AMUNDI ETF GOVT BOND EUROMTS BROAD INVESTMENT GRADE 1-3 UCITS ETF

Transcription

1 AMUNDI ETF GOVT BOND EUROMTS BROAD INVESTMENT GRADE 1-3 UCITS ETF Annual report June 2014 AMUNDI S UCITS Fund Manager: AMUNDI Delegated fund accountant: CACEIS FUND ADMINISTRATION FRANCE Custodian: CACEIS BANK FRANCE Auditors: PWC SELLAM

2 Contents Pages Informations about the Fund 3 Annual Report 7 Significant events during the financial period 9 Specific details 10 Regulatory informations 11 Auditor's Certification 12 Annual accounts 15 Balance Sheet 16 Balance Sheet Liabilities 17 Off-balance sheet 18 Income Statement 19 Notes to the annual accounts 20 Accouting rules and methods 21 Changes in net assets 24 Table of profit (loss) of the fund over the past five financial periods 31 Portfolio Listing Annual Report on 06/30/14 2

3 Informations about the Fund Classification Bonds and other debt instruments denominated in the euro. Allocation of net profit Accumulation. Allocation of net capital gains realised Accumulation. Tax treatment The Fund is eligible for life insurance policies. The Fund may provide a support vehicle for life insurance policies denominated in units of account. The UCITS, by its nature, is not subject to taxation. However, unitholders may be taxed on any income distributed by the Fund or when they sell Fund units. The tax treatment applicable to amounts distributed by the Fund or unrealised or realised capital gains or losses will depend on the individual unitholder's tax situation, residence for tax purposes and/or the investment jurisdiction of the Fund. If an investor is uncertain of his or her tax position, the investor should consult a financial advisor or a professional investment consultant to determine the tax rules applicable to his or her particular situation before any investment. Some income distributed by the UCITS to unitholders residing outside France may be subject to withholding tax in France. Benchmark index The Fund s Benchmark Index is the EuroMTS Investment Grade Broad 1-3 Index, a euro-denominated total return index (i.e., component coupons are re-invested). The EuroMTS Investment Grade Broad 1-3 Index is calculated and published by the international index provider EuroMTS Limited ( EuroMTS ). Bonds in the EuroMTS Investment Grade Broad 1-3 Index are drawn from government bonds of Eurozone member countries with maturity ranging from 1 to 3 years with at least two Investment Grade ratings by the rating agencies S&P, Moody's and Fitch, i.e. greater or equal to BBB- by S&P and Fitch, Baa3 by Moody s. Management fees & commissions Administrative and management fees: 0.14% including tax. Subscription fees received by the Fund: None. In compliance with current regulations, this mutual fund has, during the financial period just ended, levied charges at rates which are in line with those stated in the Prospectus and used under the following headings: - Notes to the Annual Accounts /- Management fees. - Shareholders Funds /-Subscription and/or redemption fees /- Management fees. Investment objective The Fund s investment objective is to track the performance of the EuroMTS Investment Grade Broad 1-3 Index (see Benchmark index section), as closely as possible, whether the Index rises or falls. The Fund is managed so as to achieve a gap between changes in its NAV and changes in the value of the EuroMTS Investment Grade Broad 1-3 Index (referred to below as the EuroMTS Investment Grade Broad 1-3 Index ) as small as possible. The target for maximum tracking error between the Fund s NAV and the value of the EuroMTS Investment Grade Broad 1-3 Index is 2%. If the tracking error exceeds 2%, the objective would nevertheless be to remain below 15% of the volatility of the EuroMTS Investment Grade Broad 1-3 Index. Investment strategy The Fund is managed by index tracking. Annual Report on 06/30/14 3

