration policy is developed in accordance with the provisions relating to remuneration in the

EU Directive 2014/91/EU of the European Parliament and the Council of 23 July 2014 (hereinafter

referred to as the “UCITS V Directive”) in its capacity as an asset management company, and EU

Directive 2001/61/EU of the European Parliament and of the Council of 8 June 2011 (hereinafter referred

to as the “AIFM Directive”), on the basis of its status under the AIFM lighter regime.

It consists of overall principles that apply to all staff, specific principles that apply to specific staff

categories identified under UCITS V, and a governance set-up that applies to all employees.

In accordance with the applicable regulations, the Management Company (Dorval Asset Management)

has a remuneration policy established on a durable medium.

Overall principles

The remuneration policy is a strategic component of Dorval Asset Management’s policy. It acts as a tool

for both mobilizing and engaging staff, and ensures competitiveness and attractiveness as compared

with market practices, while also guaranteeing strict financial balance and compliance with regulation.

It also includes an incentive mechanism to retain key staff via the allocation of free shares.

Dorval Asset Management’s remuneration policy applies to all staff and one of its fundamental principles

is the alignment of staff and investor interests:

https://www.dorval-am.com/sites/dorval/files/charte_esg_dorval_am_uk.pdf

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- The policy is consistent and promotes sound and effective risk management, and does not

encourage risk-taking which is inconsistent with the risk profiles, rules or instruments of

incorporation of the products managed;

- The policy complies with the business strategy, objectives, values and interests of the

management company and the products it manages, and of the investors in such products, and

includes measures to avoid conflicts of interest.

Dorval Asset Management’s remuneration policy covers all aspects of compensation, including fixed

salary and, where applicable, variable compensation.

The fixed salary compensates staff for skills, professional experience and their degree of responsibility.

It also factors in market conditions.

Variable compensation is based on an assessment of the collective performance, which is measured

both in terms of the asset management company’s performance and the products it manages, as well

as individual performance. It factors in both quantitative and qualitative aspects, which can be assessed

on an annual or multi-annual basis in order to manage the weighting of strictly financial or temporary

performance.

Qualitative aspects of the remuneration policy

The remuneration policy covers all aspects of compensation. It distinguishes between fixed salary,

based on an assessment of the skills required for the role, and variable compensation, which is based

on an assessment of certain defined individual and/or collective performance criteria.

Compensation therefore consists of the following items:

- Fixed salary;

- Collective and individual variable compensation;

- Incentive measures to retain key staff.

Assessment of performance includes qualitative criteria for all staff. These qualitative criteria

consistently include compliance with regulation and inhouse procedures on risk management and

fulfilment of Dorval Asset Management’s compliance rules.

For each staff category, all quantitative and qualitative goals are set and provided individually to each

staff member at the start of the year.

Individual variable compensation is therefore awarded in a discretionary manner on the basis of an

assessment of individual performances and how performances were achieved based on objectives, as

part of the annual compensation review and in accordance with overall variable compensation budgets

set. Variable compensation paid to staff is affected by any inappropriate risk and compliance

management, or in the event of failure to comply with regulation and inhouse procedures over the year

in question.

There is no contractual guarantee as regards variable compensation, apart from variable compensation

that may be awarded for the first year in a role as part of a recruitment package.

Balance between fixed salary and variable compensation

Dorval Asset Management guarantees an appropriate balance between the fixed and variable

components of total remuneration, and ensures that the fixed salary represents a sufficiently high

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proportion of total remuneration to allow the operation of a fully flexible policy on variable remuneration

components, including the possibility to pay no variable remuneration component. All individual

situations where variable compensation equates to more than 100% of the fixed salary and that can be

attributed to market practices and/or an exceptional level of responsibility, performance and behavior

are listed by the Human Resources department as part of the yearly compensation review.

Set-up applicable to variable compensation paid to specific staff categories

Specific staff categories and scope

In accordance with regulation, specific staff categories at Dorval Asset Management consist of the

following, including senior management: risk takers, control functions and any employee receiving total

remuneration that falls within the remuneration bracket of senior management and risk takers whose

professional activities have a material impact on the risk profiles of the management companies and/or

of the products that it manages. These staff are identified depending on their professional activity, their

degree of responsibility or their total compensation.

Each year ahead of the annual compensation review, the Human Resources department draws up and

sets out the methodology for identifying and setting the scope of these specific staff categories at Dorval

Asset Management, in coordination with the Head of Compliance and Internal Control. The scope for

the entire range of staff identified in this respect is then approved by senior management at Dorval Asset

Management and presented to the Natixis compensation committee.

In accordance with regulation and to ensure alignment between staff, investors and the asset

management company, if variable compensation (including the free share allocation system at the time

of allocation) for these identified categories exceeds a certain threshold, it is then partly deferred and

partly paid in the form of financial instruments over a period of three years.

Currently, application conditions for deferred compensation are as follows:

- Between €200K and €499k: 50% deferred; - From €500K: 60% deferred.

Thresholds from which variable compensation must be partly deferred may change depending on

regulation and any changes in inhouse policies. In this case, new thresholds will be submitted to Dorval

Asset Management’s senior management and the Natixis compensation committee for approval.

Variable compensation is also at least 50% awarded in financial instruments in the shape of cash

investments indexed to a basket of products managed by Dorval Asset Management and to the change

in pre-tax underlying profit1 for the year before the year of allocation2. The variable remuneration system

depends on the status of the employee concerned (CEO, deputy CEOs & CIO, portfolio managers, non-

portfolio managers) and is recorded in an inhouse procedure.

Staff with deferred variable compensation are prohibited from using individual hedging or insurance

strategies over the entire acquisition period.

