AMUNDI ETF MSCI EMU HIGH DIVIDEND UCITS ETF

Transcription

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

2 Contents Pages Informations about the Fund 3 Annual Report 7 Significant events during the financial period 9 Specific details 17 Regulatory informations 18 Auditor's Certification 19 Annual accounts 22 Balance Sheet 23 Balance Sheet Liabilities 24 Off-balance sheet 25 Income Statement 26 Notes to the annual accounts 27 Accouting rules and methods 28 Changes in net assets 31 Table of profit (loss) of the fund over the past five financial periods 39 Portfolio Listing Annual Report on 12/31/15 2

3 Informations about the Fund Classification Euro zone equities. Method used to determine and allocate distributable amounts C unit: Capitalisation. D unit: Capitalisation and/or distribution, at the discretion of the fund manager. Tax regime The Fund is eligible for PEAs (personal equity plans reserved for French tax residents) and life insurance policies. The Fund may also serve as an investment vehicle for unit-linked life insurance policies. The UCITS, by its nature, is not subject to taxation. However, unitholders may be taxed on any income distributed by the UCITS or when they sell its units. The tax regime applicable to amounts distributed by the UCITS or unrealised or realised capital gains or losses will depend on the individual unitholder's tax situation, residence for tax purposes and/or the investment jurisdiction of the UCITS. Any investors unsure of their tax status should contact a tax advisor or professional in order to determine the tax rules that apply to their individual situation, before carrying out any investment. Some income distributed by the UCITS to non-residents in France may be subject to a withholding tax in France. Benchmark index The Fund's benchmark index is the MSCI EMU High Dividend Yield strategy index, denominated in USD and expressed in EUR equivalent, with net dividends reinvested (net return). The MSCI EMU High Dividend Yield strategy index is an equities index, calculated and published by international index provider MSCI Inc. ( MSCI ). The equities comprising the MSCI EMU High Dividend Yield strategy index are taken from the universe of companies with the largest capitalisations in the markets of the 10 countries of the European Economic and Monetary Union, and generating the highest dividends in their respective countries. Management fees & commissions Subscription and redemption fees for any unit category: 0.3% including tax. Subscription fee not retained by the Fund for any unit category: None. In compliance with current regulations, this mutual fund has, during the financial period just ended, levied charges at rates which are in line with those stated in the Prospectus and used under the following headings: - Notes to the Annual Accounts /- Management fees. - Shareholders Funds /-Subscription and/or redemption fees /- Management fees. Investment objective The Fund's investment objective is to replicate the performance in EUR (positive or negative) of the MSCI EMU High Dividend Yield strategy index (see Benchmark Index section) as closely as possible. The aim of the fund management strategy is to generate the smallest difference possible between the change in the NAV of the Fund and that of the MSCI EMU High Dividend Yield strategy index (hereafter the MSCI EMU High Dividend Yield strategy index ) in EUR equivalent. The maximum tracking error between the change in the NAV of the Fund and that of the MSCI EMU High Dividend Yield strategy index in EUR equivalent is 2%. If at any point the tracking error exceeds 2%, the objective would be to remain below 15% of the volatility of the MSCI EMU High Dividend Yield strategy index in EUR equivalent. Annual Report on 12/31/15 3

4 Investment strategy The Fund applies an index -type investment strategy. 1. Strategy used: The Fund adopts an index -type investment strategy, with the objective of replicating the changes in the performance of the MSCI EMU High Dividend Yield strategy index, in EUR equivalent, based on a synthetic replication method. In the interest of obtaining the highest possible correlation with the performance of the MSCI EMU High Dividend Yield strategy index, in EUR equivalent, the Fund will purchase a diversified basket of equities (the Basket ), and will use an equity and index OTC swap ( total return swap ) whose purpose is to swap the Fund's exposure to the securities comprising the Basket for exposure to the MSCI EMU High Dividend Yield strategy index. The Fund will observe the investment rules set forth in Articles and R of the French Monetary and Financial Code (the CMF ). The Basket, consisting of the directly held assets described in the Assets used section of this document, complies with the provisions of Article R of the CMF. The Fund's exposure to the index obtained via the total return swap may benefit from the exceptional ratios applicable to the index UCITS referred to in Article R of the CMF. This article stipulates that a maximum of 20% of the index may be comprised of equities or debt securities issued by a given entity, and that this limit may be increased to 35% maximum for a single given issuing entity where justified by exceptional market conditions, particularly on regulated markets in which certain transferable securities or money market instruments are predominant. 2. Assets used (excluding embedded derivatives): The Fund's exposure is obtained via the total return swap. The Basket is made up of the assets described below, which are directly held by the Fund. - Equities: At least 60% of the Fund's assets will be exposed at all times to one or more equities markets located in one or more euro zone countries. Up to 100% of the Fund's net assets will be invested, within the limits of the ratios provided for by regulations, in international equities (in all economic sectors, listed on all markets). The equities comprising the Fund's assets will be stocks listed on the MSCI EMU High Dividend Yield strategy index, as well as other international equities, in all economic sectors, listed on all markets, including the small cap markets. The equities comprising the Fund's assets will be selected with the aim of limiting the costs associated with the replication of the MSCI EMU High Dividend Yield strategy index. More than 75% of the portfolio's assets consist at all times of companies having their registered office in a European Union Member State, or in another State that is party to the European Economic Area agreement, having entered into a tax agreement with France containing an administrative assistance clause aimed at combating tax evasion and fraud. This minimum investment level makes the Fund eligible for PEAs. - Fixed Income instruments: Up to 25% of the Fund's assets may be invested in bond instruments of any type. The securities in the portfolio will be selected as determined by the portfolio managers and in compliance with the Fund Manager's internal credit risk management policy. In selecting securities, the portfolio managers do not systematically or exclusively rely on ratings issued by rating agencies. Rather, they base their decision to purchase or sell a security on their own credit and market analyses. Note: the portfolio managers may use securities with a minimum rating of BBB- on the S&P and Moody's scale (Investment Grade rating) at the time of their purchase. Selected issuers may belong to either the private or public sector (Governments, local authorities, etc.), with private debt liable to account for up to 100% of debt instruments. Foreign bonds will be denominated in OECD Member State currencies. In order to help achieve its investment objective and/or manage intermediate investment flows, the Fund may hold (within the limit of 10% of its assets) the following instruments: Annual Report on 12/31/15 4