4 1. Strategy employed: The Fund is managed by a technique known as index-tracking with the objective to replicate changes in the performance of the EuroMTS Investment Grade Broad 1-3 Index using a swap-based replication method. To maintain the closest possible correlation with the performance of the EuroMTS Investment Grade Broad 1-3 Index, the Fund will buy a portfolio of bonds and money-market instruments (the "Portfolio") and an overthe-counter (OTC) total return swap, a financial derivative instrument which turns the exposure to the securities in the Portfolio into exposure to the EuroMTS Investment Grade Broad 1-3 Index. Geographic area of the securities issuers Eurozone countries: Austria, Belgium, Finland, France, Germany, Greece, Ireland, Italy, the Netherlands, Portugal and Spain Spread of sensitivity to interest rates Between 1 and 3 Spread of sensitivity to credit spread Not applicable Currency in which the components of the index are Euro (EUR) denominated Level of exposure to currency exchange risk None The Fund will comply with the investment rules set forth in Articles R and R of the French Monetary and Financial Code (CMF). The Portfolio comprising directly held assets described in the "Assets used" section, complies with the provisions of Article R of the French Monetary and Financial Code (CMF). The Fund's exposure to the Index achieved through the total return swap may be eligible for exemption ratios applicable to the index-tracking UCITS referred to in Article R of the French Monetary and Financial Code (CMF). That Article stipulates that an index may comprise up to 20% equities or debt securities issued by the same entity; this limit may be raised to 35% maximum for a single issuing entity, when such increase is justified by special market circumstances such as the regulated markets where some marketable securities or some money-market instruments are largely dominant. 2. Assets used (except embedded derivatives): The Fund's exposure to the Index is achieved through the total return swap. The Portfolio consists of the Fund's directly held assets described below. - Securities: The Fund will be continuously exposed to one or more Eurozone rate markets. The securities in the Fund's assets will be chosen to limit the costs associated with tracking the EuroMTS Investment Grade Broad 1-3 Index. They will mostly be fixed interest securities from OECD countries, including government stock, Treasury Bills, Deposit Certificates, commercial paper, bonds issued by firms registered in OECD countries, BMTN (negotiable medium-term notes) and EMTN (Euro Medium Term Notes). - Interest-rate instruments: Up to 100% of the Fund s net assets may be invested in any kind of monetary and/or bond instrument from OECD countries. The bond issuers selected may be from the private sector or from the public sector (national or local governments, etc.), and private sector debt may account for up to 100% of all debt instruments. Up to 35% of the assets may be held in guaranteed bonds from a single issuer and up to 100% of assets if the Fund holds at least six issues and none of these exceeds 30% of its assets. Qualifying securities are instruments issued or guaranteed by an OECD member state or by a local government in a country belonging to the European Union or party to the EEA agreement. The Fund s sensitivity to interest rates will range from 1 to 3. Annual Report on 06/30/14 4

5 - UCITS units or shares: The Fund may hold up to 10% of its assets in UCITS units and/or shares. These UCITS are representative of all asset classes, in compliance with the Fund's requirements. They may be UCITS managed by the Management Company, or by other entities, regardless of whether they belong to the Crédit Agricole SA Group, including related companies. 3. Derivatives: The Fund will use derivative financial instruments, including security total return swaps that swap the value of equities held by the Fund for the EuroMTS Investment Grade Broad 1-3 Index. Off-balance sheet commitments are calculated by the accrual method of accounting. The Fund may take positions in the following derivatives: Type of market: regulated organised over-the-counter Categories of risk in which the Fund intends to take a position: equity risk interest rate risk currency risk credit risk other risks Nature of positions to be taken, which must be limited to those required to meet the management objective: hedging exposure arbitrage other Types of instruments used: futures: on equities and indices options: on equities and indices total return swaps: on equities and indices total return swap: credit derivatives: credit default swaps other Strategies for use of incorporated derivatives to achieve the management objective: reconstitution of a synthetic exposure to a stock, a business sector and/or to the EuroMTS Investment Grade Broad 1-3 Index through the use of swaps. management of intermediate cash flows (dividends, subscriptions/redemptions, etc.) to reach the desired degree of exposure to a stock, business sector, and/or to the EuroMTS Investment Grade Broad 1-3 Index via the use of futures. management of intermediate cash flows (dividends, subscriptions/redemptions, etc.) to reach the desired degree of exposure to a stock, business sector, and/or to the EuroMTS Investment Grade Broad 1-3 Index via the use of options. These instruments may be used to hedge up to 100% of the Fund s net assets. 4. Securities incorporating derivatives ( embedded derivatives ): The Delegated Fund Manager may, at its discretion and for future optimisation of management of the Fund, use other instruments to meet its management objective such as embedded derivatives. Annual Report on 06/30/14 5