1 Pre-tax underlying profit, as defined in the French general chart of accounts, minus employee profit-sharing, performance fees and related variable remuneration (10%) 2 In the event of change in business scope, pro forma profit may be defined

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Similarly, Dorval Asset Management will not pay out variable compensation to the specific staff

categories via vehicles or methods that facilitate the avoidance of requirements set out in the AIFM and

UCITS V directives.

Compensation governance

The overall and specific principles of the remuneration policy are set out formally by the Human

Resources department.

The Head of Compliance and Internal Control at Dorval Asset Management plays an active role in

developing, constantly monitoring and assessing the remuneration policy.

Dorval Asset Management is a public limited company with a board of directors. The current

remuneration policy is approved by Dorval Asset Management’s board of directors.

Dorval Asset Management set up a compensation committee in 2015. The board of directors is the

parent body for this committee. It takes place on a yearly basis, and is made up of executives and the

Head of Human Resources at Dorval Asset Management as well as representatives of Dorval Asset

Management’s board of directors who belong to Natixis Investment Managers. It is chaired by the chair

of the board of directors, or a member that he/she appointed who does not hold executive functions in

the asset management company.

The overall and specific principles, compliance of Dorval Asset Management’s remuneration policy with

the regulation it is subject to, terms for application and summary data on the policy, including specific

staff categories identified and the highest remunerations, are subject to a review from the Dorval Asset

Management compensation committee.

All this information is also assessed by the Natixis compensation committee and then approved by its

board of directors.

Dorval Asset Management reviews the overall principles of this policy on a yearly basis and will assess

whether this policy is fully complied with. A record is kept of this control and review.

Transparency set-up

Dorval Asset Management informs its staff and investors in Funds of the main aspects of its

remuneration policy in a detailed way in its KIID, prospectuses and fund annual reports.

Useful information on the remuneration policy is published in the financial statements or in the shape of

an independent declaration.

Control set-up on variable compensation

This policy is set up to minimize risks in this area. The Head of Compliance and Internal Control includes

control of implementation of the policy in his/her yearly program.

Controls conducted by the Head of Compliance and Internal Control involve checking that the

remuneration policy is established in such a way as to align with the business strategy and long-term

goals, values and interests of the management company and the funds managed, as well as with those

of investors, while ensuring sound and stringent risk management.

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The Head of Compliance and Internal Control at Dorval Asset Management includes the question of

variable remuneration in potential risks of conflicts of interest.

Lastly, Dorval Asset Management’s entire remuneration policy is subject to an annual centralized and

independent review by the Natixis IM Internal Audit department.

Compensation paid out for 2019

The total amount of compensation for the year, broken down into fixed salary and variable

compensation, paid by the asset management company to its staff and the number of beneficiaries are

as follows:

Payroll for 2019 €4,549,284

O/w variable compensation paid for the 2018 performance €1,745,879

O/w deferred variable compensation awarded for the year

2017 and paid in 2019 (second third) 0

O/w deferred variable compensation awarded for the year

2018 and paid in 2019 (first third) €216,718

Total staff involved 29

The total amount of compensation, broken down between senior executives and members of staff at the

asset management company whose work has a significant impact on the asset manager’s risk profile

and/or the risk profile of portfolios:

Payroll for 2019 for all specific staff categories identified €3,545,580

O/w payroll for senior executives €2,224,811

Total specific staff categories identified 15

Events over the period: ESG criteria were included in the investment strategy.

Registered office: KPMG S.A. Tour Eqho 2 avenue Gambetta 92066 Paris La Défense Cedex Capital: €5,497,100. APE code 6920Z Nanterre Trade and Companies Register No. 775 726 417 European Union VAT FR 77 775 726 417

A Société Anonyme (limited company)

with management and supervisory boards, providing accounting, auditing and consulting services. Registered with the Paris Tableau de l’Ordre (accounting firm register) under

no. 14- 30080101 and member of the Versailles Compagnie Régionale des Commissaires aux Comptes (regional association of statutory auditors).

KPMG S.A., a French company and member of the KPMG network of independent firms affiliated with

KPMG International Cooperative, an entity under Swiss

law.

KPMG S.A.

Registered office

Tour EQHO

2 Avenue Gambetta

CS 60055

92066 Paris la Défense Cedex

France

Telephone: +33 (0)1 55 68 86 66

Fax: +33 (0)1 55 68 86 60

Website: www.kpmg.fr

Mutual Fund DORVAL MANAGEURS EUROPE

Statutory auditor’s report on the annual financial statements

Financial year ended December 31, 2019

http://www.kpmg.fr/

Registered office: KPMG S.A. Tour Eqho 2 avenue Gambetta 92066 Paris La Défense Cedex Capital: €5,497,100. APE code 6920Z Nanterre Trade and Companies Register No. 775 726 417 European Union VAT FR 77 775 726 417

A Société Anonyme (limited company)

with management and supervisory boards, providing accounting, auditing and consulting services. Registered with the Paris Tableau de l’Ordre (accounting firm register) under

no. 14- 30080101 and member of the Versailles Compagnie Régionale des Commissaires aux Comptes (regional association of statutory auditors).

KPMG S.A., a French company and member of the KPMG network of independent firms affiliated with

KPMG International Cooperative, an entity under Swiss

law.

KPMG S.A.

Registered office

Tour EQHO

2 Avenue Gambetta

CS 60055

92066 Paris la Défense Cedex

France

Telephone: +33 (0)1 55 68 86 66

Fax: +33 (0)1 55 68 86 60

Website: www.kpmg.fr

Mutual Fund DORVAL MANAGEURS EUROPE

1, rue Gramont - 75002 Paris


Financial year ended December 31, 2019

Dear unitholders,

Opinion

In performance of the mandate entrusted to us by the Management Company, we have

audited the annual financial statements of the undertaking for collective investment

DORVAL MANAGEURS EUROPE, incorporated as a mutual investment fund, relating

to the financial year ended December 31, 2019, as attached to this report.

