AMUNDI 3-6 M. UCITS governed by French law NOVEMBER 2017 ANNUAL REPORT

Transcription

1 ANNUAL REPORT NOVEMBER 2017 AMUNDI 3-6 M UCITS governed by French law Management Company Amundi Asset Management Sub-delegation of accounting function in title CACEIS Fund Administration France Custodian: CACEIS BANK Auditor MAZARS

2 Contents Pages Features of the UCI 3 Business Report 9 Life of the UCI over the financial year in review 17 Specific Information 22 Regulatory Information 23 Certification by the Statutory Auditors 27 Annual accounts 32 Assets 33 Liabilities 34 Off-balance sheet 35 Profit accounts 36 Notes to the annual accounts 37 Accounting rules and methods 38 Changes in net assets 43 Income table over the previous five financial years 54 Asset inventory 56 Annual report as at 30/11/2017 2

3 Features of the UCI Features of the UCI Classification Money market Allocation of net profit E-C unit: Accumulation I-C unit: Accumulation I2-C unit: Accumulation R-C unit: Accumulation S-C unit: Accumulation Allocation of net capital gains realised E-C unit: Accumulation I-C unit: Accumulation I2-C unit: Accumulation R-C unit: Accumulation S-C unit: Accumulation Management objective The management objective is to achieve a performance higher than the capitalised EONIA index, after taking into account the running costs, over a minimum investment horizon of three months. However, under certain market conditions, such as a very low EONIA level, the net asset value of your fund may decrease in a structural manner and have a negative effect on fund return which may compromise the objective of preserving your fund capital. Reference indicator Capitalised EONIA: The EONIA shows the overnight euro money market rate. It is calculated by the ESCB (European System of Central Banks) as the average of interest rates on transactions conducted on the euro-denominated money markets by a panel of international banks. Changes in this depend on the money market policy implemented by the European Central Bank. The capitalised EONIA also takes into account the effect of reinvesting interest according to the OIS (Overnight Indexed Swap) method. Capitalised Fed Funds: The Fed Funds is the representative interest rate of the American money market. Investment strategy 1. Strategies used Introductory framing of the investment universe: -The fund is made up of high quality money market instruments and derivatives. High quality is defined according to an internal assessment process, taking into account a range of factors, including the credit quality of the instrument, the type of asset class of the instrument, the liquidity profile, and for structured financial instruments, the operational and counterparty risks inherent to the investment structure. This internal process led to a prior framework of the investment universe based on two main priorities: - A Risks tool defining in particular the list of authorised instruments and limits by issuer type or by instrument type. This tool is validated by a Risks Committee and updated if necessary; Annual report as at 30/11/2017 3

4 - An eligible investment universe in particular comprising issuers selected by the management company, and for each of these, the definition of a maximum maturity for the purposes of assessing the credit quality of the corresponding securities. This assessment is also based on a specific evaluation carried out by a credit analyst. The issuers, and the associated maximum maturities, are validated by a Credit Committee and reviewed according to information likely to affect the credit quality of these securities. With the aim of achieving the management objective and to outperform the benchmark index, the investment strategy of the UCI is based around the following value areas: 1/ Analysis of the liquidity of assets and management of this: Liquidity is achieved using various interest rate instruments available on the markets. The assets of the Fund are broken down into different maturity segments, which are adjusted based on the change in subscriptions and redemptions, enabling the liquidity of the fund to be maintained. 2/ Selection of debt securities (transferable debt securities, bonds) from public and private issuers. This selection is performed based on observing a number of parameters: studies carried out by different research entities (macro-economic, specific credit, etc.) within the Crédit Agricole Group or other financial institutions on the market. assessment by the management team of the premium offered by securities from this issuer to compensate for the credit and/or liquidity risk. a new issuer will be studied with more interest if its contribution to the diversification of the portfolio is greater. The selection rests on the conviction that on average, credit spreads pay off better than just the credit risk, provided there is efficient credit research allowing selectivity. 3/ Active management of the weighted average maturity: according to the expectations of the management team on the development of short-term rates in the eurozone. All euro and credit rate managers agree on a central forecast on yields by maturity of Government borrowings in the eurozone. The team's anticipation of future movements made by the European Central Bank takes on particular importance on account of the concentration of investments made by the Fund on the short-term segment of the bond market. The limits observed by the Fund are as follows: Weighted Average Maturity (1) Weighted Average Life (2) Maximum residual lifespan of securities and instruments Credit quality of the instruments less than or equal to 6 months less than or equal to 12 months Fixed-rate securities and instruments: 397 days Floating rate securities and instruments within a maximum period of 397 days: 2 years In order to assess the credit quality of securities, the management company may, at the time of their non-exclusive acquisition, refer to "investment grade" category ratings from any reputable ratings agencies that it deems the most relevant; it shall make every effort to avoid any automatic reliance on such ratings for the period in which it holds the securities. Annual report as at 30/11/2017 4