6 Categories of risk in which the Fund may take a position: equity risk interest rate risk currency risk credit risk other risks Nature of positions to be taken and description of all transactions that must be limited to the achievement of the management objective: hedging exposure arbitrage other Types of instruments used: Euro Medium Term Notes (EMTN) Negotiable Medium Term Notes (BMTN) Structured bonds Certificates Warrants Strategy for using embedded derivatives to meet the investment objective: general hedging of the portfolio, particular risks, particular securities, etc constructing synthetic exposure to particular assets or particular risks other strategy: following redemptions, retaining derivatives as opposed to selling them The Fund s commitments from embedded derivatives must not exceed 100% of assets. The Fund will not overexpose its assets: all its commitments on derivatives and embedded derivatives may not exceed 100% of the Fund s net assets. 5. Deposits and liquid assets: The Fund may hold up to 20% of its net assets in deposits for a maximum term of twelve months. The deposits are used for cash management purposes and help the Fund achieve its management objectives. 6. Borrowing: The Fund may temporarily, and in exceptional cases, borrow up to 10% of its net assets in order to optimise its cash flow management. Over-exposure of the assets: None All its commitments on derivatives and embedded derivatives may not exceed 100% of the Fund's net assets. Overview of the procedure for choosing intermediaries/counterparties and comments: The Management Company generally issues a bid tender. In this case such a procedure has not been required. The Management Company will therefore not undertake a formal procedure that might be tracked and monitored, so as to ensure competition among potential counterparties of OTC swaps it enters into, or among the vendors it buys embedded derivatives from. The Fund may conduct these transactions with Société Générale Corporate and Investment Banking or any other company in the Société Générale group as counterparties or intermediaries. Risk profile Capital risk Factors that may influence the ability of the Fund to track the performance of the EuroMTS Investment Grade Broad 1-3 Index Interest rate risk Credit risk Counterparty risk related to the tracking method selected Annual Report on 06/30/14 6

7 Annual Report June 2014 AMUNDI ETF GOVT BOND EUROMTS BROAD INVESTMENT GRADE 1-3 investment objective is to track as closely as possible the euro-denominated EuroMTS Investment Grade Broad 1-3 Index, total return index (i.e. interest is rolled up), whether the EuroMTS Investment Grade Broad 1-3 index rises or falls. From june 2013 to june 2014: the portfolio performance of AMUNDI ETF GOVT BOND EUROMTS BROAD INVESTMENT GRADE 1-3 UCITS ETF is 2,49%. That of the benchmark index is 2,66% with a tracking error of 0,02%. As performance varies over time, past performance is not necessarily a guide to future performance. Annual Report on 06/30/14 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: 104,458, Other swaps: 104,458, b) Identity of the counterparty(ies) to EPM techniques and Financial derivatives instruments Identity of the counterparty(ies) to EPM techniques Financial derivative instruments (*) SOCIETE GENERALE PARIS (*) 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 06/30/14 8

9 Significant events during the financial period On February 27th 2014, change of RRP : from 3 to 2. Annual Report on 06/30/14 9

10 Specific details Voting rights In accordance with the Fund s Rules and the Fund Manager s stated policy, the Fund Manager exercises the voting rights attached to the securities held by the Fund and decides on contributions in the form of securities, except where the securities are those of the Fund Manager itself or of any associate company as defined in Art L of the French Labour Code (Code du Travail). Two documents, Voting Policy and Report on the Exercise of Voting Rights, prepared by the Fund Manager in compliance with the current regulations are available upon request. This mutual fund (OPC) has not been selected as one of the funds which currently exercise voting rights. Soft commissions The Fund Manager has received no soft commissions. Movement commission The Fund Manager has received no commissions on trade. Use of credit derivatives The Fund has not used credit derivatives during the period under consideration. Off-balance sheet commitments calculation Off-Balance Sheet commitments are calculated with a Commitment calculation method. 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. Annual Report on 06/30/14 10

11 Regulatory informations 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 ArtL 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. Annual Report on 06/30/14 11

12 Certificate drafted by the Auditor on the annual accounts Annual Report on 06/30/14 12

13 CABINET PWC SELLAM Audit firm AMUNDI ETF GOVT BOND EUROMTS BROAD INVESTMENT GRADE 1-3 UCITS ETF MUTUAL FUND AUDITOR S REPORT FOR THE FINANCIAL PERIOD ENDED 30 JUNE 2014 We submit herewith our report for the financial period ended 30 JUNE 2014 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 GOVT BOND EUROMTS, 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. I. - 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. II. GROUNDS FOR OUR OPINION As required under Art L of the French Code du Commerce concerning the provision of reasons for our opinion, we now bring the following items to your attention: The arrangements described in the Notes to the Accounts for valuing financial instruments have, like the annual accounts now submitted to you, been established according to the accounting standards, rules and methods specifically applicable to mutual funds (OPCVM) as per the Order dated 16 December Postal address: 2, rue Vatimesnil CS Levallois Perret France Phone Fax opcvm@cabinetsellam.com Public Joint-Stock company (SA); share capital 10,000 Siret No