We certify that the annual financial statements are, in compliance with French

accounting rules and principles, accurate and consistent, and give a true and fair view of

the financial performance for the previous financial year as well as the financial situation

and assets of the Mutual Fund at the end of the financial year.

Basis of opinion

Audit terms of reference

We conducted our audit in accordance with the standards of professional practice applicable in

France. We believe that the information we collected is sufficient and appropriate as a basis for our

opinion.

Our responsibilities pursuant to these standards are set out in the section of this report entitled

“Statutory auditor’s responsibilities regarding the audit of the annual financial statements”.

Independence

We conducted our audit assignment in line with the rules of independence that apply to us, during the period from January 1, 2019 to the date of issue of our report, and in particular we did not provide any services forbidden by the Code of Ethics for Statutory Auditors.

http://www.kpmg.fr/

3

Mutual Fund



April 15, 2020

Justification of assessments

In accordance with the provisions of Articles L. 823-9 and R. 823-7 of the French Commercial

Code relating to the justification of our assessments, we would inform you that, in our

professional opinion, the most significant assessments we conducted were based on the

appropriateness of the accounting principles applied, in particular regarding the financial

instruments held in the portfolio, and on the overall presentation of the financial statements in

terms of the chart of accounts for open-ended undertakings for collective investment.

The assessments were made as part of our audit of the annual financial statements, taken as

a whole, and therefore contributed to the formation of the opinion expressed above. We have

no comment to make on any individual aspect of these annual financial statements.

Verification of the management report prepared by the Management Company

We also performed specific verifications as required by law in accordance with professional

auditing standards in France.

We have no observations to make concerning the accuracy and consistency with the annual

financial statements of the information provided in the management report prepared by the

Management Company.

Responsibilities of the Management Company with respect to the annual financial statements

It is the Management Company’s responsibility to prepare annual financial statements that give

a true and fair view, in accordance with French accounting rules and principles, and to

implement the internal controls it deems necessary for the preparation of annual financial

statements that are free of material misstatement, whether due to fraud or error.

When preparing the annual financial statements, it is the Management Company’s

responsibility to assess the Fund’s ability to continue as a going concern, to present in said

financial statements, where applicable, the necessary information relating to its viability as a

going concern, and to apply the going concern accounting policy unless it intends to wind up

the Fund or to cease trading.

The annual financial statements were prepared by the Management Company.

Statutory auditor’s responsibilities regarding the audit of the annual financial

statements

It is our responsibility to draft a report on the annual financial statements. Our aim is to obtain

reasonable assurance that the annual financial statements, taken as a whole, are free of

material misstatement. Reasonable assurance corresponds to a high level of assurance, but

does not guarantee that an audit performed in accordance with the standards of professional

practice can systematically detect any material misstatement. Misstatements may arise from

fraud or error and are considered material where it can reasonably be expected that, taken

individually or together, they may influence the economic decisions made by users of the

financial statements that are based upon such misstatements.

As specified by Article L. 823-10-1 of the French Commercial Code, our task is to certify the

financial statements and not to guarantee the viability or the quality of the management of your

Fund.

4

Mutual Fund



April 15, 2020

As part of an audit conducted in accordance with the professional practice standards applicable

in France, the statutory auditor exercises their professional judgement throughout this audit. In

addition:

• they identify and assess the risks that the annual financial statements may contain

material misstatements, whether due to fraud or error, set out and implement the audit

procedures intended to counter these risks and collate the items that they deem

sufficient and appropriate to justify their opinion. The risk of non-detection of a material

misstatement due to fraud is higher than that of a material misstatement due to an error,

since fraud may involve collusion, forgery, voluntary omissions, misrepresentation or the

circumvention of internal control processes;

• they take note of the internal control processes relevant to the audit so as to set out audit

procedures that are appropriate to the circumstances, and not to express an opinion on

the effectiveness of the internal control processes;

• they assess the appropriateness of the accounting policies used and the reasonableness

of the accounting estimates made by the Management Company, as well as the

information provided that concerns them in the annual financial statements;

• they assess the appropriateness of the application by the Management Company of the

going concern’s accounting policy and, based on the evidence gathered, whether there

is significant uncertainty relating to events or circumstances that may affect the Fund’s

ability to continue as a going concern. This assessment is based on the information

gathered up to the date of their report, on the understanding that subsequent events or

circumstances may affect its viability as a going concern. If they conclude that significant

uncertainty exists, they draw the attention of the reader of the report to the information

provided in the annual financial statements about this uncertainty or, if this information is

not provided or is not relevant, they issue a certification with reservations or a refusal to

certify;

• they appraise the overall presentation of the annual financial statements, and assess

whether said statements reflect the transactions and underlying events, and thus

provide a true and fair view thereof.

Paris La Défense, April 15, 2020

KPMG S.A.

