AMUNDI TRESO 6 MOIS. Annual Report September 2014 AMUNDI UCITS. Management Company: AMUNDI

Transcription

1 AMUNDI TRESO 6 MOIS Annual Report September 2014 AMUNDI UCITS Management Company: AMUNDI Sub-delegation of accounting function in title: CACEIS FUND ADMINISTRATION FRANCE Custodian: CACEIS BANK FRANCE Auditor: MAZARS

2 Contents Pages Features of the UCI 3 Business Report 10 Life of the UCI over the financial year in review 16 Specific Information 25 Regulatory Information 27 Certification by the Statutory Auditors 29 Annual accounts 32 Assets 33 Liabilities 34 Off-balance sheet 35 Profit accounts 36 Notes to the annual accounts 37 Accounting rules and methods 38 Changes in net assets 40 Income table over the previous five financial years 50 Asset inventory 52

3 Features of the UCI AMF classification Bonds and other international debt securities. Allocation of net profit DP unit, E-C unit, IC and PC unit: Accumulation Allocation of net capital gains realised DP unit, E-C unit, IC and PC unit: Accumulation Tax regime The Fund is not, by nature, subject to taxation. However, holders may be liable for tax on income distributed by the Fund or for capital gains tax when they sell units of the Fund. The tax regime applicable to amounts distributed by the Fund or to realised or unrealised capital gains or losses depends on the taxation provisions that are applicable to the individual investor s situation, tax residence and/or the investment jurisdiction of the Fund. We recommend that any investor who has concerns about his/her tax situation should consult a tax advisor. Some income distributed by the Fund to unitholders residing outside of France can, where applicable, be subject to a withholding tax in France. Benchmark Capitalised EONIA: The EONIA shows the overnight euro money market rate. It is calculated by the ESCB (European System of Central Banks) as the average of interest rates on transactions conducted on the euro-denominated money markets by a panel of international banks. Changes in this depend on the money market policy implemented by the European Central Bank. The capitalised EONIA also takes into account the effect of reinvesting interest according to the OIS (Overnight Indexed Swap) method. Capitalised Fed Funds: The Fed Funds is the representative interest rate of the American money market. Capitalised SONIA: The SONIA is the interest rate for unsecured transactions on the sterling money market. Capitalised TOIS: The TOIS is the representative interest rate of the Swiss money market. Management fees and expenses Management and administration fees: - DP-C unit / 0.20% incl.tax - E-C unit: 0.28% incl. tax - I-C unit: 0.15% incl. tax - P-C unit: 0.50% incl. tax Subscription fees payable to the fund for any unit category: Nil In accordance with the regulations and during the financial year just finished, this UCITS presented levels in practice consistent with those mentioned in the prospectus, included in the sections: - Notes to the annual accounts/- Management fees. - Shareholders' equity/- Fees for the subscription and/or redemption/- Management fees. Investment objective The management objective of the UCITS is identical to that of the master AMUNDI 6 M UCITS, which is as follows: The investment objective of the fund is to achieve, over a horizon of 6 months, an annual performance greater Annual report as at 30/09/2014 3

4 than its benchmark, respectively the EONIA for the part denominated in EUR, the Fed Funds for the part denominated in USD, the SONIA for the part denominated in GBP and the TOIS for the part denominated in CHF, capitalised, after deduction of administrative costs. The performance shall be that of the master UCITS minus the feeder Fund s own management fees. Investment strategy The assets of the Fund are invested almost fully and permanently in I units of the master fund AMUNDI 6 M and secondarily in cash. Reminder of the master UCITS management objective: The investment objective of the fund is to achieve, over a horizon of 6 months, an annual performance greater than its benchmark, respectively the EONIA for the part denominated in EUR, the Fed Funds for the part denominated in USD, the SONIA for the part denominated in GBP and the TOIS for the part denominated in CHF, capitalised, after deduction of administrative costs. The main characteristics of the management of the master UCITS: Interest rate sensitivity range [0 ;0.5] Geographic zone of securities issuers All zones Currency of denomination of securities The fund may invest up to a maximum of 50% of its net assets in debt securities denominated in currencies other than the euro. Level of currency risk Currency positions are systematically hedged against exchange risk, although the fund may present a residual exchange risk (maximum 2% of the net assets). The sensitivity range of the credit spreads of your fund may deviate from the interest-rate sensitivity range specified above, in particular due to the hedging of interest rate risk implemented through interest rate swaps, and also owing to the significant share which may be represented by floating securities in the inventory. Reminder of the investment strategy of the master fund: 1. Strategies used With the aim of achieving the management objective and to outperform the benchmark index, the management process is based around the two following value areas: - management of the portfolio's sensitivity: active management within a sensitivity range between 0 and 0.5, depending on the bullish or bearish expectations of the management team regarding the development of euro zone short-term rates. All euro and credit rate managers agree on a central forecast on yields by maturity of Government borrowings in the euro zone. The team's anticipation of future movements made by the European Central Bank takes on particular importance on account of the concentration of investments made by the fund on the short-term segment - less than three years - - of the bond market. The determination of the sensitivity of the fund is also adjusted based on the overall exposure of the portfolio to credit, in order to take into account the negative correlation that is frequently seen among interest rate movements and spreads. Sensitivity may therefore be accrued in order to hedge at least partially the risk of deterioration of the bonds if their weighting is significant within the Fund. - selection of credit securities: selection of securities (bonds, transferable debt securities) from public and private issuers. Annual report as at 30/09/2014 4

5 An issuer is selected in accordance with observations of a number of parameters: o studies carried out by different research entities (macroeconomic, specific credit, etc.) within the Crédit Agricole Group or other financial institutions on the market. o assessment by the management team of the premium offered by securities from this issuer to compensate for the rating and/or liquidity risk. o A new issuer will be studied with more interest if its contribution to the diversification of the portfolio is greater. This choice rests on two beliefs: - On average, credit spreads pay off better than just the issuer risk, provided there is efficient credit research allowing selectivity. - A long-term risk premium exists between the short-term maturity bonds and the EONIA. The rules governing the diversification of the credit risk are systemically applied to investments in order to limit the impact of any credit arising on an issuer included in the portfolio. These rules consist of limiting the exposure of the fund, in terms of duration and weighting of the net assets, to an issuer based on their rating (external or, failing this, internal). In addition to this, the two value areas, credit and sensitivity, most often have a weak correlation in periods of financial crisis. This ensures greater resilience in terms of performance. The USD/GBP/CHF units are denominated is USD, GBP and CHF respectively while investment in the portfolio will be in euro. The fund will use financial futures instruments (currency swap, forward exchange contracts) for these units in order to hedge the exposure of these units denominated in foreign currency against exchange rate risk. In this way, the performance of the net asset value of these units may be compared to that of its respective benchmark, the Fed Funds, SONIA and TOIS. 2. Description of assets used (excluding derivatives) Money market and bond instruments: Investments are made up to 100% of the net assets, regardless of whether they are in private or public debt securities issued in euros. However, the fund may invest up to a maximum of 50% of its net assets in debt securities denominated in currencies other than the euro. These positions will systematically be hedged against exchange risk, although the fund may present a residual exchange risk (maximum 2% of the net assets). The Fund may invest in the following instruments: - Bonds: o Fixed-rate bonds o Floating-rate bonds o Index-linked bonds (inflation, Constant Maturity Rate), o Others: Entitlement Securities, Asset-Backed Securities, Mortgage-Backed Securities, Subordinated Securities, Perpetual Bonds. The ABS and MBS are concentrated on the AAA/Aaa3 sectors (S&P/Moody's), although with the option of investing in sectors up to A on the Standard & Poor's and Moody's ratings scales. The ABS and MBS are used with the aim of diversifying the portfolio and given their risk/return ratio; investment in these instruments shall not exceed 5% of the net assets. - Money market instruments: o certificates of deposit o BMTN commercial papers o BTF o BTAN o Euro-Commercial Paper o Money market funds The portfolio securities will be selected based on the judgment of the management and with respect to the internal credit risk monitoring policy of the management company. Annual report as at 30/09/2014 5

6 With a view to selecting securities, the management will not either exclusively or automatically rely on ratings issued by ratings agencies, but rather bases its conviction on the purchase and sale of a security on its own credit and market analyses. For information, the management may use securities benefiting from ratings as detailed below. In terms of ratings, investments can be made as follows: - At an 80% minimum of its net assets in debt securities rated "Investment Grade" (i.e. securities rated from AAA to BBB- on the Standard & Poor's or Fitch ratings scale, or Aaa to Baa3 on that of Moody's). The aforementioned debt securities are subject to a moderate risk and are deemed to be of average quality. - To a 10% maximum of its net assets in debt securities that are unrated or rated "Speculative Grade" (i.e. securities with a rating from BB+ to B- on the Standard & Poor's and Fitch ratings scale, or Ba1 to B3 on that of Moody's). Securities with a rating lower than BBB-/Baa3 may present speculative characteristics. Holding units or shares in other UCIs or investments funds The Fund may hold up to 10% of its assets in shares or units of the following UCIs or investment funds: French or foreign UCITS(1) French or European AIFs or investment funds which respect the criteria set out in the Financial and Monetary Code (Code Monétaire et Financier)(2) These UCIs and investment funds can invest up to 10% of their assets in UCITS or AIFs or investment funds. They may be managed by the Management Company or by a company affiliated to it. The risk profile of these UCIs is compatible with that of the UCITS. (1) up to 100% as an accumulated total of the net assets (statutory maximum) (2) up to 30% as an accumulated total of the net assets (statutory maximum) 3. Description of derivatives used The use of futures and options is an integral part of the investment process due to their advantages in terms of liquidity and/or cost efficiency. These instruments have underlyings which belong to the asset categories used. The futures are used in buy and sell transactions as light, liquid substitutes for paper securities, on the one hand to adjust the portfolio's overall exposure to bond markets, and on the other hand, to steer the distribution of the portfolio on the interest rate curve. Information relating to counterparties traded over-the-counter: The selection of counterparties is carried out using the procedure applied within the Amundi Group, resting on the principle of selecting the best market counterparties. This includes: - a dual validation of counterparties made by the Amundi Intermediation manager and by the Amundi Credit Committee, following an analysis of their financial and operational profiles (type of business, governance, reputation, etc.) by a credit analysis team independently of the management teams; - a limited number of financial institutions with which the UCITS trades. The manager may invest in the following derivative instruments: Types of markets: Regulated Organised Over-the-counter Risks that the Fund manager seeks to mitigate: Equity risk Interest rate risk Annual report as at 30/09/2014 6

