ABC arbitrage : Annual Financial Report 2020

18, rue du Quatre Septembre 75002 Paris - France

Email: [e-mail]

Website : www.abc-arbitrage.com

ANNUAL

FINANCIAL

REPORT

Year 2020

ABC arbitrage Group

		ABC arbitrage			Contents
			Management report				>	3
			Consolidated financial statements	>	39
			Statutory auditor's report on financial statements	>	63
			Corporate social responsibility report	>	69

Disclaimer

This annual report and its constituent parts have been translated

from the original French versions. For the purposes of

interpretation, the French originals will take precedence over the

English translation.

Société ABC arbitrage

Société anonyme au capital de 936,192.848 €

Siège social : 18 rue du Quatre Septembre, 75002 Paris 400 343 182 RCS Paris

Tel. : [phone]

Fax : [phone]

Email : [e-mail]

Website :http://www.abc-arbitrage.com/

ABC arbitrage

2020 Annual Financial Report - Page 2 of 80

ANNUAL

FINANCIAL

REPORT

Year 2020

Management report

ABC arbitrage

Group

ABC arbitrage

2020 Annual Financial Report - Page 3 of 80

ABC arbitrage			Content - Management Report

1.	Business review	5
2. Activity and statutory accounts	7
3.	Research & Development activity	7
4.	Subsidiaries and holdings	7
5. Human resources	8
6.	Earnings allocation	10
7.	Corporate governance	10
	7.1. Corporate governance	10
	7.2. Board membership	10
	7.3. Board practices and procedures	14
	7.4. Directors' fees and executive compensation	18
	7.5. Table of Delegation of authority and powers to the Board of Directors	26
	7.6. Other information	27
8.	Internal control	28
	8.1. Regulations	28
	8.2. Internal control players	28
	8.3. Risk assessment	29
	8.4. Internal control organization	31
	8.5. Preparation of financial and accounting information	32
9. Share performance and share buyback program	34
10. Statutory disclosures	34
11. Dividend policy	35
12. Other elements	35
	12.1. Sponsorship	35
	12.2. Payment periods	36
	12.3. Sumptuary expenditures : Article 223 quater of the French General Tax Code	36
	12.4. Post-balance sheet events	36
13. Outlook	37

ABC arbitrage

2020 Annual Financial Report - Page 4 of 80

ABC arbitrage			Management Report
1. Business review
Key consolidated figures for 2020 are presented below:
					Dec. 31, 2020			Dec. 31, 2019
In EUR million				IFRS			IFRS		Change
Advisory revenues	-			na
		na
Investment Services Fees(1)	22.5	14.4	56.0%
Net gains at fair value through profit or loss	46.3	22.6	104.9%
Net revenues	68.8	37.0	85.9%
Payroll costs	(25.9)		(12.0)		116.1%
Occupancy costs	(1.4)		(1.3)		7.8%
Other expense	(5.9)		(5.5)		6.4%
Other taxes	(0.1)		(0.1)		42.6%
Total costs	(33.4)		(18.9)		76.1%
Income before tax	35.4	18.1	96.1%
Net income attributable to equity holders		35.1	18.3	91.4%

(1) Investment Services Fees relate to the services that the Group's management companies bill to Quartys Limited and ABCA Funds Ireland Plc.

IFRS net revenues amounted to €69 million and net income to €35.1 million at December 31, 2020, with a very significant increase of 91.4%.

Return on equity (ROE) in 2020 was 23.9%.

In EUR thousand

Equity at January 1, 2020

Equity at December 31, 2020

Average equity

Return on equity

Gross return on equity

Dec. 31, 2020 Dec. 31, 2019

IFRS IFRS

139,902 146,291

154,031 139,902

146,966 143,097

23.9% 12.8%

45.0% 24.9%

Return on equity = (net income / average (opening equity + closing equity)) x 100.

Gross return on equity = (proprietary trading revenues / average (opening equity + closing equity)) x 100.

Equity corresponds to shareholders' equity plus provisions adjusted for deferred taxes.

In an exceptional market environment (the benchmark volatility index (VIX) for 2020 stands at 29.3% vs. 15.4% for 2019), the Group has demonstrated its expertise and posted a revenue increase of nearly 86%.

The first half of 2020 was characterized by a more violent volatility shock in March than during the entire 2008 crisis. This shock, linked to the rise of the health crisis, was followed by more than 3 months of volatility and volumes above their levels of the last 5 years.

However, the markets were quickly calmed by the implementation of plans by world governments and the massive intervention of central banks.

These various interventions led to record valuations on North American indices at the end of the year, particularly on "Tech"

ABC arbitrage

2020 Annual Financial Report - Page 5 of 80