Nicolas Duval

Arnould

Digital signature by Nicolas Duval Arnould

Date: 2020.04.15 10:55:45 +02’00’

Nicolas Duval-Arnould Partner

DORVAL MANAGEURS EUROPE: ANNUAL FINANCIAL STATEMENTS 12/31/2019

BALANCE SHEET – ASSETS AS AT 12/31/2019 IN EUR

12/31/2019 12/31/2018

Net fixed assets

Deposits

Financial instruments

Equities and similar securities

Traded on a regulated or equivalent market

Not traded on a regulated or equivalent market

Bonds and similar securities



Debt securities


Negotiable debt securities

Other debt securities


Collective investment undertakings

General-purpose UCITS and alternative investment funds intended for non-professionals and equivalents in other countries

Other funds and equivalents in other EU Member States intended for

non-professional investors

Professional investment funds and equivalents from other EU Member

States and listed special purpose vehicles

Other professional investment funds and their equivalents in other EU

Member States and unlisted securitization special purpose vehicles

Other non-European undertakings

Temporary securities transactions

Receivables on securities received under repurchase agreements

Receivables representing loaned securities

Borrowed securities

Securities transferred under repurchase agreements

Other temporary transactions

Forward financial instruments

Transactions on a regulated or equivalent market

Other transactions

Other financial instruments

Receivables

Forward foreign exchange transactions

Other

Financial accounts

Cash and cash equivalents

0.00 0.00

0.00 0.00

257,568,106.20 440,873,079.21

232,432,082.40 412,350,880.55

232,432,082.40 412,350,880.55

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

25,129,543.80 28,522,198.66

25,129,543.80 28,522,198.66

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

0.00 0.00

6,480.00 0.00

6,480.00 0.00

0.00 0.00

0.00 0.00

538,829.73 1,698,851.90

0.00 0.00

538,829.73 1,698,851.90

804,024.65 798,381.21

804,024.65 798,381.21

Total assets 258,910,960.58 443,370,312.32


BALANCE SHEET – LIABILITIES AT 12/31/2019 IN EUR

12/31/2019 12/31/2018

Shareholders’ equity

Capital

Undistributed prior net capital gains and losses (a)

Retained earnings (a)

Net capital gains and losses for the financial year (a, b)

Profit/loss for the financial year (a, b)

Total shareholders’ equity (= amount representing net assets)

Financial instruments

Sales of financial instruments


Payables on securities transferred under repurchase agreements

Payables on borrowed securities

Other temporary transactions


Transactions on a regulated or equivalent market

Other transactions

Payables

Forward foreign exchange transactions

Other

Financial accounts

Current bank loans

Borrowings

291,621,882.97

0.00

0.00

-36,575,142.05

2,335,469.06

257,382,209.98

6,480.00

0.00

0.00

0.00

0.00

0.00

6,480.00

6,480.00

0.00

1,522,270.60

0.00

1,522,270.60

0.00

0.00

0.00

454,146,676.14

0.00

0.00

-15,439,685.54

2,357,315.76

441,064,306.36

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

2,306,005.96

0.00

2,306,005.96

0.00

0.00

0.00

Total liabilities 258,910,960.58 443,370,312.32

(a) Including adjustments

(b) Minus interim dividends paid over the financial year


OFF-BALANCE SHEET ITEMS AT 12/31/2019 IN EUR

12/31/2019 12/31/2018

Hedging transactions

Commitments on regulated or equivalent markets

Commitments on over-the-counter markets

Other commitments

Other transactions

Commitments on regulated or equivalent markets

Futures contracts

EUR XEUR FESX D 0320

Commitments on over-the-counter markets

Other commitments

2,013,660.00

0.00


INCOME STATEMENT AT 12/31/2019 IN EUR

12/31/2019 12/31/2018

Income from financial transactions

Income from deposits and financial accounts 0.00 0.00

Income from equities and similar securities 9,862,163.97 13,615,118.01

Income from bonds and similar securities 0.00 0.00

Income from debt securities 0.00 0.00

Income from temporary purchases and sales of securities 0.00 0.00

Income from forward financial instruments 0.00 0.00

Other financial income 0.00 0.00

Total (1) 9,862,163.97 13,615,118.01

Expenses on financial transactions

Expenses on temporary purchases and sales of securities 0.00 0.00

Expenses on forward financial instruments 0.00 0.00

Expenses on financial debt 65,729.28 120,528.08

Other financial expenses 0.00 0.00

Total (2) 65,729.28 120,528.08

Income from financial transactions (1 - 2) 9,796,434.69

13,494,589.93

Other income (3) 0.00 0.00

Management fees and depreciation provisions (4) 5,513,433.83 9,541,948.31

Net profit for the financial year (L. 214-17-1) (1 - 2 + 3 - 4) 4,283,000.86

3,952,641.62

Income adjustment for the financial year (5) -1,947,531.80 -1,595,325.86

Interim dividend payments for the financial year (6) 0.00 0.00

Net profit/loss (1 - 2 + 3 - 4 + 5 - 6) 2,335,469.06

2,357,315.76


NOTES TO THE ANNUAL FINANCIAL STATEMENTS

1. ACCOUNTING POLICIES AND RULES

The annual financial statements are presented in the form prescribed by the ANC (French accounting standards authority) Regulation 2014-01, as amended.

The following general accounting principles apply: - a true and fair view, comparability and a going concern, - lawfulness and fairness, - prudence, - consistency in accounting methods from one financial year to the next.

Income from fixed-income securities is recorded using the accrued interest method.

Purchases and sales of securities are recorded exclusive of fees.

The reference currency of the portfolio is the euro. The length of the financial year is 12 months.

Asset value rules

Financial instruments are recorded using the historical cost method and entered in the balance sheet at their current value, i.e. at their last known market value, or, where there is no market, via any external methods or using financial modelling. Differences between the current values used to calculate the net asset value and the historical costs of transferable securities when these were first included in the portfolio are recorded in the accounts as “valuation differences”. Securities denominated in currencies other than the portfolio’s reference currency are valued using the policy described below, and then converted into the portfolio’s reference currency at the exchange rate on the valuation date.

Deposits: Deposits with a residual life of three months or less are appraised on a straight-line basis.

