FCP AMUNDI DYNARBITRAGE VOLATILITE

Transcription

1 MAZARS FCP AMUNDI DYNARBITRAGE VOLATILITE Statutory auditor's certificate Composition of assets as at 28 February 2013

2 FCP AMUNDI DYNARBITRAGE VOLATILITE 90, Boulevard Pasteur PARIS - France Statutory auditor's certificate Composition of assets as at 28 February 2013

3 FCP AMUNDI DYNARBITRAGE VOLATILITE Composition of assets as at 28 February 2013 Statutory auditor's certificate In our capacity as statutory auditors for the contractual-type investment fund accounts of AMUNDI ARBITRAGE VOLATILITE and in application of the provisions envisaged in Article L of the French Monetary and Financial Code (Code Monétaire et Financier) and Article 32 VI of Instruction No of France's Financial Market Authority, (Autorité des Marchés Financiers, hereinafter "AMF"), we have verified the accuracy of the composition of assets accompanying this certification. The management company was responsible for determining the composition of assets. Our work, based on our tests, is to certify its accuracy. We implemented the procedures we considered necessary in accordance with the professional practices of the French Institute of Statutory Auditors (Compagnie Nationale des Commissaires aux Comptes) relating to this work. These procedures consist of assessing the accuracy of this information in respect of its consistency, plausibility and relevance. Tests of this type are limited in their objectives and essentially consist of analytical procedures and meetings with people responsible for the information published. We have no qualification to make on the accuracy of the information given in the accompanying document. Signed in Courbevoie on 24 April 2013 Statutory Auditors Mazars: Pierre Masiéri

4 PAGE 1 / 19 0 Shares & related securities Shares & related securities traded on a regulated market Shares and related securities traded on a regulated or assimilated market Security currency CAD CANADIAN DOLLAR CA BARRICK GOLD NPV 4,600. P CAD M 28/02/ T 117, , , CA G0LDC0RP INC 5,520. P CAD M 28/02/ T 152, , , Sub-total for security currency CAD CANADIAN DOLLAR TOTAL (EUR) 270, , , BE AB INBEV 19,425. P EUR M 28/02/ T 1,309, ,393, , DE000A1EWWW0 ADIDAS NOM. 23,876. P EUR M 28/02/ T 1,617, ,666, , FR AIR LIQUIDE 28,703 P EUR M 28/02/ T 2,668, ,675, , DE ALLIANZ HOLDING 34,227, P EUR M 28/02/ T 3,583, ,583, FR ALST0M 5,937. P EUR M 28/02/ T 194, , , T ASSICURAZ. GENERALI 124,609. P EUR M 28/02/ T 1,586, ,547, , FR AXA 38,522. P EUR M 28/02/ T 526, , , DE000BASF111 BASF SE 15,450. P EUR M 28/02/ T 1,121, ,115, , DE000BAY007 BAYER 42,010. P EUR M 28/02/ T 3,018, ,186, , DE BMW 1,300. P EUR M 28/02/ T 95, , , FR BNP PARIBAS 2,960, P EUR M 28/02/ T 131, , , FR BOUYGUES 48,463. P EUR M 28/02/ T 1,029, ,048, , FR CARREFOUR 15,918. P EUR M 28/02/ T 331, , DE DAIMLERCHRYSLER 9,823, P EUR M 28/02/ T 436, , , FR DANONE 10,140. P EUR M 28/02/ T 508, , , DE DEUTSCHE BANK AG NAM 14,029. P EUR M 28/02/ T 505, , , DE DEUTSCHE POST NAMEN 110,186. P EUR M 28/02/ T 1,885, ,893, , DE000ENAG999 E.ON AG NOM. 211,175. P EUR M 28/02/ T 2,819, ,700, , NL EADS 47,485. P EUR M 28/02/ T 1,668, ,860, , NL HEINEKEN 5,760. P EUR 54.9 M 28/02/ T 316, , , ES INDITEX SA 9,440. P EUR M 28/02/ T 1,004, , , DE000KSAG888 K S NOM 27,065. P EUR M 28/02/ T 918, , , NL KONINKLIJKE KPN NV 479. P EUR M 28/02/ T 2, , , IT LUXOTTICA GROUP PGARANC T 38,533. P EUR M T 1,283, ,283, FR LVMH 1,800. P EUR M 28/02/ T 239, , , DE METRO AG 8,087. P EUR M 28/02/ T 191, , FR PERNOD-RICARD 1,498. P EUR M 28/02/ T 145, , , FR PEUGEOT 90,850. P EUR M 28/02/ T 1,030, , , NL ROYAL PHILIPS ELEC 41,906 P EUR M 20/02/ T 918, , , DE SAP AG 46,530 P EUR M 28/02/ T 2,821, ,784, , FR SCHNEIDER ELECT SA 30,456. P EUR M 28/02/ T 1,676, ,794, , DE SIEMENS AG NAMEN 11,803. P EUR M 28/02/ T 929, , , ES E18 TELEFONICA 204,246 P EUR M 28/02/ T 2,129, ,042, , FR TOTAL 16,154. P EUR M 28/02/ T 610, , , FR VINCI (EX SGE) 17,725. P EUR M 28/02/ T 624, , , Sub-total for security currency EUR EURO TOTAL (EUR) T 39,879, ,798, , T