5 - Debt securities and money market instruments denominated in EUR: Money market instruments are held for cash management purposes. The securities in the portfolio will be selected as determined by the portfolio managers and in compliance with the Fund Manager's internal credit risk management policy. In selecting securities, the portfolio managers do not systematically or exclusively rely on ratings issued by rating agencies. Rather, they base their decision to purchase or sell a security on their own credit and market analyses. Note: the portfolio managers may use securities with a minimum rating of AA on the S&P and Moody's scale. Selected issuers may belong to either the private or public sector (Governments, local authorities, etc.), with private debt liable to account for up to 100% of debt instruments. The average duration of such instruments will be less than 10 years. - Units or shares of UCITS: The Fund may invest up to 10% of its assets in units and/or shares of UCITS. These UCITS are representative of all asset classes, in accordance with the Fund's investment constraints. They may be UCITS managed by the Fund Manager or by other entities belonging to Crédit Agricole SA Group, including affiliates, or to other groups. 3. Derivatives instruments: The Fund will use derivative instruments, including in particular forward financial instruments such as OTC total return swaps whose purpose is to exchange the value of the equities comprising the Fund's assets for the value of the MSCI EMU High Dividend Yield strategy index. The method for determining the off-balance sheet commitment uses the commitment method. The Fund may use the following types of derivative instruments: Type of markets: - regulated - organised - over-the-counter Categories of risks in which the Fund intends to trade: - equity Types of positions and description of all transactions, which must be limited to the achievement of the investment objective: - hedging - exposure Types of instruments used: - equity and index futures - equity and index options - equity and index total return swaps Strategy for using derivatives to achieve the investment objective: - reconstitution of a synthetic exposure to a given security, business sector, and/or the MSCI EMU High Dividend Yield strategy index through the use of swaps. - management of intermediate investment flows (dividends, subscriptions/redemptions, etc.) to achieve the target exposure to a given security, business sector or the MSCI EMU High Dividend Yield strategy index through the use of futures. - management of intermediate investment flows (dividends, subscriptions/redemptions, etc.) to achieve the target exposure to a given security, business sector or the MSCI EMU High Dividend Yield strategy index through the use of options. These instruments may be used as hedging instruments, within the limit of 100% of the Fund's net assets. 4. Securities with embedded derivatives: None. Annual Report on 12/31/15 5

6 5. Deposits and cash holdings: The Fund may, within the limit of 20% of its net assets, carry out deposits with a maximum term of 12 months. By allowing the Fund to manage cash flows, these deposits help achieve its investment objective. 6. Cash borrowing: The Fund may borrow cash, on an exceptional and temporary basis and within the limit of 10% of its net assets, for the purpose of optimising the management of its cash holdings. 7. Temporary purchases and sales of securities: None. Over-exposure (where applicable): No. Total commitments linked to derivatives are limited to 110% of the Fund's assets. Information related to the Fund's financial collateral None. Brief description of the intermediary selection procedure and comments (if any) The Fund Manager usually conducts a call for tenders when selecting intermediaries. A general call for tenders (swap and market-making agreement) was carried out for part of the AMUNDI ETF fund range. Accordingly, for this specific Fund, the Fund Manager has not undertaken and will not undertake a formal, traceable and auditable competition procedure for counterparties to the OTC total return swaps referred to above, as the counterparty was already selected via the general call for tenders. The Fund may conduct these transactions with BNP Paribas SA or any other BNP Paribas SA Group company as counterparties or intermediaries. Risk profile Equity risk Risk of capital loss Factors liable to influence the Fund's replication of the performance generated by the strategy index Credit risk Counterparty risk linked to the synthetic replication method used Liquidity risk Liquidity risk on a given exchange Operational risk Annual Report on 12/31/15 6

