CCR Arbitrage

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CCR Arbitrage Volatili t 150Monthly report for investors March 2010

Performances

Statistical analysis

Volatilit y st rategy

Monthly commentary

(Share R)

1M Inception1Y 3Y 5YRolling performances

CCR Volatilit Arbitrage 150 I 0,10% 10,50%1,88%

CCR Volatilit Arbitrage 150 R 0,08% 13,69%1,71% 13,17%

Eonia 0,03% 9,06%0,46%

Calendar year performances 2010 2009 2008 2007 2006

CCR Volatilit Arbitrage 150 I 0,09% 2,23% 5,66%

CCR Volatilit Arbitrage 150 R 0,04% 2,05% 5,53% 5,52%

Eonia 0,09% 0,73% 4,00%

These figures refer to the past. past performance is not a reliable indicator of future results. Theperformance shown does not take into account of any commissions and costs charged whensubscribing to and redeeming units.

0,00%

2,00%

4,00%

6,00%

8,00%

10,00%

12,00%

14,00%

16,00%

12/ 06 3/ 07 6/ 07 9/ 07 12/ 07 3/ 08 6/ 08 9/ 08 12/ 08 3/ 09 6/ 09 9/ 09 12/ 09 3/ 10

CCR Volatilit Arbitrage 150 R

Eonia

3M 1Y 3Y

0,34Fund annual volatility (%) 0,48 1,12

0,00Benchmark annual volatility (%) 0,03 0,23

0,34Tracking Error (%) 0,48 1,08

-0,12Information Ratio 2,52 1,38

-0,12Sharpe Ratio 2,52 1,38

-0,15Maximum drawdown (%) -0,60

Lipper ranking - Category MoneyMarket EUR Leveraged 1M 1Y 3Y 5Y

CCR Arbitrage Volatilit 150 part I 86/184 82/172

CCR Arbitrage Volatilit 150 part R 99/184 86/172 4/159 12/123

Source : Lipper

The Fund uses volatility arbitrage strategies on equity markets and equityindices. It may have marginal exposure to equity risks.

Volatility measures the extent to which an assets return fluctuates from itsaverage return. Used as a source of performance, it offers numerousinvestment opportunities through taking advantage of variances in volatilitywhich may appear within the same asset class or between different classes ofassets.In order to make use of the convergence or the divergence expected betweendifferent volatilities, the volatility component must be isolated from its underlyingby hedging the currency, interest rate and equity risks by means of appropriatefinancial instruments.The portfolio is invested primarily in money market and fixed income securitiesissued by public or private entities which have an investment grade rating at thetime the securities are acquired.The objective of the Fund is to achieve a performance of EONIA +1.5% withannualised volatility of 1.5% for a recommended investment period of one year.

Profile

Advantages

Volatility, a synthetic class of asset difficult to access, but rich in arbitrageopportunities.Technical expertise based on CCR AMs long experience in volatility andconvexity. CCR AM is UBS Global Asset Managements centre of competencefor volatility management.Discretionary and opportunistic management within well-defined investmentlimits.

Risks

The risks related to this Fund are the interest rate, credit, equity and arbitragerisks inherent in volatility strategies.Volatility arbitrage strategies are based on the fund managers expectationsand expose the entire Fund to volatility risk. As the actual volatility of theunderlying assets evolves, the fund managers expectations may prove to beincorrect.For the recommended investment period, the risk is low.

Hatem DOHNI / Antoi ne LIM / Cyril LEGOEUIL

Head of Volatility / Portfolio manager / Portfolio manager

The fund achieved performance of 0.08% (part R) and 0.10% (part I) compared with 0.03% for capitalised Eonia.Main investment decisions:We maintained our long positions on medium-term volatility on the EuroStoxx50, whilst also maintaining short-term carry strategies (term structure May-J une 2010/September2010).We also maintained relative value strategies on indices (particularly Nikkei/EuroStoxx50 on December 2010 and 2011).Equity volatility strategies are diversified (term structure, skew and relative value strategies) on maturities from May 2010 to J une 2011, with a fairly long volatility bias.Markets:Equity indices soared, with gains of 7.49% for the EuroStoxx50 index and 6.03% for the S&P 500. Short-term realised volatilities of the indices naturally dropped sharply:30-day realised volatility of the EuroStoxx50 plunged from 23.31% to 15.47%, and that of the S&P 500 index tumbled from 19.01% to 8.50%.Short and long at-the-money implied volatilities on indices and equities are in a steep slide: short implied volatility of the EuroStoxx50 index is now around 18% to19%, whilstlong volatilities are around 21%.All European indices have been in positive territory since the year began, with the exception of the EuroStoxx50, which has been fairly stable. Doubts about the economicrecovery persist, especially with regard to US employment, but the statistics show ongoing industrial growth.In Europe, the corporate earnings season is ending, with disappointments outweighing positive surprises by 2%. However, amongst large caps, positive surprises were alarger factor than disappointments.The markets are still nervous about sovereign debt: the Greek debt problem seems not to have been resolved, and the most recent seven-year issue was not as heavilyoversubscribed as the earlier ones. Greece is exploring a new issue in US dollars. In any event, the equity markets seem to have fully digested the Greek crisis.We remain watchful on volatility: realised US volatility is extremely low (and may remain so) while realised European volatility still has the potential to sink further, which couldtouch off a further drop in implied volatilities. On the other hand, the slightest shock would provoke a rebound in short volatilities.

