HALF-YEARLY REPORT OF THE COLLECTIVE INVESTMENT FUND: INFORMATION AS AT 30 June 2017

Transcription

1 HALF-YEARLY REPORT OF THE COLLECTIVE INVESTMENT FUND: CONSEQ POLSKÝCH DLUHOPISŮ, OTEVŘENÝ PODÍLOVÝ FOND (the Fund ) INFORMATION AS AT 30 June 2017 Conseq Funds investiční společnost, a.s., Burzovní palác, Rybná 682/14, Praha 1, tel , fax , Reg. No , incorporated by entry in the Commercial Register kept by the Municipal Court in Prague, Section B, File 17126

2 I. INFORMATION AND FACTS in accordance with Act No 240/2013 on investment companies and investment funds and further to Implementing Decree No 244/2013 on the more detailed regulation of certain rules under the Investment Companies and Investment Funds Act, for the reporting period from 1 January to 30 June 2017 A. INFORMATION ON PERSONS MANAGING FUND ASSETS (PORTFOLIO MANAGERS, ANY EXTERNAL MANAGERS) Company name Conseq Investment Management, a.s. (the External Manager ), incorporated by entry in the Commercial Register kept by the Municipal Court in Prague, Section B, File 7153 Registration number Registered office Praha 1, Rybná 682/14, Other information An agreement on the delegation of management (in accordance with the Investment Companies and Investment Funds Act) was made between the External Manager and Conseq Funds investiční společnost, a.s. (the Company ) on 2 December 2013, with effect in relation to the Fund from 1 November Under that agreement, the External Manager was entrusted with the management of the Fund s financial assets. This agreement replaced the original agreement on the delegation of the management of the Fund s financial assets to the External Manager, concluded with effect from 29 June Brief description of experience and knowledge The External Manager is a securities trader who, since 2001, has inter alia provided the investment service of the management of customer assets, insofar as they include an investment instrument, on a discretionary basis within the scope of a contractual arrangement. External Manager s key officers involved in Fund management Jan Vedral Upon graduating from the Business Management Faculty at the University of Economics, Prague, he worked for Investiční banka. In 1992, he joined Agrobanka Praha (now GE Money Bank), where as prime broker he participated in the earliest transactions on the infant Czech primary and secondary capital markets. In late 1994, he initiated the establishment of Conseq Finance, a.s., a company he headed until Throughout this time, he was directly responsible for the operations division, the equity trading group and the investment management group. Jan Vedral has continued to work for the External Manager as the chief investment manager, leading the investment team and setting the main investment strategy. Together with Hana Blovská, he contributes to decision-making on the company s business policy and its operational management. Ondřej Matuška He graduated from the Faculty of Finance and Accounting, University of Economics, Prague. During his studies, he worked for the newspaper Hospodářské noviny as a specialist reporter responsible for foreign capital markets. On completing his studies, he had a short stint as an analyst at the commercial banking department of Erste Bank Sparkassen CR, subsequently Česká spořitelna. He joined Conseq Finance, 1

3 a.s. in As a junior portfolio manager, he was responsible for managing the cash flow of client portfolios and for the execution of investment decisions. Since 2003, he has been a portfolio manager at the External Manager, where he is primarily responsible for the bond components of client portfolios and for the funds Conseq Invest Bond (Conseq Invest Dluhopisový), Conservative Bond (Konzervativní dluhopisový) and New Europe Bond (Dluhopisů Nové Evropy). He helps to devise investment strategies with Jan Vedral in the investment team. He was elected a member of the board of directors in August Jan Schiller He graduated in finance (specialising in financial market analysis) from the Faculty of Finance and Accounting, University of Economics, Prague. Two years before successfully completing this field of study, he joined the External Manager as a junior analyst. He was then fully integrated into the team as junior portfolio manager responsible for the execution of investment decisions relating to the bond portions of portfolios and institutional mandates, and was involved in asset allocation and the management of client portfolios. B. INFORMATION ON THE FUND DEPOSITARY in the reporting period and in the period over which it played the role of depositary Throughout the reporting period, the Fund s depositary was UniCredit Bank Czech Republic and Slovakia, a.s., registration number , having its registered office at Praha 4 Michle, Želetavská 1525/1, , incorporated by entry in the Commercial Register kept by the Municipal Court in Prague, Section B, File 3608 (the Depositary ). C. INFORMATION ON THE ENTITY ENTRUSTED WITH THE CUSTODY OR SAFEKEEPING OF THE FUND S ASSETS if more than 1% of the Fund s asset value is deposited with that entity. The custody or other safekeeping of the Fund s assets is provided solely by the Fund s Depositary (see B above). D. INFORMATION ON THE MAIN PROMOTER in the reporting period and in the period over which it played the role of main promoter No entity played the role of the main promoter for the Fund s assets in the reporting period. 2