7 Annual Report December 2015 The fund s objective is to track the MSCI EMU High Dividend Yield strategy Index while remaining eligible for the PEA (i.e. the fund undertakes to hold 75% of its assets in PEA-eligible equities at all times). It therefore holds a basket of shares and a performance swap which turns the Fund s equity exposure into an exposure to the MSCI EMU High Dividend Yield. Subfund Rolling Performance AMUNDI ETF MSCI EMU HIGH DIVIDEND For the period under review, the unit C EUR performance is 13.98%. The benchmark performance is 13.85% with a tracking error of 0.16%. For the period under review, the unit D EUR performance is -1.72%. The benchmark performance is -1.66%. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities Movements (in amount) Acquisitions Transfers ANHEUSER-BUSCH INBEV 13,396, ,851, BAYER 13,036, ,795, BASF SE 14,339, ,445, ING GROEP NV 8,012, ,652, BANCO SANTANDER S.A. 11,008, ,724, DAIMLER AG 7,976, ,611, SIEMENS AG NAMEN 10,601, ,890, DEUTSCHE TELEKOM AG 5,328, ,074, DEUTSCHE BANK AG 6,168, ,873, SAP SE 4,896, ,032, Annual Report on 12/31/15 7

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

9 Significant events during the financial period 14 August 2015: Addition to the Summary of the management offer: Table (0.0) Unit 14 August 2015: Addition to the Summary of the management offer: Table (1.0) ISIN Code 14 August 2015: Addition to the Summary of the management offer: Table (2.0) Allocation of the amounts available for distribution 14 August 2015: Addition to the Summary of the management offer: Table (3.0) Denomination currency 14 August 2015: Addition to the Summary of the management offer: Table (4.0) Frequency of the net asset value calculation 14 August 2015: Addition to the Summary of the management offer: Table (5.0) Initial net asset value 14 August 2015: Addition to the Summary of the management offer: Table (6.0) Minimum initial subscription 14 August 2015: Addition to the Summary of the management offer: Table (7.0) Minimum subsequent subscription 14 August 2015: Addition to the Summary of the management offer: Table (8.0) Target subscribers 14 August 2015: Addition to the Summary of the management offer: Table (0.1) D Units 14 August 2015: Addition to the Summary of the management offer: Table (1.1) FR August 2015: Addition to the Summary of the management offer: Table (2.1) Accumulation and/or distribution based on a decision by the Management Company 14 August 2015: Addition to the Summary of the management offer: Table (3.1) euro 14 August 2015: Addition to the Summary of the management offer: Table (4.1) Daily 14 August 2015: Addition to the Summary of the management offer: Table (5.1) euros 14 August 2015: Addition to the Summary of the management offer: Table (6.1) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Summary of the management offer: Table (7.1) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Summary of the management offer: Table (8.1) All subscribers 14 August 2015: Addition to the Summary of the management offer: Table (0.2) C Units 14 August 2015: Addition to the Summary of the management offer: Table (1.2) FR August 2015: Addition to the Summary of the management offer: Table (2.2) Accumulation 14 August 2015: Addition to the Summary of the management offer: Table (3.2) euro 14 August 2015: Addition to the Summary of the management offer: Table (4.2) Daily 14 August 2015: Addition to the Summary of the management offer: Table (5.2) euros Annual Report on 12/31/15 9

10 14 August 2015: Addition to the Summary of the management offer: Table (6.2) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Summary of the management offer: Table (7.2) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Summary of the management offer: Table (8.2) All subscribers 14 August 2015: Addition of an ISIN Code: ISIN Code: 14 August 2015: Addition of an ISIN Code: Table (1.0) C Units 14 August 2015: Addition of an ISIN Code: Table (2.0) D Units 14 August 2015: Addition of an ISIN Code: Table (0.1) ISIN Code 14 August 2015: Addition of an ISIN Code: Table (1.1) FR August 2015: Addition of an ISIN Code: Table (2.1) FR August 2015 Alteration 6. Currency borrowings: The Fund may resort to borrowings in order to optimise its cash management up to a limit of 10% of its net assets, on an exceptional and temporary basis. 14 August 2015: Deletion 7. Transactions involving the temporary purchase and sale of securities: None. The amount of the derivative commitments is limited to 110% of the assets. 14 August 2015: Change to the Risk Profile: Liquidity risk: Some securities included in the composition of the MSCI EMU High Dividend Yield Strategy Index may be hard to trade, or even no longer tradable on a temporary basis, primarily as the result of a lack of trades on the market, or of regulatory restrictions. This market disruption may cause a decrease in the Fund s net asset value. 14 August 2015: Addition to the Risk Profile: - Operational risk: this represents the risk of losses resulting from the inadequacy or failure of internal processes, persons, and systems, or from external events. 14 August 2015: Addition to the Procedures for determining and allocating the amounts for distribution: C Units: Accumulation D Units: Accumulation and/or distribution based on a decision by the Management Company. 14 August 2015: Addition to the Characteristic Features of the Units: Table (0.0) Unit 14 August 2015: Addition to the Characteristic Features of the Units: Table (1.0) Characteristic features 14 August 2015: Addition to the Characteristic Features of the Units: Table (1.1) ISIN Code 14 August 2015: Addition to the Characteristic Features of the Units: Table (2.1) Allocation of the amounts available for distribution 14 August 2015: Addition to the Characteristic Features of the Units: Table (3.1) Denomination currency 14 August 2015: Addition to the Characteristic Features of the Units: Table (4.1) Frequency of the net asset value calculation 14 August 2015: Addition to the Characteristic Features of the Units: Table (5.1) Initial net asset value 14 August 2015: Addition to the Characteristic Features of the Units: Table (6.1) Minimum initial subscription Annual Report on 12/31/15 10

