AMUNDI ETF CAC 40 UCITS ETF DR

Transcription

1 AMUNDI ETF CAC 40 UCITS ETF DR Annual report June 2017 AMUNDI S ASSET MANAGEMENT UCITS Fund Manager: AMUNDI ASSET MANAGEMENT Delegated fund accountant: CACEIS FUND ADMINISTRATION FRANCE Custodian: CACEIS BANK Auditors: DELOITTE & ASSOCIÉS

2 Contents Pages Informations about the Fund 3 Annual Report 8 Significant events during the financial period 15 Specific details 22 Regulatory informations 23 Auditor's Certification 26 Annual accounts 31 Balance Sheet 32 Balance Sheet Liabilities 33 Off-balance sheet 34 Income Statement 35 Notes to the annual accounts 36 Accouting rules and methods 37 Changes in net assets 40 Table of profit (loss) of the fund over the past five financial periods 48 Portfolio Listing Annual Report on 06/30/17 2

3 Informations about the Fund Classification Eurozone equities. Determination and allocation of distributable sums C Units: Accumulation. D units: Accumulation and/or distribution at the discretion of the Management Company. Tax treatment The Fund is eligible for the Plan d Epargne en Actions ("PEA" reserved for French investors) and 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 Benchmark Indicator for the Fund is the CAC 40 Index, net dividends reinvested. The CAC 40 is a stock index, calculated continuously by Euronext SA, using a portfolio composed of the 40 largest caps on the Paris stock market. Each stock is weighed in the CAC 40 Index according to its market capitalisation. Management fees and commissions Administrative and management fees for any unit category: 0.25% including tax. Subscription fee not retained by the Fund for any unit category: 0.29% on each cash subscription request. In compliance with current regulations, this mutual fund has, during the financial period just ended, levied charges at rates which are in line with those stated in the Prospectus and set out in the paragraph Management Fees and use under the following headings: - Notes to the annual accounts/- Management fees. - Further Details/- Subscription and/or redemption fees/- Management fees. Investment objective The Fund s investment objective is to track the performance of the CAC 40 Index (see Benchmark index section), as closely as possible, whether the Index rises or falls. The Fund is managed to obtain the smallest possible difference between changes in the NAV and changes in the value of the CAC 40 Index (the CAC 40 Index ). The target for maximum tracking error between the Fund s NAV and the value of the CAC 40 Index is 1%. If the tracing error exceeds 1%, the objective would nevertheless be to remain below 5% of the volatility of the CAC 40 Index. Investment strategy The Fund is managed by index tracking. 1. Strategy used: The Fund is an indexed management fund, the objective of which is to track changes in the performance of the CAC 40 Index using a physical tracking method. Annual Report on 06/30/17 3

4 The Fund may use forward financial instruments and/or temporary acquisitions and sales of securities for hedging and/or exposure. 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 may benefit from special ratios application to indexed UCITS as stipulated 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 Portfolio consists of the Fund's directly held assets described below. The Fund s investment universe is focused on French large cap stocks. - Equities: The minimum exposure to the Stock risk is 60% (including convertible bonds). Over 75% of the portfolio s value will at all times consist of stocks of companies registered in a Member State of the European Union, or in another State which is part of the European Economic Area (EEA) and has signed a tax convention with France that provides for administrative assistance to prevent fraud and tax evasion. This minimum level of equity exposure makes the Fund eligible for the Plan d Epargne en Actions (French Stock Savings Plan (- PEA). The capitalisation of the companies in which the Fund may hold shares is similar to that of the companies in the CAC 40 Index. The Fund may also invest up to 20% of its net assets in stocks of the euro zone countries (excluding France and foreign securities in the CAC 40 Index). Convertible bonds will contribute only 20% to exposure to the stock risk. In order to meet its investment objective and/or manage intermediate financial flows, the Fund may hold up to 10% of its assets in the following: - Euro-denominated debt instruments and money-market instruments: Cash flow will be managed through money-market instruments. Portfolio securities will be selected according to management decision and in compliance with the internal credit risk monitoring policy of the Management Company. For the purpose of stock-picking, management does not, neither exclusively nor mechanically, rely on the ratings issued by rating agencies, but bases its buy and sell convictions of a security on its own credit and market analyses. For information, management may specifically deal in securities with minimum ratings of AA in the S&P and Moody s scale. 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. The average maturity of these instruments will not exceed ten years. - 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. Annual Report on 06/30/17 4