5 PAGE 2 / 19 Security currency GBP POUND STERLING GB00B03MLX29 ROYAL DUTCH SHELL A PRETERCI ,000. P EUR M 28/02/ T 779, , , ,766. P EUR M 28/02/ T 721, , , Sub-total for security currency GBP POUND STERLING TOTAL (EUR) 1,501, ,454, , Security currency SEK SWEDISH CROWN SE HENNES & MAURITZ B 13,075. P SEK M 28/02/ T 356, , , Security currency USD US DOLLAR US BAKER HUGHES INC 12,020. P USD M 28/02/ T 395, , , US38259P5089 GOOGLE 1,938. P USD M 28/02/ T 1,101, ,187, , US HOME DEPOT 21,774. P USD M 28/02/ T 1,069, ,140, , US MCDONALD'S CORP 20,620. P USD M 28/02/ T 1,452, ,512, , US NEWMONT MINING 8,280. P USD M 28/02/ T 284, , , Sub-total for security currency USD US DOLLAR TOTAL (EUR) 4,302, ,508, , Bonds and related securities Bonds & related securities traded on a regulated market Fixed-rate bonds traded on a regulated market FR BNPP C0 4.5% 30/5/14 PPLIV I0C ,300,000. M EUR % A 19,842, ,842, FR BQ POP.CB PPLIV I0C ,750,000. M EUR % A 5,084, ,084, Sub-total for security currency EUR EURO TOTAL (EUR) 24,927, ,927, Convertible bonds traded on a regulated market Security currency EUR EURO XS GBL VERW 1.25% 02/17 (UST) ,100,000. M EUR 100. % 28/02/ ,100, ,095, , , DE000A0E9DE7 KFW /06/13 (366) , M EUR % 28/02/ ,905, ,547, , , Sub-total for security currency EUR EURO TOTAL (EUR) 36,005, ,642, , , Il - Debt securities Bonds & related securities traded on a regulated market Debt securities traded on a regulated or similar market TOTAL (EUR) 60,933, ,569, , ,

6 PAGE 3 / 19 Deposit certificates MATURITY: Less than 3 months ITCN CASA 0IS 13/03/2013 NOL (999) ,000,000. EUR /12/ L 14,000, ,024, , , ITCN NATIXIS 0IS 13/03/13 NOL (999) ,000,000. EUR /12/ L 8,000, ,013, , , ITCN SG 0IS 02/04/13 NOL (999) ,000,000, EUR /12/ L 3,000, ,006, , , ITCN BNP PARIBAS NOL (999) ,000,000. EUR /01/ L 25,000, ,028, , , TCN BPCE TV NOL (999) ,000,000. EUR /02/ L 15,000, ,017, , , Sub-total MATURITY: Less than 3 months MATURITY: less than 2 years TOTAL (EUR) 65,000, ,089, , , ITCN SG NOL (999) ,000,000. EUR /02/ L 20,000, ,020, , , ITCN CASA 0IS NOL (999) ,000,000. EUR /02/ ,000, ,010, , , ITCN BFCM 0IS NOL (999) ,000,000. EUR /02/ ,000, ,001, , , ITCN NATIXIS TV NOL (999) ,000,000. EUR /02/ ,000, ,001, , Sub-total MATURITY less than 2 years TOTAL (EUR) 61,000, ,034, , , Sub-total for security currency EUR EURO TOTAL (EUR) 126,000, ,123, , , Foreign debt securities excl. ECP MATURITY: Less than 3 months ITCN RBS TF 04/03/2013 NOL (999) ,000,000. EUR /11/ L 10,987, ,999, , Debt securities traded on a regulated or similar market TOTAL (EUR) 136,987, ,123, , , III - UCITS securities French general UCITS FR AM TRES0 E0NIA ISR I 22. P EUR M 28/02/ ,809, ,810, FR AMUNDI ETF MSCI EMU PGARANC T 13,052. P EUR M A 1,451, ,451, Sub-total for security currency EUR EURO Coordinated European and related UCITS TOTAL (EUR) 6,261, ,261, LU AM.ABS.STA.ARB.IEC 13,879. P EUR M 27/02/ Z 13,626, ,528, ,097,

7 PAGE 4 / 19 Other non-listed UCI vehicles LU AMUNDI AV ARB+ IE- C 13,700. P EUR M 27/02/ Z 13,700, ,079, , III - UCITS securities TOTAL (EUR) 33,587, ,869, , IV Temporary securities transactions Debts representing securities received under repurchase agreement MATURITY DATE: 25/03/13 I0C BNPP CO 4.5% 30/5/14 PPLIV ,842,690. EUR 0. % 28/02/ I0C BQ POP.CB PPLIV ,084, EUR 0. % 28/02/ Sub-total MATURITY DATE : 25/03/13 TOTAL (EUR) Debts representing lent securities MATURITY DATE: 01/01/49 Cl ROYAL DUTCH SHELL Cl PRET ,136.8 EUR 0. % 28/02/ Debts representing securities borrowed Debts representing securities pledged MATURITY DATE: 28/02/13 C T AMUNDI ETF MSCI EMU PGAR ,451, EUR 100. % 28/02/13-1,451, ,451, C T LUXOTTICA GROUP PGAR ,283, EUR 100. % 28/02/13-1,283, ,283, Sub-total MATURITY DATE: 28/02/13 TOTAL (EUR) -2,734, ,734, IV Temporary securities transactions VI - FUTURES MARKET LIABILITIES Futures liabilities Foreign futures UNDERLYING: DAX DAX 30 INDEX PERFORMANCE TOTAL (EUR) -2,734, ,734, IGX H3 EUR EUREX DAX I 031 ; 23. EUR M 28/02/ S , , UNDERLYING: EUXDU EUREX EURO SCHATZ CDU H3 EUR GR SCHATZ 031 : EUR M 28/02/ S , , UNDERLYING: EUXOE EUREX BOBL EURO COE H3 EUREX BOBL 03/13-30 EUR M 28/02/ S , , UNDERLYING: NKY TOKYO NIKKEI 225 A VERAGE INI H3 SIM SGX NIK : JPY M 28/02/ S , , UNDERLYING: SPX S&P 500 INDEX