7 Currency Credit risk Types of operations (all operations are used for the sole purpose of achieving the investment objective): hedging Exposure Arbitrage Types of instruments used: Futures: Interest rate risk Options: on futures, interest rates, currencies Interest rate and currency swaps on indices Forward exchange contracts credit derivatives: Credit Default Swaps (CDS) Derivatives strategies used to achieve the investment objective: Hedging of or exposure to interest rate risk Hedging of or exposure to currency risk Hedging or arbitrage of credit risk Building of synthetic asset exposure with the risks outlined above. The UCITS may use Credit Default Swaps either to protect itself against credit risk or the defaulting of an issuer, or as part of arbitrage strategies in order to anticipate upward or downward variations in these instruments, or to exploit disparities in a single issuer between the credit risk market and that of the security, or between two issuers. The purchase of protection reduces the risk of the portfolio while the sale of protection, which results in synthetically duplicating the custody of a physical security, generates a risk equivalent to that existing in holding the security directly. Thus, as with the default of an issuer in the portfolio, that of an underlying issuer of a credit derivative would have an impact on the net asset value. CDS bear on signatures whose ratings comply with those detailed in the section regarding "Money market instruments and bonds" above. Exchange options are used to adjust the portfolio's currency allocation (exchange risk management) by exposing the portfolio to a currency or by hedging portfolio exposure. The commitment to this type of instrument should not exceed 10% of the net assets. Interest-rate swaps are used to hedge or expose the portfolio faced with a change in interest rates. Exchange swaps are used in the EUR unit to fully hedge the exposure arising from the security portfolio. In the units denominated in USD/GBP/CHF, they are used to convert assets in USD/GBP/CHF into assets in euros. Interest-rate futures may be used with a view to arbitrating the sensitivity between different maturities on the interest-rate curve. The overall risk of the fund arising from derivatives is limited to 100% of the assets. 4. Description of securities with derivatives: Risks that the Fund manager seeks to mitigate: Equity risk Interest rate risk Currency Credit risk Annual report as at 30/09/2014 7

8 Types of operations and description of all operations used for the sole purpose of achieving the investment objective: hedging Exposure Arbitrage Types of instruments used: EMTN Mid-term negotiable bonds (BMTN) Convertible bonds (ancillary and only insofar as their sensitivity to equity risk is not significant) Credit Linked Notes (CLN) Loan Participation Notes (LPN) Integrated derivatives strategy used to achieve the investment objective: General hedging of the portfolio, of certain risks, securities Reconstruction of synthetic exposure to assets and risks Increase of exposure to the market and accuracy of the leverage effect Other strategy By aggregating positions on CDS, CLN, LPN and other "Speculative Grade" paper securities (i.e. securities with a rating from BB+ to B- on the Standard & Poor's and Fitch ratings scale, or Ba1 to B3 on that of Moody's), does not exceed 5% of the net assets. The overall risk linked to securities with embedded derivatives is limited to 100% of the net assets. The overall risk of the fund arising from derivatives and securities with embedded derivatives is limited to 100% of the net assets. 5. Deposits: The Fund may use deposits with a maximum maturity of up to 12 months. The purpose of such deposits is to allow the Fund to manage cash in accordance with its investment objectives. 6. Cash borrowing: The UCITS may be in a debtor position as a result of operations related to cash flows (outstanding investments/disinvestments, subscription/redemption transactions) within a 10% limit of the net assets. 7. Temporary acquisitions and disposals of securities: Types of transactions used: Repurchase and reverse repurchase agreements in accordance with the Code monétaire et financier (French Monetary and Financial Code) Securities lending and borrowing in accordance with the Code monétaire et financier Types of operations (all operations are used for the sole purpose of achieving the investment objective): Cash management: through reverse repurchase agreements Optimisation of UCITS revenue Transactions to generate a leverage effect Scheduled and authorised level of use: the overall risk of the fund arising from repurchase and reverse repurchase operations is limited to 100% of the net assets. The overall risk related to derivatives, embedded derivatives and temporary purchases and sales of securities may not exceed 100% of net assets. The total exposure to risks arising from the overall risk and paper security commitments and positions may not exceed 200% of the net assets. Risk Profile The risk profile of the feeder fund is identical to that of the master fund. The risk profile of the master fund is as follows: Annual report as at 30/09/2014 8

9 Reminder of the risk profile of the master UCITS Interest Rate Risk Credit Risk Risks specific to ABS (Asset Backed Securities) and MBS (Mortgage Backed Securities) (ancillary) Risks associated with the use of speculative securities (high yield) The main specific risks associated with management are: Discretionary risk Capital loss risk Other risks include: Counterparty risk Risks associated with the exposure Liquidity risk Exchange risk (residual) Operational risk (incidental) Annual report as at 30/09/2014 9

10 Business Report October In the United States, after two weeks of paralysis, Democrats and Republicans voted for a break until January 2014 for the vote on the budget and February 2014 for the debt ceiling. After this episode, the publication of macroeconomic data resumed and the situation was rather mixed, with worse-than-expected data on employment, manufacturing output and the real estate market and better-than-expected on the ISM Manufacturing index. In the euro zone, the latest indicators confirm the scenario of a sluggish recovery. Furthermore, unemployment rates in the zone reached a new high of 12.2% and inflation was surprisingly down, advocating for further action from the ECB. Over the period we have: -maintained our rates sensitivity, liquidity and average maturity; -bought emerging securities over short terms and from issuers in which we, along with our analysts, are confident such as Petrobras 2.875% 02/2015, Kazmunaygaz 11.75% 1/2015 offering returns close to 2%; -arbitraged issues in currencies, AUD and USD, against the euro while hedging the exchange risk. For example, we invested in BNP 6.75% 3/2015, offering a return converted into euros of 1%, which is double the return of a BNP issue with the same maturity but directly in euros; -took advantage of the primary issues market by investing in Lloyds 2 years offering Euribor 3M+32bps; -increased our exposure to covered securities from the issuers CaixaBank (3.375% 6/2014) and UBI (3.125% 10/2015). November In the United States, macroeconomic data continue to be encouraging. The Q3 GDP rose +2.8% and job creation was better than expected (+204K against +120K). In the euro zone, the ECB surprised the markets by dropping its interest rates by 25bp over deflation fears, particularly with regard to the peripheral countries. Moreover, economic growth in Europe is generally sluggish (+0.1% in Q3). The rating agencies have been particularly active. S&P lowered the rating for France and the Netherlands by one grade, to AA and AA+ respectively. It raised the outlook for Spain from negative to stable and the rating for Cyprus from CCC+ to B-. Moody's has raised Greece's rating from C to Caa3 and raised the outlook for Portugal. The management policy this month consisted of: -maintaining a liquidity buffer of around 13% and a sensitivity of around We do not expect rate hikes by the ECB, but if the US economy continues to rebound, forecast growth to 3% for 2014, and US rates rise, the euro rate will do the same "in sympathy"; -investing in short emerging debt, providing diversification and income. For example, we invested in the issuer Banco do Brasil 4.1% 03/2015, a public bank, offering a return of 1.45% for a Baa1/BBB rating; -participating in tenders (issuer repurchasing their debt) from ING and RBS. The prices offered were about 15 to 20 cents above the market price; - investing in mid-2015 maturities, Enel 4.625% 6/2015, ENI 4% 06/2015, GS FRN 5/2015, BBVA 4.375% 9/ These maturities offer a good balance between attractive returns and "long" maturities; -participating in primary issues such as Standard SG FRN 5/2015, Standard Chartered FRN 12/2015, BNP FRN 11/2015 and ABN FRN 12/2015 offering bonuses of 28, 35, 32 and 33bps respectively. December The end of the year was favourable to good news. In the United States, the net improvement in the economy (growth in Q3 revised to +4.1%) and the budget agreement between Republicans and Democrats, prompted the Federal Reserve to announce the start of its tapering. As of January 2014, the Central Bank will cut its asset purchases by USD 10 billion. At the same time, it is maintaining its low interest rate policy for an extended period, the objectives clearly being full employment and price stability. In the euro zone, the SME index of the business climate is improving slightly at 52.1 in December. However, the dichotomy persists with Germany widening the gap with its partners, in particular France, PMI manufacturing at 54.2 and 47 respectively. In the peripheral countries, it is noted that Italy is managing to stabilise its situation, that domestic demand is rebounding slightly in Portugal and that this country, like Greece and Ireland, has announced its intention to return to the markets in On another positive note, European finance ministers agreed on the Single Resolution Mechanism (in the case of bankruptcy of a bank in the euro zone) and the creation of a Single Resolution Fund. Our management policy, taking into account the reduced liquidity associated with the end of the year, consisted of: -maintaining our liquidity buffer of around 9% to cope with any potential end-of-year takeover; -reducing our sensitivity to 0.09 against 0.15, since the Fed has announced a reduction in its QE, US Treasuries are likely to continue to rise (+10bps on 2-years and +22bps on 10-years over the month) and, by contagion, the euro rates too (+8bps on 2-years and +19bps on the 10- year German); -taking advantage of arbitrage opportunities in foreign currencies. We invested in Italy 4/2014 in GBP offering a euro-equivalent return of 1.3% (Italy issues in euros in April 2014 at 0.55%). Annual report as at 30/09/

11 January Signs of a recovery are present on both sides of the Atlantic, with growth of +3.2% in Q4 in the US, while in the euro zone the business climate is improving and unemployment stabilising. The Fed therefore continued to taper its asset purchase programme by USD 10 billion. Capital outflows from emerging countries led some central banks to raise their rates (+500bp in Turkey). Interest rates in developed countries have significantly dropped within a context of increased risk aversion. The 2-year German rate went from 0.20% to 0.06% and the 10-year from 1.91% to 1.62%, driven down by a US market whose 10-year rate has lost almost 40bp. In peripheral countries, the Italian 10-year rate spread against Germany tightened by just 3bp to 209bp, after reaching 223bp. That of Spain demonstrated itself to be less volatile and tightened by 17bp to 207bp, thus outperforming Italy. The portfolio entered the category of bond funds as of 20 January It is intended to form part of the LCR reserve and is fully invested in level 1 assets. Under these constraints, we have progressively invested in fixed-income securities to reach a sensitivity close to 1.8 at month end. Driven by a buoyant bond market, the portfolio reports a net performance of 0.17% over the month of January. February Poor weather conditions had a negative impact in the United States on business and on job creation. However, this drop should remain limited, if we are to believe other more optimistic indicators, and not have an impact on the Fed's policy. In the euro zone, the business climate also slightly deteriorated. The change in Italy's prime minister had no impact on the markets, and Spain's rating was revised upwards by Moody's. Finally, the latest inflation figure, slightly up (0.8%), may give rise to a bit of respite for the ECB. Interest rates fell over the second part of the month, in the wake of political tensions in Ukraine, but remained stable over the month and the spreads on peripheral countries and private bonds contracted considerably. The portfolio's sensitivity has increased throughout the month to settle at 2.1, with a portfolio return rate of 0.41%. The share of variable rate securities (indexed Euribor) represents 20% of the portfolio. Major issuers are the core states, French agencies (Cades, BPI Finance) and the supranationals (EIB, EFSF). The key dates of the first week of March meeting of the European Central Bank and publication of US employment figures could allow continued investment in an environment of higher rates. Indeed, since the impact of climate conditions is fading, employment could better reflect the state of US activity. Similarly, markets are expecting a gesture from the ECB and could correct momentarily if this fails to materialise. March In the United States, the numbers are tending to improve on real estate and employment. Inflation, although still weak, is not threatening to move into negative territory and, therefore, is supporting households' purchasing power. In this context, the Fed reduced its asset purchase programme by USD 10 billion for the third time, to spend USD 55 billion per month. Moreover, it was more offensive than expected in its speech such that the markets began to anticipate a rate hike from Q In the euro zone, Moody's changed its outlook for the area from negative to stable. Indeed, several encouraging signals have led to this change (improvement of the business climate in France, budgetary progress in Greece, rising growth expectations for Spain and Portugal). Nevertheless, inflation remains low (0.6% in February vs 0.7% in January) and in order to combat any risk of deflation, the president of the Bundesbank indicated that new, unconventional measures such as quantitative easing QE) on the part of the ECB were not impossible. In this context, we have: - retained a financial sensitivity of around 0.10 and a liquidity buffer of around 10%; -exercised the greatest vigilance as to our exposure (3.6% with an average maturity of 9 months) to the Russian region. The events in Ukraine/Crimea have created volatility in the portfolio's NAV. Our exposure consists of Gazprom (gas producer), VTB, Sberbank and Rosneft (oil exploration/production). Along with our credit analysts, we are confident in issuers in the portfolio, both in terms of their liquidity levels and their business model and in the support that the state present in the capital of these four companies would provide them in case of refinancing problems. The end-of-month meeting between Obama and Putin calmed tensions but we remain attentive to how the situation may develop. April Macroeconomic data in the United States were lacklustre, with a GDP which recorded a slight increase of +0.1% in the first quarter and indicators, labour market, ISM, durable goods orders, which confirm the recovery. With regard to the euro zone, the recovery continues but with wide discrepancies between countries. In addition, the month was punctuated with some good news: Greece's return to the financial markets with the issuance of a 5-year bond; the deficit of the euro zone fell to 3% of GDP in Fitch also raised the outlook of Portugal from negative to positive. Over this period, the management policy consisted in: -maintaining a financial sensitivity around 0.09 and a liquidity buffer close to 13%. We are maintaining our sensitivity at a low level, since growth in the United States is expected to continue and the extent of asset Annual report as at 30/09/