5 3. Derivatives: Information about the counterparties of the OTC derivative contracts: Counterparties are selected through the procedure in effect within the Amundi Group and is based on the principle of selecting the best market counterparties. This includes specifically: - a double validation of the counterparties by the Amundi Intermediation Manager and by Amundi's Asset Management Credit Committee after analysis of their financial and operational profiles (type of activities, governance, reputation, etc.) conducted by a team of credit analysts working independently of the management teams. - a limited number of financial institutions with which the UCITS trades. The use of forward financial instruments, both firm and options, is an integral part of the investment process because of their advantages in terms of liquidity and/or their cost/effectiveness ratio. They allow currency risk to be hedged, rapid action to be taken to replace volatile securities, particularly during significant cash flows related to subscriptions/redemptions, or in the case of special circumstances such as market fluctuations. 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 forward exchange contracts (total return swaps): on equities and indices The Fund may enter into exchange contracts in two combinations from the following types of flows: - fixed rate - variable rate (indexed on the Eonia, Euribor, or any other market benchmark) - performance linked to one or more listed currencies, equities, stock market indices or securities, UCIs or investment funds - dividends (net or gross) total return swap: credit derivatives: credit default swaps other Strategies for use of incorporated derivatives to achieve the management objective: constructing synthetic exposure to a stock, business sector, and/or to the CAC 40 Index via the use of total return swaps. Annual Report on 06/30/17 5

6 management of intermediate flows (dividends, subscription/redemptions, etc.) to achieve the desire degree of exposure to a security, business sector and/or the CAC 40 index via the use of futures. management of intermediate flows (dividends, subscription/redemptions, etc.) to achieve the desire degree of exposure to a security, business sector and/or the CAC 40 index via the use of options. These instruments may be used to hedge up to 100% of the Fund s net assets. For information purposes, when the fund is being set up, the total return swaps represent approximately 0% of net assets and they represent up to 110% during its life cycle. The assets held by the Fund and on the performance of which the total return swaps are retained by the depositary. The forward total return swap is kept in position in the depositary s books. The commitment (and therefore the leverage effect) arising from derivatives is limited to 100% of net assets. 4. Securities incorporating derivatives ( embedded derivatives ): None. 5. Deposits and liquid assets: The Fund may hold up to 10% of its net assets in deposits for a maximum term of twelve months with credit institutions registered in a Member State of the European Union or a party to the EEA. These deposits will be made under a framework agreement approved by the AMF. They will contribute to achieving the Fund s management objective by allowing the Fund to obtain a performance as close as possible to the capitalized EONIA. 6. Borrowing: The Fund will not borrow cash. However, a period debit position may exist because of transactions related to the Fund s flow up to a maximum of 10% of the assets (investment and divestments in progress, subscription/redemption transactions). 7. Temporary acquisitions and sales of securities: In order to obtain an additional return, the Fund may use temporary purchases and sales of securities. Types of transactions used: repurchases and reverse purchases pursuant to the CMF securities loans and borrowings pursuant to the CMF other These transactions will cover all the authorised assets, excluding UCIs, as described in point 2. Assets used. These assets are held with the Depositary. Types of transactions and description of all operations that must be limited to the achievement of the investment objective: cash management optimisation of the income of the UCITS other For information purposes, temporary purchases and sales of securities could represent 20% of the average net assets per year and a maximum of 25%. The commitment arising from temporary purchases and sales of securities is limited to 100% of the assets. Total exposure to risks arising from these commitments and from open positions in real securities shall not exceed 110% of net assets. These transactions generate costs that are paid by the UCITS. Annual Report on 06/30/17 6

7 The temporary acquisitions and sales of securities executed by Amundi Intermédiation, which belongs to the same group as the Management Company, generate a conflict of interest risk. Fees: See Costs and Fees paragraph. Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps Type of collateral: In the context of temporary purchases and sales of securities and OTC derivative transactions, the Fund may receive collateral of securities and cash. The securities received as collateral must adhere to the criteria defined by the Management Company. They must be: - liquid, - transferable at any time, - diversified in compliance with the eligibility, exposure and diversification rules of the UCITS, - issued by an issuer that is not an entity of the counterparty or its group. For bonds, the securities will also be issued by high-quality issuers located in the OECD whose minimum rating may be AAA to BBB- on the scale of Standard & Poor s or with a rating deemed equivalent by the management company. Bonds must have a maximum maturity of 50 years. The criteria described above are detailed in a Risk Policy available on the Management Company s website at and may be subject to changes, particularly in the event of exceptional market circumstances. The discounts that may be applied to the collateral received will take into account the credit quality, the price volatility of the securities and the results of the stress tests performed. Reuse of cash received as collateral: Cash received as collateral may be reinvested in deposits, government bonds, repurchase agreements or short-term money market UCITS in accordance with the Management Company s Risk Policy. Reuse of securities received as collateral: Not authorised: Securities received as collateral may not be sold, reinvested or provided as collateral. Risk profile Equity risk Risk related to changes in the CAC 40 Capital risk Factors that may influence the ability of the Fund to track the performance of the CAC 40 Index The principal specific risks related to management are: Liquidity restriction The other risks are: Credit risk Counterparty risk relating to temporary purchases and sales of securities Counterparty risk relating to the use of financial futures Counterparty risk Liquidity risk linked to temporary purchases and sales of securities and/or total return swaps Legal risk Liquidity risk Liquidity risk in a stock market Annual Report on 06/30/17 7