5 The USD units are denominated in USD while investment in the portfolio will be in EUR. The fund will use financial futures instruments (currency swap, forward exchange contracts) for these units in order to hedge the exposure of the unit denominated in foreign currency against exchange rate risk. In this way, the performance of the net asset value of this unit can be compared to that of its benchmark indicator, Fed Funds. (1) Weighted Average Maturity = this constitutes the average period to maturity for all securities held by the UCITS, weighted to reflect the relative weighting of each instrument, given that the maturity of a floating rate instrument is the time remaining until the next review of the monetary rate, as opposed to the time remaining until the repayment of the instrument capital. In practice, the Weighted Average Maturity is used to assess the sensitivity of a monetary fund to variations in money market interest rates. (2) Weighted Average Life = this is the weighted average of the residual lifespan of each security held by the UCITS, meaning the remaining lifespan until the full repayment of the security capital (not taking into account interest maturities and reductions in the principal sum). The Weighted Average Life is used to assess the credit risk and the liquidity risk. 2. Description of assets used (excluding derivatives) Money market instruments: Up to 100% of the UCITS net assets can be invested in tradeable debt securities and bonds, issued in euros or any other currency, by private or public entities. The fund can invest in the following instruments: - fixed-rate bonds with a maturity less than 397 days - variable-rate bonds with a maturity less than 2 years - certificates of deposit - London CDs - eurozone commercial papers - mid-term negotiable bonds (BMTN) - EMTNs (including puttable EMTNs, etc.); - euro commercial paper - US commercial paper - asset-backed commercial paper Holding units or shares in other UCIs or investments funds The Fund may hold up to 10% of its assets in shares or units of the following UCIs or investment funds: French or foreign UCITS (1) French or European AIFs or investment funds which respect the criteria set out in the Financial and Monetary Code (Code Monétaire et Financier) (2) These UCIs and investment funds can invest up to 10% of their assets in UCITS or AIFs or investment funds. They may be managed by the Management Company or by a company affiliated to it. The risk profile of these UCIs is compatible with that of the UCITS. (1) up to 100% as an accumulated total of the net assets (statutory maximum) (2) up to 30% as an accumulated total of the net assets (statutory maximum) 3. Description of derivatives used The use of futures is an integral part of the investment process due to their advantages in terms of liquidity and/or cost efficiency. Information relating to counterparties of contracts traded over-the-counter: The selection of counterparties is carried out using the procedure applied within the Amundi Group, resting on the principle of selecting the best market counterparties. This includes: a dual validation of counterparties made by the Amundi Intermediation manager and by the Amundi Credit Committee, following an analysis of their financial and operational profiles (type of business, governance, Annual report as at 30/11/2017 5