8 PAGE 5 / 19 ISP H3 CME S8.P USD M 28/02/ S ,215, ,215, UNDERLYING: SX5E DJ STOXX50 E IVG H3 EUREX EUROSTX EUR M 28/02/ S , , Foreign futures TOTAL (EUR) ,144, ,144, Conditional futures Options on French shares Regulated market UNDERLYING: FR AIR LIQUIDE EAI3 H3C01 EAI3/0313/CALL/ P EUR 5.5 M 28/02/ S -157, , , EAI3 H3P03 EAI3/0313/PUT / P EUR 7.6 M 28/02/ S 217, , , Sub-total UNDERLYING: FR00001Z0073 AIR LIQUIDE TOTAL (EUR) 60, , , UNDERLYING: FR CARREFOUR ECA1 H3C01 ECA1/0313/CALL/21. -1,040 P EUR M 28/02/ S -76, , , ECA1 H3C02 ECA1/0313/CALL/ P EUR 0.14 M 28/02/ S -2, , ECA1 H3C03 ECA1/0313/CALL/23. 1,530 P EUR 0.24 M 28/02/ S 36, , , ECA1 H3C05 ECA1/0313/CALL/ P EUR 0.23 M 28/02/ S -22, , , ECA1 J3C01 ECA1/0413/CALL/21. 1,010 P EUR 0.78 M 28/02/ s 78, , , ECA4 Z3C01 ECA4/1213/CALL/23. -1,090. P EUR 1.53 M 28/02/ S -188, , , ECA4 Z3P01 ECA4/1213/PUT / P EUR M 28/02/ S -187, , , Sub-total UNDERLYING: FR CARREFOUR TOTAL (EUR) -361, , , UNDERLYING: FR TOTAL ET01 H3P02 ET01/0313/PUT / P EUR 4.22 M 28/02/ s 71, , , ET01 H3P04 ET01/0313/PUT / P EUR 0.54 M 28/02/ s 16, , , ET01 M3C01 ET01/0613/CALL/ P EUR 0.55 M 28/02/ s -41, , , ET01 M3P01 ET01/0613/PUT /36. -1,350. P EUR M 28/02/ s -103, , , Sub-total UNDERLYING: FR TOTAL TOTAL (EUR) -56, , , UNDERLYING: FR L'OREAL E0R1 J3P01 E0R1 /0413/PUT /HO. 150 P EUR 2.3 M 28/02/ s 34, , , E0R1 Z3P01 E0R1/1213/PUT /I P EUR 4.37 M 28/02/ s -65, , , Sub-total UNDERLYING: FR L'OREAL TOTAL (EUR) -31, , , UNDERLYING: FR BOUYGUES EBYG H3P01 EBYG/0313/PUT /20. 2,430. P EUR 0.29 M 28/02/ s 70, , , EBYG M3P01 EBYG/0613/PUT /I P EUR 0.67 M 28/02/ s -45, , , EEN1 H3P02 EEN1/0313/PUT /20. -2,430 P EUR M 28/02/ s -204, , , EEN1 M3C01 EEN1/0613/CALL/ P EUR 0.48 M 28/02/ s -36, , , EEN1 M3C02 EEN1/0613/CALL/ P EUR 0.43 M 28/02/ s -32, , ,5, Sub-total UNDERLYING: FR BOUYGUES

9 PAGE 6 / 19 TOTAL (EUR) -247, , , UNDERLYING : FR DANONE EDA1 H3C03 EDA1/0313/CALL/ P EUR 0.65 M 28/02/ S -46, , , UNDERLYING : FR PERNOD RICARD ER11 Z3C02 ER11/1213/CALL/ P EUR 2.17 M 28/02/ S 46, , , ER11 Z3P01 ER11/1213/PUT / P EUR 4.5 M 28/02/ S 96, , , Sub-total UNDERLYING: FR PERNOD RICARD TOTAL (EUR) 143, , , UNDERLYING : FR LVMH (LOUIS VUITTON - MOET HENNESSY) EMC1 Z3C01 EMC1/I213/CALL/ P EUR 7.5 M 28/02/ S -112, , , EMC1 Z3P01 EMC1/1213/PUT / P EUR 6.75 M 28/02/ S -101, , , Sub-total UNDERLYING: FR LVMH (LOUIS VUITTON - MOET HENNESSY) TOTAL (EUR) -213, , , UNDERLYING : FR SCHNEIDER ELECTRIC SA ESU1 H3P01 ESU1/0313/PUT / P EUR 4.5 M 28/02/ S -229, , ESU1 M3C02 ESU1 /0613/CALL/ P EUR 1.47 M 28/02/ S -17, , , ESU1 M3P01 ESU1/0613/PUT / P EUR M 28/02/ S -104, , , ESU1 Z3C01 ESU1/1213/CALL/ P EUR 3.88 M 28/02/ S -263, , , Sub-total UNDERLYING: FR SCHNEIDER ELECTRIC SA TOTAL (EUR) -615, , , UNDERLYING : FR VINCI (EX SGE) EDG1 H3C02 EDG1/0313/CALL/ P EUR 1.9 M 28/02/ S -47, , , UNDERLYING: FR BNP PARIBAS EBNP M3C01 EBNP/0613/CALL/48. EBNP M3P01 EBNP/0613/PUT /42. EBNP M3P02 EBNP/0613/PUT / P EUR P EUR P EUR M 28/02/13 M 28/02/13 M 28/02/ S S S -100, , , , , , , , , Sub-total UNDERLYING: FR BNP PARIBAS TOTAL (EUR) -244, , , UNDERLYING: FR ALSTOM EAS1 H3C01 EAS1/0313/CALL/ P EUR 0.22 M 28/02/ S -14, , , EAS1 H3P02 EAS1/0313/PUT / P EUR 2.22 M 28/02/ S 150, , , EAS1 M3C01 EAS1/0613/CALL/ P EUR 1.96 M 28/02/ S 182, , , EAS1 M3P01 EAS1/0613/PUT / P EUR 2 88 M 28/02/ S 267, , , Sub-total UNDERLYING: FR ALSTOM TOTAL (EUR) 586, , ,