11 14 August 2015: Addition to the Characteristic Features of the Units: Table (7.1) Minimum subsequent subscription 14 August 2015: Addition to the Characteristic Features of the Units: Table (8.1) Target Subscribers 14 August 2015: Addition to the Characteristic Features of the Units: Table (0.2) D Units 14 August 2015: Addition to the Characteristic Features of the Units: Table (1.2) FR August 2015: Addition to the Characteristic Features of the Units: Table (2.2) Accumulation and/or distribution based on a decision by the Management Company 14 August 2015: Addition to the Characteristic Features of the Units: Table (3.2) euro 14 August 2015: Addition to the Characteristic Features of the Units: Table (4.2) Daily 14 August 2015: Addition to the Characteristic Features of the Units: Table (5.2) euros 14 August 2015: Addition to the Characteristic Features of the Units: Table (6.2) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Characteristic Features of the Units: Table (7.2) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Characteristic Features of the Units: Table (8.2) All subscribers 14 August 2015: Addition to the Characteristic Features of the Units: Table (0.3) C Units 14 August 2015: Addition to the Characteristic Features of the Units: Table (1.3) FR August 2015: Addition to the Characteristic Features of the Units: Table (2.3) Accumulation 14 August 2015: Addition to the Characteristic Features of the Units: Table (3.3) euro 14 August 2015: Addition to the Characteristic Features of the Units: Table (4.3) Daily 14 August 2015: Addition to the Characteristic Features of the Units: Table (5.3) euros 14 August 2015: Addition to the Characteristic Features of the Units: Table (6.3) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Characteristic Features of the Units: Table (7.3) Primary market of 16,000 units and Secondary market of 1 unit 14 August 2015: Addition to the Characteristic Features of the Units: Table (8.3) All subscribers 14 August 2015: Addition to the Characteristic Features of the Units: Denomination currency of the units: See Table above ( Characteristic Features of the Units Heading) 14 August 2015: Addition to the Initial Net Asset Value: Initial net asset value: 14 August 2015: Addition to the Initial Net Asset Value: Table (0.0) D Units: euros for the C and/or D Fund Units. The initial net asset value is equal to the consideration in euros for the closing value of the MSCI EMU High Dividend Yield Strategy Index (which is denominated in US dollars) divided by 10. The exchange rate used to convert the value of the MSCI EMU High Dividend Yield Strategy Index into euros is the reference rate at the WM Reuters 4.00 pm closing fix on 10 August Annual Report on 12/31/15 11