8 Annual Report Juin 2017 The fund s objective is to track the CAC 40 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 CAC 40. Subfund Rolling Performance AMUNDI ETF CAC 40 UCITS ETF DR For the period under review, the unit C EUR performance is 24.54%. The benchmark performance is 23.60% with a tracking error of 0.27%. For the period under review, the unit D EUR performance is 24.54%. The benchmark performance is 23.60% with a tracking error of 0.27%. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities Movements (in amount) Acquisitions Transfers TOTAL 53,871, ,578, SANOFI 41,331, ,778, L'OREAL 19,472, ,998, BNP PARIBAS 30,697, ,956, L OREAL PRIME FIDELITE ,161, ,593, LVMH (LOUIS VUITTON - MOET HENNESSY) 25,748, ,458, AXA 19,289, ,463, AIR LIQUIDE 17,714, ,457, AIRBUS GROUP 17,671, ,298, VINCI (EX SGE) 17,995, ,738, Annual Report on 06/30/17 8

9 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 and Financial derivative instruments : 151,578, o Securities lending : o Securities loans : o Reverse repurchase agreement : o Repurchase : Underlying exposure reached through financial derivative instruments : 1,893, o Forward transaction : o Future : 1,893, o Options : o Swap : b) Identity of the counterparty(ies) to EPM techniques and Financial derivative instruments Identity of the counterparty(ies) to EPM techniques CREDIT AGRICOLE CIB JP MORGAN SECURITIES LONDRES NATIXIS MORGAN STANLEY & CO INTL LONDRES SOCIETE GENERALE MERRIL LYNCH INTERNATIONAL LIMITED Financial derivative instruments (*) (*) Excepted derivative listed. Annual Report on 06/30/17 9

10 c) Type and amount of collateral received by the UCITS to reduce counterparty risk Types of financial instruments Amount portfolio currency EPM. Term Deposit. Equities. Bonds. UCITS. Cash (**) Total 174,627, Financial derivative instruments. Term Deposit. Equities. Bonds. UCITS. Cash Total (**) The cash account also includes liquidity resulting from repurchase deals. d) Revenues and operational cost/fees from EPM. Revenues (***). Other revenues Revenues and operational cost/fees Amount portfolio currency 559, Total revenues 559, Direct operational fees. Indirects operational fees. Other fees 104, Total fees 104, (***) Revenues received from loans, repurchase and reverse repurchase agreements. Annual Report on 06/30/17 10

11 UCITS AMUNDI ETF CAC 40 UCITS ETF Transparency of securities financing transactions and of reuse (SFTR) Regulation SFTR in accounting currency of the portfolio (EUR) Securities lending Securities loan Repurchase Reverse repurchase agreement Total Return Swaps (TRS) a) Securities and commodities on loan Amount 151,578, % of Net Assets* 12.83% *% excluding cash and cash equivalent b) Assets engaged in each type of SFTs and TRS expressed in absolute amount Amount 151,578, % of Net Assets 12.82% c) 10 largest collateral issuers received (excuding cash) across all SFTs and TRS PORSCHE AUTOMOBIL HOLDING SE 21,930, GERMANY KLEPIERRE FRANCE 16,882, TOTAL FRANCE 11,657, SOCIETE GENERALE FRANCE 4,275, NATIXIS FRANCE 132, Annual Report on 06/30/17 11

12 ( 2 n d _l e v el s ( 2 n d _l e v el s ( 2 n d _l e v el s ( 2 n d _l e v el s ( 2 n d _l e v el s UCITS AMUNDI ETF CAC 40 UCITS ETF Securities lending Securities loan Repurchase Reverse repurchase agreement Total Return Swaps (TRS) d) Top 10 counterparties expressed as an absolute amount of assets and liabilities without clearing MORGAN STANLEY & CO INTL LONDRES UNITED KINGDOM SOCIETE GENERALE FRANCE MERRIL LYNCH INTERNATIONAL LIMITED UNITED KINGDOM NATIXIS FRANCE JP MORGAN SECURITIES LONDRES UNITED KINGDOM CREDIT AGRICOLE CIB FRANCE e) Type and quality (collateral) Type 37,423, ,667, ,507, ,645, ,988, ,347, Equities 54,879, Bonds - UCITS - Notes - Cash 119,748, Rating Currency of the collateral - EURO 171,191, US DOLLAR 3,436, f) Settlement and clearing Tri-party X Central Counterparty Bilateral X X Annual Report on 06/30/17 12

