AMUNDI ETF MSCI EUROPE MINIMUM VOLATILITY UCITS ETF

Transcription

1 AMUNDI ETF MSCI EUROPE MINIMUM VOLATILITY UCITS ETF Annual report December 2015 AMUNDI S ASSET MANAGEMENT UCITS Fund Manager: AMUNDI ASSET MANAGEMENT Delegated fund accountant: CACEIS FUND ADMINISTRATION FRANCE Custodian: CACEIS BANK FRANCE Auditors: PWC SELLAM

2 Contents Pages Informations about the Fund 3 Annual Report 7 Significant events during the financial period 9 Specific details 10 Regulatory informations 11 Auditor's Certification 12 Annual accounts 15 Balance Sheet 16 Balance Sheet Liabilities 17 Off-balance sheet 18 Income Statement 19 Notes to the annual accounts 20 Accouting rules and methods 21 Changes in net assets 24 Table of profit (loss) of the fund over the past five financial periods 31 Portfolio Listing Annual Report on 12/31/15 2

3 Informations about the Fund Classification International equities. Method used to determine and allocate distributable amounts Capitalisation and/or distribution at the discretion of the fund manager. Tax treatment The Fund is eligible for PEAs (personal equity plans reserved for French tax residents) and life insurance policies. The Fund may also serve as an investment vehicle for unit-linked life insurance policies. The UCITS, by its nature, is not subject to taxation. However, unitholders may be taxed on any income distributed by the UCITS or when they sell its units. The tax regime applicable to amounts distributed by the UCITS 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 UCITS. Any investors unsure of their tax status should contact a tax advisor or professional in order to determine the tax rules that apply to their individual situation, before carrying out any investment. Some income distributed by the UCITS to non-residents in France may be subject to a withholding tax in France. Benchmark index The Fund's benchmark index is the MSCI Europe Minimum Volatility strategy index, denominated in EUR, with net dividends reinvested (net return). The MSCI Europe Minimum Volatility strategy index is an equities index, calculated and published by international index provider MSCI Inc. ( MSCI ). Management fees and commissions Administrative and management fees: 0.23% 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 set out in the paragraph Management Fees and use under the following headings: - Notes to the annual accounts/management fees. - Further Details/Subscription and/or redemption fees/management fees. Investment objective The Fund's investment objective is to replicate the performance (positive or negative) of the MSCI Europe Minimum Volatility strategy index (see Benchmark Index section) as closely as possible. The aim of the fund management strategy is to generate the smallest difference possible between the change in the NAV of the Fund and that of the MSCI Europe Minimum Volatility strategy index (hereafter the MSCI Europe Minimum Volatility strategy index ). The maximum tracking error between the change in the NAV of the Fund and that of the MSCI Europe Minimum Volatility strategy index is 2%. If at any point the tracking error exceeds 2%, the objective would be to remain below 15% of the volatility of the MSCI Europe Minimum Volatility strategy index. Investment strategy The Fund applies an index -type investment strategy. 1. Strategy used: The Fund adopts an index -type investment strategy, with the objective of replicating the changes in the performance of the MSCI Europe Minimum Volatility strategy index, in EUR equivalent, based on a synthetic replication method. In the interest of obtaining the highest possible correlation with the performance of the MSCI Europe Minimum Volatility strategy index, the Fund will purchase a diversified basket of equities (the Basket ), and will use an equity and index OTC swap ( total return swap ) whose purpose is to swap the Fund's exposure to the securities comprising the Basket for exposure to the MSCI Europe Minimum Volatility strategy index. Annual Report on 12/31/15 3