6 reputation, etc.) by a credit analysis team independently of the management teams; a limited number of financial institutions with which the UCITS trades. Types of markets: Regulated Organised Over-the-counter Risks that the Fund manager seeks to mitigate: Equity risk Interest rates Currency Credit risk Types of operations (all operations are used for the sole purpose of achieving the investment objective): Hedging Exposure Arbitrage Types of instruments used: Futures: on interest rates Options: on interest rate futures Swaps: currency, interest rate Forward exchange contracts Credit risk: Credit Default Swaps other types Derivatives strategies used to achieve the investment objective: Hedging of or exposure to interest rate risk currency hedging Hedging or arbitrage of credit risk arbitrage or taking a position on volatility Options and exchange swaps are used to hedge the exposure arising from the securities portfolio. Interest rate swaps are used to expose or hedge the portfolio against the evolution of interest rates. Exchange swaps are used in the EUR unit to fully hedge the exposure arising from the security portfolio. Interest rate futures may be used to hedge or expose a position present in the portfolio, depending on the different maturities on the interest rate curve. Forward exchange contracts are used to hedge the exposure arising from the securities portfolio. 4. Description of securities with derivatives: The UCITS will not use securities with embedded derivatives. 5. Deposits: The UCITS may use deposits with a maximum maturity of up to 12 months. The purpose of such deposits is to allow the UCITS to manage cash in accordance with its investment objectives. 6. Cash borrowing: The UCITS may be in a debtor position as a result of operations related to cash flows (outstanding investments/disinvestments, subscription/redemption transactions) within a 10% limit of the net assets. Annual report as at 30/11/2017 6

7 7. Temporary acquisitions and disposals of securities: Types of transactions used: Repurchase and reverse repurchase agreements in accordance with the Code monétaire et financier (French Monetary and Financial Code) Securities lending and borrowing in accordance with the Code monétaire et financier (French Monetary and Financial Code) These transactions shall cover the eligible assets within the meaning of the regulations. These assets are held by the custodian Types of operations (all operations are used for the sole purpose of achieving the investment objective): Cash management: through reverse repurchase agreements Optimisation of UCITS revenue Transactions to generate a leverage effect The commitment of the fund arising from repurchase and reverse repurchase operations is limited to 100% of the net assets. Summary of the ratios applied: Aggregate commitments related to derivatives and temporary purchases and sales of securities may not exceed 100% of the net assets. The portfolio's total exposure to all risks arising from commitments and positions in paper securities shall not exceed 100% of the net assets. Remuneration: see Fees and Commissions Types of transactions Maximum proportion of net assets Expected proportion of net assets Reverse repurchase agreements Repurchase agreements Securities Lending Securities borrowing 100% 100% 20% 20% 25% 25% 5% 5% 8. Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): Type of financial guarantees: as part of temporary acquisitions and disposals of securities and derivative transactions traded over-the-counter, the UCITS may receive securities and cash as a guarantee (collateral). Securities received under guarantee must respect the criteria set out by the management company. They must be: - liquid; - transferable at any time; - diversified, complying with the UCITS rules regarding qualification, exposure and diversification, - issued by issuers which are not an entity of the counterparty or its group. Annual report as at 30/11/2017 7

8 For bonds, the securities will also be from issuers located in the OECD countries, will be high-quality with a minimum rating ranging between AAA and BBB- on the Standard & Poor's rating scale, or with what the management company judges to be an equivalent rating. Bonds must have a maximum maturity of 50 years. The criteria defined above are set out in detail in a Risk policy that can be found on the management company's website: and may be subject to change, especially in the case of exceptional market conditions. Discounts on the parity rates may be applied to the collateral received; they take into account credit quality, securities price volatility, as well as the result of crisis simulations carried out. Reuse of cash received as collateral: Cash collateral received may be reinvested in deposits, government bonds, reverse repurchase agreements or in money market UCITS in the short term, in line with the management company's Risk Policy. Reuse of securities received as collateral: Not authorised: Securities received as collateral may be sold, reinvested or provided as collateral. Risk Profile Capital loss risk Interest Rate Risk Credit Risk Counterparty risk Liquidity risk linked to temporary purchases and sales of securities and/or total return swaps (TRS) Legal risk Annual report as at 30/11/ AMUNDI 3-6 M 11 / 22