13 UCITS AMUNDI ETF CAC 40 UCITS ETF Securities lending Securities loan Repurchase Reverse repurchase agreement Total Return Swaps (TRS) g) Maturity tenor of the collateral broken down maturity buckets < 1 day [1 day - 1 week] ]1 week - 1 month] ]1 month - 3 months] ]3 months - 1 year] > 1 year Open 54,879, h) Maturity tenor of the SFTs and TRS broken down maturity buckets < 1 day [1 day - 1 week] 10,462, ]1 week - 1 month] ]1 month - 3 months] ]3 months - 1 year] > 1 year Open 141,116, i) Data on reuse of collateral Maximum amount (%) Amount reused (%) Cash collateral reinvestment returns to the collective investment undertaking in euro j) Data on safekeeping of collateral received by the collective investment undertaking Caceis Bank Securities 54,879, Cash 119,748, k) Data on safekeeping of collateral granted by the collective investment undertaking Securities Cash Annual Report on 06/30/17 13

14 UCITS AMUNDI ETF CAC 40 UCITS ETF Securities lending Securities loan Repurchase Reverse repurchase agreement Total Return Swaps (TRS) l) Data on return and cost broken down Return - UCITS 559, Manager - Third parties Cost - UCITS 104, Manager - Tiers e) Type and quality (collateral) Amundi Asset Management undertakes to accept only securities of a high credit quality and to increase the value of its collateral by applying valuation discounts to securities loaned to it. This process is regularly reviewed and updated. i) Data on reuse of collateral The regulations governing UCITS forbid the reuse of collateral securities. Cash collateral received is: o reinvested in short-term money market funds (as defined by ESMA in its Guidelines on ETFs and other UCITS issues ); o placed on deposit; o reinvested in high-quality long-term government bonds; o reinvested in high-quality short-term government bonds; or o used for the purpose of reverse repurchase transactions. The maximum proportion of received collateral that may be reused is 0% in the case of securities and 100% in the case of cash. The effective usage amounts to 0% for collateral securities and 100% for cash collateral. k) Data on safekeeping of collateral granted by the collective investment undertaking Amundi Asset Management undertakes to do business with a limited number of depositaries, selected to ensure the adequate custody of securities received and cash. l) Data on return and cost broken down For securities lending transactions and repurchase agreements, Amundi Asset Management has entrusted Amundi Intermédiation, acting on behalf of the UCITS, with the following responsibilities: selecting counterparties, ordering the implementation of market agreements, monitoring counterparty risk, performing qualitative and quantitative monitoring of collateralisation (dispersion checks, ratings, liquid assets), repurchase agreements and securities lending. Income generated from these transactions is paid into the UCITS. Costs generated by these transactions are incurred by the UCITS. Charges by Amundi Intermédiation must not exceed 50% of the income generated by these transactions. Annual Report on 06/30/17 14

15 Significant events during the financial period Le 29 décembre 2016 Modification Subscription and redemption fees: : tableau (2,2) For any unit category maximum 0.31% inclusive of tax Le 29 décembre 2016 Modification Subscription and redemption fees: : Commission maximale de souscription acquise par l'opcvm.31 Le 17 janvier 2017 Modification Custodian and Registrar: CACEIS Bank (the Depositary ), Public company (Société Anonyme), Main business: Banking institution, investment services provider, licensed by the French banking and investment companies committee (Comité des Etablissements de Crédits et des Entreprises d'investissement - CECEI) on 1 April 2005, Registered office: 1-3 place Valhubert, Paris Le 17 janvier 2017 Ajout Custodian and Registrar: With regard to regulatory duties and duties contractually entrusted by the management company, the depositary s main task is taking custody of the UCITS assets, checking that the decisions of the management company are lawful and monitoring the UCITS cash flows. Le 17 janvier 2017 Ajout Custodian and Registrar: The depositary and the management company belong to the same group therefore, in accordance with the applicable regulations, they have implemented a policy to identify and prevent conflicts of interest. If a conflict of interest cannot be avoided, the management company and the depositary shall take all necessary measures to manage, monitor and report this conflict of interest. Le 17 janvier 2017 Ajout Custodian and Registrar: The description of the delegated custodial duties, the list of the depositary s delegatees and sub-delegatees and information relating to conflicts of interest that may result from these delegations are available on its website at: caceis.com or free of charge upon written request. Updated information can be provided to unitholders upon request. Le 17 janvier 2017 Modification Institution responsible for clearing subscription and redemption orders by delegation of the Management Company: CACEIS Bank, Public company (Société Anonyme), Registered office: 1-3 place Valhubert, Paris Main business: Bank and investment service provider approved by CECEI on 1 April Le 17 janvier 2017 Ajout Institution responsible for clearing subscription and redemption orders by delegation of the Management Company: The depositary is also responsible for the Fund s liability accounting on behalf of the Management Company, which includes the centralisation of unit subscription and redemption orders and managing the Fund s unit issue account. Le 17 janvier 2017 Ajout 3. Derivatives: Information about the counterparties of the OTC derivative contracts: Counterparties are selected through the procedure in effect within the Amundi Group and is based on the principle of selecting the best market counterparties. This includes specifically: - a double validation of the counterparties by the Amundi Intermediation Manager and by Amundi's Asset Management Credit Committee after analysis of their financial and operational profiles (type of activities, governance, reputation, etc.) conducted by a team of credit analysts working independently of the management teams. - a limited number of financial institutions with which the UCITS trades. Le 17 janvier 2017 Ajout 3. Derivatives: The use of forward financial instruments, both firm and options, is an integral part of the investment process because of their advantages in terms of liquidity and/or their cost/effectiveness ratio. They allow currency risk to be hedged, rapid action to be taken to replace volatile securities, particularly during significant cash flows related to subscriptions/redemptions, or in the case of special circumstances such as market fluctuations. Le 17 janvier 2017 Modification 3. Derivatives: The Fund may take positions in the following derivatives: Le 17 janvier 2017 Modification 3. Derivatives: tableau (1,5) forward exchange contracts (total return swaps): on bonds and indices. The Fund may enter into exchange contracts in two combinations from the following types of flows: - fixed rate - variable rate (indexed on the Eonia, Euribor, or any other market benchmark) - performance linked to one or more listed currencies, equities, stock market indices or securities, UCIs or Annual Report on 06/30/17 15