12 purchases reduced by the Federal Reserve. The next move on rates should be divergence and, by contagion, we should see the same phenomenon in European rates; -providing the greatest vigilance to our exposure to the Russian area, increasing it by 3.6% last month to 2.3%; -investing in the secondary issues market. Indeed, the primary market is less active ("blackout period") following publications of corporate earnings. We strengthened our positions in the issuers of Verizon, Iberdrola and Mediobanca. In addition, we have extended our exposure to Morgan Stanley, selling 10/2014 securities at a premium of 1bp and buying 4/2016 at +49bp. May Financial markets were waiting for the next meeting of the ECB. Following worse-than-expected macroeconomic data, growth of 0.2% against 0.4%, the ZEW confidence index down to 55.2 against 61.2 the previous month, continued low inflation, all advocated for action on the part of Mr Draghi. In addition, following the various statements by European central bankers, investors' wait was also about the type of measure that the ECB could take: lowering rates? negative deposit rate? Quantitative easing? In this context, after the upgrade of Portuguese notes (Ba2 vs Ba3) and Irish notes (Baa1 vs Baa3) by Moody's and Spanish notes (BBB vs BBB-) by S&P, the premiums for these countries, as well as risky assets, tightened. In this context, we have: -maintained a low sensitivity at Since the German 2-year rate is very low, at 0.06%, we are systematically hedging our exposure to fixed interest rates for maturities greater than 12 months -recorded EUR 140m of redemptions; -retained a liquidity reserve of about 10%; -extended our average life by investing in 18-month to 2-year maturities in the issuers Morgan Stanley (2/2016), BBVA (4/2016), Porsche (02/2016), Unicredit (3/2016), Atlantia (5/2016); -participated in the primary issues market by investing in Belfius bank 1 year and BPCE 2 years offering Euribor +35bp and Euribor +40bp respectively. June The European Central Bank was expected to, and confirmed, its commitment to combating deflationary risks (euro zone inflation in May came out at 0.5% against 0.7% the previous month, far short of its target of 2%) and the financial fragmentation within the region. The most important announcements were: -decrease its key lending rate, from 0.25% to 0.15% decrease in its deposit facility rate to negative territory (-0.10%); -halt with sterilisation of the SMP, injecting about 110 billion euros of liquidity; -creation of a TLTRO with a maturity of 4 years for an envelope of 400 billion euros, the conditions of which are still to be defined; -quantitative easing measures via purchases of private sector assets which could be implemented if required. Following this meeting, the rates markets and more specifically bonds from peripheral countries delivered outperformance, tapering almost 25bp across the curve (from 2 years to 10 years). Before the ECB's meeting, we slightly increased our financial sensitivity, from 0.07 to 0.11, with purchases on 18 to 24-month maturities in order to be able to capture the post-meeting rally movement. With the macroeconomic figures for the euro zone being disappointing, we thought that the central bank could not afford to disappoint. We have maintained our liquidity buffer around 10% and we extended our average life from 0.8 to 0.84 years. The lengthening of our maturity and our increase in sensitivity were made, in part, by investing in issuers from the periphery Italy and Spain of the financial sector. We participated in the ALD International primary (automobile leasing subsidiary of Société Générale), which offered a maturity of June 2016, a premium of 67bp against the 3-month Euribor. In addition, we increased our exposure to unrated securities such as Porsche, Christian Dior and Bolloré, with maturities ranging from February to May July The United States confirmed the reversal of their economy with an unemployment rate at 6.1% (the lowest in 6 years) and GDP in Q of 4% at the annual rate. In addition, the minutes from the Federal Reserve and the speech Janet Yellen gave before Congress confirmed the theory of quantitative easing being discontinued in October For the euro zone, although early indications relating to July's PMI appeared strong, it was the poor consumer confidence numbers, the IFO index and inflation that caught the investors' attention. In this context, the financial markets were mainly concerned with tensions between the international community and Russia, and the Portuguese Banco Espirito Santo (losses of 3.6 billion euros). Over the month, we maintained our sensitivity at 0.09 and our liquidity around 10%, As for sensitivity, we took advantage of the opportunity to hedge the portfolio against a possible rate rise (cost of a 2-year swap around 4bp per year), especially since given the looming recovery in the United States we expected to see an easing of rates and, as a consequence, a similar movement in Europe. We: -continued to reduce our exposure in Russia, the latter representing 1.40% for a 6-month maturity; -increased our exposure to unrated securities such as SEB, Pirelli, Annual report as at 30/09/

13 Bolloré and Christian Dior on maturities ranging from February to May 2016; -took advantage of the new rating of the issuer Wendel, which went from BB+ to BBB-, to expose the portfolio; -extended our average life by favouring 2-year maturities such as Deutsche Annington 7/2016, Banque Solféa 06/2016 and ALD Int 06/2016 August In the US, growth in Q2 was revised upwards (+4.2%) due to the acceleration of corporate investment. Moreover, the labour market improved with unemployment at 6.2%. Only domestic consumption figures (- 0.1%) and real estate figures were more limited. In the euro zone, however, the macroeconomic indicators remained depressed, both on growth (even in Germany), unemployment and above all inflation with an initial estimate of only +0.3% in August. In this context, during his speech at Jackson Hole, the president of the ECB hinted that he would be ready to act again, even on a large scale through genuine quantitative easing. He also urged governments to better coordinate their actions in terms of fiscal and structural policies. Of note was the EONIA, which listed negative for the first time at % on 28 August In this summer break context, our management policy consisted of: -maintaining a liquidity reserve (10%) in order to seize market opportunities and to take advantage of the market for the season's primary issues; -increased our exposure to SEB4.5% 6/2016, Christian Dior 4% 5/2016, etc.; -participated in the 2-year primary issues such as UBS and Volvo, offering premiums of +25 and +29bp against the 3-month Euribor respectively. September Given the risk of widespread deflation, modest growth forecasts in the euro zone and very low inflation, the ECB surprised the financial markets at its meeting on 4 September. During this meeting, it announced: -a 10bp decrease in the refinancing rate and deposit facility rate, which are 0.05% and -0.20% respectively; - wanting to expand its balance sheet by 1,000 billion euros (thereby exceeding 3,000 billion euros) via its TLTRO and launching an asset purchasing programme (ABS and Covered Bonds); -leaving the door open to genuine quantitative easing. These various announcements helped to influence the euro/dollar parity; 1.25 against 1.35 EUR/USD mid-august. The ECB wants to reopen the credit channel and to support the activities of the banks to boost growth. In this context of negative rates for up to 2 years, for the "core" countries of the euro zone, Germany -0.08%, France %, Belgium %, etc., we have: -maintained a sensitivity around 0.10 and a liquidity buffer of around 10%; -extended our average life to 0.85 years in order to capture credit premiums on the long end (2 years), by purchasing 2-year maturity securities and selling short securities; -participating in the primary issues market such as Crédit Suisse FRN 2 years offering a premium of 27bp above the 3-month Euribor; -increased our positions on the long end, 2 years, such as Pemex 6.375% 8/2016, Hutchison 4.625% 9/2016, Intesa 4.125% 9/2016, Enel 4% 9/2016, etc. Annual report as at 30/09/

14 From September 2013 to September 2014 the performance of the "AMUNDI TRESO 6 MOIS" portfolio was: I unit: +0.70%, P units: +0.30%, E unit: +0.57%, DP unit: +0.67%. That of the benchmark was 0.13% with a tracking error of 0.10%. Past performance is not indicative of future performance. Annual report as at 30/09/

15 Information ESMA: Effective portfolio management techniques and derivative financial instruments a) Exposure obtained through effective portfolio management techniques and derivative financial instruments Exposure obtained through effective management techniques: Nil Exposure of underlyings reached through derivative financial instruments: Nil b) Identity of the counterparty(ies) to the effective portfolio management techniques and derivative financial instruments Effective management techniques Financial derivative instruments (*) (*) Except listed derivatives c) Financial guarantees received by the UCITS in order to reduce the counterparty risk Types of instruments Amount in portfolio currency Effective management techniques Financial securities Cash Total Financial derivative instruments Financial securities Cash Total d) Income and operating expenses related to effective management techniques Income and operating expenses Income (**) Amount in portfolio currency Total income Direct operating expenses Indirect operating expenses Total costs (**) Income received on lending and reverse repurchase Annual report as at 30/09/