4 The Fund will observe the investment rules set forth in Articles and R of the French Monetary and Financial Code (the CMF ). The Basket, consisting of the directly held assets described in the Assets used section of this document, complies with the provisions of Article R of the CMF. The Fund's exposure to the index obtained via the total return swap may benefit from the exceptional ratios applicable to the index UCITS referred to in Article R of the CMF. This article stipulates that a maximum of 20% of the index may be comprised of equities or debt securities issued by a given entity, and that this limit may be increased to 35% maximum for a single given issuing entity where justified by exceptional market conditions, particularly on regulated markets in which certain transferable securities or money market instruments are predominant. 2. Assets used (excluding embedded derivatives): The Fund's exposure is obtained via the total return swap. The Basket is made up of the assets described below, which are directly held by the Fund. - Equities: At least 60% of the Fund will be exposed at all times to a foreign equities market or to the equities markets of several countries, including the French market. Up to 100% of the Fund's net assets will be invested, within the limits of the ratios provided for by regulations, in international equities (in all economic sectors, listed on all markets). The equities comprising the Fund's assets will be stocks listed on the MSCI Europe Minimum Volatility strategy index, as well as other international equities, in all economic sectors, listed on all markets, including the small cap markets. The equities comprising the Fund's assets will be selected with the aim of limiting the costs associated with the replication of the MSCI Europe Minimum Volatility strategy index. More than 75% of the portfolio's assets consist at all times of companies having their registered office in a European Union Member State, or in another State that is party to the European Economic Area agreement, having entered into a tax agreement with France containing an administrative assistance clause aimed at combating tax evasion and fraud. This minimum investment level makes the Fund eligible for PEAs. - Fixed Income instruments: Up to 25% of the Fund's assets may be invested in bond instruments of any type. The securities in the portfolio will be selected as determined by the portfolio managers and in compliance with the Fund Manager's internal credit risk management policy. In selecting securities, the portfolio managers do not systematically or exclusively rely on ratings issued by rating agencies. Rather, they base their decision to purchase or sell a security on their own credit and market analyses. Note: the portfolio managers may use securities with a minimum rating of BBB- on the S&P and Moody's scale (Investment Grade rating) at the time of their purchase. Selected issuers may belong to either the private or public sector (Governments, local authorities, etc.), with private debt liable to account for up to 100% of debt instruments. Foreign bonds will be denominated in OECD Member State currencies. In order to help achieve its investment objective and/or manage intermediate investment flows, the Fund may hold (within the limit of 10% of its assets) the following instruments: - Debt securities and money market instruments denominated in EUR: Money market instruments are held for cash management purposes. The securities in the portfolio will be selected as determined by the portfolio managers and in compliance with the Fund Manager's internal credit risk management policy. In selecting securities, the portfolio managers do not systematically or exclusively rely on ratings issued by rating agencies. Rather, they base their decision to purchase or sell a security on their own credit and market analyses. Note: the portfolio managers may use securities with a minimum rating of AA on the S&P and Moody's scale. Selected issuers may belong to either the private or public sector (Governments, local authorities, etc.), with private debt liable to account for up to 100% of debt instruments. The average duration of such instruments will be less than 10 years. Annual Report on 12/31/15 4

5 - Units or shares of UCITS: The Fund may invest up to 10% of its assets in units and/or shares of UCITS. These UCITS are representative of all asset classes, in accordance with the Fund's investment constraints. They may be UCITS managed by the Fund Manager or by other entities belonging to Crédit Agricole SA Group, including affiliates, or to other groups. 3. Derivatives instruments: The Fund will use derivative instruments, including in particular forward financial instruments such as OTC total return swaps whose purpose is to exchange the value of the equities comprising the Fund's assets for the value of the MSCI Europe Minimum Volatility strategy index. The method for determining the off-balance sheet commitment uses the commitment method. The Fund may use the following types of derivative instruments: Type of markets: - regulated - organised - over-the-counter Categories of risks in which the Fund intends to trade: - equity - foreign exchange Types of positions and description of all transactions, which must be limited to the achievement of the investment objective: - hedging - exposure Types of instruments used: - equity and index futures - equity and index options - equity and index total return swaps - currency forwards Strategy for using derivatives to achieve the investment objective: - reconstitution of a synthetic exposure to a given security, business sector, and/or the MSCI Europe Minimum Volatility strategy index through the use of swaps. - management of intermediate investment flows (dividends, subscriptions/redemptions, etc.) to achieve the target exposure to a given security, business sector or the MSCI Europe Minimum Volatility strategy index through the use of futures. - management of intermediate investment flows (dividends, subscriptions/redemptions, etc.) to achieve the target exposure to a given security, business sector or the MSCI Europe Minimum Volatility strategy index through the use of options. These instruments may be used as hedging instruments, within the limit of 100% of the Fund's net assets. 4. Securities with embedded derivatives: None. 5. Deposits and cash holdings: The Fund may, within the limit of 20% of its net assets, carry out deposits with a maximum term of 12 months. By allowing the Fund to manage cash flows, these deposits help achieve its investment objective. 6. Cash borrowing: The Fund may borrow cash, on an exceptional and temporary basis and within the limit of 10 % of its net assets, for the purpose of optimising the management of its cash holdings. Annual Report on 12/31/15 5

6 7. Temporary purchases and sales of securities: None. Over-exposure (where applicable): No. Total commitments linked to derivatives and embedded derivatives are limited to 110% of the Fund's assets. Information related to the Fund's financial collateral None. Brief description of the intermediary selection procedure and comments (if any) The Fund Manager usually conducts a call for tenders when selecting intermediaries. A general call for tenders (swap and market-making agreement) was carried out for part of the AMUNDI ETF fund range. Accordingly, for this specific Fund, the Fund Manager has not undertaken and will not undertake a formal, traceable and auditable competition procedure for counterparties to the OTC total return swaps referred to above, as the counterparty was already selected via the general call for tenders. The Fund may conduct these transactions with BNP Paribas SA or any other BNP Paribas SA Group company as counterparties or intermediaries. Risk profile Equity risk Risk of capital loss Factors liable to influence the Fund's replication of the performance generated by the MSCI Europe Minimum Volatility strategy index Currency risk Modelling risk Credit risk Counterparty risk linked to the synthetic replication method used Liquidity risk Annual Report on 12/31/15 6