14 Our investigations and other activities have mainly addressed the issue of compliance with the principles laid down in the Fund s Chart of Accounts. In the course of this investigation we checked the existence and valuation of the financial instruments contained in the portfolio. Our assessments form part of our audit of the annual accounts as a whole, and have therefore helped us to form our opinion as expressed in Section I above. III. - 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. The auditor CABINET PWC SELLAM Audit firm Document authenticated by electronic signature Patrick Sellam

15 Annual accounts Annual Report on 06/30/14 15

16 Balance Sheet Balance Sheet on 06/30/14 Portfolio : AMUNDI ETF GOVT BOND EUROMTS 06/30/14 06/28/13 FIXED ASSETS, NET DEPOSITS FINANCIAL INSTRUMENTS 104,496, ,017, Equities and similar securities Traded in a regulated market or equivalent Not traded in a regulated market or equivalent Bonds and similar securities 102,332, ,728, Traded in a regulated market or equivalent 102,332, ,728, Not traded in a regulated market or equivalent Credit instruments 461, ,289, Traded in a regulated market or equivalent 461, ,289, Negotiable credit instruments (Notes) 461, ,289, Other credit instruments Not traded in a regulated market or equivalent Collective investment undertakings European co-ordinated mutual funds and French general mutual funds Mutual funds reserved to certain investors - venture capital funds (FCPR) - hedge funds (FCIMT) Listed investment funds and securitised loan funds (FCC) Unlisted investment funds and securitised loan funds (FCC) Temporary transactions in securities Credits for securities held under sell-back deals Credits for loaned securities Borrowed securities Securities sold under buy-back deals Other temporary transactions Hedges 1,701, Hedges in a regulated market or equivalent Other hedges 1,701, Other financial instruments RECEIVABLES 10,689, ,219, Forward currency transactions Other 10,689, ,219, FINANCIAL ACCOUNTS Cash and cash equivalents TOTAL ASSETS 115,185, ,236, Annual Report on 06/30/14 16

17 Balance Sheet Liabilities Balance Sheet Liabilities on 06/30/14 Portfolio : AMUNDI ETF GOVT BOND EUROMTS 06/30/14 06/28/13 SHAREHOLDERS' FUNDS Capital Allocation Report of distributed items (a) Brought forward (a) Allocation Report of distributed items on Net Income (a,b) Result (a,b) Total net shareholders' funds * Net Assets 105,029, ,616, , ,270, ,785, , ,468, FINANCIAL INSTRUMENTS 3,476, Transfers of financial instruments Temporary transactions in securities Sums owed for securities sold under buy-back deals Sums owed for borrowed securities Other temporary transactions Hedges 3,476, Hedges in a regulated market or equivalent Other hedges 3,476, PAYABLES 12,915, ,291, Forward currency transactions Other 12,915, ,291, FINANCIAL ACCOUNTS Short-term credit Loans received TOTAL LIABILITIES 115,185, ,236, (a) Including adjusment (b) Decreased interim distribution paid during the business year Annual Report on 06/30/14 17

18 Off-balance sheet Off-balance sheet on 06/30/14 Portfolio : AMUNDI ETF GOVT BOND EUROMTS 06/30/14 06/28/13 HEDGES Contracts in regulated markets or similar TOTAL of Contracts in regulated markets or similar OTC contracts TOTAL OTC Contracts Other commitments TOTAL other Commitments TOTAL HEDGES OTHER OPERATIONS Contracts in regulated markets or similar TOTAL of Contracts in regulated markets or similar OTC contracts Performance swap SG ETF ,458, ,953, TOTAL OTC Contracts 104,458, ,953, Other commitments TOTAL other Commitments TOTAL OTHER OPERATIONS 104,458, ,953, Annual Report on 06/30/14 18

19 Income Statements Income Statement on 06/30/14 Portfolio : AMUNDI ETF GOVT BOND EUROMTS 06/30/14 06/28/13 Revenues from financial operations Revenues from deposits and financial accounts Revenues from equities and similar securities Revenues from bonds and similar securities Revenues from credit instruments Revenues from temporary acquisition and disposal of securities Revenues from hedges Other financial revenues TOTAL (1) Charges on financial operations Charges on temporary acquisition and disposal of securities Charges on hedges Charges on financial debts Other financial charges TOTAL (2) NET INCOME FROM FINANCIAL OPERATIONS (1-2) Other income (3) Management fees and depreciation provisions (4) 190, , NET INCOME OF THE BUSINESS YEAR (L ) ( ) -190, , Revenue adjustment (5) 47, , Interim Distribution on Net Income paid during the business year (6) NET PROFIT ( ) -142, , Annual Report on 06/30/14 19