Equities, bonds and other securities traded on a regulated or equivalent market:

To calculate the net asset value, equities and other securities traded on a regulated or equivalent market are valued on the basis of the final stock market price of the day. Bonds and similar securities are valued at the closing price notified by various financial service providers. Interest accrued on bonds and similar securities is calculated up to the net asset value date.

Equities, bonds and other securities not traded on a regulated or equivalent market:

Securities not traded on a regulated market are valued under the responsibility of the Management Company using methods based on asset value and return, taking into account the prices used in recent significant transactions.

Negotiable debt securities:

Negotiable debt securities and similar securities that are not traded in large volumes are valued using an actuarial method based on a reference rate defined below, which is increased, where applicable, by a differential that is representative of the intrinsic characteristics of the issuer: Negotiable debt securities maturing in one year or less: Euro Interbank Offered Rate (Euribor); Negotiable debt securities maturing in over one year: Rates for French treasury bills (BTANs) or French treasury bonds (OATs) with similar maturity dates for the longest durations. Negotiable debt securities with a residual life of three months or less may be valued on a straight-line basis. French treasury bills are valued on the basis of the market rate published daily by the Banque de France.


UCIs held:

UCI units or shares will be valued at the last known net asset value.

Temporary securities transactions:

Securities received under repurchase agreements are recorded as assets under the “Receivables on securities received under repurchase agreements” heading at the amount indicated in the contract, plus any accrued interest receivable. Securities transferred under repurchase agreements are recognized in the long portfolio at their current value. The debt in respect of securities transferred under repurchase agreements is recognized in the short portfolio at the contractual value plus any accrued interest payable. Loaned securities are valued at their current value and are recorded as assets at their current value, plus accrued interest receivable, under the “Receivables representing loaned securities” heading. Borrowed securities are recorded as assets under the “Borrowed securities” heading at the contracted amount, and as liabilities under the “Payables on borrowed securities” heading at the amount indicated in the contract, plus any accrued interest payable.

Forward financial instruments: Forward financial instruments traded on a regulated or equivalent market:

Forward financial instruments traded on a regulated market are valued at the day’s settlement price.

Forward financial instruments not traded on a regulated or equivalent market: Swaps:

Interest rate and/or currency swaps are appraised at their market value on the basis of a price calculated by discounting future interest flows at market interest rates and/or exchange rates. The resulting price is then adjusted for issuer risk. Index swaps are valued using an actuarial method based on a reference rate supplied by the counterparty. Other swaps are valued at their market value or at an estimated value in accordance with the methods established by the Management Company.

Off-balance sheet commitments:

Futures contracts are recorded as off-balance sheet commitments at their market value on the basis of the price used in the portfolio. Options are recognized at a value equivalent to that of their underlying assets. Swap commitments are recorded at their nominal value or, where there is no nominal value, at an equivalent amount.

Management fees Management fees are calculated each time the net assets are valued. These fees are recorded in the income statement for the UCITS. Management fees are paid in full to the Management Company responsible for all of the UCITS’ operating costs. Management fees do not include transaction fees. The rate applicable to the net assets is as follows: 1.80% (taxes included) for R units 0.90% (taxes included) for I units 1.50% (taxes included) for N units 0.10% (taxes included) for Q units

The performance fee applicable to a particular unit class is based on a comparison of the Fund’s valued assets and its reference assets. The Fund’s valued assets are the portion of the assets corresponding to a specific unit class, valued in accordance with the valuation rules applicable to the assets and taking into account the actual operating and management fees corresponding to this unit class. The reference assets represent the portion of the Fund’s assets corresponding to a specific unit class, adjusted to take into account the subscription/redemption amounts applicable to this unit class at each valuation, and, if need be, valued in accordance with the outperformance of the selected reference indicator. The reference indicator used to calculate the performance fee is the MSCI PAN EUROPE NR calculated


with net dividends reinvested (Bloomberg code MSDEPEUN Index), at the closing price. It is denominated in euros. The observation period corresponds: - To the observation period, for R, I, N units: from 1 January to 31 December of each year. - If, during the observation period, the Fund’s valued assets are strictly greater than the reference assets as defined above and if its performance is therefore positive, the variable portion of the management fees will amount to 20% inclusive of tax of the difference between these two assets. - If, during the observation period, the Fund’s valued assets are less than or equal to the reference assets, the variable portion of the management fees will be zero. - If, during the observation period, the Fund’s valued assets are strictly greater than the reference assets and if its performance is therefore positive, this difference will be subject to a provision for variable management fees at the time of the net asset value calculation. - In the event that the Fund’s valued assets are less than or equal to the reference assets between two net asset values, any previously approved provision will be reduced accordingly. Reductions in provisions must not exceed the previous allocations. This variable portion will only be collected at the end of the accounting period if, over the elapsed period, the Fund’s valued assets are greater than the reference assets at the time of the final net asset value for the reference period. In the event of redemption, the portion of the provision corresponding to the number of shares redeemed is permanently retained by the Management Company. Investors are invited to refer to the UCITS' annual report for further information.

Allocation of distributable income Definition of distributable income:

Distributable income consists of:

Income:

The net income for the financial year is equal to the amount of interest, arrears, premiums and bonuses, dividends, directors’ fees and all other income generated by the securities held in the portfolio, plus income generated by temporary cash holdings, less management fees and borrowing costs. It is increased by the retained earnings and increased or reduced by the balance of the income adjustment account.

Capital gains and losses:

Realized capital gains, net of fees, minus realized capital losses, net of fees, recorded in the current financial year, plus net capital gains of the same type recognized in previous years that have not been distributed or accumulated, plus or minus current-year net capital gains adjustments.