7 Annual Report December 2015 The fund s objective is to track the MSCI Europe Minimum Volatility strategy index while remaining eligible for the PEA (i.e. the fund undertakes to hold 75% of its assets in PEA-eligible equities at all times). It therefore holds a basket of shares and a performance swap which turns the Fund s equity exposure into an exposure to the MSCI Europe Minimum Volatility. For the period under review, the portfolio AMUNDI ETF MSCI EUROPE MINIMU performance is 15.46%. The benchmark performance is 15.42%. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities Movements (in amount) Acquisitions Transfers ANHEUSER-BUSCH INBEV 15,648, ,491, BASF SE 14,678, ,783, BAYER 11,790, ,404, ING GROEP NV 9,109, ,938, BMW BAYERISCHE MOTOREN WERKE 9,804, ,494, BANCO SANTANDER S.A. 9,716, ,362, SIEMENS AG NAMEN 11,145, ,449, DEUTSCHE BANK AG 8,573, ,522, E.ON AG NOM. 8,499, ,912, UNILEVER 9,556, ,284, Annual Report on 12/31/15 7

8 Efficient portfolio management (EPM) techniques and Financial derivative instruments a) Exposure obtained through the EPM techniques and Financial derivative instruments Exposure obtained through the EPM techniques: None. Underlying exposure reached through financial derivative instruments: Other swaps: b) Identity of the counterparty(ies) to EPM techniques and Financial derivatives instruments Identity of the counterparty(ies) to EPM techniques Financial derivative instruments (*) BNP PARIBAS FRANCE (*) Excepted derivative listed c) Type and amount of collateral received by the UCITS to reduce counterparty risk Type of financial instruments EPM Securities Cash Amount portfolio currency Total Financial derivative instruments Securities Cash Total d) Revenues and operational cost/fees from EPM Revenues and operational cost/fees Revenues (**) Amount portfolio cuurency Total revenues Direct operational fees Indirect operationnal fees Total fees (**) Revenues received from loans, repurchase and reverse repurchase agreements Annual Report on 12/31/15 8

9 Significant events during the financial period 21 March Rider V. STOXX INVESTMENT RULES AND ITS LICENSORS REFUSE ANY LIABILITY RELATING TO THE AMUNDI ETF MSCI EUROPE MINIMUM. MORE SPECIFICALLY, STOXX AND ITS LICENSORS NEITHER PROVIDE NOR ENSURE ANY GUARANTEE, EXPRESS OR IMPLICIT, CONCERNING: THE RESULTS THAT HAVE TO BE OBTAINED BY THE AMUNDI ETF MSCI EUROPE MINIMUM, THE HOLDER OF UNITS IN THE AMUNDI ETF MSCI EUROPE MINIMUM OR ANY PERSON INVOLVED IN THE USE OF THE MSCI EUROPE MINIMUM VOLATILITY INDEX AND THE DATA INCLUDED IN MSCI EUROPE MINIMUM VOLATILITY ; THE ACCURACY OR EXHAUSTIVENESS OF THE MSCI EUROPE MINIMUM VOLATILITY INDEX AND THE DATA THAT IT CONTAINS; THE TRADABILITY OF THE MSCI EUROPE MINIMUM VOLATILITY INDEX AND ITS DATA AS WELL AS THEIR APPROPRIATENESS FOR A SPECIFIC USE OR A PARTICULAR PURPOSE; STOXX AND ITS LICENSORS MAY NOT BE HELD LIABLE FOR ANY ERROR, OMISSION OR INTERRUPTION IN THE MSCI EUROPE MINIMUM VOLATILITY INDEX OR THE DATA THAT IT CONTAINS; UNDER NO CIRCUMSTANCES, MAY STOXX OR ITS LICENSORS BE HELD LIABLE FOR ANY LOSS OF EARNINGS. THE SAME APPLIES FOR ANY INDIRECT DAMAGE OR LOSS EVEN IF STOXX AND ITS LICENSORS HAVE BEEN NOTIFIED OF THE EXISTENCE OF SUCH RISKS. THE LICENCE CONTRACT BETWEEN AMUNDI AND STOXX HAS BEEN DRAWN UP IN THEIR SOLE INTEREST AND NOT IN THE INTEREST OF THE HOLDERS OF UNITS IN THE AMUNDI ETF MSCI EUROPE MINIMUM OR THIRD PARTIES. 21 March Rider V. STOXX INVESTMENT RULES AND ITS LICENSORS HAVE NO OTHER LINK WITH THE LICENCE HOLDER THAN THE LICENCE WHICH HAS BEEN ATTRIBUTED FOR THE MSCI EUROPE MINIMUM VOLATILITY INDEX AND THE ASSOCIATED REGISTERED BRANDS FOR USE IN RELATION WITH THE AMUNDI ETF MSCI EUROPE MINIMUM. STOXX AND ITS LICENSORS MAKE NO GUARANTEE DECLARATION REGARDING THE OPPORTUNENESS OF A TRANSACTION ON UNITS IN THE AMUNDI ETF MSCI EUROPE MINIMUM WHICH THEY ALSO REFRAIN FROM SELLING AND PROMOTING. THEY ISSUE NO INVESTMENT RECOMMENDATION TO ANY PERSON CONCERNING THE AMUNDI ETF MSCI EUROPE MINIMUM OR ANY OTHER SECURITY. THEY ASSUME NO RESPONSIBILITY OR OBLIGATION REGARDING THE LAUNCH DATE, THE QUANTITY AND PRICE OF UNITS IN THE AMUNDI ETF MSCI EUROPE MINIMUM, AND TAKE NO DECISION ON THIS SUBJECT. THEY ASSUME NO RESPONSIBILITY OR OBLIGATION CONCERNING THE ADMINISTRATION, MANAGEMENT OR MARKETING OF THE AMUNDI ETF MSCI EUROPE MINIMUM. THEY ARE NOT OBLIGED TO TAKE INTO CONSIDERATION THE NEEDS OF THE AMUNDI ETF MSCI EUROPE MINIMUM OR ITS UNIT HOLDERS IN ORDER TO DETERMINE, COMPOSE OR CALCULATE THE MSCI EUROPE MINIMUM VOLATILITY INDEX. 21 March 2015 Rider - Date on which the prospectus was updated: 5 February 2015 ND_DATE_MANUAL 05/02/2015. Updating of the management company s name: Amundi became Amundi Asset Management, an Amundi Group company, on 12 November Annual Report on 12/31/15 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. Off-balance sheet commitments calculation Off-Balance Sheet commitments are calculated with a Commitment calculation method. Annual Report on 12/31/15 10