10 PAGE 7 / 19 Options on French shares Regulated market Options on foreign shares Regulated market UNDERLYING: BE ANHEUSER-BUSCH INBEV TOTAL (EUR) -1,076, , , E1NTB H3C01 ElNT/0313/CALL/ P EUR 0.84 M 28/02/ S -46, , , UNDERLYING: CA BARRICK GOLD CORP COM NPV EABX F4C01 EABX/0114/CALL/ P USD 1. M 28/02/ S -51, , , EABX F4C02 EABX/0114/CALL/ P USD 1.85 M 28/02/ S -94, , , EABX F4C03 EABX/0114/CALL/ P USD 3.4 M 28/02/ S 174, , , Sub-total UNDERLYING: CA BARRICK GOLD OORP COM NPV TOTAL (EUR) 28, , , UNDERLYING :CA GOLDCORP INC EGG F4C01 EGG_/0114/CALL/ P USD M 28/02/ S -42, , , EGG F4C02 EGG_/0114/CALL/ P USD 3.5 M 28/02/ S 120, , , EGG F4C03 EGG_/0114/CALL/ P USD 2.09 M 28/02/ S -72, , , Sub-total UNDERLYING: CA3809S64097 GOLDCORP INC TOTAL (EUR) 6, , , UNDERLYING: DE DEUTSCHE BANK AG NAMEN EDB_K Z3C01 EDB_/1213/CALL/ P EUR 3.95 M 28/02/ S -90, , , UNDERLYING: DE BMW BAYERISCHE MOTOREN WERKE EBMW J3C01 EBMW/0413/CALL/ P EUR 2.06 M 28/02/ S 74, , , EBMW J3C02 EBMW/0413/CALL/ P EUR M 28/02/ S -65, , , EBMW Z3C01 EBMW/1213/CALL/ P EUR 3.99 M 28/02/ S 119, , , EBMW Z3P01 EBMW/1213/PUT / P EUR 6.01 M 28/02/ S 177, , , Sub-total UNDERLYING: DE BMW BAYERISCHE MOTOREN WERKE TOTAL (EUR) 305, , , UNDERLYING: DE DEUTSCHE POST AG NAMEN EDPW H3C02 EDPW/0313/CALL/18.5 2,185. P EUR M 28/02/ S 38, , , EDPW H3P01 EDPW/0313/PUT /17. 1,485. P EUR M 28/02/ S 41, , , EDPW H3P02 EDPW/0313/PUT /16. -2,935. P EUR 0.14 M 28/02/ S -41, , , EDPW M3P01 EDPW/0613/PUT /I7. 1,450. P EUR 0.98 M 28/02/13 1. S 142, , , Sub-total UNDERLYING: DE DEUTSCHE POST AG NAMEN TOTAL (EUR) 181, , , UNDERLYING: DE DAIMLERCHRYSLER EDA 1 H3P01 EDAI/0313/PUT / P EUR 0.11 M 28/02/ S -4, , EDA 1 Z3P01 EDA 1/1213/PUT / P EUR 2.7 M 28/02/ S 81, , , Sub-total UNDERLYING: DE DAIMLERCHRYSLER TOTAL (EUR) 76, , UNDERLYING: DE SAP AG ESAP H3C01 ESAP/0313/CALL/ P EUR 0.9 M 28/02/ S -49, , ,

11 PAGE 8 / 19 ESAP H3C02 ESAP/0313/CALL/ P EUR 1.29 M 28/02/ S -65, , , Sub-total UNDERLYING: DE SAP AG TOTAL (EUR) -115, , , UNDERLYING : DE SIEMENS AG NAMEN ESIE U3P01 ESIE/0913/PUT / P EUR M 28/02/ S 112, , , UNDERLYING: DE METRO AG EME0 H3C01 EME0/0313/CALL/ P EUR M 28/02/ S -15, , , EME0 H3C02 EME0/0313/CALL/ P EUR M 28/02/ S -2, , , EME0 H3P01 EME0/0313/PUT / P EUR 0.25 M 28/02/ S 5, , , EME0 Z3C01 EME0/1213/CALL/26. 1,090. P EUR 0.76 M 28/02/ S 82, , , EME0 Z3P01 EME0/1213/PUT /20. 1,090. P EUR 1.18 M 28/02/ S 128, , , Sub-total UNDERLYING: DE METRO AG TOTAL (EUR) 197, , , UNDERLYING: DE ALLIANZ HOLDING EALV H3C01 EALV/0313/CALL/ P EUR 1.73 M 28/02/ S -58, , , EALV H3P02 EALV/0313/PUT / P EUR 6.45 M 28/02/ S 219, , , Sub-total UNDERLYING: DE ALLIANZ HOLDING TOTAL (EUR) 160, , , UNDERLYING: DE000A1EWWW0 ADIDAS NOM. EADS H3C01 EADS/0313/CALL/ P EUR 1.17 M 28/02/ S -33, , , EADS H3C03 EADS/0313/CALL/ P EUR 1.36 M 28/02/ S -20, , , EADS Z3C01 EADS/1213/CALL/ P EUR M 28/02/ S 91, , , EADS Z3P01 EADS/1213/PUT / P EUR 3.58 M 28/02/ S 200, , , Sub-total UNDERLYING: DE000A1EWWW0 ADIDAS NOM. TOTAL (EUR) 237, , , UNDERLYING: DE000BASF111 BASF SE EBAS H3C01 EBAS/0313/CALL/ P EUR 0.97 M 28/02/ S -43, , , EBAS H3C02 EBAS/0313/CALL/ P EUR 0.08 M 28/02/ S 3, , , Sub-total UNDERLYING: DE000BASF111 BASF SE TOTAL (EUR) -40, , , UNDERLYING: DE000BAY0017 BAYER EBAY H3C01 EBAY/0313/CALL/74. -1,000. P EUR 1. M 28/02/ S -100, , , EBAY H3P01 EBAY/0313/PUT /66. -2,230 P EUR 0.52 M 28/02/ S -115, , , EBAY H3P02 EBAY/0313/PUT /70. 1,115 P EUR 1.32 M 28/02/ S 147, , , Sub-total UNDERLYING: DE000BAY0017 BAYER TOTAL (EUR) -68, , , UNDERLYING: DE000ENAG999 E.ON AG NOM. EE0A H3C01 EE0A/0313/CALL/15. -2,230. P EUR 0.16 M 28/02/ S -35, , EE0A H3C02 EE0A/0313/CALL/14.5-2,220. P EUR M 28/02/ S -37, , EE0A H3C03 EE0A/0313/CALL/ P EUR 0.22 M 28/02/ S -21, , EE0A M3C01 EE0A/0613/CALL/14. 2,215. P EUR M 28/02/ S 76, ,