4 E. IDENTIFICATION OF FUND ASSETS if the value exceeds 1% of the Fund s asset value as at 30 June 2017, with an indication of the total acquisition cost and the fair value at the end of the reporting period Debt securities in Fund assets: Security name (or issuer) ISIN Total acquisition cost (CZK thousands) Total fair value (CZK thousands) as at 30 June 2017 AMRSTf/18 PLAMRST ,350 1,252 DOMf/21 PLDMDVL JPMfe/27 XS ,243 1,234 MMPWf/20 PLMLMDP PKOBPf/22 PLPKO ,387 1,256 PLgb0-01/24 PL ,995 1,821 PLgb0-10/18 PL ,996 7,886 PLgb2.5-07/26 PL ,359 2,404 PLgb /25 PL ,973 3,838 PLgb4-10/23 PL ,845 4,844 PLgb5.5-10/19 PL ,953 10,046 PLgb /22 PL ,217 6,650 F. VALUE OF ALL PROFIT-SHARING PAID OUT PER SHARE As a growth fund, the Fund does not engage in the sharing of profits (dividend payouts) or yields from Fund management. Instead, profits and yields are reinvested and are reflected in the Fund share value. G. INFORMATION ON THE FEE ACTUALLY PAID TO THE MANAGER FOR FUND ASSET MANAGEMENT distinguishing between information on the fee for the role of depositary, administrator, main promoter, or auditor, and information on other costs or taxes For the period from 1 January to 30 June 2017, the cost of the Fund asset management fee was CZK 211,000. For the period from 1 January to 30 June 2017, the cost of the provision of the role of the depositary was CZK 18,000 and the cost of other depositary services was CZK 30,000. For the period from 1 January to 30 June 2017, the cost of auditor services was CZK 42,000. Other administrative costs over the period amounted to CZK 4,000. 3

5 H. RISKS ASSOCIATED WITH DERIVATIVES, QUANTITATIVE LIMITS AND RISK ASSESSMENT METHODS selected for an assessment of risks associated with Fund management techniques in the reporting period, including information on trade counterparties, the type and amount of security received, revenues and costs associated with the use of these techniques, and information on investment limits in relation to derivatives negotiated on account of the Fund Derivative-related risks The risks associated with financial types of derivatives are essentially market risks, either currency or interest rate risks, depending on the underlying asset of the derivative, and the credit risk of the counterparty. For derivatives, it is necessary to draw attention to the implications of leverage, which generally means that even a slight change in the price of the underlying instrument from which the derivative is derived results in a relatively large change in the price of the derivative. The counterparty risk stemming from financial derivatives, corresponding to the sum of positive fair values of those derivatives, and from standard fund management techniques, must not exceed the following for any one contracting party: - 10% of the Fund asset value if the contracting party is a person referred to in Section 72(2) of the Investment Companies and Investment Funds Act; or - 5% of the Fund asset value if the contracting party is a person other than a person referred to in the preceding indent. In the Fund, FX swap and FX forward operations are currently carried out; this is exclusively to hedge the currency risk in the Fund s portfolio (only forward points are an expense when this technique is applied). Unwavering counterparties include UniCredit Bank Czech Republic and Slovakia, a.s., which also plays the role of depositary, as well as Citibank Europe plc, organizační složka, PPF banka a.s. and Česká spořitelna, a.s. Quantitative limits selected for the assessment of risks associated with Fund management techniques The Fund may use financial derivatives only to reduce the Fund s investment risks, in particular the Fund s exchange-rate risks. The Fund s debts arising from the use of financial derivatives must be fully covered by its assets at all times. The Fund may engage in repo trades to reduce the risk attaching to the Fund s investing activity, to reduce the Fund s costs or to generate additional income for the Fund. Quantitative limits selected for the assessment of risks associated with Fund portfolio management Bonds and money market instruments issued by a single issuer may constitute no more than 5% of the value of the Fund s assets, unless otherwise specified. Deposits with a single bank or foreign bank must not constitute more than 20% of the Fund s asset value. The sum of deposits at banks and foreign banks must not exceed 20% of the Fund s asset value. The sum of investments in bonds or money market instruments issued by a single issuer, a deposit with that issuer and the risk associated with that issuer as the counterparty to transactions in financial derivatives must not exceed 20% of the Fund s asset value. The Fund may invest up to 10% of the Fund s asset value in securities issued by a single standard fund or by a single special collective investment fund. Investments by the Fund in securities issued by collective investment funds must not exceed 10% of the Fund s asset value. The Fund must not acquire assets constituting more than 10% of the total nominal value 4