16 Life of the UCI over the financial year in review On 01/09/2014 Modification VII - VALUATION AND ACCOUNTING RULES FOR THE ASSETS. Date of updating the prospectus: 1 September /09/ Modification - Management and administration fees: Reminder of the master outperformance fee: The outperformance fee is based on the comparison between the portfolio's valued assets (after fixed management fees) and "the benchmark assets". These reference assets represent the portfolio's assets, after subscriptions/redemptions are accounted for upon each valuation, valued according to the performance of the portfolio's benchmark rate. This comparison is carried out over an observation period of one year. The reference rate is equal to the capitalised EONIA (OIS) published by the European Central Bank for the units in euros, the SONIA for units in GBP, the TOIS for units in CHF and Fed Funds for Units in USD. The performance of the mutual fund is calculated according to the evolution of the net asset value. The observation period is an annual period beginning on the first net asset value calculation of October, ending on the last net asset value for September the same year. Only the first observation period was exceptionally greater than one year, since it began when the first net asset value was calculated for April 2012 and ended on the last net asset value calculated for September If, during the observation period, the Fund's valued assets are greater than those in the benchmark index, the provision is paid to the Management Company (this provision represents 15% of the difference between these two asset figures). If, over the observation period, the Fund's valued assets are less than those in the benchmark index, no provision is recognised and the variable component of management fees will be zero. If over the observation period, the Fund's valued assets are greater than the benchmark assets, then this variation will be subject to a provision for variable management fees when the net asset value is calculated. In the event that the Fund's valued assets are lower than those of the benchmark index between two net asset values, any provision previously transferred will be adjusted via a recovery on provision. Reversals of provisions may not exceed the sum of the prior allocations. I units (GBP, CHF, USD): For the year 2014, the calculation of the performance shall be done as of 1 April 2014 and the variable part will not be definitively be received until the end of the closing of accounts in September This variable component will only be permanently paid at the close of every observation period if, over the previous year, the Fund's valued assets are greater than those in the benchmark index at the last net asset value. In case of redemption, the proportion of the accrued provision corresponding to the number of units redeemed is immediately deducted by the management company. 01/09/2014 Addition - Subscription and redemption fees: Reminder of the master UCITS subscription and redemption fees borne by the feeder UCITS: 01/09/2014 Modification Reminder of the investment objective of the master UCITS: The assets of the Fund are invested almost fully and permanently in I units of the master fund AMUNDI 6 M and secondarily in cash. 01/09/2014 Modification Benchmark: The investment objective of the fund is to achieve, over a horizon of 6 months, an annual performance greater than its benchmark, respectively the EONIA for the part denominated in EUR, the Fed Funds for the part denominated in USD, the SONIA for the part denominated in GBP and the TOIS for the part denominated in CHF, capitalised, after deduction of administrative costs. 01/09/2014 Modification Benchmark: 1. Strategies used. With the aim of achieving the management objective and to outperform the benchmark index, the management process is based around the two following value areas: - management of the portfolio's sensitivity: active management within a sensitivity range between 0 and 0.5, depending on the bullish or bearish expectations of the management team regarding the development of euro zone short-term rates. All euro and credit rate managers agree on a central forecast on yields by maturity of Government borrowings in the euro zone. The team's anticipation of future movements made by the European Central Bank takes on particular importance on account of the concentration of investments made by the fund on the short-term segment - less than three years - of the bond market. The determination of the sensitivity of the fund is also adjusted based on the overall exposure of the portfolio to credit, in order to take into account the negative correlation that is frequently seen among interest rate movements and spreads. Sensitivity may therefore be accrued in order to hedge at least partially the risk of deterioration of the bonds if their weighting is significant within the Fund. - selection of credit securities: selection of securities Annual report as at 30/09/

17 (bonds, transferable debt securities) from public and private issuers. An issuer is selected in accordance with observations of a number of parameters: studies carried out by different research entities (macroeconomic, specific credit, etc.) within the Crédit Agricole Group or other financial institutions on the market. assessment by the management team of the premium offered by securities from this issuer to compensate for the rating and/or liquidity risk. A new issuer will be studied with more interest if its contribution to the diversification of the portfolio is greater. This choice rests on two beliefs: - on average, credit spreads pay off better than just the issuer risk, provided there is efficient credit research allowing selectivity. - a long-term risk premium exists between the short-term maturity bonds and the EONIA. The rules governing the diversification of the credit risk are systemically applied to investments in order to limit the impact of any credit arising on an issuer included in the portfolio. These rules consist of limiting the exposure of the fund, in terms of duration and weighting of the net assets, to an issuer based on their rating (external or, failing this, internal). In addition to this, the two value areas, credit and sensitivity, most often have a weak correlation in periods of financial crisis. This ensures greater resilience in terms of performance. The USD/GBP/CHF units are denominated is USD, GBP and CHF respectively while investment in the portfolio will be in euro. The fund will use financial futures instruments (currency swap, forward exchange contracts) for these units in order to hedge the exposure of these units denominated in foreign currency against exchange rate risk. In this way, the performance of the net asset value of these units may be compared to that of its respective benchmark, the Fed Funds, SONIA and TOIS. 01/09/2014 Modification Benchmark: 2. Description of the assets used (excluding derivatives). Money market and bond instruments: Investments are made up to 100% of the net assets, regardless of whether they are in private or public debt securities issued in euros. However, the fund may invest up to a maximum of 50% of its net assets in debt securities denominated in currencies other than the euro. These positions will systematically be hedged against exchange risk, although the fund may present a residual exchange risk (maximum 2% of the net assets). The Fund may invest in the following instruments: - Bonds: fixed-rate bonds, variable-rate bonds, index-linked bonds [inflation, Constant Maturity Rate], others: Entitlement Securities, Asset-Backed Securities, Mortgage-Backed Securities, Subordinated Securities, Perpetual Bonds. The ABS and MBS are concentrated on the AAA/Aaa3 sectors (S&P/Moody's), although with the option of investing in sectors up to A on the Standard & Poor's and Moody's ratings scales. The ABS and MBS are used with the aim of diversifying the portfolio and given their risk/return ratio; investment in these instruments shall not exceed 5% of the net assets. - Money market instruments: certificates of deposit commercial papers BMTN BTF BTAN Euro Commercial Paper money market funds The portfolio securities will be selected based on the judgment of the management and with respect to the internal credit risk monitoring policy of the Management Company. With a view to selecting securities, the management will not either exclusively or automatically rely on ratings issued by ratings agencies, but rather bases its conviction on the purchase and sale of a security on its own credit and market analyses. For information, the management may use securities benefiting from ratings as detailed below In terms of ratings, investments can be made as follows: - at an 80% minimum of its net assets in debt securities rated "Investment Grade" (i.e. securities rated from AAA to BBB- on the Standard & Poor's or Fitch ratings scale, or Aaa to Baa3 on that of Moody's). The aforementioned debt securities are subject to a moderate risk and are deemed to be of average quality. -to a 10% maximum of its net assets in debt securities that are unrated or rated "Speculative Grade" (i.e. securities with a rating from BB+ to B- on the Standard & Poor's and Fitch ratings scale, or Ba1 to B3 on that of Moody's). Securities with a rating lower than BBB-/Baa3 may present speculative characteristics. 01/09/2014 Modification Benchmark: The manager may invest in the following derivative instruments: Types of markets: regulated, organised, over-the-counter. Risks that the fund manager seeks to mitigate: equity, rate, currency, credit. Types of operations, all operations used for the sole purpose of achieving the investment objective: hedging, exposure, arbitrage Type of instruments used: Futures: rates, options: futures, rates, currency rate swaps, currencies, forward exchange contracts, credit derivatives: Credit Default Swaps (CDS). Derivatives strategies used to achieve the investment objective: interest-rate risk hedging or exposure, currency risk hedging or exposure, coverage or arbitrage of credit risk, synthetic replication of exposure to assets, and to risks outlined above. The UCITS may use Credit Default Swaps either to protect itself against credit risk or the defaulting of an issuer, or as part of arbitrage strategies in order to anticipate upward or downward variations in these instruments, or to exploit disparities in a single issuer between the credit risk market and that of the security, or between two issuers. The purchase of protection reduces the risk of the portfolio while the sale of protection, which results in synthetically duplicating the custody of a physical security, generates a risk equivalent to that existing in holding the security directly. Thus, as with the default of an issuer in the portfolio, that of an underlying issuer of a credit derivative would have an impact on the net Annual report as at 30/09/

18 asset value. CDS bear on signatures whose ratings comply with those detailed in the section regarding "Money market instruments and bonds" above. Exchange options are used to adjust the portfolio's currency allocation (exchange risk management) by exposing the portfolio to a currency or by hedging portfolio exposure. The commitment to this type of instrument should not exceed 10% of the net assets. Interest-rate swaps are used to hedge or expose the portfolio faced with a change in interest rates. Exchange swaps are used in the EUR unit to fully hedge the exposure arising from the security portfolio. In the units denominated in USD/GBP/CHF, they are used to convert assets in USD/GBP/CHF into assets in euros. Interest-rate futures may be used with a view to arbitrating the sensitivity between different maturities on the interest-rate curve. The overall risk of the fund arising from derivatives is limited to 100% of the net assets. 4. Description of securities with embedded derivatives Risks that the Fund manager seeks to mitigate: equity, rate, currency, credit Types of operations and description of all operations used for the sole purpose of achieving the investment objective: hedging, exposure, arbitrage Type of instruments used: EMTN, BMTN Convertible bonds (ancillary and only insofar as their sensitivity to equity risk is not significant), Credit Linked Notes (CLN), Loan Participation Notes (LPN), Integrated derivatives strategy used to achieve the investment objective: general hedging of the portfolio, of certain risks, securities synthetic replication of exposure to assets and risks, to risks increase of exposure to the market and accuracy of the leverage effect other strategy By aggregating positions on CDS, CLN, LPN and other "Speculative Grade" paper securities (i.e. securities with a rating from BB+ to B- on the Standard & Poor's and Fitch ratings scale, or Ba1 to B3 on that of Moody's) does not exceed 5% of the net assets. The overall risk linked to securities with embedded derivatives is limited to 100% of the net assets. The overall risk of the fund arising from derivatives and securities with embedded derivatives is limited to 100% of the net assets. 5. Deposits. The UCITS may use deposits with a maximum maturity of up to 12 months. These deposits allow the UCITS to manage cashflow in accordance with its investment objective. 6. Cash borrowings. The UCITS may be in a debtor position as a result of operations related to cash flows (outstanding investments/disinvestments, subscription/redemption transactions) within a 10% limit of the net assets. 7. Temporary acquisitions and disposals of securities. Type of transactions used: repurchase and reverse repurchase agreements in accordance with the Code monétaire et financier, securities lending and borrowing in accordance with the Code monétaire et financier Types of operations (all operations are used for the sole purpose of achieving the investment objective): Cash management: through reverse repurchase agreements, optimisation of UCITS revenue, transactions to generate a leverage effect Scheduled and authorised level of use: the overall risk of the fund arising from repurchase and reverse repurchase operations is limited to 100% of the net assets. The overall risk related to derivatives, embedded derivatives and temporary purchases and sales of securities may not exceed 100% of net assets. The total exposure to risks arising from the overall risk and paper security commitments and positions may not exceed 200% of the net assets. Remuneration: see Fees and Commissions 01/09/2014 Addition Management objective: Capitalised EONIA: The EONIA shows the overnight euro money market rate. It is calculated by the ESCB (European System of Central Banks) as the average of interest rates on transactions conducted on the euro-denominated money markets by a panel of international banks. Changes in this depend on the money market policy implemented by the European Central Bank. The capitalised EONIA also takes into account the effect of reinvesting interest according to the OIS (Overnight Indexed Swap) method. Capitalised Fed Funds: The Fed Funds is the representative interest rate of the capitalised SONIA American money market. The SONIA is the interest rate for unsecured transactions on the sterling money market. Capitalised TOIS: The TOIS is the representative interest rate of the Swiss money market. 01/09/2014 Modification ISIN code: The management objective of the UCITS is identical to that of the master AMUNDI 6 M UCITS, which is as follows: 01/09/2014 Modification ISIN code: The investment objective of the fund is to achieve, over a horizon of 6 months, an annual performance greater than its benchmark, respectively the EONIA for the part denominated in EUR, the Fed Funds for the part denominated in USD, the SONIA for the part denominated in GBP and the TOIS for the part denominated in CHF, capitalised, after deduction of administrative costs. 01/09/2014 Summary modification to the management offer: Information documents relating to the master UCITS, AMUNDI 6 M, governed by French law, which was approved by the Autorité des Marchés Financiers (the French Financial Markets Authority) on 30 April 1999, are available from: Amundi Service Clients 90, Boulevard Pasteur Paris Annual report as at 30/09/