12 PAGE 9 / 19 EE0A M3P01 EE0A/0613/PUT /12. 2,215. P EUR 0.55 M 28/02/ S 121, , , Sub-total UNDERLYING: DE000ENAG999 E.ON AG NOM. TOTAL (EUR) 103, , , UNDERLYING: DE000KSAG888 K S NOM ESDF H3C03 ESDF/0313/CALL/ P EUR 0.68 M 28/02/ S 10, , , ESDF H3P01 ESDF/0313/PUT / P EUR 1.6 M 28/02/ S 124, , , ESDF H3P02 ESDF/0313/PUT / P EUR 0.65 M 28/02/ S 19, , , Sub-total UNDERLYING: DE000KSAG888 K S NOM TOTAL (EUR) 155, , , UNDERLYING: ES INDUSTRIA DE DISENO TEXTIL INDITEX EUX H3P01 EITX/0313/PUT / P EUR 0.51 M 28/02/ S -11, , , EITX H3P02 EITX/0313/PUT / P EUR 2.3 M 28/02/ S 102, , , EITX Z3C01 EITX/1213/CALL/l P EUR 8. M 28/02/ S -180, , , EITX Z3C02 ElTX/1213/CALL/ P EUR 5.95 M 28/02/ S -130, , , EITX Z3P01 ElTX/1213/PUT / P EUR 10. M 28/02/ S -225, , , EITX Z3P02 EITX/1213/PUT / P EUR 7.94 M 28/02/ S -115, , , EITX Z3P03 ElTX/1213/PUT / P EUR 6.67 M 28/02/ S -96, , , Sub-total UNDERLYING: ES INDUSTRIA DE DISENO TEXTIL INDITEX TOTAL (EUR) -656, , , UNDERLYING: ES E18 TELEFONICA ETEF H3C01 ETEF/0313/CALL/11. -2,500. P EUR M 28/02/13 S -186, , ETEF Z3P01 ETEF/1213/PUT /10. 2,230. P EUR M 28/02/ S 132, , , Sub-total UNDERLYING: ES E18 TELEFONICA TOTAL (EUR) -53, , , UNDERLYING: FR AXA EAXA H3C01 EAXA/0313/CALL/15. -1,050 P EUR M 28/02/ , , , EAXA H3C02 EAXA/0313/CALL/14. 1,500 P EUR 0.37 M 28/02/ , , , EAXA Z3C01 EAXA/1213/CALL/14. -2,250. P EUR 0.94 M 28/02/ , , , EAXA Z3C02 EAXA/1213/CALL/ P EUR 0.95 M 28/02/ N 71, , , EAXA Z3P02 EAXA/1213/PUT / P EUR M 28/02/ , , , Sub-total UNDERLYING: FR AXA TOTAL (EUR) -191, , , UNDERLYING: GB00B03MLX29 ROYAL DUTCH SHELL A ERD H3C01 ERD_/0313/CALL/ P EUR M 28/02/ S 48, , , ERD H3C02 ERD./0313/CALL/27. 1,035 P EUR 0 21 M 28/02/ S 21, , , ERD H3P03 ERD /0313/PUT / P EUR 1.32 M 28/02/ S 81, , , Sub-total UNDERLYING: GB00B03MLX29 ROYAL DUTCH SHELL A TOTAL (EUR) 151, , , UNDERLYING: IT ASSICURAZIONI GENERALI EASG5 Z3P02 EASG/1213/PUT /13. 2,230. P EUR M 28/02/ S 239, , , UNDERLYING: NL KONINKLIJKE KPN NV

13 PAGE 10 / 19 EKPN H3C01 EKPN/0313/CALL/8. 3,875. P EUR 0.11 M 28/02/ S 42, , , ,00 EKPN H3C02 EKPN/0313/CALL/7.2-5,150. P EUR 0.09 M 28/02/ S -46, , , ,00 Sub-total UNDERLYING: NL KONINKLIJKE KPN NV 1 NV TOTAL (EUR) -3, , , UNDERLYING: NL HEINEKEN EHEI Z3C01 EHEI/1213/CALL/ P EUR 2.85 M 28/02/ S -102, , , EHEI Z3P01 EHEI/1213/PUT / P EUR 2.11 M 28/02/ S -75, , , Sub-total UNDERLYING: NL HEINEKEN TOTAL (EUR) -178, , , UNDERLYING: NL ROYAL PHILIPS ELECTRONIC :s EPHI M3C02 EPHI/0613/CALL/ P EUR 1.43 M 28/02/ S 31, , , EPHI M3C03 EPHI/0613/CALL/ P EUR 0.22 M 28/02/ S -9, , , EPHI M3P02 EPHI/0613/PUT / P EUR 1.53 M 28/02/ S 73, , , EPHI M3P03 EPHI/0613/PUT / P EUR U 28/02/ S 93, , , Sub-total UNDERLYING: NL ROYAL PHILIPS ELECTRONICS TOTAL (EUR) 188, , , UNDERLYING: NL EUROPEAN AERONAUTIC DEFENSE AND SPACE COMPANY EADS EEAD M3C01 EEAD/0613/CALL/ P EUR 0.24 M 28/02/ S -12, , , EEAD M3P01 EEAD/0613/PUT / P EUR 2.18 M 28/02/ S 123, , , EEAD M3P02 EEAD/0613/PUT / P EUR 2.55 M 28/02/ S 144, , , Sub-total UNDERLYING: NL EUROPEAN AERONAUTIC DEFENSE AND SPACE COMPANY EADS TOTAL (EUR) 254, < , UNDERLYING: SE HENNES & MAURITZ SER'B EHNMB Z3C01 EHNM/1213/CALL/ P SEK 4.85 M 28/02/ S 21, , , EHNMB Z3P01 EHNM/1213/PUT / P SEK M 28/02/ S 70, , Sub-total UNDERLYING: SE HENNES & MAURITZ SER'B TOTAL (EUR) 92, , , UNDERLYING: US BAKER HUGHES INC EBHI J3P01 EBHI/0413/PUT / P USD 1.07 M 28/02/ S -56, , , EBHI N3C01 EBHI/0713/CALL/ P USD 1.12 M 28/02/ S -38, , Sub-total UNDERLYING: US BAKER HUGHES INC TOTAL (EUR) -95, , , UNDERLYING: US38259P5089 GOOGLE EG00G J3P01 EG00/0413/PUT / P USD 8 5 M 28/02/ S -31, , , EG00G M3P01 EG00/0613/PUT / P USD 7.7 M 28/02/ S -18, , EG00G M3P02 EG00/0613/PUT / P USD M 28/02/ S 138, , , EG00G M3P03 EG00/0613/PUT / P USD 40.1 M 28/02/ S 97, , , Sub-total UNDERLYING: US38259P5089 GOOGLE TOTAL (EUR) 185, , , UNDERLYING: US HOME DEPOT INC COM USD 0.05 EHD K3P02 EHD_/0513/PUT / P USD 2.82 M 28/02/ S 103, , ,

