AMUNDI ETF GLOBAL EMERGING BOND MARKIT IBOXX UCITS ETF

Transcription

1 AMUNDI ETF GLOBAL EMERGING BOND MARKIT IBOXX UCITS ETF Semi-Annual report December 2016 AMUNDI S ASSET MANAGEMENT UCITS Fund manager : AMUNDI ASSET MANAGEMENT Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian : CACEIS BANK FRANCE Auditors : PRICEWATERHOUSECOOPERS AUDIT This periodic document is not subject to certification by the Auditor of the mutual fund.

2 Contents Pages Informations about the Fund 3 Semi-Annual Report 7 Significant events during the financial period 9 Specific details 10 Certificate drafted by the Auditor relative to the asset composition for the Mutual Fund 11 Portfolio Listing Semi-Annual Report on 12/30/16 2

3 Informations about the Fund Classification Bonds and other international debt securities. Determination and allocation of distributable sums Accumulation. Tax treatment The Fund is eligible for life insurance policies. The Fund may provide a support vehicle for life insurance policies denominated in units of account. The UCITS, by its nature, is not subject to taxation. However, unitholders may be taxed on any income distributed by the Fund or when they sell Fund units. The tax treatment applicable to amounts distributed by the Fund or unrealised or realised capital gains or losses will depend on the individual unitholder's tax situation, residence for tax purposes and/or the investment jurisdiction of the Fund. If an investor is uncertain of his or her tax position, the investor should consult a financial advisor or a professional investment consultant to determine the tax rules applicable to his or her particular situation before any investment. Some income distributed by the UCITS to unitholders residing outside France may be subject to withholding tax in France. Benchmark index The Fund s Benchmark Index is the US dollar-denominated Markit iboxx USD Liquid Emerging Markets Sovereigns Index, a total return index (i.e. reinvesting the coupons of the components). The Markit iboxx USD Liquid Emerging Markets Sovereigns Index is a bond index, calculated and published by the international index provider Markit Indices Limited, wholly owned by Markit Group Limited. Management fees and commissions Administrative and management fees: 0.30% including tax. Subscription fees received by the Fund: None. In compliance with current regulations, this mutual fund has, during the financial period just ended, levied charges at rates which are in line with those stated in the Prospectus and used under the following headings: - Notes to the Annual Accounts /- Management fees. - Shareholders Funds /-Subscription and/or redemption fees /- Management fees. Investment objective The Fund s investment objective is to track the performance of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index (see Benchmark index section), as closely as possible, whether the Index rises or falls. The Fund is managed so as to achieve a gap between changes in its NAV and changes in the value of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index (referred to below as the Markit iboxx USD Liquid Emerging Markets Sovereigns Index ) as small as possible. The target for maximum tracking error between the Fund s NAV and the value of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index is 2%. If the tracking error exceeds 2%, the objective would nevertheless be to remain below 15% of the volatility of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index. Investment strategy The Fund is managed by index tracking. 1. Strategy employed: The Fund is managed using a technique known as index-tracking, the objective of which is to replicate changes in the performance of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index using a synthetic replication method. Semi-Annual Report on 12/30/16 3

4 To maintain the closest possible correlation with the performance of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index, the Fund will buy a portfolio of bonds and money-market instruments (the Portfolio ) and an over-the-counter (OTC) total return swap, a financial derivative instrument which turns the exposure to the securities in the Portfolio into exposure to the Markit iboxx USD Liquid Emerging Markets Sovereigns Index. Geographic area of the securities issuers Emerging countries Spread of sensitivity to interest rates Between 3 and 16 Spread of sensitivity to credit spread Between 3 and 16 Currency in which the components of the index are denominated The US dollar (USD) Level of exposure to currency exchange risk The Fund shall observe the investment rules stipulated in Articles R214-21, R and R the French Monetary and Financial Code. The Portfolio comprising directly held assets described in the "Assets used" section, complies with the provisions of Article R of the French Monetary and Financial Code (CMF). The Fund's exposure to the Index achieved through the total return swap may be eligible for exemption ratios applicable to the index-tracking UCITS referred to in Article R of the French Monetary and Financial Code (CMF). That Article stipulates that an index may comprise up to 20% equities or debt securities issued by the same entity; this limit may be raised to 35% maximum for a single issuing entity, when such increase is justified by special market circumstances such as the regulated markets where some marketable securities or some money-market instruments are largely dominant. None 2. Assets used (except embedded derivatives): The Fund's exposure to the Index is achieved through the total return swap. The Portfolio consists of the Fund's directly held assets described below. - Securities: The Fund will be continuously exposed to one or more emerging countries rate markets. The securities held by the Fund will be chosen so as to limit the tracking costs of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index. They will mostly be fixed interest securities from OECD countries, including government stock, Treasury bills, certificates of deposit, commercial paper, bonds issued by firms registered in OECD countries and EMTN (Euro Medium Term Notes). - Interest-rate instruments: Up to 100% of the Fund s net assets may be invested in any kind of money-market and/or bond instrument from OECD countries. The bond issuers selected may be from the private sector or from the public sector (national or local governments, etc.), and private sector debt may account for up to 100% of all debt instruments. The Fund s sensitivity to interest rates will range between 3 and 16. Semi-Annual Report on 12/30/16 4