Procedures for allocating distributable income:

Distributable income R, I, N and Q units

Allocation of net income Accumulation

Allocation of net realized capital gains or losses

Accumulation


2. CHANGES IN NET ASSETS AT 12/31/2019 IN EUR

12/31/2019 12/31/2018

Net assets at the beginning of the financial year 441,064,306.36 719,810,060.30

Subscriptions (including subscription fees paid to the UCI) 53,525,158.96 410,584,630.23

Redemptions (excluding redemption fees paid to the UCI) -279,329,194.96 -472,112,337.23

Capital gains earned on deposits and financial instruments 50,549,804.07 82,854,125.87

Capital losses incurred on deposits and financial instruments -104,619,488.34 -94,015,919.96

Capital gains earned on forward financial instruments 433,430.00 0.00

Capital losses incurred on forward financial instruments -2,518,370.00 0.00

Transaction fees -5,234,518.22 -6,117,458.26

Exchange rate differences 1,740,205.79 -829,589.31

Changes in the valuation difference on deposits and financial instruments 97,494,355.46 -203,061,846.90

Valuation difference, financial year N -11,444,092.21 -108,938,447.67

Valuation difference, financial year N-1 108,938,447.67 -94,123,399.23

Changes in the valuation difference on forward financial instruments -6,480.00 0.00

Valuation difference, financial year N -6,480.00 0.00

Valuation difference, financial year N-1 0.00 0.00

Dividends paid in the previous financial year on net capital gains and losses 0.00 0.00

Dividends paid in the previous financial year on income 0.00 0.00

Net income for the financial year prior to adjustment 4,283,000.86 3,952,641.62

Interim dividend(s) paid during the financial year on net capital gains and losses 0.00 0.00

Interim dividend(s) paid during the financial year on income 0.00 0.00

Other items 0.00 0.00

Net assets at the end of the financial year 257,382,209.98 441,064,306.36


3. ADDITIONAL INFORMATION

3.1. BREAKDOWN OF FINANCIAL INSTRUMENTS BY LEGAL OR

ECONOMIC TYPE

Amount %

Assets


TOTAL Bonds and similar securities

Debt securities

TOTAL Debt securities

Liabilities

Sales of financial instruments

TOTAL Sales of financial instruments

Off-balance sheet items


TOTAL Hedging transactions

Other transactions

Equities

TOTAL Other transactions

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

2,013,660.00

0.78

2,013,660.00 0.78


3.2. BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE

SHEET ITEMS BY INTEREST RATE TYPE

Fixed rate % Variable rate % Adjustable rate % Other %

Assets

Deposits


Debt securities


Financial accounts

Liabilities


Financial accounts



Other transactions

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

804,024.65

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.31

0.00

0.00

0.00

0.00


SHEET ITEMS BY RESIDUAL MATURITY

< 3 months % ]3 months - 1

year] % ]1 - 3 years] % ]3 - 5 years] % > 5 years %

Assets

Deposits


Debt securities


Financial accounts

Liabilities


Financial accounts



Other transactions

0.00

0.00

0.00

0.00

804,024.65

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.31

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

0.00

Interest rate futures are shown based on the maturity of the underlying asset.



SHEET ITEMS BY LISTING OR VALUATION CURRENCY

GBP SEK CHF Other currencies

Amount % Amount % Amount % Amount %

Assets

Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Equities and similar securities 23,377,267.01 9.08 5,360,543.80 2.08 394,667.14 0.15 0.00 0.00

Bonds and similar securities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Debt securities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

UCIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Receivables 57,569.12 0.02 0.00 0.00 0.00 0.00 0.00 0.00

Financial accounts 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Liabilities

Sales of financial instruments 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Financial accounts 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00


Hedging transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

Other transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00

3.5. RECEIVABLES AND PAYABLES: BREAKDOWN BY TYPE

12/31/2019

Receivables

Sales with deferred settlement 340,479.31

Cash collateral deposits 140,781.30

Coupons and dividends in cash 57,569.12

Total receivables 538,829.73

Payables

Management fees 942,152.79

Variable management fees 357,437.20

Other payables 222,680.61

Total payables 1,522,270.60


3.6. SHAREHOLDERS’ EQUITY

3.6.1. Number of securities issued or redeemed

Units Amount

DORVAL MANAGEURS EUROPE R

Units subscribed during the financial year

Units redeemed during the financial year

Net subscriptions/redemptions

50,594.210

-501,117.085

-450,522.875

9,058,840.45

-90,037,763.47

-80,978,923.02

DORVAL MANAGEURS EUROPE I




1,923.423

-8,078.025

-6,154.602

37,251,116.28

-152,028,929.59

-114,777,813.31

DORVAL MANAGEURS EUROPE N




36,152.930

-477,625.748

-441,472.818

2,885,183.49

-37,262,501.90

-34,377,318.41

DORVAL MANAGEURS EUROPE Q




40,212.962

0.000

40,212.962

4,330,018.74

0.00

4,330,018.74

3.6.2. Subscription and/or redemption fees

Amount


Redemption fees paid 0.00

Subscription fees paid 0.00

Total fees paid 0.00














3.7. MANAGEMENT FEES

12/31/2019


Guarantee fees 0.00

Fixed management fees 3,014,020.81

Percentage of fixed management fees 1.80


Retrocessions of management fees 0.00


Guarantee fees 0.00

Fixed management fees 1,789,631.08





Guarantee fees 0.00

Fixed management fees 351,565.00





Guarantee fees 0.00

Fixed management fees 779.74


Variable management fees 0.00



3.8. COMMITMENTS RECEIVED AND GIVEN

3.8.1. Guarantees received by the UCI:

None

3.8.2. Other commitments received and/or given

None


3.9. OTHER INFORMATION

3.9.1. Current value of securities subject to a temporary purchase transaction

12/31/2019

Securities received under reverse repurchase agreements 0.00

Borrowed securities 0.00

3.9.2. Current value of securities representing security deposits

12/31/2019

Financial instruments given as collateral and retained under their original entry 0.00