16 investment funds - dividends (net or gross) Le 17 janvier 2017 Modification 3. Derivatives: tableau (1,6) forward exchange contracts (total return swaps): on equities and indices. The Fund may enter into exchange contracts in two combinations from the following types of flows: - fixed rate - variable rate (indexed on the Eonia, Euribor, or any other market benchmark) - performance linked to one or more listed currencies, equities, stock market indices or securities, UCIs or investment funds - dividends (net or gross) Le 17 janvier 2017 Modification 3. Derivatives: tableau (1,0) constructing synthetic exposure to a stock, business sector, and/or to the CAC 40 Index via the use of total return swaps. Le 17 janvier 2017 Ajout 3. Derivatives: For information purposes, when the fund is being set up, the total return swaps represent approximately 0% of net assets and they represent up to 110% during its life cycle. The assets held by the Fund and on the performance of which the total return swaps are retained by the depositary. Le 17 janvier 2017 Ajout 3. Derivatives: The forward total return swap is kept in position in the depositary s books. Le 17 janvier 2017 Ajout 3. Derivatives: The commitment (and therefore the leverage effect) arising from derivatives is limited to 100% of net assets. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: In order to obtain an additional return, the Fund may use temporary purchases and sales of securities. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: These transactions will cover all the authorised assets, excluding UCIs, as described in point 2. Assets used. These assets are held with the Depositary. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: For information purposes, temporary purchases and sales of securities could represent 20% of the average net assets per year and a maximum of 25%. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: The commitment arising from temporary purchases and sales of securities is limited to 100% of the assets. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: Total exposure to risks arising from these commitments and from open positions in real securities shall not exceed 110% of net assets. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: These transactions generate costs that are paid by the UCITS. The temporary acquisitions and sales of securities executed by Amundi Intermédiation, which belongs to the same group as the Management Company, generate a conflict of interest risk. Le 17 janvier 2017 Ajout 7. Temporary acquisitions and sales of securities: Fees: See Costs and Fees paragraph Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: Type of collateral: Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: In the context of temporary purchases and sales of securities and OTC derivative transactions, the Fund may receive collateral of securities and cash. Annual Report on 06/30/17 16