12 14 August 2015: Addition to the Initial Net Asset Value: Table (0.1) C Unit: euros for the C Fund Units. The initial net asset value is equal to the consideration in euros for the closing value of the MSCI EMU High Dividend Yield Strategy Index (which is denominated in US dollars) divided by 10. The exchange rate used to convert the value of the MSCI EMU High Dividend Yield Strategy Index into euros is the reference rate at the WM Reuters 4.00 pm closing fix on 26 February August 2015: Addition to the Terms and Conditions for subscribing to and redeeming units in the Fund on the primary market: D Units. The primary market is the market via which new units in the Fund are subscribed and/or redeemed against (i) cash or (ii) contributions and/or withdrawals of a basket of shares that is representative of the composition of the strategic MSCI EMU High Dividend Yield Strategy Index, plus a balance. Subscriptions and redemptions on this market must exclusively involve a minimum of 16,000 units or a whole multiple of that minimum amount. Subscription and redemption requests for units in the Fund will be pooled by the Custodian between 9.00 am and 5.00 pm (Paris time) on every trading day in Paris (the Trading Day ). Subscription and redemption requests forwarded after 5.00 pm (Paris time) on one Trading Day will be treated as requests received between 9.00 am and 5.00 pm (Paris time) on the following Trading Day. A Trading Day is a business day that is included in the calendar for calculating and publishing the net asset value of the Fund s D units. The net asset value of the Fund s D Units on a Trading Day is calculated by using the closing value of the euro consideration for the closing value of the MSCI EMU High Dividend Yield Strategy Index on the same day. The exchange rate used to convert the value of the MSCI EMU High Dividend Yield Strategy Index into euros is the WM Reuters 4.00 pm closing fix reference rate on the same day. Subscriptions and/or redemptions performed exclusively in cash. The requests pooled by the Custodian between 9.00 am and 5.00 pm (Paris time) on a Trading Day, and which are exclusively performed in cash, will be executed on the basis of the net asset value on the same Trading Day. Subscriptions and/or redemptions performed via contributions and/or withdrawals of a basket of shares that is representative of the MSCI EMU High Dividend Yield Strategy Index. The requests pooled by the Custodian between 9.00 am and 5.00 pm (Paris time) on a Trading Day will be executed by the Management Company at 5.00 pm on the same Trading Day on the basis of the terms and conditions determined by the Management Company, i.e. (1) via the contribution of a basket of shares that reflects the MSCI EMU High Dividend Yield Strategy Index, as determined by the Management Company, and which the subscriber must deliver, and, where applicable, (2) via the contribution of a cash amount in euros paid or received by the Fund (the balance ) for a subscription and/or redemption order that involves an exact whole multiple of 16,000 units in the Fund. The balance will be equal to the difference in euros between the net asset value of the Fund units and the value in euros of the shares to be delivered on that day. C Units. The primary market is the market via which new units in the Fund are subscribed and/or redeemed against (i) cash, or (ii) contributions and/or withdrawals of a basket of shares that is representative of the composition of the MSCI EMU High Dividend Yield Strategy Index, plus a balance. Subscriptions and redemptions on this market must exclusively cover a minimum of 16,000 units or a whole multiple of that minimum amount. Subscription and redemption requests for Fund units will be pooled by the Custodian between 9.00 am and 5.00 pm (Paris time), on every trading day in Paris (the "Trading Day"). Subscription and redemption requests forwarded after 5.00 pm (Paris time) on one Trading Day will be treated as requests received between 9.00 am and 5.00 pm (Paris time) on the following Trading Day. A Trading Day is a business day that is included in the calendar for calculating and publishing the net asset value of the Fund s C Units. The net asset value of the Fund s C units on a Trading Days is calculated by using the closing value of the consideration in TO BE FILLED IN of the MSCI EMU High Dividend Yield Strategy Index on the same day. The exchange rate used to convert the value of the MSCI EMU High Dividend Yield Strategy Index into TO BE FILLED IN is the WM Reuters 4.00 pm closing fix reference rate on the same day. Subscriptions and/or redemptions executed exclusively in cash. The requests pooled by the Custodian between 9.00 am and 5.00 pm (Paris time) on a Trading Day, and which are exclusively performed in cash, will be executed on the basis of the net asset value on the same Trading Day. Subscriptions and/or redemptions performed via contributions and/or withdrawals of a basket of shares that is representative of the composition of the MSCI EMU High Dividend Yield Strategy Index. Annual Report on 12/31/15 12