5 -Debt instruments and money market instruments in euros: Cash flow will be managed through money market instruments. Portfolio securities will be selected according to management decision and in compliance with the internal credit risk monitoring policy of the Management Company. For the purpose of stock-picking, management does not - neither exclusively nor automatically - rely on the ratings issued by rating agencies, but bases its buy and sell opinion about a security on its own credit and market analyses. For information, management may specifically deal in securities with minimum ratings of AA in the S&P and Moody s scale. The bond issuers selected may be from the private sector or from the public sector (national or local governments, etc.), and private sector debt may account for up to 100% of all debt instruments. The average maturity of these instruments will not exceed 10 years. - UCITS units or shares: The Fund may hold up to 10% of its assets in units and/or shares of UCITS. These UCITS are representative of all asset classes, in compliance with the Fund's requirements. They may be UCITS managed by the Management Company, or by other entities, which may or may not belong to the Crédit Agricole SA Group, including related companies. 3. Derivatives: The Fund will use OTC derivative financial instruments, in particular futures such as total return swaps, to turn the exposure to securities held by the Fund into exposure to the Markit iboxx USD Liquid Emerging Markets Sovereigns Index. Off-balance sheet commitments are calculated by the accrual method of accounting. The Fund may take positions in the following derivatives : Type of market: regulated organised over-the-counter Categories of risk in which the Fund intends to take a position: equity risk interest rates currency risk credit risk other risks Nature of positions to be taken, which must be limited to those required to meet the management objective : hedging exposure arbitrage other Types of instruments used: futures: on bonds and indices options: on bonds and indices total return swap: on bonds and indices total return swap credit derivatives: credit default swaps other Semi-Annual Report on 12/30/16 5

6 Strategies for use of incorporated derivatives to achieve the management objective: reconstitution of a synthetic exposure to a stock, a business sector and/or to the Markit iboxx USD Liquid Emerging Markets Sovereigns index through the use of swaps. management of intermediate cash flows (subscriptions/redemptions, etc.) to reach the desired degree of exposure to a particular stock and/or sector and/or to the Markit iboxx USD Liquid Emerging Markets Sovereigns Index via the use of futures. management of intermediate cash flows (subscriptions/redemptions, etc.) to reach the desired degree of exposure to a particular stock and/or sector and/or to the Markit iboxx USD Liquid Emerging Markets Sovereigns Index via the use of options. These instruments may be used to hedge up to 100% of the Fund s net assets. 4. Securities incorporating derivatives ( embedded derivatives ): None. 5. Deposits and liquid assets: The Fund may hold up to 20% of its net assets in deposits for a maximum term of twelve months. The deposits are used for cash management purposes and help the Fund achieve its management objectives. 6. Borrowing: The Fund may temporarily, and in exceptional cases, borrow up to 10% of its net assets in order to optimise its cash flow management. 7. Temporary acquisitions and sales of securities: None. Over-exposure of the assets: None. Total exposure to risks arising from these commitments and from open positions in real securities shall not exceed 110% of net assets. Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps (TRS) None. Overview of the procedure for choosing intermediaries / counterparties and comments The Management Company generally issues a bid tender. In this case such a procedure has not been required. The Management Company will therefore not undertake a formal procedure that might be tracked and monitored, so as to ensure competition among potential counterparties of OTC swaps it enters into, or among the vendors it buys embedded derivatives from. The Fund may conduct these transactions with Société Générale Corporate and Investment Banking or any other company in the Société Générale group as counterparties or intermediaries. Risk profile Capital risk Factors that may influence the ability of the Fund to track the performance of the Markit iboxx USD Liquid Emerging Markets Sovereigns Index Credit risk Interest rate risk Risk associated with investments in securities issued by emerging countries Counterparty risk related to the tracking method selected Liquidity risk Liquidity risk in a stock market Semi-Annual Report on 12/30/16 6