Financial instruments received as collateral and not posted in the balance sheet 0.00

3.9.3. Group financial instruments held in the portfolio

ISIN code Name 12/31/2019

Equities

0.00

Bonds 0.00

Negotiable debt securities 0.00

UCIs 25,129,543.80

FR0013391174 DORVAL GLOBAL CONVICTIONS PATRIMOINE 2,552,961.60

FR0013392321 DORVAL MANAGEURS EURO Q UNIT 7,376,374.28

FR0013392255 DORVAL MANAGEURS SMALL CAP EURO Q UNIT 2,149,793.52

FR0013392347 DORVAL MANAGEURS SMID CAP EURO Q 13,050,414.40

Forward financial instruments 0.00


3.10. ALLOCATION TABLE FOR DISTRIBUTABLE INCOME

Allocation table for the portion of distributable income relating to

profit/loss

12/31/2019 12/31/2018

Amounts still to be allocated

Retained earnings 0.00 0.00

Income 2,335,469.06 2,357,315.76

Total 2,335,469.06 2,357,315.76

12/31/2019 12/31/2018


Allocation

Distribution 0.00 0.00

Retained earnings for the financial year 0.00 0.00

Accumulation 612,990.41 -46,782.70

Total 612,990.41 -46,782.70

12/31/2019 12/31/2018


Allocation



Accumulation 1,565,208.57 2,432,976.40

Total 1,565,208.57 2,432,976.40

12/31/2019 12/31/2018


Allocation



Accumulation 58,246.67 -28,877.00

Total 58,246.67 -28,877.00

12/31/2019 12/31/2018


Allocation



Accumulation 99,023.41 -0.94

Total 99,023.41 -0.94


Allocation table for the portion of distributable income relating to net

capital gains and losses

12/31/2019 12/31/2018

Amounts still to be allocated

Undistributed prior net capital gains and losses 0.00 0.00

Net capital gains and losses for the financial year -36,575,142.05 -15,439,685.54

Interim dividends paid on net capital gains and losses for the financial year 0.00 0.00

Total -36,575,142.05 -15,439,685.54

12/31/2019 12/31/2018


Allocation


Undistributed net capital gains and losses 0.00 0.00

Accumulation -18,196,125.57 -6,650,246.71

Total -18,196,125.57 -6,650,246.71

12/31/2019 12/31/2018


Allocation



Accumulation -16,664,774.22 -7,440,907.98

Total -16,664,774.22 -7,440,907.98

12/31/2019 12/31/2018


Allocation



Accumulation -1,083,443.89 -1,348,530.85

Total -1,083,443.89 -1,348,530.85

12/31/2019 12/31/2018


Allocation



Accumulation -630,798.37 0.00

Total -630,798.37 0.00


3.11. TABLE OF FINANCIAL RESULTS AND OTHER SIGNIFICANT ITEMS FOR THE ENTITY OVER THE LAST FIVE FINANCIAL YEARS

12/31/2015 12/30/2016 12/29/2017 12/31/2018 12/31/2019

Total net assets in EUR 104,358,731.83 230,259,993.29 719,810,060.30 441,064,306.36 257,382,209.98


Net assets in EUR 48,182,545.09 90,428,682.44 307,596,795.15 190,080,190.65 127,727,599.91

Number of securities 279,113.254 473,658.373 1,320,797.859 1,163,622.415 713,099.540

Net asset value per unit in EUR 172.62 190.91 232.88 163.35 179.11

Accumulation per unit on net capital

gains and losses in EUR

14.80

1.11

16.34

-5.71

-25.51

Accumulation per unit on income in EUR -4.84 -2.80 -7.10 -0.04 0.85


Net assets in EUR 56,176,186.74 139,831,310.85 406,178,030.83 212,411,086.76 117,540,828.34

Number of securities 3,159.131 7,052.121 16,672.212 12,318.317 6,163.715

Net asset value per unit in EUR 17,782.16 19,828.26 24,362.57 17,243.51 19,069.80



1,517.58

117.22

1,704.38

-604.05

-2,703.68

Accumulation per unit on income in EUR -361.80 -146.70 -577.86 197.50 253.93


Net assets in EUR 0.00 0.00 6,035,234.32 38,572,928.95 7,628,291.16

Number of securities 0.000 0.000 59,068.000 538,280.842 96,808.024




0.00

0.00

0.26

-2.50

-11.19

Accumulation per unit on income in EUR 0.00 0.00 -0.32 -0.05 0.60


Net assets in EUR 0.00 0.00 0.00 100.00 4,485,490.57

Number of securities 0.000 0.000 0.000 1.000 40,213.962




0.00

0.00

0.00

0.00

-15.68

Accumulation per unit on income in EUR 0.00 0.00 0.00 -0.94 2.46


3.12. PORTFOLIO BREAKDOWN IN EUR

Security name Currency

Quantity

(number

or

nominal

value)