Morningstar

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Portfolio Analysis

Credit analysis

Instrument Breakdown

18,99%42,05%

14,01%3,65%

11,50%

0,57%

9,24%

Cash and off-balance

Certificates of deposit

Commercial paper

ECP

EMTN - Bonds

Equities

FUND

Rating breakdown

7,8%

26,2%22,6%

3,2%0,2% 0,5% 0,6%

0%

5%

10%

15%

20%

25%

30%

A-1+ A-1 A-2 A-3 A- BBB+ BBB-

Priority order : issue rating, short term rating, long term rating

- Maturity under 1 year

-0,28%VaR (95%/7d)

including Vega Indiceincluding Vega Equities

including Carry Vega

Vega 0,035%

Vega breakdown

Vega is the sensitivity of the fund to a parallel move of the volatilitysurface.

-0,006%0,021%

0,020%

Maturity breakdown

54,7%

5,2%1,1%

7,4%

2,7%0,1%

0%

10%

20%

30%

40%

50%

60%

5Y

Key informations

(as of 31/03/2010)

Share I

164,56

11 050,06

Volume (M)

Nav per UV ()

Share R

28,36

1 267,04

Volume (M)

Nav per UV ()

193Total Volume(M)

General caracteristics

Mutual Fund

Bonds and other debt instruments in E

no

EONIA

Daily

Subscription and redemptionat unknown price until 10:30a.m.

CCR Asset Management

Euro

UCIT'S legal status

AMF Class ifi cati on

In accordance with

European standard

Market risk indicator

NAV calculations

Subscription conditions

Manager

Currency

29-apr.-96Inception date02-apr.-96AMF agreement

BNP Paribas Securities ServicesDepository

FR0010525121

1 share

1st subscription 100 shares

1 year

0,40% TTC

0.40% (All taxes included)

60041148FRp.LP

CENABVI FP

ISIN code

Minimumsubscription

Recommended period

Max management fees

Management fees

Reuters ticker

Bloomberg ticker

Share I

Subscription fees None

Redemption fees None

30/09/2007Reference date

Performance fees 30% nets profits aboveEONIA OIS +1.50%

FR0007000427

1 share

1 share

1 year

0,60% TTC

0.60% (All taxes included)

60041148FRp.LP

CENCAP2 FP

Share R

2% maximum

None

29/12/2006

30% nets profits aboveEONIA OIS +1.50%

0,2% 0,7%1,6% 1,8%

2,3%1,2%

0,3%

2,0%

0%

5%

10%

A+ A A- BBB+ BBB BBB- B NoRating

Priority order : issue rating, long term rating, short term rating

- Maturity over 1 year

No Rating or Non Investment Grade are only convertible bonds hedged by shortselling equities.

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Glossary

Management and other feesAdministrative and management fees cover all fees charged directly to theUCITS (including notably costs of financial management, administrative andaccountancy management costs, depository, custodian and auditingcharges), with the exception of transaction fees. Transaction fees include

intermediation fees (brokerage, stock exchange taxes, etc.). The followingfees may also be charged in addition to administrative and managementfees:- outperformance fees. These are paid to the management company if thefund exceeds its objectives. They are therefore charged to the fund;- fees relating to investments in UCITS or investment funds;- movement commissions charged to the fund;- a share of income from the temporary acquisition and sale of securities.

TERThe total expense ratio (TER) corresponds to the total costs associated withmanaging and operating a fund (as above) expressed as a percentage ofthe funds average assets over a financial year.

Reference index (or Benchmark)This allows the funds performance to be tracked against a yardstick that is

external to the management company.

Investment gradeTerm designating bonds rated between BBB- and AAA based on the ratingscales of the major agencies and indicating that their credit quality issatisfactory.

VolatilityVolatility is an estimate of the risk on an investment. It is represented by theannualised lognormal standard deviation of the funds performance.Standard deviation is the square root of the variance of the data points fromthe mean. The greater the range of performances, the higher the fundsvolatility and hence the riskier the fund. Volatility is calculated on a weeklybasis.