17 Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: The securities received as collateral must adhere to the criteria defined by the Management Company. They must be: Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: liquid transferable at any time diversified in compliance with the eligibility, exposure and diversification rules of the UCITS issued by an issuer that is not an entity of the counterparty or its group Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: For bonds, the securities will also be issued by high-quality issuers located in the OECD whose minimum rating may be AAA to BBB- on the scale of Standard & Poor s or with a rating deemed equivalent by the management company. Bonds must have a maximum maturity of 50 years. Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: The criteria described above are detailed in a Risk Policy available on the Management Company s website at and may be subject to changes, particularly in the event of exceptional market circumstances. Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: The discounts that may be applied to the collateral received will take into account the credit quality, the price volatility of the securities and the results of the stress tests performed. Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: Reuse of cash received as collateral: Cash received as collateral may be reinvested in deposits, government bonds, repurchase agreements or short-term money market UCITS in accordance with the Management Company s Risk Policy. Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: Reuse of securities received as collateral: Le 17 janvier 2017 Ajout Information relating to financial guarantees (temporary purchases and sales of securities) and total return swaps: Not authorised: Securities received as collateral may not be sold, reinvested or provided as collateral. Le 17 janvier 2017 Ajout Risk profile: - Counterparty risk: The Fund uses temporary purchases and sales of securities and/or OTC derivative contracts, including total return swaps. These transactions, entered into with a counterparty, expose the Fund to a risk of default and/or non-execution of the counterparty s unit return swap, which may have a significant impact on the Fund s net asset value. This risk may not necessarily be offset by the financial guarantees received. Le 17 janvier 2017 Ajout Risk profile: Liquidity risk linked to temporary purchases and sales of securities and/or total return swaps: The Fund may be exposed to trading difficulties or temporary inability to trade certain securities in which the Fund invests or in those received as collateral, in the event of a counterparty defaulting on temporary purchases and sales of securities and/or total return swaps. Le 17 janvier 2017 Ajout Risk profile: Legal risk: The use of temporary purchases and sales of securities and/or total return swaps may create a legal risk, particularly relating to the swaps. Le 17 janvier 2017 Suppression Institutions designated to receive subscriptions and make redemptions: CACEIS Bank Registered office: 1-3 place Valhubert, Paris Le 17 janvier 2017 Modification Institutions designated to receive subscriptions and make redemptions: Investors should note that orders sent to distributors other than the aforementioned institutions should take into account the fact that the cut-off time for the centralisation of orders applies to those distributors with CACEIS Bank. As a result, these distributors may apply their own cut-off time, which may precede the Annual Report on 06/30/17 17

18 above-mentioned cut-off time, so as to allow them to meet their order transmission deadline with CACEIS Bank. Le 17 janvier 2017 Modification Subscription and redemption fees: : tableau (2,2) For any unit class 0.29% on each subscription request Le 17 janvier 2017 Modification Administrative and management fees: : The Management Company implements an intermediary selection policy, in particular when entering into temporary purchases and sales of securities and certain derivatives, such as total return swaps. We have a rigorous selection process for brokers and financial intermediaries. They are selected from among reputable financial intermediaries on the basis of multiple criteria related to the provision of research services (fundamental financial analysis, company information, value added by partners, solid basis for recommendations, etc.) or execution services (access to market information, transaction costs, execution prices, good transaction settlement practices, etc.) Only those financial institutions of an OECD country with a minimum rating that may be AAA to BBB- on the scale of Standard & Poor s are selected when setting up the transaction or with a rating deemed equivalent by the Management Company. In addition, each of the counterparties retained will be analysed on the basis of criteria specific to the Risk Department, such as financial stability, rating, exposure, type of activity, past performance, country of origin, etc.. The list of authorised counterparties is reviewed annually. It involves various parties from the front office and support departments of the Amundi Group. The brokers and financial intermediaries selected will be monitored regularly in accordance with the Management Company s Performance Policy. Le 17 janvier 2017 Modification Asset valuation rules The net asset value per unit is calculated in accordance with the following valuation rules: Securities traded in a regulated market (French or foreign), are valued at market price. Market price valuation is carried out under conditions specified by the Management Company. Securities contributed to or held by the Fund are valued at their latest market price. Differences between the market prices used to calculate the NAV and the historic cost of the securities in the portfolio are recognised in an account Estimation Differences. However: Securities for which a price has not been recorded on the valuation date or for which the price has been corrected, are valued at their probable trading value as estimated by the Management Company. The Independent Auditor is informed of these valuations and their justification when conducting audits. Except in the case of major transactions, negotiable debt instruments and similar securities are valued using an actuarial method; the rate used is the rate of equivalent securities issues adjusted, when necessary, by a difference that is representative of the intrinsic features of the security issuer. However, negotiable debt instruments with a residual maturity of three months or less will be valued according to the linear method unless they are particularly volatile. The procedures for the application of these rules are set by the Management Company. In accordance with the instructions of the French Market Regulator (AMF), negotiable debt instruments (other than Treasury Notes) are valued as indicated below: short-term securities (3 months or less): valued at cost price, with any discount or premium spread over their remaining life; securities with more than 3 months but not more than one year to maturity: valued at the Euribor rate published in the Official List, plus or minus a margin, based on the reputation of the issuer; securities with over 1 year to maturity: valued at the equivalent BTAN rate, plus or minus a margin, based on the reputation of the issuer. Treasury notes are valued at the market rate, provided daily by Banque de France. UCITS units or shares are valued at the last known net asset value. Securities not traded in a regulated market are valued by the Management Company at their likely trading value. Their valuation is based on their assets and yield, taking into account the prices used in recent major transactions. Transferable securities covered by a temporary disposal or acquisition contract are valued in accordance with the legislation in force, and the methods used are determined by the Management Company. Securities received under repurchase agreements are entered in the purchase portfolio as "Receivables representing securities received under repurchase agreements" at the value stipulated in the contract, plus interest receivable. However, if their maturity exceeds 3 months, these securities are valued at the current value of the contract (market value). Securities surrendered under repurchase agreements are entered in the purchase portfolio and valued at market price. Interest receivable and payable for repurchase transactions is calculated pro rata. Liabilities representing securities lent under repurchase agreements are posted in short portfolios at the value set forth in the agreement, plus any accrued interest due. On settlement, the interest received and paid is shown as debt revenues. However, if their maturity exceeds 3 months, these securities are valued at the current value of the contract (market value). Loaned securities are valued at market price. The consideration received for the loan is recorded as debt revenues. Accrued interest is included in the Annual Report on 06/30/17 18