Current value % of net assets

Equities and similar securities

Equities and similar securities traded on a regulated or equivalent market

GERMANY

BASF SE EUR 56,000 3,771,600.00 1.47

BMW BAYERISCHE MOTOREN WERKE EUR 68,273 4,993,487.22 1.94

DAIMLER AG-REGISTERED SHARES EUR 100,166 4,945,195.42 1.92

DEUTZ AG EUR 783,785 4,365,682.45 1.70

SIEMENS AG-REG EUR 39,000 4,545,060.00 1.77

TUI AG NOM EUR 794,748 9,060,127.20 3.52

WACKER NEUSON - NOM EUR 289,966 4,943,920.30 1.92

WIRECARD AG EUR 104,714 11,256,755.00 4.36

TOTAL GERMANY 47,881,827.59 18.60

AUSTRIA

AMS CHF 3,573 129,271.89 0.05

PORR AG EUR 194,019 2,995,653.36 1.16

S & T AG EUR 558,306 11,880,751.68 4.62

WIENERBERGER AG EUR 271,683 7,177,864.86 2.79

TOTAL AUSTRIA 22,183,541.79 8.62

FINLAND

FERRATUM PLC EUR 1,231,254 11,573,787.60 4.50

NESTE OYJ EUR 5,015 155,565.30 0.06

TOTAL FINLAND 11,729,352.90 4.56

FRANCE

BNP PARIBAS EUR 198,549 10,489,343.67 4.08

BOUYGUES EUR 152,853 5,790,071.64 2.25

ENGIE SA EUR 855 12,312.00 0.00

GROUPE FNAC EUR 102,596 5,417,068.80 2.10

LVMH (LOUIS VUITTON - MOET HENNESSY) EUR 24,981 10,347,130.20 4.02

PLASTIQUES VAL LOIRE EUR 199,889 1,383,231.88 0.54

SOLUTIONS 30 SE EUR 1,692,046 16,852,778.16 6.54

TOTAL EUR 222,153 10,929,927.60 4.25

VEOLIA ENVIRONNEMENT EUR 174,664 4,141,283.44 1.61

WORLDLINE SA EUR 188,529 11,905,606.35 4.63

2CRSI SA EUR 209,403 1,047,015.00 0.41

TOTAL FRANCE 78,315,768.74 30.43

GREECE

FOLLI FOLLIE GR EUR 1,225,615 0.00 0.00

TOTAL GREECE 0.00 0.00



Quantity

(number

or

nominal

value)


IRELAND

RYANAIR HOLDINGS PLC EUR 613,653 8,977,743.39 3.49

TOTAL IRELAND 8,977,743.39 3.49

ITALY

LEONARDO SPA EUR 38,692 404,331.40 0.16

TOTAL ITALY 404,331.40 0.16

LUXEMBOURG

APERAM EUR 372,512 10,620,317.12 4.13

TOTAL LUXEMBOURG 10,620,317.12 4.13

NETHERLANDS

AEGON EUR 2,507,320 10,197,270.44 3.96

CNH INDUSTRIAL NV EUR 266,000 2,604,140.00 1.01

STMICROELECTRONICS NV EUR 5,307 127,208.79 0.05

TOTAL NETHERLANDS 12,928,619.23 5.02

UNITED KINGDOM

AVIVA PLC GBP 825,997 4,064,938.22 1.58

BARCLAYS PLC GBP 1,918,000 4,049,712.27 1.57

BT GROUP PLC GBP 1,060,169 2,397,965.70 0.93

EASYJET GBP 531,616 8,900,881.43 3.46

LLOYDS BANKING GROUP PLC GBP 5,395,800 3,963,769.39 1.54

ROYAL DUTCH SHELL - A EUR 396,995 10,387,374.18 4.04

TOTAL UNITED KINGDOM 33,764,641.19 13.12

SWEDEN

ELECTROLUX AB SER B SEK 10,000 220,067.39 0.09

SVENSKA KULLAGERFABRIKEN AB -B- SEK 283,535 5,140,476.41 1.99

TOTAL SWEDEN 5,360,543.80 2.08

SWITZERLAND

DUFRY AG CHF 3,000 265,395.25 0.10

TOTAL SWITZERLAND 265,395.25 0.10

TOTAL Equities and similar securities traded on regulated or equivalent markets

232,432,082.40 90.31

TOTAL Equities and similar securities

232,432,082.40 90.31

Collective investment undertakings

General-purpose UCITS and alternative investment funds intended for

non-professionals and equivalents in other countries

FRANCE

DORVAL GLOBAL CONVICTIONS PATRIMOINE Q UNIT EUR 24,510 2,552,961.60 0.99

DORVAL MANAGEURS EURO Q UNIT EUR 66,658 7,376,374.28 2.87

DORVAL MANAGEURS SMALL CAP EURO Q UNIT EUR 17,814 2,149,793.52 0.84



Quantity

(number

or

nominal

value)


DORVAL MANAGEURS SMID CAP EURO Q

TOTAL FRANCE

TOTAL General-purpose UCITS and alternative investment

funds intended for non-professionals and equivalents in

other countries

TOTAL Collective investment undertakings


Firm forward commitments

Firm forward commitments on a regulated or equivalent market

EUR XEUR FESX D 0320

TOTAL Firm forward commitments on a regulated market

TOTAL Firm forward commitments

TOTAL Forward financial instruments

Margin calls

C.A.Indo margin calls in euros

TOTAL Margin calls

Receivables

Payables

Financial accounts

Net assets

EUR

111,733

13,050,414.40

5.06

25,129,543.80 9.76

25,129,543.80 9.76

25,129,543.80 9.76

EUR

54

-6,480.00

0.00

-6,480.00 0.00

-6,480.00 0.00

-6,480.00 0.00

EUR

6,480

6,480.00

0.00

6,480.00 0.00

538,829.73 0.21

-1,522,270.60 -0.59

804,024.65 0.31

257,382,209.98 100.00

DORVAL MANAGEURS EUROPE R EUR 713,099.540 179.11

DORVAL MANAGEURS EUROPE I EUR 6,163.715 19,069.80

DORVAL MANAGEURS EUROPE N EUR 96,808.024 78.79

DORVAL MANAGEURS EUROPE Q EUR 40,213.962 111.54

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