11 Regulatory informations Financial intermediary selection procedure The Broker Selection Policy draws up and implements a policy which enables it to comply with the Fund s obligation under Art (iv) while meeting the requirements set out in Art L of the French CMF. For each class of instrument, the policy selects the organizations that will be commissioned to execute orders. AMUNDI execution policy may be consulted on the AMUNDI website. Investment advice service The Fund Manager has not prepared a Report on Brokerage Expenses since it has not used any investment advice services. Information on environmental, social and governance quality criteria (ESG) Throughout its active management* Amundi, like the entire group, applies strict rules for the integration of extrafinancial criteria (ESG) that form the basis of its liability. Thus it: - excludes direct investment in companies involved in the manufacture or trade in antipersonnel mines and cluster munitions, in accordance with the Ottawa and Oslo Conventions - excludes firms that violate grossly and repeatedly one or more of the 10 principles of the Global Compact. Issuers falling under these two categories are rated G on Amundi's scale (scale from A to G, A being the best and G the worst). Further information on how to take Amundi's ESG criteria into account is available on its website. Eligibility for PEAs (French personal equity plans) In accordance with the provisions of Article 91, section L, of the French General Tax Code, at least 75% of Fund's assets are invested at all times in the securities and rights referred to in Article L , Section I, sub-section I, paragraphs a, b and c, of the French Monetary and Financial Code. Annual Report on 12/31/15 11

12 Certificate drafted by the Auditor on the annual accounts Annual Report on 12/31/15 12

13 AUDITOR S REPORT FOR THE FINANCIAL PERIOD ENDED 31 DECEMBER 2015 AMUNDI ETF MSCI EUROPE MINIMUM Mutual Fund Governed by the Code monétaire et financier Fund Manager AMUNDI 91-93, boulevard Pasteur Paris Cedex 15 Dear Madam, dear Sir, We submit herewith our report for the financial period ended 31 DECEMBER 2015 on the following matters, as commissioned by the Fund Manager s Board of Directors: our audit on the annual accounts of the mutual fund AMUNDI ETF MSCI EUROPE MINIMUM, as attached hereto; the grounds for our opinion; the auditing checks and specific details required by law. The annual accounts have been drawn up by the Fund Manager; it is our task to give an opinion on these accounts, based on our audit OPINION ON THE ANNUAL ACCOUNTS We have carried out our audit according to the standards of professional practice applicable in France; those standards require the implementation of due diligence sufficient to give a reasonable assurance that the annual accounts in question contain no significant discrepancies. An audit involves checking, by sampling or other selective means, the evidence for the entries (amounts and other details) which appear in the annual accounts. It also involves assessing the accounting standards that have been followed, the significant estimates made, and the way in which the accounts as a whole have been presented. We reckon that the evidence we have gathered is appropriate and sufficient as a basis for our opinion. We hereby certify that the annual accounts have been reliably drafted and are in good order under French accounting rules and standards, and give a fair picture of the outcome of all transactions during the period recently ended, as well as of the mutual fund s assets, liabilities and financial situation at the end of that period GROUNDS FOR OUR OPINION In accordance with the requirements of article L of the French Commercial Code (Code de commerce) relating to the justification of our assessments, we bring to your attention that our assessments were conducted with regard to evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made. PwC Sellam: 2, rue Vatimesnil CS Levallois Perret Cedex France Phone +33 (0) Fax. +33 (0) opcvm@cabinetsellam.com Public Joint-Stock company (SA); share capital 10,000 Siret No