13 The requests pooled by the Custodian between 9.00 am and 5.00 pm (Paris time) on a Trading Day will be executed at 5.00 pm (Paris time) on the same Trading Day on the basis of the terms and conditions determined by the Management Company, as follows: (1) via the contribution of a basket of shares that reflects the MSCI EMU High Dividend Yield Strategy Index, as determined by the Management Company, and which the subscriber must deliver, and, where applicable, (2) via the contribution of a cash amount in TO BE FILLED IN paid or received by the Fund (the balance ) for a subscription and/or redemption order that involves an exact whole multiple of 16,000 units in the Fund. The balance will be equal to the difference in TO BE FILLED IN between the net asset value of the Fund units and the value in TO BE FILLED IN of the shares to be delivered on that day. 14 August 2015: Change in the admission and trading of the Fund s units on the secondary market: The Market-Maker" financial institution as at 11 December 2012 was as follows: BNP Paribas Arbitrage, a General Partnership that has its registered office at boulevard Mac Donald Paris. The Market Makers undertake to make a market in the Fund s units once they are listed on the marketplace where the Fund is admitted for trading. The Market Makers specifically undertake to perform marketmaking transactions by maintaining a permanent presence on the market, which is reflected in the availability of a bid-ask range, and of sufficient liquidity. Specifically, the Market-Maker financial institutions that have signed a market-making agreement regarding the Fund have committed to complying with the following conditions for the Fund with Euronext Paris SA: a maximum global spread of 2% between the bid price and the offer price in the pooled order book, and a minimum nominal bid and offer amount that corresponds to the consideration in euros for 3,300 units in the Fund. The Market Makers obligations will be suspended if the value of the MSCI EMU High Dividend Yield Strategy Index is not available, or if one of the stocks that makes up that Index is suspended. Generally speaking, the Market Makers obligations will be suspended in the event of any abnormality or problem on the stock market concerned that makes the normal management of their market support activities impossible (e.g. disruption of the pricing process, etc.). The Market Makers are also required to ensure that the share price for a Fund unit does not deviate from the Indicative Net Asset Value (see the Section entitled Indicative Net Asset Value ) by more than 1.5% either way. The Management Company may ask the Market Makers to suspend the prices of each unit class in the Fund when exceptional circumstances require it, and when the interests of the unit holders require it. 14 August 2015: Amendment to Market-Maker Financial Institutions: The secondary market is the market where units in the Fund that have already been issued are traded. It includes all the marketplaces (market operators) to which the Fund is admitted, or will be admitted for continuous trading. No subscription or redemption fee is charged on purchases and sales on the secondary market. Purchase and sale orders for each unit class may be placed on the market to which the Fund is admitted (or will be admitted) for trading with an approved intermediary. The placing of a stock market order generates costs over which the Management Company has no influence. There is no minimum purchase and/or sale size for orders placed on the secondary market, other than the size that may be imposed by the marketplace for units in the Fund. The price of a (C and D) unit traded on the secondary market is a function of supply and demand, and approximately corresponds to the Indicative Net Asset Value (see Section on the Indicative Net Asset Value ). Market Makers (see Section on Market-Maker Financial Institutions ) provide liquidity to the secondary market by acting as a market counterparty. They contractually commit to ensuring a maximum spread between the best bid and the best offer with the market operators concerned. Their intervention enables the liquidity of each unit class in the Fund to be guaranteed. In addition, by arbitraging between the primary market and the secondary market, the Market Makers ensure that the share price for the Fund s C and D Units does not differ significantly from its Indicative Net Asset Value. If the listing of the MSCI EMU High Dividend Yield Strategy Index is interrupted or suspended, the Fund s listing will be suspended at the same time. Once the listing of the benchmark MSCI EMU High Dividend Yield Strategy Index has resumed, the Fund s listing will be resumed, and will take into account any change in the net asset value of each unit class in the Fund and of the Indicative Net Asset Value since the interruption. Units purchased on the secondary market cannot usually be directly resold on the primary market. Unit holders must purchase and sell units on the secondary market, with the assistance of an intermediary (e.g. a broker), and may bear the corresponding expenses. Annual Report on 12/31/15 13

14 In addition, unit holders may pay more than the current net asset value when they purchase units, and may receive less than the current net asset value when they sell them. The freely entered unit classes in the Fund will be admitted for trading on Euronext Paris. The Management Company has the option to request the listing of the C and D Units on other marketplaces. Trading in the freely entered unit classes in the Fund will be performed on a product segment dedicated to Trackers, i.e. NextTrack. 14 August 2015: Addition to the Place and procedures for publishing or announcing the net asset value: The net asset value of each unit class is calculated and published every day if the Euronext Paris marketplace is open, or if one of the exchanges on which the Fund is admitted for trading is open (including Borsa Italiana, Deutsche Börse, the London Stock Exchange, and the SIX Swiss Exchange), as long as the orders placed on the primary and secondary markets can be covered. The net asset value of each unit class in the Fund is available from the Management Company on request, and on the amundietf.com website. Furthermore, an Indicative Asset Value (see Section on the Indicative Asset Value ) in euros will be published by Euronext Paris on the days when the net asset value of each unit class is published. 14 August 2015: Change to the subscription and redemption fees: Table (2.1) 3% for any unit class for each subscription request 14 August 2015: Addition to the subscription and redemption fees: Table (2.2) For any unit category: None 14 August 2015: Addition to the subscription and redemption fees: Table (2.3) 3% for any unit class for each redemption request 14 August 2015: Change to the subscription and redemption fees: Table (2.4) For any unit category: None 14 August 2015: Change to the subscription and redemption fees: Exemption case: The Management Company, BNP Paribas Arbitrage, and BNP Paribas SA are exempt from paying the subscription fee that does not accrue to the Fund, or the redemption fee that does not accrue to the Fund. The nature of these fees is set out in the paragraph describing the subscription and redemption procedures. - On the secondary market: No subscription or redemption fee is charged on purchases and sales on the secondary market. Purchase and sale orders for each unit class may be placed on any marketplace where the Fund is admitted for trading with an approved intermediary. However, the placing of a stock market order generates costs over which the Management Company has no influence (such as, for instance, the brokerage fees relating to purchase and sale orders for each unit class executed on the stock market that are charged by the investor s financial intermediary). The dissemination of this Prospectus and the sale or purchase of each unit class in the Fund may be subject to restrictions in some countries. This Prospectus does not amount to an offer, or to solicitation at the initiative of anyone, in all countries where this offer or solicitation would be illegal, or where the person making this offer, or performing this soliciting does not fulfil the conditions required to do so, or does so for the attention of any person that it would be illegal to canvass. 14 August 2015: Change to the operating expenses and management fees: These expenses cover all the expenses invoiced directly to the Fund, except for transaction costs. Transaction costs include intermediation expenses (broking fees, etc.) and transfer fees, where applicable, which may be charged by the Custodian and the Management Company. The following fees set out below may be added to the operating expenses and management fees, to the extent that they are provided for in detail: performance fees. These fees are paid to the Management Company once the Fund has exceeded its targets. They are therefore invoiced to the Fund; transfer fees invoiced to the Fund. For further information on the expenses actually invoiced to the Fund, please refer to the Key Investor Information Document. 14 August 2015: Change to the operating expenses and management fees: Table (2.1) For any unit category: 0.3%, including tax 14 August 2015: Addition to the operating expenses and management fees: Table (2.2) For any unit category: None Annual Report on 12/31/15 14