14 PAGE 11 / 19 UNDERLYING: US MAC DONALD'S CORPORATION EMCD F4P01 EMCD/0114/PUT / P USD M 28/02/ S 195, , , UNDERLYING: US NEWMONT MINING ENEM F4C01 ENEM/0114/CALL/ P USD 2.82 M 28/02/ S -98, , , ENEM F4C02 ENEM/0114/CALL/ P USD 1.69 M 28/02/ S -58, , , ENEM F4C03 ENEM/0114/CALL/ P USD 4.6 M 28/02/ S 160, , , Sub-total UNDERLYING: US NEWMONT MINING TOTAL (EUR) 3, , , Options on foreign shares Regulated market TOTAL (EUR) 1,438, ,349, , Index options - Regulated market UNDERLYING: DAX DAX 30 INDEX PERFORMANCE IGX H3P01 IGX_/0313/PUT / P EUR M 28/02/ S -264, , , IGX H3P02 IGX_/0313/PUT / P EUR M 28/02/ S 443, , , IGX H3P06 IGX_/0313/PUT / P EUR 51.7 M 28/02/ , , , Sub-total UNDERLYING: DAX DAX30 INDEX PERFORMANCE TOTAL (EUR) 101, , , UNDERLYING: NKY TOKYO NIKKEI 225 AVERAGE INI H3C01 INI_/0313/CALL/ P JPY M 28/02/ S 205, , , INI H3C02 INl_/0313/CALL/ P JPY M 28/02/ , , , INI H3P04 INl_/0313/PUT / P JPY 80. M 28/02/ S -69, , , INI H3P06 INI_/0313/PUT / P JPY M 28/02/ S -142, , , INI M3C01 INl_/0613/CALL/ P JPY M 28/02/ S 1,398, ,792, ,393, INI M3C04 INI_/0613/CALL/ P JPY 86. M 28/02/ S -117, , , INI M3C05 INl_/0613/CALL/ P JPY M 28/02/ S -916, ,275, , INI M3C07 INI_/0613/CALL/ P JPY 61. M 28/02/ S -144, , , INI M3P04 INl_/0613/PUT / P JPY 150. M 28/02/ S -387, , INI M3P06 INI_/0613/PUT / P JPY M 28/02/ S -265, , , INI M3P07 INl_/0613/PUT / P JPY 862. M 28/02/ S 1,015, , , INI M3P09 INl_/0613/PUT / P JPY 500. M 28/02/ S 1,365, , , INI Z3C02 INI_/1213/CALL/ ,275. P JPY M 28/02/ S -1,708, ,128, ,420, INI Z3C04 INI_/1213/CALL/9000 1,135. P JPY M 28/02/ S 3,709, ,795, ,085, INI Z3C05 INI_/1213/CALL/ P JPY M 28/02/ S 752, , , INI Z3C08 INl_/1213/CALL/ P JPY 283. M 28/02/ S -1,009, ,576, , INI Z3P03 INI_/1213/PUT / P JPY 175 M 28/02/ S -55, , , Sub-total UNDERLYING: NKY TOKYO NIKKEI 225 AVERAGE TOTAL (EUR) 3,595, ,970, ,374, UNDERLYING: SPX S&P 500 INDEX ISX H3P01 ISX_/0313/PUT / P USD 4.6 M 28/02/ S -48, , , ISX H3P08 ISX_/0313/PUT / P USD 21. M 28/02/ S 110, , , ISX M3C03 ISX_/0613/CALL/ P USD 32.5 M 28/02/ S -388, , , ISX M3P02 ISX_/0613/PUT / P USD M 28/02/ S -379, , ,