19 01/09/2014 Modification I - GENERAL CHARACTERISTICS - AMUNDI TRESO 6 MOIS is a feeder of the I unit of AMUNDI 6 M 01/07/2014 Modification VII - VALUATION AND ACCOUNTING RULES FOR THE ASSETS. Date of updating the prospectus: 1 July /07/2014 Modification VI OVERALL RISK - Principle - Standard accounting principles are applied, respecting the principles of: - continuity of operations, - consistency of accounting methods from one accounting period to the next, - independence of accounting periods. The reference method chosen for recording the assets in the accounts is the historical cost method, except in the case of portfolio valuations. Assets valuation rules. The calculation of the net asset value per unit is subject to the following valuation rules: UCI shares or units are valued at the last known net asset value. Portfolio cash holdings denominated in foreign currencies are converted into the accounting currency of the UCITS at the foreign exchange rate on the valuation day. Futures and options traded on a French or foreign regulated market are valued at their market value under terms and conditions determined by the Management Company. Futures contracts are valued at the settlement price. Futures, options or swap transactions concluded on over-the-counter markets, approved by regulations applicable to UCIs, are valued at their market value or at a value estimated according to the terms and conditions determined by the Management Company. Interest rate, currency and/or corridor swaps are valued at their market value using the discounted cash-flow method (principal and interest) at the interest rate and/or currency exchange rate prevailing on the market. This price is adjusted to the issuer's risk. Accounting method. Purchases and sales of securities are recorded exclusive of costs. Income is recorded on a cash basis. Income is comprised of: income from transferable securities, dividends and interest income at the foreign currency exchange rate for foreign securities, gains on foreign currency cash holdings, proceeds from securities lending transactions, from repurchase and reverse repurchase agreements and other investments. The following are deducted from income: management costs, financial costs and expenses arising out of securities lending and borrowing and other investments. Income equalisation accounts: Income equalisation accounts are designed to ensure equal rights for all unitholders in respect of income earned, irrespective of the subscription or redemption date. 01/07/2014 Deletion V - INVESTMENT REGULATIONS - Unlike its master fund, this UCITS may not use instruments requiring the calculation of liabilities; As a result, no method of calculating liabilities is mentioned here. The method of calculating the ratio of overall risk is: 01/09/2014 Addition V - INVESTMENT REGULATIONS - Commitment 01/07/2014 Modification IV - COMMERCIAL INFORMATION - The prospectus, the latest annual reports and periodical documents of the UCITS and the master UCITS are available from the management company: Amundi Service Clients 90, Boulevard Pasteur Paris 01/07/2014 Modification - IV - COMMERCIAL INFORMATION - Unitholders are informed of all significant developments concerning the UCITS in accordance with the conditions defined by the AMF: specific information or any other resources (financial notices, semi-annual reports, etc.). 01/07/2014 Addition IV - COMMERCIAL INFORMATION - Financial notices may be published in the press and/or on the management company's website: in the section News and documentation/financial notices. 01/07/2014 Modification - Securities lending transactions and repurchase agreements: Selection of intermediaries. The selection of brokers and financial intermediaries is performed rigorously among intermediaries with a good reputation on the markets, based on a number of criteria relating to the provision of Research services (basic financial analysis, information on companies, added value of contacts, solid foundation of recommendations, etc.) or Performance services (access and information on the markets, transaction costs, performance price, proper accomplishment of transactions, etc.). Furthermore, each of the chosen counterparties will be analysed based on the criteria of the Risks Department, such as financial stability, rating, exposure, type of business, prior performance, etc. The selection process implemented annually involves different analysts from the Front and Support Departments. The brokers and financial intermediaries selected during this procedure are subject to regular monitoring, in accordance with the Performance Policy of the management company. Annual report as at 30/09/

20 01/07/ Addition - Management and operating fees: Reminder of the master outperformance fee: The outperformance fee is based on the comparison between the portfolio's valued assets (after fixed management fees) and "the benchmark assets". These reference assets represent the portfolio's assets, after subscriptions/redemptions are accounted for upon each valuation, valued according to the performance of the portfolio's benchmark rate. This comparison is carried out over an observation period of one year. The benchmark rate is equal to the capitalised EONIA (OIS) published by the European Central Bank. The performance of the mutual fund is calculated according to the evolution of the net asset value. The observation period is an annual period beginning on the first net asset value calculation of October, ending on the last net asset value for September the same year. Only the first observation period will exceptionally be greater than one year, since it will begin when the first net asset value is calculated for April 2012 and will end on the last net asset value calculated for September If, during the observation period, the Fund's valued assets are greater than those in the benchmark index, the provision is paid to the Management Company (this provision represents 15% of the difference between these two asset figures). If, over the observation period, the Fund's valued assets are less than those in the benchmark index, no provision is recognised and the variable component of management fees will be zero. If over the observation period, the Fund's valued assets are greater than the benchmark assets, then this variation will be subject to a provision for variable management fees when the net asset value is calculated. In the event that the Fund's valued assets are lower than those of the benchmark index between two net asset values, any provision previously transferred will be adjusted via a recovery on provision. Reversals of provisions may not exceed the sum of the prior allocations. This variable component will only be permanently paid at the close of every observation period if, over the previous year, the Fund's valued assets are greater than those in the benchmark index at the last net asset value. In case of redemption, the proportion of the accrued provision corresponding to the number of units redeemed is immediately deducted by the management company. 01/07/2014 Deletion - Date and frequency of the calculation of the net asset value: The net asset value of the UCITS is available from the Management Company on request and is also available on its website: 01/07/2014 Modification - Date and frequency of the calculation of the net asset value: Establishments authorised to receive subscription and redemption requests from the management company: CACEIS Bank France, Agences des Caisses Régionales de Crédit Agricole in France, Agences LCL - Crédit Lyonnais in France. 01/07/2014 Modification - Subscription and redemption conditions: The net asset value is established on each Euronext Paris trading day, with the exception of official French public holidays. This net asset value is calculated on the next trading day (D+1). 01/07/2014 Deletion - Investment strategy: Your money shall be invested primarily in financial instruments selected by the management company. These financial instruments are subject to market fluctuations. The main risks related to this type of investment are: - Rate risk: this refers to the risk of a decline in the value of interest rate instruments arising from fluctuations in interest rates. Exposure to interest rate risk is measured by sensitivity. The net asset value of the Fund could diminish significantly in the periods of rapidly rising interest rates. - Credit risk: this refers to the risk of a decline in the value of securities issued by a private or public issuer or to the default of such issuer. Depending on the direction of the transactions carried out by the Fund, the depreciation (in the case of purchases) or appreciation (in the case of sales) in the value of debt securities to which the Fund is exposed may cause the net asset value of the Fund to fall. - Risks specific to ABS (Asset Backed Securities) and MBS (Mortgage Backed Securities) (ancillary): For these instruments, the credit risk lies mainly in the quality of underlying assets, which may be diverse in nature (bank debts, debt securities, etc.). These instruments are the result of complex assemblies which may carry legal risks and specific risks linked to the characteristics of the underlying assets. If these risks occur, this may cause a fall in the Fund's net asset value. - Risks associated with the use of speculative securities (high yield): this Fund must be considered as partly speculative in nature, tailored more specifically for investors who are aware of the risks inherent in investment in securities whose rating is low or non-existent. As such, the use of "High Yield" securities may entail a risk of a more substantial fall in the net asset value. The main specific risks associated with management are: - Discretionary risk: the discretionary management style applied by the Fund is based on stock selection. This implies a risk that the Fund may not be invested in the best-performing assets at any time. As a result, the Fund's performance may be lower than the investment objective. The net Annual report as at 30/09/

21 asset value of the Fund may decline. - Risk of loss of capital: investors are warned that their initial capital invested may not be returned. The Fund does not provide any guarantee or protection of capital. Other risks include: - Counterparty risk: the UCITS may use temporary acquisitions and sales transactions for OTC securities and/or derivatives. These transactions, entered into with a counterparty, expose the UCITS to a risk of defaulting which may drive the fund's net asset value down. However, counterparty risk may be limited by the implementation of guarantees granted to the UCITS in accordance with the regulations in force. - Risk of over-exposure. The UCITS may use futures financial instruments (derivatives) in order to generate overexposure, thus taking the UCITS' exposure above the net asset balance of the Fund. Depending on the direction of the transactions carried out by the Fund, the depreciation (in the case of purchases) or appreciation (in the case of sales) in the value of debt securities to which the Fund is exposed may increase the risk of the Fund's net asset value falling in relation to the portfolio's risk associated with the investment in securities (excluding derivatives). - Liquidity risk: the Fund is exposed to liquidity risk because the markets in which the Fund is active may occasionally be affected by a temporary lack of liquidity. These market disruptions may impact the prices at which the Fund may be required to liquidate, initiate or modify its positions. - Currency risk (residual): this refers to the possibility that the investment currencies may depreciate in relation to the base currency of the portfolio (euro). Depending on the direction of the transactions carried out by the Fund, the depreciation (in the case of purchases) or appreciation (in the case of sales) of a currency in relation to the euro may cause the net asset value of the Fund to fall. 01/07/2014 Modification - Investment strategy: Operational risk (incidental): this represents the risk of defaulting or an error within the various entities involved in the management and valuation of your portfolio 01/07/2014 Deletion - Benchmark: The Fund's management objective is to achieve an annual performance higher than the capitalised EONIA index, after taking into account the running costs, over an investment horizon of six months. 01/07/2014 Addition - Benchmark: The main characteristics of the management of the master UCITS: 01/07/2014 Addition - Benchmark: The sensitivity range of the credit spreads of your fund may deviate from the interest-rate sensitivity range specified above, in particular due to the hedging of interest rate risk implemented through interest rate swaps, and also owing to the significant share which may be represented by floating securities in the inventory. 01/07/2014 Deletion - Benchmark: 1. Strategies used. With the aim of achieving the management objective and to outperform the benchmark index, the management process is based around the two following value areas: - management of the portfolio's sensitivity: active management within a sensitivity range between 0 and 0.5, depending on the bullish or bearish expectations of the management team regarding the development of euro zone short-term rates. All euro and credit rate managers agree on a central forecast on yields by maturity of Government borrowings in the euro zone. The team's anticipation of future movements made by the European Central Bank takes on particular importance on account of the concentration of investments made by the fund on the short-term segment - less than three years - of the bond market. The determination of the sensitivity of the fund is also adjusted based on the overall exposure of the portfolio to credit, in order to take into account the negative correlation that is frequently seen among interest rate movements and spreads. Sensitivity may therefore be accrued in order to hedge at least partially the risk of deterioration of the bonds if their weighting is significant within the Fund. - selection of credit securities: selection of securities (bonds, transferable debt securities) from public and private issuers. An issuer is selected in accordance with observations of a number of parameters: studies carried out by different research entities (macroeconomic, specific credit, etc.) within the Crédit Agricole Group or other financial institutions on the market. assessment by the management team of the premium offered by securities from this issuer to compensate for the rating and/or liquidity risk. A new issuer will be studied with more interest if its contribution to the diversification of the portfolio is greater. This choice rests on two beliefs: - on average, credit spreads pay off better than just the issuer risk, provided there is efficient credit research allowing selectivity. - a long-term risk premium exists between the short-term maturity bonds and the EONIA. The rules governing the diversification of the credit risk are systemically applied to investments in order to limit the impact of any credit arising on an issuer included in the portfolio. These rules consist of limiting the exposure of the fund, in terms of duration and weighting of the net assets, to an issuer based on their rating (external or, failing this, internal). In addition to this, the two value areas, credit and sensitivity, most often have a weak correlation in periods of financial crisis. This ensures greater resilience in terms of performance. Annual report as at 30/09/