15 14 August 2015: Addition to the operating expenses and management fees: Table (2.3) For any unit category: None 14 August 2015: Addition to the operating expenses and management fees: Table (2.4) For any unit category: None 14 August 2015: Alteration IV. INFORMATION OF A COMMERCIAL NATURE. The unit holders will be informed about any changes affecting the Fund in accordance with the procedures determined by the French Financial Markets Authority, i.e. individual information or any other means (financial notice, or periodic document, etc.). The financial notices may be published in the press and/or on the website at amundietf.com in the News Heading. The Fund s Prospectus, the latest annual and periodic documents, and the net asset value of each unit class will be sent within a period of one week if the unit holder sends a request to: Amundi - Amundi ETF - 90 boulevard Pasteur - CS Paris Cedex 15. The Management Company will provide the investor with information on the procedures for taking account of criteria relating to compliance with social, environmental, and governance quality targets in its investment policy on its amundi.com website and in the Fund s annual report. The transparency policy is available from the Management Company on request, and from its amundietf.com website, while information on the composition of the Fund s assets is available from the Management Company on request, and from its amundietf.com website, where this information is published with a delay of at least three trading days. Additional information may be obtained from the Management Company, as well as on the amundietf.com website. 14 August 2015: Change to the Indicative Asset Value: The indicative Net Asset Value (the INAV) is published by the market operator during trading hours on every day included in the calendar for calculating and publishing the net asset value of the Fund s C and D Units. A Trading Day is a business day that is included in the calendar for calculating and publishing the net asset value of the Fund s C and D Units. The INAV is the theoretical stock market value of the Fund at time t, which is used as the benchmark price by the Market Makers, and intra-day investors. It is determined for each unit class in the Fund admitted for listing and trading on each marketplace. The INAV is automatically updated on an ongoing basis throughout the day when the units in the Fund are listed. If one or several stock markets on which the shares included in the composition of the MSCI EMU High Dividend Yield Strategy Index are closed (during public holidays within the meaning of the Target Calendar, for instance), and therefore in the event that the Indicative Asset Value cannot be calculated, then trading in each unit class in the Fund may be suspended. 14 August 2015: Addition V. INVESTMENT RULES: STOXX AND ITS LICENSORS DECLINE ANY RESPONSIBILITY RELATING TO THE AMUNDI ETF MSCI EMU HIGH DIVIDEND. MORE SPECIFICALLY, STOXX AND ITS LICENSORS DO NOT PROVIDE OR EXTEND ANY EXPRESS OR IMPLICIT GUARANTEE REGARDING THE FOLLOWING: THE RESULTS THAT MUST BE ACHIEVED BY AMUNDI ETF MSCI EMU HIGH DIVIDEND, A UNIT HOLDER IN THE AMUNDI ETF MSCI EMU HIGH DIVIDEND, OR BY ANY PERSON INVOLVED IN THE USE OF THE MSCI EMU HIGH DIVIDEND YIELD INDEX AND OF THE DATA INCLUDED IN THE MSCI EMU HIGH DIVIDEND YIELD INDEX ; THE ACCURACY OR EXHAUSTIVE NATURE OF THE MSCI EMU HIGH DIVIDEND YIELD INDEX AND OF THE DATA THAT IT CONTAINS THE ABILITY TO TRADE IN THE MSCI EMU HIGH DIVIDEND YIELD INDEX AND ITS DATA, TOGETHER WITH THEIR APPROPRIATENESS FOR A SPECIFIC USE OR A PARTICULAR PURPOSE STOXX AND ITS LICENSORS CANNOT BE HELD LIABLE FOR ANY ERROR, INTERRUPTION, OR OMISSION OF ANY KIND IN THE MSCI EMU HIGH DIVIDEND YIELD INDEX OR THE DATA THAT IT CONTAINS; STOXX AND ITS LICENSORS CANNOT BE HELD LIABLE FOR ANY EARNINGS SHORTFALL UNDER ANY CIRCUMSTANCES. THE SAME APPLIES FOR ANY INDIRECT DAMAGE OR LOSS, EVEN IF STOXX AND ITS LICENSORS WERE WARNED ABOUT THE EXISTENCE OF SUCH RISKS. THE LICENSE AGREEMENT BETWEEN AMUNDI AND STOXX HAS BEEN DRAWN UP FOR THEIR EXCLUSIVE BENEFIT, AND NOT FOR THE BENEFIT OF THE UNIT HOLDERS IN THE AMUNDI ETF MSCI EMU HIGH DIVIDEND OR OF THIRD PARTIES. Annual Report on 12/31/15 15