15 PAGE 12 / 19 ISX M3P04 ISX_/0613/PUT / P USD 39. M 28/02/ S -866, , , ISX M3P05 ISX_/0613/PUT / P USD 96. M 28/02/ S 281, , , ISX M3P06 ISX./0613/PUT / P USD M 28/02/ S 1,941, ,912, , Sub-total UNDERLYING: SPX S&P 500 INDEX TOTAL (EUR) 650, , , UNDERLYING: SX5E DJ STOXX50 E ISE H3P08 ISE_/0313/PUT /2400-4,284. P EUR M 28/02/ S -725, , , ISE M3C05 ISE_/0613/CALL/2800-1,328. P EUR 42. M 28/02/ S -557, , , ISE M3C06 ISE_/0613/CALL/ P EUR 81 2 M 28/02/ S 573, , , ISE J13C08 ISE_/0613/CALL/2500 1,482. P EUR M 28/02/ S 2,037, ,246, , ISE M3C14 ISE_/0613/CALL/2900-1,059. P EUR 7.8 M 28/02/ , , , ISE M3P06 ISE_/0613/PUT /2700 1,740. P EUR 160. M 28/02/ S 2,784, ,156, , ISE M3P16 ISE_/0613/PUT / P EUR 74. M 28/02/ S -643, , , ISE Z3C08 ISE_/1213/CALL/2600 1,828. P EUR M 28/02/ S 2,816, ,829, , ISE Z3C09 ISE_/1213/CALL/2900-2,438. P EUR M 28/02/ S -1,484, ,175, , ISE Z3P06 ISE./1213/PUT /2400 1,220. P EUR M 28/02/ S 1,643, ,494, , Sub-total UNDERLYING: SX5E DJ STOXXS0 E TOTAL (EUR) 6,360, ,939, ,579, Index options - Regulated market TOTAL (EUR) 10,707, ,979, ,271, Conditional futures TOTAL (EUR) 11,070, ,515, ,445, VI FUTURES MARKET LIABILITIES TOTAL (EUR) 11,070, ,660, ,590, VII OTHER OPERATIONS Swaps Currency swaps MATURITY DATE: 04/03/13 SWP IS/0.0/FIX/0.052 SOL RECVD 10,987,224. EUR 0. 28/02/ , , Sub-total MATURITY DATE: 04/03/13 SOL PAID 10,987,224. EUR 0. 28/02/ , , TOTAL (EUR) , , VIII LIQUIDITY MANAGEMENT Debts and accounts receivable

16 PAGE 13 / 19 Deferred payments Security currency CHF SWISS FRANC IPCCHF IC on CHF loans CHF ARDEUR Deferred payment purchases > D+3-3,453, EUR ,453, ,453, IPCEUR IC on EUR loans 6, EUR , , VRDEUR Def. paym. sale > D+3 7,738, EUR ,738, ,738, Sub-total for security currency EUR EURO Security currency SEK SWEDISH CROWN TOTAL (EUR) 4,291, ,291, ARDSEK Deferred payment purchases > D+3-1,187,358.1 SEK , , Security currency USD US DOLLAR ARDUSD Def. paym. purch. > D+3-105, USD , , VRDUSD Def. paym. sale > D+3 2,145,586.3 USD ,635, ,641, , Sub-total for security currency USD US DOLLAR Deferred settlements Cash dividends and coupons Security currency USD US DOLLAR TOTAL (EUR) 1,555, ,560, , TOTAL (EUR) 5,706, ,710, , CA BARRICK GOLD NPV 4,600. P USD /02/ GB00B03MLX29 ROYAL DUTCH SHELL A 59,557. P USD /02/13 16, , US MCDONALD'S CORP 20,620. P USD /02/13 8, Sub-total for security currency USD US DOLLAR Deposit TOTAL (EUR) 25, , DGMCIEUR Guarant. deposit CACEIS 3,667,692.8 EUR ,667, ,667, Security currency USD US DOLLAR DGMCIUSD Guarant. deposit CACEIS 7,522,447. USD ,727, ,753, Deposit Margin calls TOTAL (EUR) 9,394, ,421, , MARCIEUR Margin calls C.A.I. 4, EUR , , Security currency JPY YEN MARCIJPY Margin calls C.A.I. 8,075,000. JPY , ,

17 PAGE 14 / 19 Security currency USD US DOLLAR MARCIUSD Margin calls C.A.I. -1,589,575. USD ,203, ,215, , Margin calls TOTAL (EUR) -1,132, ,144, , Management fees Security currency CHF SWISS FRANC FGUN2CHF Retrocession securities lending CHF FGDEPEUR Custodian fee provision -7, EUR , , FGLIN2EUR Retrocession securities lending -3, EUR , FGPFCOEUR Management fees var fixed -7, EUR , , FGPFCIEUR Management fees var fixed -57, EUR , , FGPVAEUR Fixed mgmt. Admitted -19, EUR , , FGPVFEUR Fixed mgmt. Fees -150,308.8 EUR , , FGPVHEUR Fixed mgmt. H.C.C -1, EUR , , FGPVPEUR Fixed mgmt. Forf EUR FGPVVCOEUR Var. mgmt fees -18, EUR , FGPVVCIEUR Var. mgmt fees -708, EUR , Sub-total for security currency EUR EURO TOTAL (EUR) -1,312, ,312, Management fees TOTAL (EUR) -1,312, ,312, Other debt and accounts receivable Security currency CHF SWISS FRANC RCOCHF Lending fees CHF FCHCIEUR Exch. comm. income EUR 1. 1, FTAPEUR Trans. fees to pay EUR 1. 1, FTCIEUR Mvt comm pro. CI. -288,689.8 EUR , RCOEUR Lending fees -3, EUR , , Sub-total for security currency EUR EURO TOTAL (EUR) -292, , Other debt and accounts receivable TOTAL (EUR) -292, ,