14 AMUNDI ETF MSCI EUROPE MINIMUM These assessments were made as part of our audit of the financial statements taken as a whole, and therefore contributed to the opinion we formed which is expressed in the first part of this report CHECKS AND SPECIFIC DETAILS We have also made the specific checks required by law. We have no qualifications to add concerning the trustworthiness and consistency of the annual accounts with the information given in the Annual Report and in the documents submitted to unit holders concerning the financial situation and the annual accounts. Levallois-Perret, date of the electronic signature Document authenticated by electronic signature Audit firm PwC Sellam Benjamin Moïse

15 Annual accounts Annual Report on 12/31/15 15

16 Balance sheet - asset in EUR Balance Sheet on 12/31/15 Portfolio : AMUNDI ETF MSCI EUROPE MINIMUM 12/31/15 12/31/14 FIXED ASSETS, NET DEPOSITS FINANCIAL INSTRUMENTS 51,028, ,616, Equities and similar securities 51,028, ,427, Traded in a regulated market or equivalent 51,028, ,427, Not traded in a regulated market or equivalent Bonds and similar securities Traded in a regulated market or equivalent Not traded in a regulated market or equivalent Credit instruments Traded in a regulated market or equivalent Negotiable credit instruments (Notes) Other credit instruments Not traded in a regulated market or equivalent Collective investment undertakings General-purpose UCITS and alternative investment funds intended for nonprofessionals and equivalents in other countries Other Funds intended for non-professionals and equivalents in other EU Member States General-purpose professional funds and equivalents in other EU Member States and listed securitisation entities Other professional investment funds and equivalents in other EU Member States and listed securitisation agencies Other non-european entities Temporary transactions in securities Credits for securities held under sell-back deals Credits for loaned securities Borrowed securities Securities sold under buy-back deals Other temporary transactions Hedges 189, Hedges in a regulated market or equivalent Other hedges 189, Other financial instruments RECEIVABLES 9,087, , Forward currency transactions Other 9,087, , FINANCIAL ACCOUNTS Cash and cash equivalents TOTAL ASSETS 60,116, ,749, Annual Report on 12/31/15 16

17 Balance sheet - liabilities in EUR Balance Sheet Liabilities on 12/31/15 Portfolio : AMUNDI ETF MSCI EUROPE MINIMUM 12/31/15 12/31/14 SHAREHOLDERS' FUNDS Capital Allocation Report of distributed items (a) Brought forward (a) 33,676, ,043, ,053, Allocation Report of distributed items on Net Income (a,b) 10,269, ,547, Result (a,b) Total net shareholders' funds * Net Assets -2, ,988, , ,587, FINANCIAL INSTRUMENTS Transfers of financial instruments Temporary transactions in securities Sums owed for securities sold under buy-back deals Sums owed for borrowed securities Other temporary transactions Hedges Hedges in a regulated market or equivalent Other hedges 13, , , PAYABLES 9,115, , Forward currency transactions Other 9,115, , FINANCIAL ACCOUNTS Short-term credit Loans received TOTAL LIABILITIES 60,116, ,749, (a) Including adjusment (b) Decreased interim distribution paid during the business year Annual Report on 12/31/15 17

18 Off balance sheet in EUR Off-balance sheet on 12/31/15 Portfolio : AMUNDI ETF MSCI EUROPE MINIMUM 12/31/15 12/31/14 HEDGES Contracts in regulated markets or similar OTC contracts Other commitments OTHER OPERATIONS Contracts in regulated markets or similar OTC contracts Performance swap BNP ,860, ,652, Other commitments Annual Report on 12/31/15 18