16 14 AUGUST 2015: ADDITION V. INVESTMENT RULES. STOXX AND ITS LICENSORS HAVE NO OTHER TIES WITH THE LICENSE HOLDER THAN THE LICENSE THAT HAS BEEN ASSIGNED FOR THE MSCI EMU HIGH DIVIDEND YIELD INDEX AND THE ASSOCIATED TRADEMARKS FILED FOR THE PURPOSE OF USING THAT LICENCE IN CONNECTION WITH THE AMUNDI ETF MSCI EMU HIGH DIVIDEND. STOXX AND ITS LICENSORS: ARE NOT ISSUING ANY WARRANTY REGARDING THE APPROPRIATENESS OF A TRANSACTION IN THE UNITS OF THE AMUNDI ETF MSCI EMU HIGH DIVIDEND, WHICH THEY WILL ALSO REFRAIN FROM SELLING AND PROMOTING. ARE NOT ISSUING ANY INVESTMENT RECOMMENDATIONS TO ANYONE WHERE THE AMUNDI ETF MSCI EMU HIGH DIVIDEND OR ANY OTHER SECURITY IS CONCERNED. ARE NOT ASSUMING ANY LIABILITY OR OBLIGATION IN TERMS OF THE LAUNCH DATE, THE AMOUNT AND THE PRICE OF THE UNITS IN THE AMUNDI ETF MSCI EMU HIGH DIVIDEND UCITS ETF, AND ARE NOT MAKING ANY DECISION ON THAT ISSUE. ARE NOT ASSUMING ANY LIABILITY OR OBLIGATION REGARDING THE ADMINISTRATION, MANAGEMENT, OR MARKETING OF THE AMUNDI ETF MSCI EMU HIGH DIVIDEND. ARE NOT REQUIRED TO TAKE THE REQUIREMENTS OF THE AMUNDI ETF MSCI EMU HIGH DIVIDEND OR ITS UNIT HOLDERS INTO ACCOUNT IN ORDER TO DETERMINE, COMPOSE, OR CALCULATE THE MSCI EMU HIGH DIVIDEND YIELD INDEX. 14 August 2015: Change in the Date when the Prospectus is updated. Update to the name of the Management Company: Amundi became Amundi Asset Management, a company in the Amundi Group, on 12 November Annual Report on 12/31/15 16

17 Specific details Voting rights In accordance with the Fund s Rules and the Fund Manager s stated policy, the Fund Manager exercises the voting rights attached to the securities held by the Fund and decides on contributions in the form of securities, except where the securities are those of the Fund Manager itself or of any associate company as defined in Art L of the French Labour Code (Code du Travail). Two documents, Voting Policy and Report on the Exercise of Voting Rights, prepared by the Fund Manager in compliance with the current regulations are available upon request. This mutual fund (OPC) has not been selected as one of the funds which currently exercise voting rights. Soft commissions The Fund Manager has received no soft commissions. Movement commission The Fund Manager has received no commissions on trade. Use of credit derivatives The Fund has not used credit derivatives during the period under consideration. Group funds Details of the financial instruments held by the Fund which are issued by the Fund Manager or its associates will be found in the Auditor s Report for the latest financial period (enclosed herein) under the following headings of annuals accounts: Further details. Group financial instruments held by the Fund. Off-balance sheet commitments calculation Off-Balance Sheet commitments are calculated with a Commitment calculation method. Annual Report on 12/31/15 17

18 Regulatory informations Financial intermediary selection procedure The Broker Selection Policy draws up and implements a policy which enables it to comply with the Fund s obligation under Art (iv) while meeting the requirements set out in Art L of the French CMF. For each class of instrument, the policy selects the organizations that will be commissioned to execute orders. AMUNDI execution policy may be consulted on the AMUNDI website. Investment advice service The Fund Manager has not prepared a Report on Brokerage Expenses since it has not used any investment advice services. Information on environmental, social and governance quality criteria (ESG) Throughout its active management* Amundi, like the entire group, applies strict rules for the integration of extrafinancial criteria (ESG) that form the basis of its liability. Thus it: - excludes direct investment in companies involved in the manufacture or trade in antipersonnel mines and cluster munitions, in accordance with the Ottawa and Oslo Conventions - excludes firms that violate grossly and repeatedly one or more of the 10 principles of the Global Compact. Issuers falling under these two categories are rated G on Amundi's scale (scale from A to G, A being the best and G the worst). Further information on how to take Amundi's ESG criteria into account is available on its websit. Eligibility for PEAs (French personal equity plans) In accordance with the provisions of Article 91, section L, of the French General Tax Code, at least 75% of Fund's assets are invested at all times in the securities and rights referred to in Article L , Section I, sub-section I, paragraphs a, b and c, of the French Monetary and Financial Code. Annual Report on 12/31/15 18

19 Certificate drafted by the Auditor on the annual accounts Annual Report on 12/31/15 19

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

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