20 Notes to the annual accounts Annual Report on 06/30/14 20

21 Accounting rules and methods The annual accounts have been drawn up in compliance with the requirements of the French Accountancy Rules Committee rules (n as amended) on the Chart of Accounts for mutual funds (OPCVM). Section 18 of Ordinance provides the ability to distribute net capital gains for the fiscal years beginning on or after January 1, The accounting OPC has been modified to reflect this new opportunity. The changes concern the definition of distributable amount. The realized gains, net of fees, net of realized losses, net of fees in addition to net amount to fix distributable amount. Data of previous periods have not been restated. General accounting principles apply, viz: - fair picture, comparability, ongoing business, - proper practice & trustworthiness, - prudence, - no unreported change in methods from one period to the next. Revenues from fixed-yield securities are recognized on the basis of interest actually received. Acquisitions and disposals of securities are recognized of costs. The accounting currency of the portfolio is the EURO. The accounting period reported on is 12 months. Asset valuation rules: Financial instruments are initially recognized at historic cost and carried on the Balance Sheet at their current value: this is their latest known market value or, in the absence of a market, is determined by any external means or by recourse to financial models. Differences between the securities current values determined as above and their original historic cost are recognized in the accounts as differences on estimation. Securities denominated in a currency other than that of the portfolio are valued in accordance with the above principle and then converted into the currency of the portfolio at the exchange rate obtained on the valuation date. Deposit: Deposits maturing in three months or sooner are valued according to the linear method. Equities, bonds and other securities traded in a regulated market or equivalent: When calculating the NAV, the equities and other securities traded in a regulated market or equivalent are valued based on the day s closing market price. Bonds and similar securities are valued at the closing price notified by various financial service providers. Interest accrued on bonds and similar securities is calculated up to the date of asset valuation. Equities, bonds and other securities not traded in a regulated market or equivalent: Securities not traded in a regulated market are valued by the Fund Manager using methods based on net equity and yield, taking into account the prices retained in significant recent transactions. Annual Report on 06/30/14 21

22 Negotiable credit instruments (Notes): Negotiable credit instruments which are not actively traded in significant amounts are actuarially valued on the basis of a reference rate as specified below, plus any enhancement to represent the issuer s intrinsic characteristics: Notes maturing in one year s time or less: euro interbank offered rate (Euribor); Notes maturing in more than one year s time: the prevailing rate on medium-term interest-bearing Treasury notes (BTAN) or, for the longest Notes, on near-term fungible Treasury bonds (OAT); Negotiable credit instruments maturing in three months or sooner may be valued according to the linear method. French Treasury notes are valued using the market rate published daily by the Banque de France. UCITS held: UCITS units or shares are valued at the latest known NAV. Temporary transactions in securities: Securities held under sell-back deals are carried in Assets under credits for securities held under sell-back deals at the amount provided for in the contract, plus accrued interest receivable. Securities sold under buy-back deals are booked to the buying portfolio at their current value. The corresponding debt is booked to the selling portfolio at the value set in the contract plus accrued interest payable. Loaned securities are valued at their current value and carried in Assets under credits for loaned securities at their current value plus accrued interest receivable. Borrowed securities are carried in Assets under borrowed securities at the amount provided for in the contract, and in Liabilities under debts for borrowed securities at the amount provided for in the contract plus accrued interest payable. Hedges: Hedges traded in a regulated market or equivalent: Hedge instruments traded in regulated markets are valued at the day s settlement price. Hedges not trades in a regulated market or equivalent: Swaps: Rate swaps and/or forward currency transactions are valued at their market value according to the price calculated by discounting future interest streams at market interest (and/or exchange) rates. This price is adjusted for default risk. Index swaps are valued actuarially on the basis of a reference rate provided by the counterparty. Other swaps are valued at their market value or are estimated as specified by the Fund Manager. Off-Balance Sheet Commitments: Firm hedging contracts are stated among Off-Balance Sheet Commitments at their market value at the rate used in the portfolio. Conditional hedges are converted into their underlying equivalents. Annual Report on 06/30/14 22