19 market value of the loaned securities. Transactions on firm forward financial agreements or options traded in organised markets (French or foreign) are valued at market value according to procedures specified by the Management Company. Contracts on forward markets are valued at the settlement price. Le 17 janvier 2017 Ajout Asset valuation rules Valuation of financial collateral: Collateral is valued daily at market price (mark-to-market method). The discounts that may be applied to the collateral received will take into account the credit quality, the price volatility of the securities and the results of the stress tests performed. Margin calls are made daily, unless otherwise stipulated in the framework contract covering these transactions or if the Management Company and the counterparty have agreed to apply a trigger threshold. Le 17 janvier 2017 Ajout Asset valuation rules Firm forward transactions, options or currency transactions on OTC markets as authorised under the laws and regulations governing UCITS are valued at market value or at a value according to procedures specified by the Management Company. Interest rate and/or currency swap contracts are valued at their market value based on the price calculated by discounting future cash flows (principal and interest), at the market interest rates and/or currency rates. This price is adjusted for credit risk. Le 17 janvier 2017 Ajout VIII - REMUNERATION VIII - REMUNERATION Le 17 janvier 2017 Ajout VIII - REMUNERATION The Management Company has adopted the remuneration policy of the Amundi group, to which it belongs. Le 17 janvier 2017 Ajout VIII - REMUNERATION The Amundi group has implemented a remuneration policy adapted to its organisation and its activities. This policy is designed to regulate practices regarding the different remunerations of employees authorised to make decisions, exercise control functions or take risks within the group. Le 17 janvier 2017 Ajout VIII - REMUNERATION This compensation policy has been defined with regard to the Group s economic strategy, objectives, securities and interests, to the management companies which are part of the group, to the UCITS managed by the Group s companies and their unitholders. The objective of this policy is to discourage excessive risk-taking by specifically running contrary to the risk profile of the UCITS managed. Le 17 janvier 2017 Ajout VIII - REMUNERATION Furthermore, the management company has implemented suitable measures to prevent conflicts of interest. Le 17 janvier 2017 Ajout VIII - REMUNERATION The remuneration policy is adopted and overseen by the Board of Directors of Amundi, the parent company of the Amundi group. Le 17 janvier 2017 Ajout VIII - REMUNERATION The remuneration policy is available on the amundi.com website or free of charge upon written request from the Management Company. Le 17 janvier 2017 Modification Subscription and redemption fees: : Commission maximale de souscription acquise par l'opcvm.29 Le 27 janvier 2017 Modification I. GENERAL FEATURES AMUNDI ETF CAC 40 UCITS ETF DR (the Fund ) Le 27 janvier 2017 Modification Custodian and Registrar: The description of the delegated custodial duties, the list of the depositary s delegatees and sub-delegatees and information relating to conflicts of interest that may result from these delegations are available on its website at: caceis.com or free of charge upon written request. Updated information can be provided to unitholders upon request. Le 27 janvier 2017 Ajout Investment objective: CAC 40 Index revision rules are published by Euronext and available on the Euronext website: https: // Le 27 janvier 2017 Ajout Investment objective: The objective of the CAC 40 Index is to reflect as closely as Annual Report on 06/30/17 19