19 Income statement in EUR Income Statement on 12/31/15 Portfolio : AMUNDI ETF MSCI EUROPE MINIMUM 12/31/15 12/31/14 Revenues from financial operations Revenues from deposits and financial accounts Revenues from equities and similar securities 113, , Revenues from bonds and similar securities Revenues from credit instruments Revenues from temporary acquisition and disposal of securities Revenues from hedges Other financial revenues TOTAL (1) 113, , Charges on financial operations Charges on temporary acquisition and disposal of securities Charges on hedges Charges on financial debts Other financial charges TOTAL (2) NET INCOME FROM FINANCIAL OPERATIONS (1-2) 113, , Other income (3) Management fees and depreciation provisions (4) 114, , NET INCOME OF THE BUSINESS YEAR (L ) ( ) , Revenue adjustment (5) -1, Interim Distribution on Net Income paid during the business year (6) NET PROFIT ( ) -2, , Annual Report on 12/31/15 19

20 Notes to the annual accounts Annual Report on 12/31/15 20

21 Accounting rules and methods The annual accounts are presented as provided by the ANC Regulation repealing Regulation CRC as amended. General accounting principles apply, viz: - fair picture, comparability, ongoing business, - proper practice & trustworthiness, - prudence, - no unreported change in methods from one period to the next. Revenues from fixed-yield securities are recognized on the basis of interest actually received. Acquisitions and disposals of securities are recognized of costs. The accounting currency of the portfolio is the EURO. The accounting period reported on is 12 months. Asset valuation rules Financial instruments are initially recognized at historic cost and carried on the Balance Sheet at their current value: this is their latest known market value or, in the absence of a market, is determined by any external means or by recourse to financial models. Differences between the securities current values determined as above and their original historic cost are recognized in the accounts as differences on estimation. Securities denominated in a currency other than that of the portfolio are valued in accordance with the above principle and then converted into the currency of the portfolio at the exchange rate obtained on the valuation date. Deposit: Deposits maturing in three months or sooner are valued according to the linear method. Equities, bonds and other securities traded in a regulated market or equivalent: When calculating the NAV, the equities and other securities traded in a regulated market or equivalent are valued based on the day s closing market price. Bonds and similar securities are valued at the closing price notified by various financial service providers. Interest accrued on bonds and similar securities is calculated up to the date of asset valuation. Equities, bonds and other securities not traded in a regulated market or equivalent: Securities not traded in a regulated market are valued by the Fund Manager using methods based on net equity and yield, taking into account the prices retained in significant recent transactions. Negotiable credit instruments (Notes): Negotiable credit instruments which are not actively traded in significant amounts are actuarially valued on the basis of a reference rate as specified below, plus any enhancement to represent the issuer s intrinsic characteristics: Notes maturing in one year s time or less: euro interbank offered rate (Euribor); Notes maturing in more than one year s time: the prevailing rate on medium-term interest-bearing Treasury notes (BTAN) or, for the longest Notes, on near-term fungible Treasury bonds (OAT); Negotiable credit instruments maturing in three months or sooner may be valued according to the linear method. Annual Report on 12/31/15 21

22 French Treasury notes are valued using the market rate published daily by the Banque de France. UCITS held: UCITS units or shares are valued at the latest known NAV. Temporary transactions in securities: Securities held under sell-back deals are carried in Assets under credits for securities held under sell-back deals at the amount provided for in the contract, plus accrued interest receivable. Securities sold under buy-back deals are booked to the buying portfolio at their current value. The corresponding debt is booked to the selling portfolio at the value set in the contract plus accrued interest payable. Loaned securities are valued at their current value and carried in Assets under credits for loaned securities at their current value plus accrued interest receivable. Borrowed securities are carried in Assets under borrowed securities at the amount provided for in the contract, and in Liabilities under debts for borrowed securities at the amount provided for in the contract plus accrued interest payable. Hedges: Hedges traded in a regulated market or equivalent Hedge instruments traded in regulated markets are valued at the day s settlement price. Hedges not trades in a regulated market or equivalent Swaps: Rate swaps and/or forward currency transactions are valued at their market value according to the price calculated by discounting future interest streams at market interest (and/or exchange) rates. This price is adjusted for default risk. Index swaps are valued actuarially on the basis of a reference rate provided by the counterparty. Other swaps are valued at their market value or are estimated as specified by the Fund Manager. Off-Balance Sheet Commitments: Firm hedging contracts are stated among Off-Balance Sheet Commitments at their market value at the rate used in the portfolio. Conditional hedges are converted into their underlying equivalents. Swap commitments are stated at their nominal value or at an equivalent amount, where there is no nominal value. Annual Report on 12/31/15 22