23 Swap commitments are stated at their nominal value or at an equivalent amount, where there is no nominal value. Management fees: Management fees are calculated on the nominal capital on each valuation. These fees are imputed to the fund s Income Statement. Management fees are paid in full to the Fund Manager, which bears all the fund s operating costs. The management fees do not include dealing costs. The percentage of nominal capital charged is 0.14% including taxes Allocation of net profit: The net profit (loss) for the period is the total of interest, arrears, premiums, allotments and dividends, plus income on ready cash, minus management fees and financial dealing costs. Latent or realised capital gains or losses are not counted as revenue; nor are subscription/redemption fees. The amounts available for distribution are the net profit for the period, plus any sums brought forward, plus or minus the balance of any revenue adjustment accounts relating to the financial period in question. Gains and losses: The net realised gains (deducted from management fees and realised losses) from the financial year will increase the same type of net realised gains from earlier financial years, if the fund hasn t distributed or accumulated its gains and will also increase or reduce the equalization accounts for realised gains. Appropriation methods for the distributable amounts: Distributable amounts Appropriation of the net income Appropriation of the net realized gains and losses Unit C Accumulation Accumulation Annual Report on 06/30/14 23

24 Changes in Net Assets Change in net assets on 06/30/14 Portfolio : AMUNDI ETF GOVT BOND EUROMTS 06/30/14 06/28/13 NET ASSETS IN START OF PERIOD 228,468, ,010, Subscriptions (including subscription fees received by the fund) 80,131, ,343, Redemptions (net of redemption fees received by the fund) -209,727, ,316, Capital gains realised on deposits and financial instruments 15,333, ,898, Capital losses realised on deposits and financial instruments -1,899, ,349, Capital gains realised on hedges 82,455, ,781, Capital losses realised on hedges -97,474, ,089, Dealing costs Exchange gains/losses -962, Changes in difference on estimation (deposits and financial instruments) -5, ,861, Difference on estimation, period N 3,466, ,472, Difference on estimation, period N-1-3,472, , Changes in difference on estimation (hedges) 5,178, , Difference on estimation, period N 1,701, ,476, Difference on estimation, period N-1 3,476, ,014, Net Capital gains and losses Accumulated from Previous business year Distribution on Net Capital Gains and Losses from previous business year Net profit for the period, before adjustment prepayments -190, , Allocation Report of distributed items on Net Income Interim Distribution on Net Income paid during the business year Other items NET ASSETS IN END OF PERIOD 102,270, ,468, Annual Report on 06/30/14 24

25 BREAKDOWN OF FINANCIAL INSTRUMENTS BY LEGAL OR COMMERCIAL TYPE Amount % ASSETS BONDS AND SIMILAR SECURITIES Fixed-rate bonds traded on a regulated or similar market 92,507, Other bonds (indexed bonds, participating interests) 9,825, TOTAL BONDS AND SIMILAR SECURITIES 102,332, CREDIT INSTRUMENTS Treasury bill 461, TOTAL CREDIT INSTRUMENTS 461, LIABILITIES TRANSACTIONS INVOLVING TRANSFER OF FINANCIAL INSTRUMENTS TOTAL TRANSACTIONS INVOLVING TRANSFER OF FINANCIAL INSTRUMENTS OFF-BALANCE SHEET HEDGES TOTAL HEDGES OTHER OPERATIONS Other 104,458, TOTAL OTHER OPERATIONS 104,458, BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY TYPE Fixed rate % Variable rate % Rate subject to review % Other % Assets Deposits Bonds and similar securities 92,507, ,825, Credit instruments 461, Temporary transactions in securities Financial accounts 0.17 Liabilities Temporary transactions in securities Financial accounts Off-balance sheet Hedges Other operations Annual Report on 06/30/14 25

26 BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY TIME TO MATURITY < 3 Months % ]3 Months - 1 Year] % ]1-3 Years] % ]3-5 Years] % > 5 Years % Assets Deposits Bonds and similar securities 6,545, ,492, ,739, ,996, ,559, Credit instruments 461, Temporary transactions in securities Financial accounts 0.17 Liabilities Temporary transactions in securities Financial accounts Off-balance sheet Hedges Other operations All hedges are shown in terms of time to maturity of the underlying securities. BREAKDOWN OF ASSET, LIABILITY AND OFF-BALANCE SHEET ITEMS, BY LISTING OR EVALUATION CURRENCY Devise 1 % Devise 2 % Devise 3 % Devise N Others currencies % Assets Deposits Equities and similar securities Bonds and similar securities Credit instruments Mutual fund shares/units Temporary transactions in securities Liabilities Financial accounts Liabilities Transactions involving transfer of financial instruments Temporary transactions in securities Financial accounts Off-balance sheet Hedges Other operations Annual Report on 06/30/14 26