6 of bonds issued by a single issuer or more than 10% of the total nominal value or the total number of money market instruments issued by a single issuer. The proportion of bonds and money market instruments must be at least 90% of the Fund s asset value. The maximum proportion of bonds and money market instruments issued or guaranteed by the Republic of Poland may be 100% of the Fund s asset value if the Fund has assets comprising bonds and money market instruments from at least six different issues; securities from any one issue must not account for more than 30% of the Fund s asset value. The proportion of corporate bonds must be less than 70% of the Fund s asset value. The open position in currencies other than the Polish zloty (PLN) must be less than 10% of the Fund s asset value. Investment in instruments denominated in currencies other than PLN must be less than 30% of the Fund s asset value. Bonds issued by issuers which have been assigned a rating falling within a non-investment grade (a rating of BB-/Ba1 or worse) by the majority of reputable rating agencies (Standard & Poor s, Moody s and Fitch) which have evaluated the issuer account for no more than 10% of the Fund s asset value. These quantitative limits are defined in more detail in the Fund s prospectus in accordance with Government Regulation No 243/2013 on the investments of investment funds and on techniques for the management thereof (the Government Regulation ) Methods selected for the assessment of risks associated with Fund portfolio management and Fund management techniques In the management of risks arising from the use of investment instruments that are part of the Fund s assets, the Company applies the following methods: (a) monitoring and checks of compliance with the relevant rules on risk distribution and control (investment limits and rules) under the corresponding legislation of general application and the Fund prospectus; (b) monitoring of developments in the volatility of Fund performance, expressed as a standard deviation calculated from 36 monthly performances of Fund shares at an annual rate; (c) monitoring of operational risk events. The Company hedges the credit risk among derivatives and repo transactions in accordance with the rules laid down in the Fund prospectus and the Government Regulation. The Company also monitors developments in the credit ratings of investment instruments. I. ANNUAL IMBALANCE IN MONITORING BETWEEN THE FUND S PERFORMANCE AND THE BENCHMARK S PERFORMANCE if the Fund monitors a particular index or other financial quantitatively expressed indicator (benchmark), including explanations of differences between the projected and actual imbalance in monitoring in the relevant period The actual imbalance between the performance of the Fund and the performance of the underlying index (benchmark) in the relevant period is -0.85%. The projected imbalance in monitoring in the relevant period is not explicitly defined for the Fund. J. TOTAL NUMBER OF FUND SHARES that are in circulation as at 30 June 2017 and that were issued and redeemed in the reporting period In the reporting period, the Fund issued 231,973 shares and redeemed 15,062 Fund shares. As at 30 June 2017, 6,329,885 Fund shares were in circulation. 5

7 K. FUND CAPITAL PER SHARE As at 30 June 2017, there was Fund capital of PLN per Fund share. L. FUND ASSET STRUCTURE AND CHANGES THERETO Total share (%) in assets 30 June June 2017 Balances with banks 2.30% 0.20% Debt securities 96.29% 99.34% of which: (a) issued by government institutions 87.95% 87.34% of which: (b) issued by other entities 8.34% 12.00% Other assets 1.41% 0.46% M. INFORMATION ON SFTs AND SWAPS OF ALL YIELDS No SFTs or swaps of any yields were realised on the Fund s account during the reporting period. 6

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