7 Semi-Annual Report December 2016 The Fund's objective is to track as closely as possible the US dollar-denominated Markit iboxx USD Liquid Emerging Markets Sovereigns Index, total return index (i.e. interest is rolled up), whether the Markit iboxx USD Liquid Emerging Markets Sovereigns index rises or falls. For the period under review, the portfolio AMUNDI ETF GLOBAL EMERGING BOND MARKIT IBOXX UCITS ETF performance is -4.50%. The benchmark performance is -4.27%. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities Movements (in amount) Acquisitions Transfers VENEZUELA 11.75% 21/10/ ,789, ,487, MEXIQUE 4.75% 08/03/2044 SERIE MTN 11,267, ,930, US TREASURY 3,875% 15/08/ ,666, ,803, VZ 0 09/14/18 9,748, ,069, TURKEY 6.625% 02/45 9,443, ,832, INDONESIE 4.875% 05/05/21 8,424, ,443, NBC UN L3RUSD+0.685% ,801, ,009, TURQUIE 4.875% 04/43 7,668, ,746, REPU OF 4.75% EMTN 7,666, ,585, OEST KONT AG 1.625% ,358, ,362, Semi-Annual Report on 12/30/16 7

8 Transparency of securities financing transactions and of reuse (SFTR) Regulation SFTR in accounting currency of the portfolio (USD) During the accounting period, the UCIT was not concerned by trades relevant to the SFTR regulation. Semi-Annual Report on 12/30/16 8

9 Significant events during the financial period None. Semi-Annual Report on 12/30/16 9

10 Specific details Voting rights In accordance with the Fund s Rules and the Fund Manager s stated policy, the Fund Manager exercises the voting rights attached to the securities held by the Fund and decides on contributions in the form of securities, except where the securities are those of the Fund Manager itself or of any associate company as defined in Art L of the French Labour Code (Code du Travail). Two documents, Voting Policy and Report on the Exercise of Voting Rights, prepared by the Fund Manager in compliance with the current regulations are available upon request. This mutual fund (OPC) has not been selected as one of the funds which currently exercise voting rights. Soft commissions The Fund Manager has received no soft commissions. Movement commission The Fund Manager has received no commissions on trade. Use of credit derivatives The Fund has not used credit derivatives during the period under consideration. Group funds Details of the financial instruments held by the Fund which are issued by the Fund Manager or its associates will be found in the Auditor s Report for the latest financial period (enclosed herein) under the following headings of annuals accounts: Further details. Group financial instruments held by the Fund. Calculating overall risk Overall risk calculation method: the mutual fund uses the commitment calculation method to calculate the mutual fund s overall exposure to financial contracts. Semi-Annual Report on 12/30/16 10

11 AMUNDI ETF GLOBAL EMERGING BOND MUTUAL FUND STATEMENT OF AUDIT REGARDING THE COMPOSITION OF ASSETS ON 30 DECEMBER 2016 In our capacity as auditor of the Fund AMUNDI ETF GLOBAL EMERGING BOND, and in compliance with the provisions set out in article L of the Code Monétaire et Financier and article of the General Regulations of the AMF, we have verified the validity of the composition AMUNDI ETF GLOBAL EMERGING BOND MARKIT IBOXX UCITS ETF of assets as shown attached to this statement. The documents published were established under the responsibility of the Fund Manager. We are responsible, based on our audit, for attesting to their validity. The audit of the information contained within these documents has been carried out in accordance with the professional standards applicable in France. These standards require due diligence in order to assess the validity of this information in terms of consistency, accuracy and relevance. Such audit, limited to its objective, essentially consists of analytical procedures and interviews with the people responsible for the information published. We have no observations to make regarding the validity of the information provided in the published documents. Neuilly sur Seine, The auditor PricewaterhouseCoopers Audit firm Document authenticated by electronic signature Benjamin Moïse PricewaterhouseCoopers Audit, SA, 63, rue de Villiers, Neuilly-sur-Seine Cedex T: +33 (o) ,F: +33 (o) ,