27 BREAKDOWN BY ITEMS OF RECEIVABLES AND PAYABLES Type 06/30/14 Receivables Sales deferred settlement 10,689, Total receivables 10,689, Payables Purchases deferred settlement - 12,876, Management fees - 39, Total of Payables - 12,915, Total payables and receivables - 2,226, SHAREHOLDERS FUNDS Number of units issued or redeemed Units Value Units subscribed during the period 482,000 80,131, Units redeemed during the period -1,266, ,727, Units in circulation at the end of the period 608,000 SUBSCRIPTION AND/OR REDEMPTION FEES Value Total of subscription and/or redemption fees received Total of subscription fees received Total of redemption fees received MANAGEMENT FEES CHARGEABLE TO THE FUND 06/30/14 Percentage set for fixed management fees Cost of functioning and management fees (fixed management fees) Commission of performance (variable management fees) Management fees rebated , Annual Report on 06/30/14 27

28 COMMITMENTS RECEIVED AND GIVEN 06/30/14 Guarantees received by the fund - including capital guarantees Other commitments received Other commitments given Annual Report on 06/30/14 28

29 FUTHER DETAILS Stock market values of temporarily acquired securities 06/30/14 Securities held under sell-back deals Borrowed securities Stock market values of pledged securities 06/30/14 Financial instruments pledged but not reclassified Financial instruments received as pledges but not recognized in the Balance Sheet Group financial instruments held by the Fund Isin code Name of security 06/30/14 Equities Bonds Notes UCITS Hedges 104,458, SG SG ETF ,458, Total group financial instruments 104,458, Annual Report on 06/30/14 29

30 TABLE OF ALLOCATION OF THE DISTRIBUTABLE SHARE OF THE SUMS CONCERNED TO PROFIT (LOSS) 06/30/14 06/28/13 Sums not yet allocated Brought forward Profit (loss) -142, , Total -142, , /30/14 06/28/13 Allocation Distribution Brought forward Capitalized -142, , Total -142, , TABLE OF ALLOCATION OF THE DISTRIBUTABLE SHARE OF THE SUMS CONCERNED TO CAPITAL GAINS AND LOSSES 06/30/14 06/28/13 Sums not yet allocated Net Capital gains and losses Accumulated from Previous business year Net Capital gains and losses of the business year -2,616, Allocation Report of distributed items on Net Capital Gains and Losses Total -2,616, /30/14 06/28/13 Allocation Distribution Net capital gains and losses accumulated per share Capitalized -2,616, Total -2,616, Annual Report on 06/30/14 30

31 TABLE OF PROFIT (LOSS) ANS OTHER TYPICAL FEATURES OF THE FUND OVER THE PAST FIVE FINANCIAL PERIODS 06/30/10 06/30/11 06/29/12 06/28/13 06/30/14 Net assets in EUR 244,380, ,195, ,010, ,468, ,270, Number of shares/units 1,575,001 1,450, ,001 1,392, ,000 NAV per share/unit in EUR Net Capital Gains and Losses Accumulated per share in EUR Net income Accumulated per share in EUR Annual Report on 06/30/14 31

32 Portfolio listing of financial instruments Name of security Currency Quantity Market value % Bonds and similar securities Listed bonds and similar securities BELGIUM BELFIUS BANK 1.25% 11/17 EUR 300, , BELGIQUE 0% 28/03/15 EUR 39,663 39, BELGIQUE 0% 28/03/25 EUR KBC BANK 1.125% 11/12/2017 EUR 400, , KBC 1.25% 05/28/20 EUR 700, , TOTAL BELGIUM 1,477, CANADA RY 0 3/4 06/19/19 EUR 4,239,000 4,248, TOTAL CANADA 4,248, FINLAND NORDEA BANK FINLANDE 2.25% 16/11/15 EUR 581, , SAMPO BANK PLC 1.625% 27/09/2019 EUR 548, , TOTAL FINLAND 1,184, FRANCE BPCE SFH 1.5% 28/02/18 EUR 500, , CRH 3.3% 23/09/2022 EUR 86, , OAT 1% 05/18 EUR 2,951,408 3,030, TOTAL FRANCE 3,653, GERMANY ALLEMAGNE 0% 04/07/2014 EUR ALLEMAGNE 0% 07/29 EUR BAYERISCHE LANDESBANK 3.375% 04/09/2017 EUR 34,000 38, FMS WERT. 3% 03/08/2018 EUR 2,600,000 2,945, GEMEINSAME BUNDESLANDER 2.875% 09/02/2016 EUR 237, , KFW 1.125% 10/18 EUR 7,820,000 8,124, KFW 1.875% 03/19 EUR 334, , KFW 2.625% 08/19 EUR 1,555,000 1,754, KRED.WIED % 18/01/2021 EUR 7,021,000 8,265, LANDESBANK HESSEN 0.875% 11/17 EUR 4,600,000 4,711, WESTLB AG 2.75% 26/02/15 EUR 1,047,000 1,074, WL BANK 2.50% 09/15 EUR 600, , TOTAL GERMANY 28,152, Annual Report on 06/30/14 32