20 possible changes in the market that it represents. In this respect, it is regularly revised as the need arises to take account of changes affecting a stock's capitalisation (number of shares and float) or changes in the market. The CAC 40 Index is subject to quarterly review. Le 27 janvier 2017 Ajout CAC 40 Index revision CAC 40 Index revision Le 27 janvier 2017 Suppression Risk profile: Liquidity risk linked to temporary purchases and sales of securities and/or total return swaps: The Fund may be exposed to trading difficulties or temporary inability to trade certain securities in which the Fund invests or in those received as collateral, in the event of a counterparty defaulting on temporary purchases and sales of securities and/or total return swaps. Le 27 janvier 2017 Modification Risk profile: Legal risk: The use of temporary purchases and sales of securities and/or total return swaps (TRS) may create a legal risk, particularly relating to the swaps. Le 27 janvier 2017 Modification Institutions designated to receive subscriptions and make redemptions: Investors should note that orders sent to distributors other than the aforementioned institutions should take into account the fact that the cut-off time for the centralisation of orders applies to those distributors with CACEIS Bank. As a result, these distributors may apply their own cut-off time, which may precede the above-mentioned cut-off time, so as to allow them to meet their order transmission deadline with CACEIS Bank. Le 27 janvier 2017 Modification Asset valuation rules The net asset value per unit is calculated in accordance with the following valuation rules: Securities traded in a regulated market (French or foreign), are valued at market price. Market price valuation is carried out under conditions specified by the Management Company. Securities contributed to or held by the Fund are valued at their latest market price. Differences between the market prices used to calculate the NAV and the historic cost of the securities in the portfolio are recognised in an account Estimation Differences. However: Securities for which a price has not been recorded on the valuation date or for which the price has been corrected, are valued at their probable trading value as estimated by the Management Company. The Independent Auditor is informed of these valuations and their justification when conducting audits. Except in the case of major transactions, negotiable debt instruments and similar securities are valued using an actuarial method; the rate used is the rate of equivalent securities issues adjusted, when necessary, by a difference that is representative of the intrinsic features of the security issuer. However, negotiable debt instruments with a residual maturity of three months or less will be valued according to the linear method unless they are particularly volatile. The procedures for the application of these rules are set by the Management Company. In accordance with the instructions of the French Market Regulator (AMF), negotiable debt instruments (other than Treasury Notes) are valued as indicated below: short-term securities (3 months or less): valued at cost price, with any discount or premium spread over their remaining life; securities with more than 3 months but not more than one year to maturity: valued at the Euribor rate published in the Official List, plus or minus a margin, based on the reputation of the issuer; securities with over 1 year to maturity: valued at the equivalent BTAN rate, plus or minus a margin, based on the reputation of the issuer. Treasury notes are valued at the market rate, provided daily by Banque de France. UCITS units or shares are valued at the last known net asset value. Securities not traded in a regulated market are valued by the Management Company at their likely trading value. Their valuation is based on their assets and yield, taking into account the prices used in recent major transactions. Transferable securities covered by a temporary disposal or acquisition contract are valued in accordance with the legislation in force, and the methods used are determined by the Management Company. Securities received under repurchase agreements are entered in the purchase portfolio as "Receivables representing securities received under repurchase agreements" at the value stipulated in the contract, plus interest receivable. However, if their maturity exceeds 3 months, these securities are valued at the current value of the contract (market value). Securities surrendered under repurchase agreements are entered in the purchase portfolio and valued at market price. Interest receivable and payable for repurchase transactions is calculated pro rata. Liabilities representing securities lent under repurchase agreements are posted in short portfolios at the value set forth in the agreement, plus any accrued interest due. On settlement, the interest received and paid is shown as debt revenues. However, if their maturity exceeds 3 months, these securities are valued at the current value of the contract (market value). Loaned securities are valued at market price. The consideration received for the loan is recorded as debt revenues. Accrued interest is included in the market value of the loaned securities. Transactions on firm forward financial agreements or options traded in Annual Report on 06/30/17 20

21 organised markets (French or foreign) are valued at market value according to procedures specified by the Management Company. Contracts on forward markets are valued at the settlement price. Le 27 janvier 2017 Ajout Asset valuation rules Valuation of financial collateral: Collateral is valued daily at market price (mark-to-market method). The discounts that may be applied to the collateral received will take into account the credit quality, the price volatility of the securities and the results of the stress tests performed. Margin calls are made daily, unless otherwise stipulated in the framework contract covering these transactions or if the Management Company and the counterparty have agreed to apply a trigger threshold. Le 27 janvier 2017 Modification Asset valuation rules Firm forward transactions, options or currency transactions on OTC markets as authorised under the laws and regulations governing UCITS are valued at market value or at a value according to procedures specified by the Management Company. Interest rate and/or currency swap contracts are valued at their market value based on the price calculated by discounting future cash flows (principal and interest), at the market interest rates and/or currency rates. This price is adjusted for credit risk. Le 27 janvier 2017 Ajout VIII - REMUNERATION The Management Company has adopted the remuneration policy of the Amundi group, to which it belongs. Le 27 janvier 2017 Modification VIII - REMUNERATION This compensation policy has been defined with regard to the Group s economic strategy, objectives, securities and interests, to the management companies which are part of the group, to the UCITS managed by the Group s companies and their unitholders. The objective of this policy is to discourage excessive risk-taking by specifically running contrary to the risk profile of the UCITS managed. Le 27 janvier 2017 Modification V. INVESTMENT RULES Nom (parapluie) AMUNDI ETF CAC 40 UCITS ETF DR Le 27 janvier 2017 Modification I. GENERAL FEATURES Nom (compartiment) AMUNDI ETF CAC 40 UCITS ETF DR Le 27 janvier 2017 Modification V. INVESTMENT RULES Nom (compartiment) AMUNDI ETF CAC 40 UCITS ETF DR Annual Report on 06/30/17 21