23 Management fees Management fees are calculated on the nominal capital on each valuation. These fees are imputed to the fund s Income Statement. Management fees are paid in full to the Fund Manager, which bears all the fund s operating costs. The management fees do not include dealing costs. The percentage of nominal capital charged is 0.23% including taxes. Allocation of net profit Definition of Distributable: The distributable funds shall consist of: The result: The net profit (loss) for the period is the total of interest, arrears, premiums, allotments and dividends, plus income on ready cash, minus management fees and financial dealing costs. Latent or realised capital gains or losses are not counted as revenue; nor are subscription/redemption fees. The amounts available for distribution are the net profit for the period, plus any sums brought forward, plus or minus the balance of any revenue adjustment accounts relating to the financial period in question. Gains and losses: The net realised gains (deducted from management fees and realised losses) from the financial year will increase the same type of net realized gains from earlier financial years, if the fund hasn t distributed or accumulated its gains and will also increase or reduce the equalization accounts for realised gains. Appropriation methods for the distributable amounts: Distributable amounts Allocation of the net income Allocation of the net realized gains and losses Units C and/or D Accumulation and/ or distribution and / or carry forward a decision taken by the management Accumulation and/ or distribution and / or carry forward a decision taken by the management Annual Report on 12/31/15 23

24 Changes in net asset in EUR Change in net assets on 12/31/15 Portfolio : AMUNDI ETF MSCI EUROPE MINIMUM 12/31/15 12/31/14 NET ASSETS IN START OF PERIOD 53,587, ,642, Subscriptions (including subscription fees received by the fund) 68,277, ,663, Redemptions (net of redemption fees received by the fund) -80,814, ,323, Capital gains realised on deposits and financial instruments 12,586, ,061, Capital losses realised on deposits and financial instruments -2,866, ,566, Capital gains realised on hedges 212,196, ,143, Capital losses realised on hedges -209,833, ,442, Dealing costs -2, , Exchange gains/losses 58, , Changes in difference on estimation (deposits and financial instruments) -1,997, , Difference on estimation, period N -1,474, , Difference on estimation, period N-1-523, , Changes in difference on estimation (hedges) -202, , Difference on estimation, period N -13, , Difference on estimation, period N-1-189, Net Capital gains and losses Accumulated from Previous business year Distribution on Net Capital Gains and Losses from previous business year Net profit for the period, before adjustment prepayments , Allocation Report of distributed items on Net Income Interim Distribution on Net Income paid during the business year Other items* NET ASSETS IN END OF PERIOD 50,988, ,587, *N-1 : Award costs identifying a legal entity and annual certification fee of LEI: Annual Report on 12/31/15 24

25 BREAKDOWN OF FINANCIAL INSTRUMENTS BY LEGAL OR COMMERCIAL TYPE Amount % ASSETS BONDS AND SIMILAR SECURITIES TOTAL BONDS AND SIMILAR SECURITIES CREDIT INSTRUMENTS TOTAL CREDIT INSTRUMENTS LIABILITIES TRANSACTIONS INVOLVING TRANSFER OF FINANCIAL INSTRUMENTS TOTAL TRANSACTIONS INVOLVING TRANSFER OF FINANCIAL INSTRUMENTS OFF-BALANCE SHEET HEDGES TOTAL HEDGES OTHER OPERATIONS Other 50,860, TOTAL OTHER OPERATIONS 50,860, BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY TYPE Fixed rate % Variable rate % Rate subject to review % Other % Assets Deposits Bonds and similar securities Credit instruments Temporary transactions in securities Financial accounts 5.50 Liabilities Temporary transactions in securities Financial accounts Off-balance sheet Hedges Other operations Annual Report on 12/31/15 25

26 BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY TIME TO MATURITY < 3 Months % ]3 Months - 1 Year] % ]1-3 Years] % ]3-5 Years] % > 5 Years % Assets Deposits Bonds and similar securities Credit instruments Temporary transactions in securities Financial accounts 5.50 Liabilities Temporary transactions in securities Financial accounts Off-balance sheet Hedges Other operations All hedges are shown in terms of time to maturity of the underlying securities. BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY LISTING OR EVALUATION CURRENCY Currency 1 NOK % Currency 2 % Currency 3 % Currency N Others currencies % Assets Deposits Equities and similar securities Bonds and similar securities Credit instruments Mutual fund units Temporary transactions in securities Liabilities Financial accounts Liabilities Transactions involving transfer of financial instruments Temporary transactions in securities Debts Financial accounts Off-balance sheet Hedges Other operations Annual Report on 12/31/15 26

27 BREAKDOWN BY ITEMS OF RECEIVABLES AND PAYABLES Type 12/31/15 Receivables Sales deferred settlement 9,087, Total receivables 9,087, Payables Purchases deferred settlement - 9,087, Management fees - 27, Total of Payables - 9,115, Total payables and receivables - 27, SHAREHOLDERS FUNDS Number of units issued or redeemed Units Value Units subscribed during the period 783,231 68,277, Units redeemed during the period -906,537-80,814, Units in circulation at the end of the period 577,639 SUBSCRIPTION AND/OR REDEMPTION FEES Value Total of subscription and/or redemption fees received Total of subscription fees received Total of redemption fees received MANAGEMENT FEES CHARGEABLE TO THE FUND 12/31/15 Underwriting commission Percentage set for fixed management fees Cost of functioning and management fees (fixed management fees) Commission of performance (variable management fees) Management fees rebated , Annual Report on 12/31/15 27