22 01/07/2014 Modification Benchmark: 2. Description of the assets used (excluding derivatives). Money market and bond instruments: Investments are made up to 100% of the net assets, regardless of whether they are in private or public debt securities issued in euros. However, the fund may invest up to a maximum of 50% of its net assets in debt securities denominated in currencies other than the euro. These positions will systematically be hedged against exchange risk, although the fund may present a residual exchange risk (maximum 2% of the net assets). The Fund may invest in the following instruments: - Bonds: fixed-rate bonds, variable-rate bonds, index-linked bonds [inflation, Constant Maturity Rate], others: Entitlement Securities, Asset-Backed Securities, Mortgage-Backed Securities, Subordinated Securities, Perpetual Bonds. The ABS and MBS are concentrated on the AAA/Aaa3 sectors (S&P/Moody's), although with the option of investing in sectors up to A on the Standard & Poor's and Moody's ratings scales. The ABS and MBS are used with the aim of diversifying the portfolio and given their risk/return ratio; investment in these instruments shall not exceed 5% of the net assets. - Money market instruments: certificates of deposit treasury bills BMTN BTF BTAN Euro Commercial Paper Money market funds In terms of ratings, investments can be made as follows: - at least 80% of net assets in debt securities rated "Investment Grade" (meaning that they correspond to a minimum rating of BBB- on the Standard & Poor's or Fitch ratings scale or Baa3 on that of Moody's). The aforementioned debt securities are subject to a moderate risk and are deemed to be of average quality. They may therefore present speculative characteristics. - to 10% maximum of net assets in debt securities issued by unrated entities or entities rated "Speculative Grade" (meaning that they correspond to a rating lower than BBB- on the Standard & Poor's or Fitch ratings scale, or Baa3 on that of Moody's) provided that the latter do not exceed a 5% maximum of the net assets. Securities with a rating lower than BBB-/Baa3 may present speculative characteristics. 01/07/2014 Modification Benchmark: Holding units or shares in other UCIs or investments funds 01/07/2014 Modification Benchmark: The Fund may hold up to 10% of its assets in shares or units of the following UCIs or investment funds: French or foreign UCITS(1) French or European AIFs or investment funds which respect the criteria set out in the Financial and Monetary Code (Code Monétaire et Financier)(2). These UCIs and investment funds can invest up to 10% of their assets in UCITS or AIFs or investment funds. They may be managed by the Management Company or by a company affiliated to it. The risk profile of these UCIs is compatible with that of the UCITS. (1) up to 100% as an accumulated total of the net assets (statutory maximum) (2) up to 30% as an accumulated total of the net assets (statutory maximum) 01/07/2014 Modification Benchmark: 3. Description of derivatives used. The use of futures and options is an integral part of the investment process due to their advantages in terms of liquidity and/or cost efficiency. These instruments have underlyings which belong to the asset categories used. The futures are used in buy and sell transactions as light, liquid substitutes for paper securities, on the one hand to adjust the portfolio's overall exposure to bond markets, and on the other hand, to steer the distribution of the portfolio on the interest rate curve. 01/07/2014 Modification Benchmark: The manager may invest in the following derivative instruments: Types of markets: regulated, organised, over-the-counter. Risks that the fund manager seeks to mitigate: equity, rate, currency, credit. Types of operations, all operations used for the sole purpose of achieving the investment objective: hedging, exposure, arbitrage Type of instruments used: Futures: rates, options: futures, rates, currency rate swaps, currencies, forward exchange contracts, credit derivatives: Credit Default Swaps (CDS). Derivatives strategies used to achieve the investment objective: interest-rate risk hedging or exposure, currency risk hedging or exposure, coverage or arbitrage of credit risk, synthetic replication of exposure to assets, and to risks outlined above. The UCITS may use Credit Default Swaps either to protect itself against credit risk or the defaulting of an issuer, or as part of arbitrage strategies in order to anticipate upward or downward variations in these instruments, or to exploit disparities in a single issuer between the credit risk market and that of the security, or between two issuers. The purchase of protection reduces the risk of the portfolio while the sale of protection, which results in synthetically duplicating the custody of a physical security, generates a risk equivalent to that existing in holding the security directly. Thus, as with the default of an issuer in the portfolio, that of an underlying issuer of a credit derivative would have an impact on the net asset value. CDS bear on signatures whose ratings comply with those detailed in the section regarding "Money market instruments and bonds" above. Exchange options are used to adjust the portfolio's currency allocation (exchange risk management) by exposing the portfolio to a currency or by hedging portfolio Annual report as at 30/09/

23 exposure. The commitment to this type of instrument should not exceed 10% of the net assets. Interest-rate swaps are used to hedge or expose the portfolio faced with a change in interest rates. Exchange swaps are used to fully hedge the exposure arising from the security portfolio. Interest-rate futures may be used with a view to arbitrating the sensitivity between different maturities on the interest-rate curve. The overall risk of the fund arising from derivatives is limited to 100% of the net assets. 4. Description of securities with embedded derivatives Risks that the Fund manager seeks to mitigate: equity, rate, currency, credit Types of operations and description of all operations used for the sole purpose of achieving the investment objective: hedging, exposure, arbitrage Type of instruments used: EMTN, BMTN Convertible bonds (ancillary and only insofar as their sensitivity to equity risk is not significant), Credit Linked Notes (CLN), Integrated derivatives strategy used to achieve the investment objective: general hedging of the portfolio, of certain risks, securities, synthetic replication of exposure to assets and risks, to risks, increase of exposure to the market and accuracy of the leverage effect other strategy. By aggregating positions on CDS, CLN, actual securities, credit exposure to "Speculative Grade" issuers (rating below BBB- on the Standard & Poor's and Fitch ratings scale, or Baa3 on that of Moody's) does not exceed 5% of the net assets. The overall risk linked to securities with embedded derivatives is limited to 100% of the net assets. The overall risk of the fund arising from derivatives and securities with embedded derivatives is limited to 100% of the net assets. 5. Deposits. The UCITS may use deposits with a maximum maturity of up to 12 months. These deposits allow the UCITS to manage cashflow in accordance with its investment objective. 6. Cash borrowings. The UCITS may be in a debtor position as a result of operations related to cash flows (outstanding investments/disinvestments, subscription/redemption transactions) within a 10% limit of the net assets. 7. Temporary acquisitions and disposals of securities. Type of transactions used: repurchase and reverse repurchase agreements in accordance with the Code monétaire et financier, securities lending and borrowing in accordance with the Code monétaire et financier Types of operations (all operations are used for the sole purpose of achieving the investment objective): Cash management: through reverse repurchase agreements, optimisation of UCITS revenue, transactions to generate a leverage effect Scheduled and authorised level of use: the overall risk of the fund arising from repurchase and reverse repurchase operations is limited to 100% of the net assets. The overall risk related to derivatives, embedded derivatives and temporary purchases and sales of securities may not exceed 100% of net assets. The total exposure to risks arising from the overall risk and paper security commitments and positions may not exceed 200% of the net assets. Remuneration: see Fees and Commissions 01/09/2014 Modification Benchmark: Information relating to financial guarantees of the UCITS: As part of temporary acquisitions and disposals of securities and derivative transactions traded over-the-counter, the UCITS may receive securities and cash as a guarantee (collateral). The cash collateral received is reinvested in accordance with the applicable rules. Securities received as collateral may be sold, reinvested or provided as collateral. These securities must be liquid, transferable at any time and diversified, they must be issued by high quality issuers which are not an entity of the counterparty or its group. Discounts on the parity rates may be applied to the collateral received; In particular, they take into account credit quality, securities price volatility, as well as the result of crisis simulations carried out. This information is set out in a risk policy available on the investment company's website: 01/07/2014 Addition - Management objective: Capitalised EONIA: The EONIA shows the overnight euro money market rate. It is calculated by the ESCB (European System of Central Banks) as the average of interest rates on transactions conducted on the euro-denominated money markets by a panel of international banks. Changes in this depend on the money market policy implemented by the European Central Bank. The capitalised EONIA also takes into account the effect of reinvesting interest according to the OIS (Overnight Indexed Swap) method. 01/07/ Addition ISIN code: The management objective of the UCITS is identical to that of the master PORTFOLIO MONINDEX UCITS, which is as follows: 01/07/ Deletion - ISIN code: The Fund's management objective is to achieve an annual performance higher than the capitalised EONIA index, after taking into account the running costs, over an investment horizon of six months. 01/07/ Deletion - ISIN code: Classification: Bonds and other international debt securities. 01/07/2014 Modification - Tax system: The Fund is not, by nature, subject to taxation. However, holders may be liable for tax on income distributed by the Fund or for capital gains tax when they sell units of the Fund. The tax regime Annual report as at 30/09/

24 applicable to amounts distributed by the Fund or to realised or unrealised capital gains or losses depends on the taxation provisions that are applicable to the individual investor s situation, tax residence and/or the investment jurisdiction of the Fund. We recommend that any investor who has concerns about his/her tax situation should consult a tax advisor. Some income distributed by the Fund to unitholders residing outside of France can, where applicable, be subject to a withholding tax in France. 01/07/2014 Deletion - Decimalisation: End of the first accounting year: last trading day of December /09/2014 Modification - Accounting function delegated to: CACEIS Fund Administration, Société anonyme (public limited company), Registered office: 1-3, Place Valhubert Paris CACEIS Fund Administration is the entity of the Crédit Agricole Group specialised in fund administration and accounting for the group s internal and external clients. In this regard, CACEIS Fund Administration was appointed by Amundi to manage the fund valuation and accounting function. 01/07/2014 Modification - Statutory auditor: The list of promoters is not exhaustive mainly due to the fact that the Fund is listed on Euroclear. Thus, some promoters may not be mandated by or known to the Management Company. 01/07/2014 Modification - Statutory auditor: Cabinet MAZARS Exaltis 61, rue Henri Regnault Paris La Défense Cedex Represented by M. MASIERI 01/07/2014 Deletion - Management Company: Management Company: 01/07/2014 Modification - Summary of the management offer: Address at which the latest annual and semiannual reports are available: The latest annual and the composition of assets shall be sent to unitholders within 8 working days upon written request to: 01/07/2014 Addition - Summary of the management offer: Amundi Service Clients 90, Boulevard Pasteur Paris 01/07/2014 Modification - Summary of the management offer: Information documents relating to the master UCITS, PORTFOLIO MONINDEX, governed by French law, approved by the Autorité des Marchés Financiers (the French Financial Markets Authority) on 30 April 1999, are available from: Amundi Service Clients 90, Boulevard Pasteur Paris 01/07/2014 Modification - Summary of the management offer: For additional information, please contact your usual financial advisor. The AMF s website, contains additional information on the list of regulatory documents and all the provisions relating to investor protection. 01/07/2014 Addition I - GENERAL FEATURES Creation date, approval date and intended lifetime: 01/07/2014 Addition I - GENERAL FEATURES - Legal form of the UCITS and Member State: 01/07/2014 Modification - UCITS conforming to the Directive 2009/65/EC - UCITS conforming to the Directive 2009/65/EC 18/02/ Modification VII - VALUATION AND ACCOUNTING RULES FOR THE ASSETS. Date of updating the prospectus: 18 February 2014 Annual report as at 30/09/