12 Portfolio Listing in USD Name of security Currency Quantity Market value % Bonds and similar securities Listed bonds and similar securities AUSTRALIA BHP 5 09/30/43 USD 1,534,000 1,733, RIO TINT FINA 3.75% USD 100, , TOTAL AUSTRALIA 1,836, CANADA ROGE COMM 5.0% USD 300, , XSTRATA FINANCE CANADA 2.45% 25/10/17 USD 729, , TOTAL CANADA 1,061, EIRE GE CAPI INTE 4.418% USD 1,659,000 1,748, TOTAL EIRE 1,748, FRANCE EDF 6.50% 01/19 USD 224, , TOTAL FRANCE 249, INDONESIA INDONESIA 5.25% 17/01/2042 USD 1,195,000 1,233, TOTAL INDONESIA 1,233, LUXEMBURG ACTA F L3RUSD+1.08% USD 1,998,000 2,013, ACTA F L3RUSD+1.255% USD 2,778,000 2,835, ACTA FUND SCS 3.8% USD 750, , ACTA FUND SCS 4.75% USD 100, , ENEL FINANCE INTL 5.125% 10/19 USD 400, , TOTAL LUXEMBURG 6,142, MEXICO AMERICA MOVIL SAB DE 5% 30/03/2020 SERIE WI / NON EOM USD 300, , MEXIQUE 4% 10/23 USD 390, , MEXIQUE 4.75% 08/03/2044 SERIE MTN USD 162, , PEME PETR MEX 6.375% USD 730, , TOTAL MEXICO 1,559, NETHERLANDS DEUTSCHE TELEKOM 8.25% 06/30 USD 153, , E.ON INTERNATIONAL 4.80% 04/18 USD 96, , LYONDELLBASELL 5% 15/04/2019 USD 300, , SHEL I L3RUSD+0.45% USD 2,243,000 2,251, SHEL I L3RUSD+0.58% USD 2,509,000 2,531, SHEL INTL FIN 4.375% USD 1,421,000 1,447, Semi-Annual Report on 12/30/16 12

13 Portfolio Listing in USD Name of security Currency Quantity Market value % SPAIN SHELL INTL FINANCE BV L3RUSD+0.35% USD 689, , TEVA PHAR FIN 3.15% USD 1,000, , TOTAL NETHERLANDS 8,503, TELE E L3RUSD+0.65% USD 150, , TOTAL SPAIN 150, SWEDEN SWED EXPO CRE 1.875% USD 209, , TOTAL SWEDEN 208, TURKEY TURKEY 6.625% 02/45 USD 807, , TURQUIE 4.875% 04/43 USD 1,060, , TOTAL TURKEY 1,693, UNITED KINGDOM USA ASTRAZENECA PLC 6.45% 09/37 USD 134, , BARC L3RUSD+2.11% USD 1,047,000 1,078, BP CAP L3RUSD+0.63% USD 1,696,000 1,703, BP CAPITAL MARKETS 3.245% 06/05/2022 USD 460, , BPLN 2 3/4 05/10/23 USD 100,000 98, BRIT TELE PLC 9.375% USD 625, , VODAFONE GROUP PLC USD 200, , VODAFONE 6.15% 27/02/2037 USD 541, , TOTAL UNITED KINGDOM 5,289, ABBVIE 4.7% USD 100,000 99, ALTRIA GROUP 5.375% USD 100, , AMERICAN HONDA FIN L3RUSD+0.28% USD 133, , ANHE I L3RUSD+1.26% USD 2,373,000 2,436, ANHE INBE FIN 4.9% USD 962,000 1,056, ANHEUSER 5.375% 15/01/20 USD 300, , AOL TIME WARNER 7.70% 05/32 USD 124, , APACHE CORP 4.75% USD 150, , AT AND T INC. 4.8% 15/06/2044 USD 300, , AT T L3RUSD+0.42% USD 47,000 47, AT T L3RUSD+0.93% USD 1,798,000 1,807, AT T 3.0% USD 100,000 98, AT T 3.4% USD 1,085,000 1,051, AT T 4.75% USD 100,000 95, AT&T INC USD 500, , BANK O L3RUSD+1.1% USD 114, , Semi-Annual Report on 12/30/16 13