18 PAGE 15 / 19 Debts and accounts receivable TOTAL (EUR) 12,388, ,407, , Available funds Assets in France Security currency CHF SWISS FRANC BQCICHF CACEIS Bank 376, CHF , , , BQCIEUR CACEIS Bank -32, EUR , , COCIEUR P/e cash collateral 786, EUR , , Sub-total for security currency EUR EURO TOTAL (EUR) 753, , Security currency GBP POUND STERLING BQCIGBP CACEIS Bank GBP Security currency JPY YEN BQCIJPY CACEIS Bank 557,864,999. JPY ,439, ,625, , Security currency SEK SWEDISH CROWN BQCISEK CACEIS Bank 2,673, SEK , , , Security currency USD US DOLLAR BQCIUSD CACEIS Bank 6,893, USD ,183, ,272, , Assets in France TOTAL (EUR) 10,998, ,277, , Forward transactions MATURITY DATE: 09/04/13 ISWC V CHF EUR 09/04/13 RECEIVED 09/04/13 1,324, EUR 1. 28/02/ ,324, ,324, PAID 09/04/13-1,600,000. CHF /02/ ,324, ,311, , ISWC V USD EUR 09/04/13 RECEIVED 09/04/13 15,301, EUR 1. 28/02/ ,301, ,300, , PAID 09/04/13-20,000,000. USD /02/ ,301, ,293, , ISWC V JPY EUR 09/04/13 RECEIVED 09/04/13 26,149, EUR 1. 28/02/ ,149, ,147, , PAID 09/04/13-3,000,000,000. JPY /02/ ,149, ,869, ,280, ISWC V CHF EUR 09/04/13 RECEIVED 09/04/13 165, EUR 1. 28/02/ , , PAID 09/04/13-200,000. CHF /02/ , , , ISWC V CHF EUR 09/04/13 RECEIVED 09/04/13 132, EUR 1. 28/02/ , , PAID 09/04/13-160,000. CHF /02/ , , , ISWC V CHF EUR 09/04/13 RECEIVED 09/04/13 327, EUR 1. 28/02/ , , PAID 09/04/13-400,000. CHF /02/ , , ISWC V SEK EUR 09/04/13 RECEIVED 09/04/13 345, EUR 1 28/02/ , , PAID 09/04/13-3,000,000 SEK /02/ , , , ISWC V SEK EUR 09/04/13 RECEIVED 09/04/13 57, EUR 1 28/02/ , , PAID 09/04/13-500,000 SEK /02/ , , , ISWC V JPY EUR 09/04/13 RECEIVED 09/04/13 821, EUR 1 28/02/ , ,

19 PAGE 16 / 19 PAID 09/04/13-100,000,000. JPY /02/ , ,976, , ISWC V JPY EUR 09/04/13 RECEIVED 09/04/ EUR 1. 28/02/ , ,026, PAID 09/04/13-50,000,000. JPY /02/ , , , ISWC A CHF EUR 09/04/13 RECEIVED 09/04/13 2,200,000. CHF /02/ ,768, ,803, , PAID 09/04/13-1,768, EUR 1. 28/02/ ,768, , ISWC V USD EUR 09/04/13 RECEIVED 09/04/13 2,213, EUR 1. 28/02/ ,213, ,212, PAID 09/04/13-3,000,000. USD /02/ ,213, , , ISWC A JPY EUR 09/04/13 RECEIVED 09/04/13 1,200,000,000. JPY /02/ ,514, , , PAID 09/04/13-9,514, EUR 1. 28/02/ ,514, , ISWC V SEK EUR 09/04/13 RECEIVED 09/04/13 116, EUR 1. 28/02/ , , PAID 09/04/13-1,000,000. SEK /02/ , , , ISWC V USD EUR 09/04/13 RECEIVED 09/04/13 739, EUR 1. 28/02/ , , PAID 09/04/13-1,000,000 USD /02/ , ,698, , ISWC V SEK EUR 09/04/13 RECEIVED 09/04/13 116, EUR 1. 28/02/ , PAID 09/04/13-1,000,000. SEK /02/ , , , Sub-total MATURITY DATE: 09/04/13 TOTAL (EUR) , ,629, Cash Collateral C OTC CACIB collateral -1,030,000. EUR ,030, ,030, PREGS050812E C0LCASHPREGS050812E -786, EUR , , Sub-total for security currency EUR EURO TOTAL (EUR) -1,816, ,816, Available funds TOTAL (EUR) 9,182, ,091, ,908, VIII LIQUIDITY MANAGEMENT TOTAL (EUR) 21,571, , ,927, PORTFOLIO: AMUNDI DYNARBITRAGE VOLATILITE (050812) (EUR) 307,724, ,355, , ,629,

20 PAGE 17 / 19 Securities portfolio: 298,486, Bonds and dividends to be received: 25, Daily management fees Fixed mgmt. Admitted : 8.22 EUR Fixed mgmt. Admitted : 3.82 EUR Fixed mgmt. Admitted : EUR Fixed mgmt. H.C.C : 4.36 EUR Custodian fee provision : 13.7 EUR Custodian fee provision : 9.53 EUR Custodian fee provision : EUR Var. mgmt fees : EUR Var. mgmt fees : 17, EUR Management fees var fixed : Management fees var fixed : EUR EUR Fixed mgmt. Fees : EUR Fixed mgmt. Fees : 4,687.8 EUR Fees for managing corporate charges Maximum fee : EUR Maximum fee : 5, EUR Unit Currency Net assets Number of units Net asset value Coefficient Exchange Std subscription price Std repurchase price CO FR AMUNDI DYNARB. VOLAT EUR 9,969, , Cl FR AMUNDI DYNARB. VOLAT EUR 310,386, , , , , Total net assets in EUR: 320,355, Previous NAV on 27/02/13: C0 UNITS CAPI 0 Prev. NAV: (EUR) Variation: % CI CAP. UNITS 1 Prev. NAV: 6, (EUR) Variation: %!

21 PAGE 18 / 19 Savings taxation: weights and statuses of portfolio units Report type: TISF TIS France Official weights and statuses at 30/11/12: DD Weight: DD status: I Dl weight: DI Status: M

22 PAGE 19 / 19 (Simplified status, frame: NPC AMF SORTING/INSTRUMENT TYPE/ALPHABETICAL ORDER, PRICES OF CURRENCIES USED by valuation via inventory via previous valuation variation Rate CAD in USD : listing: 28/02/ listing: 27/02/ Rate CHF in EUR : listing: 28/02/ listing: 27/02/ Rate EUR in CAD : listing: 28/02/ listing: 27/02/ Rate EUR in CHF : listing: 28/02/ listing: 27/02/ Rate EUR in GBP : listing: 28/02/ listing: 27/02/ Rate EUR in JPY : listing: 28/02/ listing: 27/02/ Rate EUR in SEK : listing: 28/02/ listing: 27/02/ Rate EUR in USD : listing: 28/02/ listing: 27/02/ Rate GBP in EUR : listing: 28/02/ listing: 27/02/ Rate JPY in EUR : listing: 28/02/ listing: 27/02/ Rate SEK in EUR : listing: 28/02/ listing: 27/02/ Rate USD in EUR : listing: 28/02/ listing: 27/02/