28 COMMITMENTS RECEIVED AND GIVEN 12/31/15 Guarantees received by the fund - including capital guarantees Other commitments received Other commitments given Annual Report on 12/31/15 28

29 FUTHER DETAILS Stock market values of temporarily acquired securities 12/31/15 Securities held under sell-back deals Borrowed securities Stock market values of pledged securities 12/31/15 Financial instruments pledged but not reclassified Financial instruments received as pledges but not recognized in the Balance Sheet Group financial instruments held by the Fund Isin code Name of security 12/31/15 Equities Bonds Notes UCITS Hedges Total group financial instruments Annual Report on 12/31/15 29

30 TABLE OF ALLOCATION OF THE DISTRIBUTABLE SHARE OF THE SUMS CONCERNED TO PROFIT (LOSS) 12/31/15 12/31/14 Sums not yet allocated Brought forward Profit (loss) -2, , Total -2, , /31/15 12/31/14 Allocation Distribution Brought forward Capitalized -2, , Total -2, , TABLE OF ALLOCATION OF THE DISTRIBUTABLE SHARE OF THE SUMS CONCERNED TO CAPITAL GAINS AND LOSSES 12/31/15 12/31/14 Sums not yet allocated Net Capital gains and losses Accumulated from Previous business year 7,043, Net Capital gains and losses of the business year 10,269, ,547, Allocation Report of distributed items on Net Capital Gains and Losses Total 17,313, ,547, /31/15 12/31/14 Allocation Distribution Net capital gains and losses accumulated per share 17,313, ,547, Capitalized Total 17,313, ,547, Annual Report on 12/31/15 30

31 TABLE OF PROFIT (LOSS) ANS OTHER TYPICAL FEATURES OF THE FUND OVER THE PAST FIVE FINANCIAL PERIODS 12/30/11 12/31/12 12/31/13 12/31/14 12/31/15 Net assets in EUR 16,472, ,611, ,642, ,587, ,988, Number of shares/units 380, ,000 81, , ,639 NAV per share/unit in EUR in EUR Net capital gains and losses accumulated per share in EUR Net Capital Gains and Losses Accumulated per share in EUR Net income Accumulated per share in EUR Annual Report on 12/31/15 31

32 Portfolio listing of financial instruments in EUR Name of security Currency Quantity Market value % Equities and similar securities Listed equities & similar securitie BELGIUM ANHEUSER-BUSCH INBEV EUR 19,841 2,269, TOTAL BELGIUM 2,269, FINLAND ELISA COMMUNICATION OXJ - A EUR 37,388 1,300, TOTAL FINLAND 1,300, FRANCE L OREAL PRIME FIDELITE 2017 EUR 7,806 1,212, LVMH (LOUIS VUITTON - MOET HENNESSY) EUR 7,327 1,061, TOTAL EUR 36,815 1,519, TOTAL FRANCE 3,793, GERMANY ALLIANZ SE EUR 14,487 2,369, BASF SE EUR 58,583 4,142, BAYER EUR 34,177 3,957, BMW BAYERISCHE MOTOREN WERKE EUR 22,173 2,164, DAIMLER AG EUR 30,710 2,382, DEUTSCHE BANK AG EUR 103,523 2,331, DEUTSCHE POST AG NAMEN EUR 90,078 2,337, DEUTSCHE TELEKOM AG EUR 140,977 2,352, E.ON AG NOM. EUR 277,002 2,473, FRESENIUS EUR 32,674 2,155, SIEMENS AG NAMEN EUR 51,685 4,645, TOTAL GERMANY 31,314, NETHERLANDS AIRBUS GROUP EUR 35,381 2,193, ASML HOLDING NV EUR 32,196 2,657, ROYAL PHILIPS EUR 89,499 2,108, UNILEVER EUR 109,170 4,378, TOTAL NETHERLANDS 11,338, SPAIN BANCO SANTANDER S.A. EUR 221,994 1,011, TOTAL SPAIN 1,011, TOTAL listed equities & similar securities traded in a regulated market or equivalent 51,028, Total equities & similar securities 51,028, Annual Report on 12/31/15 32

33 Portfolio listing of financial instruments in EUR Name of security Currency Quantity Market value % Hedges Other hedges Other swaps BNP EUR 50,860, , Total Other SWAPS -13, Total other hedges -13, Total hedges -13, Receivables 9,087, Debts -9,115, Financial accounts 5.50 Net assets 50,988, AMUNDI ETF MSCI EUROPE MINIMUM VOLATILITY UCITS ET EUR 577, Annual Report on 12/31/15 33

34 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