Sharpe Ratio

The Sharpe Ratio indicates whether the relationship between a funds riskand its performance is good or bad, the underlying assumption being thatthe manager would have invested in a risk-free asset. To determine thisratio, the performance of the risk-free asset is subtracted from theannualised performance, and this net performance is then divided by therisk, represented by the annualised volatility. It is calculated on a weeklybasis.

The higher the ratio, the better the fund. A negative ratio indicates that thefunds performance is inferior to that of the risk-free asset.

Tracking errorThe Tracking Error measures the standard deviation of a funds relativeperformances (relative to its benchmark). The lower the tracking error, themore the fund resembles its benchmark in terms of risk and performancecharacteristics. It is calculated on a weekly basis.

Information ratioThe information ratio is derived by dividing the funds relativeperformance by the tracking error. The higher the ratio, the greaterthe remuneration earned on the risk taken compared with thebenchmark. It is calculated on a weekly basis.

BetaThe beta is a risk measurement that indicates the sensitivity of aninvestment, such as a UCITS or an investment fund, to marketfluctuations represented by the corresponding benchmark. Forexample, a beta of 1.2 means that the value of a UCITS orinvestment fund is likely to change by 12% for an expected marketfluctuation of 10%. This relationship is based on historical statisticsand is only an approximation.

Duration and sensitivityDuration indicates in years the length of time the principal of a bondis tied up. Unlike that of residual life, the concept of duration alsotakes account of the timing of any cash flows such as payment ofcoupons. The average duration of the portfolio is represented by theweighted average duration of the various securities. Sensitivity,

derived from duration, allows the risk of bonds and of bondportfolios and their sensitivity to changes in interest rates to bemeasured. Thus, a one-point increase (or decrease) in interestrates leads to a corresponding percentage decrease (or increase).

VegaThe vega represents the funds sensitivity to a parallel shift in thevolatility surface. A vega of 0.2 means that for a 1% rise (or fall) involatility, the value of the portfolio increases (or decreases) by0.2%.

ThetaThe theta of an option measures the effect of the passage of timeon the value of an option.

Delta

The delta measures the portfolios degree of exposure to equity risk.Value at Risk (VaR)VaR represents the maximum probable loss of a fund over a seven-day horizon (five working days) with a confidence interval of 95%.The methodology used is historical VaR.

Price-to-BookThe price-to-book ratio is calculated by dividing a companys marketcapitalisation by its net assets.

Price Earnings RatioThe price earnings ratio (PER) is the ratio between a companysquoted share price and its post-tax earnings per share (EPS).

Document effective as at 30 J une 2009. The present document is for information purposes only. This document has been prepared by CCR Asset Management, a public limited compa(Socit Anonyme) with capital of 4 831 328 Euros, and registered offices at 44 rue Washington, 75008 Paris - France (registered under number 388 368 110 of the Paris commercial registRCS) authorised as a portfolio management company by the French financial markets authority (Autorit des Marchs Financiers) on 30 November 1992 under number GP 92016. Tdocument is intended for institutional investors and distribution partners. It in no way constitutes an offer, or a request-for-proposal, and it does not constitute advice to buy or sellinvestment or specific product in any jurisdiction. Although this document has been prepared with the greatest care using sources that CCR Asset Management esteems to be reliable,guarantee can be offered as to the accurate and exhaustive nature of the information and evaluations contained within the document, which are of only purely indicative value. CCR AsManagement declines all responsibility regarding any investment or divestment decisions which may have been taken on the basis of data included in this presentation. Prior to asubscription, the legal information documents for each product should be consulted (full prospectus, latest annual report) as well as the latest periodic publication. This information canobtained freely by accessing our Internet website: http://www.ccr-am.com. These documents, which include information concerning risks, commissions and costs, can also be obtained upsimple written request to the following address: CCR Asset Management - Washington Plaza - 44, rue Washington - 75008 Paris - France.CCR Asset Management draws your attention to tfact that the value of a unit of an ICVC or a mutual fund unit is subject to financial market movements and recorded value therefore fluctuates. Any investment in UCITS incurs risk for tinvestor of a greater or lesser degree based on investment markets, including the risk of total and sudden loss of the investment. Past performances are not a guarantee of future performanThe present document has been established independently from any specific or future investment objectives, from any specific financial or fiscal situation, and from any experienceunderstanding of financial products or needs pertaining to any individual addressee.Unless prior authorisation has been obtained from CCR Asset Management: total or partial reproductionany support; communication to third parties; use for any purposes other than private use; or alteration of brand names, logos, illustrations, analyses, distinguishing features, imaganimations, graphs, photographs or texts which may be included in this presentation is not permitted and liable to prosecution.

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CCR Arbitrage