33 Portfolio listing of financial instruments Name of security Currency Quantity Market value % ITALY BTPSH 0 02/01/37 EUR 20,000 8, BTPSH 0 08/01/18 EUR BTPSH 0 08/01/34 EUR 3,230,000 1,468, BTPSH 0 11/01/17 EUR 1,441,000 1,393, ITALIE EI 2.15% EUR 5,308,000 6,545, ITALIE 0% 01/02/2033 EUR 1,435, , ITALIE 0% 01/02/36 EUR 523, , ITALIE 0% 01/02/38 EUR 280, , ITALIE 0% 01/05/2020 EUR 4,916,463 4,428, ITALIE 0% 01/08/36 EUR 276, , ITALIE 0% 01/08/37 EUR 340, , ITALIE 0% 01/11/19 IPMT EUR 3,468, ,180, ITALIE 0% I EUR 1,268,000 1,210, ITALIE 2.1% INDEXE EUR 2,913,000 3,279, ITALIE 2.5% 01/03/2015 EUR 1,314,000 1,343, ITALIE 4.50% 07/15 EUR 4,608,000 4,896, ITALIE 5% EUR 149, , ITALIE 6% 15/11/2014 EUR 1,005,000 1,033, ITALY 0% 01/08/2038 EUR 231,000 84, TOTAL ITALY 30,331, NETHERLANDS ABN AMRO BK 3.5% EUR 3,558,000 3,999, NED WATERSCHAPSBANK 3% 11/23 EUR 3,050,000 3,495, PAYS BAS 0% 15/01/18 EUR 183, , PAYS BAS 0% 15/01/35 EUR 837, , PAYS-BAS 0% 15/01/2037 EUR 265, , PAYS-BAS 0% 15/01/40 EUR 386, , TOTAL NETHERLANDS 8,558, SPAIN ESPAGNE 0% 30/07/18 EUR 535, , ESPAGNE 0% 30/07/2037 EUR 300, , ESPAGNE 0% 30/07/41 EUR 42,900,000 13,984, ESPAGNE 0% 31/01/2037 STRIP EUR 200,000 81, ESPAGNE 0% 31/01/23 EUR 458, , ESPAGNE 0% 31/01/35 EUR 300, , Annual Report on 06/30/14 33

34 Portfolio listing of financial instruments Name of security Currency Quantity Market value % ESPAGNE 0% 31/01/36 EUR 200,000 85, ESPAGNE 5.15% 10/28 EUR 3,101,000 3,850, TOTAL SPAIN 19,132, SWITZERLAND CREDIT SUISSE 2.625% 12/15 EUR 639, , TOTAL SWITZERLAND 670, UNITED KINGDOM ABBEY NAT TREASURY 3.625% 08/09/2016 EUR 1,279,000 1,408, NATIONWIDE BLDG SOCIETY 4.625% EMTN EUR 2,810,000 3,515, TOTAL UNITED KINGDOM 4,923, Total listed bond and similar securities 102,332, Total bonds and similar securities 102,332, Credit instruments Credit instruments traded in a regulated market or equivalent ITALY ITALIE ZCP EUR 463, , TOTAL ITALY 461, Total credit instruments traded on a regulated or similar market 461, Total credit instruments 461, Hedges Other hedges Other swaps SG ETF EUR 104,458,410 1,701, Total Other SWAPS 1,701, Total other hedges 1,701, Total hedges 1,701, Receivables 10,689, Debts -12,915, Financial accounts 0.17 Net assets 102,270, AMUNDI ETF GOVT BOND EUROMTS EUR 608, Annual Report on 06/30/14 34

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