Q1. What is H2O Asset Management, and what does it specialize in?

H2O AM was founded in 2010 and has offices in Paris, Monaco, London, Geneva and Singapore. It is an independent asset management company primarily specializing in Global Macro strategies. Their investment process, developed over more than thirty years, combines quantitative engineering with a discretionary Top-Down and Value approach to provide diversified alpha with assumed and controlled risk over a defined time horizon.

Q2. How can I contact H2O AM?

To get in touch with us, you can fill in the form available at https://www.h2o-am.com/contact-us/ or reach out our Client Services Team at clientservices@h2o-am.com.

Q3. Where can I locate H2O AM’s data protection and privacy notices?

H2O AM’s data protection and privacy notices can be found here and are also accessible from the main homepage.

Q4. Are there any vacancies at H2O AM ?

To view current vacancies at H2O AM, please visit careers.h2o-am.com

Q5. Are there minimum investment requirements for H2O AM funds?Yes, each available H2O fund has its own minimum investment requirement. Institutional share classes require a minimum investment amount corresponding to 100k in the currency of the share class, while retail share classes are subject to a minimum amount that is a fraction of a unit. It’s advisable to check the prospectus, as these requirements may vary for different funds.

Q6. What are the portfolio names managed by H2O AM Europe under the FRENCH FCP type?

H2O AM Europe manages several portfolios under the FRENCH FCP type. The portfolio names include: • H2O ADAGIO FCP • H2O ALLEGRO FCP • H2O MODERATO FCP • H2O MULTIBONDS FCP • H2O MULTIEQUITIES FCP • H2O MULTIFUNDS • H2O MULTISTRATEGIES FCP • H2O VIVACE FCP.

Q7. What portfolios fall under the FRENCH Sicav categories “H2O INVEST” and “H2O INVEST II”?

The portfolios managed under the FRENCH Sicav category “H2O INVEST” include: • H2O EUROAGGREGATE • H2O EUROPEA • H2O EUROSOVEREIGN • H2O EUROSOVEREIGN 3-5 • H2O LARGO

The portfolio managed under the FRENCH Sicav category “H2O INVEST II” is: • H2O Multi Asia

Firm’s Culture

Q8. What is H2O AM’s approach to diversity in its workforce?

H2O is committed to diversity and believes in equal opportunities for employees from around the world. The company values both young talent and the experience of senior staff, creating a diverse and open work environment.

Q9. What are the core values of H2O AM?

H2O’s core values are: • Passion: A commitment to providing high-value solutions to clients over the long term. • Fortitude: Resilience and agility in finding optimal solutions for clients, regardless of economic conditions. • Performance: A dedication to excellence in investment, corporate, and individual performance.

Q. 10: What is H2O AM’s manifesto ? We are passionate about decoding markets to create value within the risk framework accepted by
our investors;Resilient, we remain true to our convictions over the defined investment horizons We accept short-term volatility in the search for long-term performance, and we challenge
conventional wisdom. We embrace our boldness

Fundamental & Technical Market Drivers

Q11. What are the fundamental market drivers H2O AM focuses on?

H2O’s fundamental market drivers include: • Macro: Analyzing global long-term macro trends, business cycles, and central bank policies. • Valuation: Contrarian analysis of valuations across asset classes. • Micro: Examining bottom-up drivers, credit-focused factors, and specific views on sectors in equities.

Q12. What are the technical market drivers H2O AM pays attention to?

H2O’s technical market drivers include: • Capital flows and positioning: Monitoring market behavior and flows throughout the day to avoid overcrowded positions. • Volatility and correlations: Analyzing volatility surfaces across asset classes to gain insight into market positions. • Price action and seasonality: Assessing asset price action and factors like seasonality to improve trade timing and calibration.

Investment Process

a. Highlights

Q13. How does H2O AM ‘s investment process work?

H2O’s investment process relies on teamwork and transparent collaboration. The team continuously discusses “Market Views” on global equity, corporate, emerging bond markets, and currencies. These decisions represent H2O’s views and are implemented across all portfolios in each entity while respecting their objectives and investment universes.

b. Investment Team Organization

Q14. How is H2O AM’s investment team organized?

H2O’s investment team is unique in that it is not structured by asset class but by the specific qualitative input each team member brings to market analysis. All portfolio managers, regardless of their expertise in bonds, currencies, equities, or credit, participate in determining market views. Fundamental and technical factors are equally balanced, with CIOs assessing the prevalence of certain factors in different market environments and according to locations where portfolios are managed effectively.

c. Market Views Organization: Blending Strategies

15. How does H2O generate alpha in its investment process? H2O generates alpha through four layers of strategies spread across asset classes (Sovereign Bonds, Currencies, Credits, and Equities). These layers include long-term directional exposures, relative value strategies, and specific or thematic calls. There are a total of 18 major strategies in H2O’s performance engine, which are selectively applied based on portfolio constraints and the investment universe.

d. Swing Pricing Policy

Q16. What is H2O AM’s Swing Pricing Policy (SPP)?

H2O AM has implemented a Swing Pricing Policy (SPP) to protect the interests of existing unitholders when faced with large inflows or outflows in certain share classes of H2O’s funds. This policy applies to specific share classes of H2O’s French FCP UCITS and French SICAV funds, as well as some share classes of the ICAV funds.

Q17. How does the Swing Pricing Policy work?

Under the Swing Pricing Policy, the mechanism is triggered only when a pre-set threshold is reached, determined by H2O’s Valuation Committee and varying for each fund based on its volatility. As long as the threshold is not exceeded, the fund is quoted at mid-prices. If the threshold is exceeded due to significant net inflows, the NAV is adjusted upwards to reflect higher costs incurred to buy higher volumes of underlying securities to match large subscriptions. Conversely, for substantial net redemptions, the NAV is adjusted downwards to reflect higher costs incurred to sell higher volumes of underlying securities related to large redemptions. Importantly, the swing factor is not cumulative, ensuring that once the adjustment has been made, investors will not lose or gain more from one day to the next due to the SPP if high subscriptions or redemptions persist.

Q18. How does the Swing Pricing Policy affect NAV and investors?

The Swing Pricing Policy adjusts the NAV based on net inflows or outflows above the pre-set threshold, which reflects the additional costs associated with large subscriptions or redemptions. This ensures that existing unitholders are not unfairly impacted by the trading costs incurred due to significant flows in or out of the fund.

e. Compliance Monitoring Program

Q19. What is H2O AM’s Compliance Monitoring Program? H2O AM maintains a Compliance Program in accordance with the regulatory rules of the FCA, AMF, and CCAF. This program involves daily monitoring as well as a monthly, quarterly, semi-annual, and annual basis controls based on regulatory requirements our internal policies and risk assessments. This comprehensive and regular monitoring helps maintain adherence to regulatory standards.

Q20. How does H2O AM assess customer risk levels?

H2O AM assesses customer risk levels using its in-house customer risk rating methodology, categorizing customers into four tiers: Prohibited Customers, High-Risk Customers, Medium-Risk Customers, and Low-Risk Customers. Each tier is subject to different levels of due diligence and monitoring, with Enhanced Due Diligence (EDD) required for high-risk customers, standard due diligence for others On going due diligences frequency is subject to the level of the customer risk..