25 Specific Information Feeder UCI The Fund's legal documentation states that it is fully and permanently invested in units (or shares if any) of its master UCI and indicates, under indirect costs, the maximum rate of subscription and redemption fees, as well as management fees of the master UCI. In accordance with the regulations and during the period elapsed, the master UCI presented levels in practice consistent with those mentioned in the offering document and included in the section entitled "Management Fees". Group funds and instruments In order to become familiar with the information on financial instruments held in the portfolio that are issued by the Management Company or by the entities in its group, please see the sections in the annual accounts: Other information Financial instruments held, issued and/or managed by the group. Annual report as at 30/09/

26 Calculation of the overall risk Method used to calculate the commitment Futures contracts are recorded at their market value as off-balance sheet liabilities on the basis of their settlement price. Options are converted into the underlying equivalent. Interest rate swaps made on over-thecounter markets are valued on the basis of their nominal value, plus or minus any corresponding valuation differential. Calculation method of the global risk: The UCI uses the commitment approach to calculate the overall risk of the UCI on financial agreements. Annual report as at 30/09/

27 Regulatory Information Broker and Counterparty Selection Procedure Our management company and its "Trading" subsidiary attach great importance to the selection of our transaction service providers, both in terms of brokers and counterparties. Its selection methods are as follows: - Brokers are selected by geographical zone, then by profession. Counterparties are selected by field. - Brokers and counterparties are given a quarterly internal rating. The guidelines given by our company participating in the rating process are directly concerned by the services provided by these providers. Our company's "Trading" subsidiary organises and determines this rating on the basis of marks given by each team manager concerned according to the following criteria: For teams of managers, financial analysts and strategists: - general business relationship, understanding of needs, relevance of contacts, - quality of market and opportunity advice, following of advice, - quality of research and publications, - Scope of securities covered, visits made by companies and their management. For teams of traders: - quality of staff, knowledge of market and information about companies, confidentiality, - Price proposal, - quality of execution, - quality of transaction processing, connectivity, technical expertise and reactivity. Our company's 'Compliance' and 'Middle Office' sections have a right of veto. Accreditation of a new transaction service provider (broker or counterparty) The 'Trading' subsidiary is responsible for creating accreditation files and obtaining approval from the 'Risks' and 'Compliance' sections. When the transaction service provider (broker or counterparty) is accredited, it is subject to rating the following quarter. Monitoring committees for transaction service providers (brokers and counterparties) These monitoring committees meet every quarter, under the auspices of the 'Trading' subsidiary. The committees' objectives are as follows: - approve the previous business and the new selection to implement for the following quarter; - decide on which service providers will belong to a group which is then given a certain number of transactions, - define prospects for business. With this in mind, the monitoring committees review statistics and ratings given to each service provider and make the resulting decisions. Report on brokerage fees A report relating to brokerage fees is kept at the disposal of investors. This report can be consulted on the following website: Annual report as at 30/09/

28 Respect of environmental, social and governance quality (ESG) criteria on the part of the UCI: Overall in its active management*, Amundi applies strict rules over the integration of extra-financial criteria (ESG) which form the basis of its responsibility. In this way it: - excludes any direct investment in companies involved in the manufacture or trade of landmines and cluster bombs, in compliance with the Ottawa and Oslo conventions; - excludes companies which seriously and repeatedly contravene one or more of the Ten Principles of the United Nations Global Compact. Issuers in these two categories are rated G on the Amundi scale (scale of A to G, with A being the best rating and G the worst). Additional information on the methods of incorporating ESG criteria by Amundi are available on its website: * Active management: excluding indexed UCI and ETF limited by their benchmark index. Annual report as at 30/09/

29 Certification of the Statutory Auditor on the annual accounts Annual report as at 30/09/

30 FCP AMUNDI TRESO 6 MOIS Year Ended 30 September 2014 Statutory Auditor's report on the annual accounts In fulfilment of the mission which was entrusted to us by the Board of Directors of the fund's management company, we present our report relating to the financial year ended 30 December 2014, concerning: the audit of the annual accounts for the FCP AMUNDI TRESO 6 MOIS, as appended to this report; the explanation for our assessments; and specific checks and information laid down by law. The annual accounts were authorised for issue by the Fund's management company. On the basis of our audit, it is our duty to express an opinion about said accounts. I - Opinion on the annual accounts We carried out our audit in accordance with the professional standards of conduct as applicable in France; these standards require the implementation of procedures so as to provide reasonable assurance that the annual accounts do not contain any significant anomalies. An audit consists of verifying by sampling or other selection methods those elements which justify the sums and information featured in the annual accounts. Since it concerns a UCITS, it does not take account of the databases provided by independent third parties for preparing the off-balance sheet statement included in the annual accounts. It also consists of assessing the accounting principles followed, any significant estimates made and the presentation of the accounts as a whole. We consider that the elements we have gathered are of a sufficient and appropriate nature to serve as the basis for our opinion. We certify that the annual accounts are, with regard to French accounting principles and rules, accurate, and give a faithful image of the results of transactions occurring during the financial year in question, as well as the financial position and asset situation of the UCITS at the close of the financial year. 1

31 FCP AMUNDI TRESO 6 MOIS Financial year ended 30 September 2014 II - Justifications of assessment Pursuant to the provisions of Article L of the Commercial Code, relating to the justification of our assessment, we would like to draw the following to your attention: - our assessments in particular concerned compliance with the accounting policies and principles applicable to the UCITS, as defined in Regulation n of the French Accounting Regulation Committee ("Comité de la Réglementation Comptable"). Said evaluations as given are a part of our audit procedure for the annual accounts, taken as a whole, and thus contributed to forming the opinion we expressed in the first part of this report. III - Specific information and checks In accordance with the applicable professional standards in France, we also performed, the specific checks laid down by law. We do not have any qualifications to make as to the accuracy and consistency with the annual accounts of the information given in the annual report and the documents sent to unit holders regarding the financial situation and annual accounts. Signed in Courbevoie on 22 January 2015 Statutory Auditors Mazars: Pierre Masiéri [Signature] 2

32 Annual accounts Annual report as at 30/09/

33 Assets in EUR Assets at 30/09/2014 Portfolio: AMUNDI TRESO 6 MOIS 30/09/ /09/2013 FINANCIAL INSTRUMENT 1,954,224, ,082,027, MASTER UCI 1,954,224, ,082,027, Futures Transactions on a regulated market or related market Other transactions DEBTS Forward-based currency transactions Others FINANCIAL ACCOUNTS 7, , Liquidity 7, , TOTAL ASSETS 1,954,232, ,082,033, Annual report as at 30/09/

34 Liabilities in EUR Liabilities at 30/09/2014 Portfolio: AMUNDI TRESO 6 MOIS 30/09/ /09/2013 SHAREHOLDERS FUNDS Capital 1,931,253, ,065,763, Previous net appreciation and depreciation not distributed (a) Balance carried forward (a) Net appreciation and depreciation for the financial year (a, b) 23,922, ,003, Earnings for the financial year (a, b) -1,026, ,974, TOTAL SHAREHOLDERS' EQUITY * 1,954,150, ,081,793, * Sum representing net assets FINANCIAL INSTRUMENT Futures Transactions on a regulated market or related market Other transactions DEBTS 82, , Forward-based currency transactions Others 82, , FINANCIAL ACCOUNTS Current bank lending Borrowings TOTAL LIABILITIES 1,954,232, ,082,033, (a) Including accruals (b) Less advance payments made in respect of the financial year Annual report as at 30/09/

35 Off-balance sheet in EUR Off-balance sheet at 30/09/2014 Portfolio: AMUNDI TRESO 6 MOIS 30/09/ /09/2013 HEDGING TRANSACTIONS Liabilities on regulated markets or related markets Over-the-counter liabilities Other liabilities OTHER TRANSACTIONS Liabilities on regulated markets or related markets Over-the-counter liabilities Other liabilities Annual report as at 30/09/

36 Profit and loss account in EUR Profit and loss account at 30/09/2014 Portfolio: AMUNDI TRESO 6 MOIS 30/09/ /09/2013 Income from financial transactions Income from deposits and on financial accounts Income from equities and related securities Income from bonds and related securities Income from debt securities Income from temporary acquisitions and disposals of securities Income from futures Other financial income TOTAL (1) Charges for financial transactions Charges for temporary acquisitions and disposals of securities Charges for futures Charges for financial debts , Other financial debts TOTAL (2) , INCOME FROM FINANCIAL TRANSACTIONS (1-2) , Other income (3) Management fees and provisions for depreciation (4) 1,607, ,054, NET PROFIT FOR THE FINANCIAL YEAR (L ) ( ) -1,607, ,056, Income equalisation for the financial year (5) 581, , Advance payments made in respect of the financial year (6) PROFIT ( ) -1,026, ,974, Annual report as at 30/09/

37 Notes to the annual accounts Annual report as at 30/09/

38 Accounting rules and methods The annual accounts are drawn up in line with the provisions laid down in the rules of the accounting regulation committee no as amended, relating to the chart of accounts for UCI. The general accounting principles apply: - true and fair view, comparability and going concern, - regularity and accuracy; - prudence; and - consistency of methods from one financial year to the next. The selected accounting method used to record proceeds from fixed-income securities is that of interest collected. Purchases and sales of securities are recorded exclusive of costs. The reference currency for portfolio accounting is the euro. The length of the financial year is 12 months. Valuation rules for the assets Financial instruments are recorded for accounting purposes according to the historical cost method, and entered on the balance sheet at their current value, which is determined using the last known market value or, should no market exist, by all external means or using financial models. Differences between current values used to calculate the net asset value and historical cost of securities upon entering the portfolio are recorded in a "Valuation differentials" account. Securities not in the portfolio currency are assessed according to the principle outlined above, then converted into the portfolio currency at the currency value prevailing on the valuation date. UCIs held: UCI shares or units will be valued at the last known net asset value. Futures: Forward-based financial instruments traded on a regulated market or similar: Futures traded on regulated markets are valued at the settlement price for the day. Futures not traded on a regulated market or similar: Swaps: Interest rate and/or currency swaps are valued at their market value according to the price calculated by discounting future interest flows at the interest rate and/or currency exchange rate prevailing on the market. This price is adjusted to the issuer's risk. Index swaps are assessed actuarially on the basis of a benchmark rate provided by the counterparty. Other swaps are assessed at their market value or a value estimated according to the procedures laid down by the management company. Annual report as at 30/09/