14 Portfolio Listing in USD Name of security Currency Quantity Market value % BANK OF AMERICA L3RUSD 15/01/19 USD 197, , BAXALTA 4.0% USD 1,208,000 1,215, BAYE US FINA 2.375% USD 600, , BURLINGTON 5.75% USD 100, , CELGENE 3.875% USD 850, , CITI L3RUSD+0.93% USD 495, , COMCAST CORP 4.65% 15/07/2042 USD 100, , COMCAST 6.95% 15/08/37 USD 100, , CVS HEALTH 3.875% USD 200, , CVS HEALTH 5.125% USD 690, , DOW CHEMICAL COMPANY 8.55% SU 15/05/2019 USD 342, , ENER TRAN 5.15% USD 100,000 96, EXELON GENERATION CO LLC 6.25% 01/10/2039 USD 100, , EXPR SCRI 4.5% USD 1,050,000 1,098, FORD M L3RUSD+0.52% USD 1,353,000 1,354, FORD M L3RUSD+0.83% USD 3,028,000 3,034, FORD M L3RUSD+0.94% USD 2,141,000 2,158, FORD MOTOR COMPANY USD 150, , GE CAP C L3RUSD+0.38% USD 2,760,000 2,683, GE CAP L3RUSD+0.28% USD 12,000 12, GENE ELEC CO 5.875% USD 500, , GLAXOSMITHKLIN CAP INC 6.375% 15/05/38 USD 424, , HEWLETT-PACKARD CO USD 732, , HOME DEPOT INC 5.95% 01/04/2041 USD 100, , HOME DEPOT 5.875% 16/12/2036 USD 1,664,000 2,108, HP 6% USD 100, , IBM IN L3RUSD+0.37% USD 149, , KIND MORG INC 5.55% USD 345, , MC DONA S COR 2.625% USD 200, , MC DONALD S 4.875% USD 1,630,000 1,753, NBC UN L3RUSD+0.685% USD 1,881,000 1,899, NBC UNIVERSAL MEDIA 5.15% 30/04/2020 USD 100, , NEM 4 7/8 03/15/42 USD 100,000 95, NEWE RUBB 4.2% USD 979,000 1,033, ORCL 0 01/15/19 USD 122, , PAC GAS 6.05% 01/03/34 USD 500, , PEPSI L3RUSD+0.35% USD 771, , PHILLIPS % USD 54,000 58, PHILLIPS % USD 100, , PLAI ALL AMER 4.65% USD 100, , Semi-Annual Report on 12/30/16 14

15 Portfolio Listing in USD Name of security Currency Quantity Market value % REYN AMER 4.45% USD 698, , SANT H L3RUSD+1.45% USD 1,062,000 1,072, SYNC F L3RUSD+1.4% USD 632, , TARG CORP 4.0% USD 100,000 99, TOYO M L3RUSD+0.37% USD 397, , TOYO M L3RUSD+0.46% USD 2,665,000 2,682, TOYO M L3RUSD+0.82% USD 2,225,000 2,252, TOYO MOTO CRE 2.0% USD 62,000 62, TOYOTA MOTOR CREDIT L3RUSD+0.44% USD 787, , UNITED TECHNOLOGIES CORP 4.15% USD 100, , UNITED TECHNOLOGIES 4.50% 01/06/2042 USD 1,095,000 1,173, VERIZON TV 06/19 USD 821, , VIACOM /09/23 USD 167, , VLO 6 5/8 06/15/37 USD 200, , VZ /15/43 USD 640, , WALG BOOT ALL 2.7% USD 200, , WALG BOOT ALL 3.8% USD 400, , WALGREENS CO 4.8% USD 100, , WEST DIGI 7.375% USD 522, , ZIMMER 3.55% USD 1,200,000 1,184, ST CENT FOX 6.15% USD 310, , TOTAL USA 51,032, Total listed bond and similar securities 80,709, Total bonds and similar securities 80,709, Hedges Other hedges Other swaps SG ETF USD 79,566, , Total Other SWAPS -502, Total other hedges -502, Total hedges -502, Receivables 628, Debts -701, Financial accounts Net assets 80,133, Semi-Annual Report on 12/30/16 15

16 Amundi Asset Management Anonymous Inc Euros. capital amount Licensed by the French Market Regulator (AMF) as a portfolio management company reg N GP RCS Paris. Registered Office social: 90, boulevard Pasteur Paris France