39 Off-balance sheet liabilities: Futures contracts are recorded at their market value as off-balance sheet liabilities at the price used in the portfolio. Options are converted into the underlying equivalent. Swap commitments are presented at their nominal value, or in the absence of a nominal value, for an equivalent amount. Management fees Management fees and running costs cover all fees relating to the UCI: financial, administrative, accounting, storage, distribution management and audit costs, etc. These fees are charged to the UCI statement of operations. Management fees do not include transaction fees. For more details about the fees charged to the UCI, please refer to the prospectus. They are recorded pro rata temporis for each net asset value calculation. The total of these costs complies with the maximum rate for net assets as indicated in the Fund's prospectus or regulations: - DP-C unit: 0.20% incl. tax - EC Unit: 0.28% incl. tax - IC Unit: 0.15% incl. tax - PC Unit: 0.50% incl. tax Allocation of the distributable amounts Definition of distributable amounts: The distributable amounts are made up of: Profit: The net income for the financial year is equal to the amount of interest, arrears, dividends, premiums and prizes, director s fees as well as all proceeds generated by the securities held in the portfolio of the fund, plus income generated by temporary cash holdings, less management fees and borrowing costs. This is increased by any balance carried forward, with the addition or reduction of the income equalisation accounts. Appreciation and depreciation: The appreciation, net costs, less the realised depreciation, net costs, as seen over the course of the financial year, plus the net appreciation of a similar nature noted over the course of the previous financial years not subject to distribution or capitalisation and reduced or increased by the balance of the appreciation equalisation account. Methods for allocating the distributable amounts: Distributable Amounts "E-C", "DP-C", "I-C" and "P-C" units Allocation of net profit Accumulation Allocation of net capital gains or losses realised: Accumulation Annual report as at 30/09/

40 Change in the Net Assets in EUR Change in the net assets at 30/09/2014 Portfolio: AMUNDI TRESO 6 MOIS 30/09/ /09/2013 NET ASSETS AT THE BEGINNING OF FINANCIAL YEAR 2,081,793, ,215,643, Subscriptions (including subscription commissions payable to the UCITS) 2,096,484, ,472,298, Redemptions (after deduction of redemption commissions payable to the Fund) -2,236,232, ,615,263, Capital gains made on deposits and financial instruments 24,217, ,511, Capital losses made on deposits and financial instruments Capital gains made on futures Capital losses made on futures Transaction fees -1, Exchange differences Variations in valuation differential for deposits and financial instruments -10,504, ,339, Valuation differential for financial year N 26,752, ,257, Valuation differential for financial year N-1-37,257, ,596, Variations in valuation differential for futures Valuation differential for financial year N Valuation differential for financial year N-1 Distribution for previous year on net appreciation and depreciation Distribution for previous year on profits Net profit for the financial year before equalisation account -1,607, ,056, Advance payment(s) made over the financial year on appreciation and depreciation Advance payment(s) made over the financial year on profits Other items * NET ASSETS AT THE END OF THE FINANCIAL YEAR 1,954,150, ,081,793, Annual report as at 30/09/

41 BREAKDOWN BY LEGAL OR ECONOMIC TYPE OF FINANCIAL INSTRUMENT Amount % OFF-BALANCE SHEET HEDGING TRANSACTIONS TOTAL HEDGING TRANSACTIONS OTHER TRANSACTIONS TOTAL OTHER TRANSACTIONS BREAKDOWN BY RATE TYPE FOR ASSET, LIABILITY AND OFF-BALANCE SHEET ENTRIES Fixed rate % Variable rate % Floating rate % Others % Off-balance sheet Hedging transactions Other transactions Annual report as at 30/09/

42 BREAKDOWN BY RESIDUAL MATURITY OF ASSET, LIABILITY AND OFF-BALANCE SHEET < 3 months % [3 months - 1 yr] % ]1-3 years] % ]3-5 years] % > 5 years % Off-balance sheet Hedging transactions Other transactions Forward-based bond positions are presented based on the underlying's maturity. BREAKDOWN BY LISTING OR ASSESSMENT CURRENCY OF ASSET, LIABILITY AND OFF-BALANCE SHEET ENTRIES (excluding euro) Assets Master UCI Debts Financial accounts Liabilities Financial accounts Off-balance sheet Hedging transactions Other transactions Currency 1 % Currency 2 % Currency 3 % Currency N OTHER(S) % Annual report as at 30/09/

43 BREAKDOWN BY TYPE OF RECEIVABLES AND DEBTS Type of debit/credit 30/09/2014 Total accounts receivable Debts Management fees - 82, Total debts - 82, Total debts and receivables - 82, SHAREHOLDERS FUNDS Number of securities issued or redeemed In units By amount I-C units Units Subscribed during the financial year 7, ,669,276, Units Redeemed during the financial year -6, ,447,165, Number of Units in circulation at year-end 6, P-C unit Units Subscribed during the financial year 2,955, ,373, Units Redeemed during the financial year -5,704, ,438, Number of Units in circulation at year-end 1,638, E-C unit Units Subscribed during the financial year 4, ,510, Units Redeemed during the financial year -7, ,628, Number of Units in circulation at year-end 7, DP-C unit: Units Subscribed during the financial year , Units Redeemed during the financial year Number of Units in circulation at year-end Annual report as at 30/09/

44 SUBSCRIPTION AND/OR REDEMPTION FEES By amount I-C units Redemption fees received Subscription fees received Total fees received P-C unit Redemption fees received Subscription fees received Total fees received E-C unit Redemption fees received Subscription fees received Total fees received DP-C unit: Redemption fees received Subscription fees received Total fees received MANAGEMENT FEES 30/09/2014 I-C units Guarantee commissions Fixed management fees 73, Percentage of fixed management fees 0.01 Variable management fees Management fee retrocessions Annual report as at 30/09/

45 MANAGEMENT FEES 30/09/2014 P-C unit Guarantee commissions Fixed management fees 1,239, Percentage of fixed management fees 0.41 Variable management fees Management fee retrocessions E-C unit Guarantee commissions Fixed management fees 294, Percentage of fixed management fees 0.14 Variable management fees Management fee retrocessions DP-C unit: Guarantee commissions Fixed management fees Percentage of fixed management fees 0.03 Variable management fees Management fee retrocessions COMMITMENTS MADE AND RECEIVED 30/09/2014 Guarantees received by the UCI - including capital guarantees Other commitments received Other commitments made Annual report as at 30/09/

46 TRES INFORMATION Current value of financial instruments subject to temporary purchase 30/09/2014 Securities taken under repurchase agreement Borrowed securities Current value of financial instruments used as pledges 30/09/2014 Financial instruments pledged and held in their original entry Financial instruments received as a pledge and not entered on the balance sheet Financial instruments held, issued and/or managed by the group. ISIN Code Denomination 30/09/2014 Shares Bonds Transferable debt securities UCI 1,954,224, FR AMUNDI 6 M I 1,954,224, Futures Total group securities 1,954,224, Annual report as at 30/09/

47 TABLE FOR THE ALLOCATION OF THE SHARE IN THE DISTRIBUTABLE AMOUNTS RELATING TO THE PROFIT 30/09/ /09/2013 Sums still to allocate Balance carried forward Income -1,026, ,974, Total -1,026, ,974, /09/ /09/2013 I-C units Allocation Distribution Balance carried forward for the financial year Accumulation -81, , Total -81, , /09/ /09/2013 P-C unit Allocation Distribution Balance carried forward for the financial year Accumulation -688, ,443, Total -688, ,443, /09/ /09/2013 E-C unit Allocation Distribution Balance carried forward for the financial year Accumulation -255, , Total -255, , Annual report as at 30/09/

48 TABLE FOR THE ALLOCATION OF THE SHARE IN THE DISTRIBUTABLE AMOUNTS RELATING TO THE PROFIT 30/09/ /09/2013 DP-C unit: Allocation Distribution Balance carried forward for the financial year Accumulation Total TABLE FOR THE ALLOCATION OF THE SHARE IN THE DISTRIBUTABLE AMOUNTS RELATING TO NET CAPITAL GAINS AND LOSSES 30/09/ /09/2013 Sums still to allocate Previous net appreciation and depreciation not distributed Net appreciation and depreciation for the financial year 23,922, ,003, Advance payments made on net appreciation and depreciation in the financial year Total 23,922, ,003, /09/ /09/2013 I-C units Allocation Distribution Net appreciation and depreciation not distributed Accumulation 19,503, ,769, Total 19,503, ,769, /09/ /09/2013 P-C unit Allocation Distribution Net appreciation and depreciation not distributed Accumulation 2,088, ,934, Total 2,088, ,934, Annual report as at 30/09/

49 TABLE FOR THE ALLOCATION OF THE SHARE IN THE DISTRIBUTABLE AMOUNTS RELATING TO NET CAPITAL GAINS AND LOSSES 30/09/ /09/2013 E-C unit Allocation Distribution Net appreciation and depreciation not distributed Accumulation 2,325, ,298, Total 2,325, ,298, /09/ /09/2013 DP-C unit: Allocation Distribution Net appreciation and depreciation not distributed Accumulation 5, , Total 5, , Annual report as at 30/09/

50 INCOME TABLE AND OTHER CHARACTERISTIC FEATURES OF THE ENTITY OVER THE PREVIOUS FIVE FINANCIAL YEARS 31/12/ /12/ /12/ /09/ /09/2014 Overall net assets in EUR 2,730,040, ,759,728, ,215,643, ,081,793, ,954,150, AMUNDI TRESO 6 MOIS I Net assets in EUR 2,590,758, ,249,807, ,365,484, ,361,504, ,593,585, Number of securities 11, , , , , Unit net asset value in EUR 218, , , , , Unit accumulation on net gains and losses in EUR Unit accumulation in EUR on the profits 1, , AMUNDI TRESO 6 MOIS P Net assets in EUR 139,282, ,749, ,876, ,361, ,209, Number of securities 1,380, ,249, ,136, ,387, ,638, Unit net asset value in EUR Unit accumulation on net gains and losses in EUR Unit accumulation in EUR on the profits AMUNDI TRESO 6 MOIS E Net assets in EUR 383,171, ,122, ,766, ,866, Number of securities 15, , , , Unit net asset value in EUR 25, , , , Unit accumulation on net gains and losses in EUR Unit accumulation in EUR on the profits Annual report as at 30/09/

51 INCOME TABLE AND OTHER CHARACTERISTIC FEATURES OF THE ENTITY OVER THE PREVIOUS FIVE FINANCIAL YEARS 31/12/ /12/ /12/ /09/ /09/2014 Overall net assets in EUR 2,730,040, ,759,728, ,215,643, ,081,793, ,954,150, AMUNDI TRESO 6 MOIS DP Net assets in EUR 160, , , Number of securities Unit net asset value in EUR 160, , , Unit accumulation on net gains and losses in EUR Unit accumulation in EUR on the profits 1, , Annual report as at 30/09/

52 Detailed inventory of financial instruments in EUR Name of security Currency No. or nominal qty Current value % Net Assets Undertakings for collective investment French general UCITS FRANCE AMUNDI 6 M I EUR 87,048 1,954,224, TOTAL FRANCE 1,954,224, TOTAL French general UCITS 1,954,224, TOTAL Undertakings for Collective Investment 1,954,224, Debts -82, Financial accounts 7, Net assets 1,954,150, AMUNDI TRESO 6 MOIS I EUR 6, , AMUNDI TRESO 6 MOIS P EUR 1,638, AMUNDI TRESO 6 MOIS DP EUR , AMUNDI TRESO 6 MOIS E EUR 7, , Annual report as at 30/09/

53 Amundi French limited company (société anonyme) with capital of 596,262,615 euros Portfolio Management Company authorised by the AMF under number GP Registered office: 90, boulevard Pasteur Paris France RCS Paris