9 Business Report December 2016 The key ECB rates remained unchanged in December: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.31%. The new ECB measures (removal of the floor at -0.40% and the possibility of buying securities with a maturity of between 1 and 2 years) announced on 8 December benefited Government borrowings in peripheral countries: The Italian 2-year rate, despite the rejection of constitutional reforms in the referendum, went from +4 to -20 bp, while the Spanish 2-year rate went from -13 to -33 bp over the month. By contrast, Eonia swap rates were up slightly, with investors no longer anticipating a fresh drop in rates. Credit spreads generally remained stable. However, there was quite a high level of volatility at the start of the month. Against this backdrop, which was also marked by sizeable subscriptions, we continued investing, particularly in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity. TCNs accounted for 17% of the portfolio at the end of the month. The weighted average life (WAL) of the portfolio stood at 231 days and the interest rate sensitivity (WAM) stood at 102 days on 30 December January 2017 The key ECB rates remained unchanged in January: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.32%. Government borrowing rates in the major European countries experienced mixed performances: in January, the Italian 2-year rate offset its performance in December, going from -20 bp to +3 bp. The French and German 2-year rates also increased dramatically in January, returning to levels close to those at the end of November 2016 at the end of the month. By contrast, the Spanish 2-year rate remained virtually stable over the month, going from -30 bp to -27 bp. Credit spreads remained virtually unchanged in January. The Eonia 1-year swap rate was again up slightly, following the rise in December, with investors no longer anticipating a fresh drop in rates. Against this backdrop, we continued investing, particularly in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and rating. TCNs accounted for almost 20% of the portfolio at the end of the month. The strong performance of floating-rate securities, which posted positive performances over the month, was not enough to offset the drop in the value of sovereign securities and fixed-rate securities. The weighted average life (WAL) of the portfolio stood at 247 days and the interest rate sensitivity (WAM) stood at 108 days on 31 January February 2017 The key ECB rates remained unchanged in February: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.32%. The Eonia 1-year swap rate fell slightly in February, settling at % at the end of the month. The German 2-year rate significantly tightened, going from -0.72% to -0.90% over the month. This phenomenon was mainly linked to the flight to quality in response to the increased political risk in France. Fixed rate securities broadly benefited from this movement in rates. Credit spreads remained virtually unchanged. Against this backdrop, we invested in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and rating, bonds with a maturity close to 1 year, Spanish sovereign securities with a maturity of less than 1 year and the Coca Cola primary issue with a maturity of 2 years. Please note that this was the first 2-year, floating-rate, benchmark-sized and non-governmental issue since the start of The weighted average life (WAL) of the portfolio stood at 238 days and the interest rate sensitivity (WAM) stood at 95 days on 28 February March 2017 The key ECB rates remained unchanged in March: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.32%. The Eonia 1-year swap rate increased significantly in March, settling at -0.33% at the end of the month. After reaching a low of -0.95% at the end of February, the German 2-year rate strongly rebounded, hitting -0.74% at the end of March. Annual report as at 30/11/2017 9

10 This rise in the German rates was linked to the outcome of the Dutch elections in particular, where the extreme-right party was beaten by the liberal party. This defeat of the extreme right led to the political risk in France being deemed lower when it was reviewed. Fixed rate securities were negatively affected by this movement in rates, despite the hedging swap implemented on maturities of more than 1 year. Credit spreads widened slightly over the month, making it impossible to offset the movement in rates. Against this backdrop, we invested in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and rating. Money market instruments (certificates of deposit, commercial papers, Neu CP and more) now accounted for more than 20% of the portfolio on bonds with a maturity of close to 1 year, and Barclays and Pfizer primary issues with a maturity of 2 years. The weighted average life (WAL) of the portfolio stood at 240 days and the interest rate sensitivity (WAM) stood at 85 days at the end of the month. April 2017 The key ECB rates remained unchanged in April: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.33%. The Eonia 1-year swap rate fell slightly in April, settling at -0.34% at the end of the month. The German 2-year rate remained virtually unchanged between the end of March and the end of April, at -0.75%, after reaching a low of -0.88% before the first round of the French Presidential elections. The result of the first round (23 April) made the markets feel that the political risk was decreasing again. As a result, there was a drop in risk aversion and a sharp rise in German rates, while French rates fell significantly. At the same time, credit spreads narrowed significantly after 23 April. Fixed rate securities benefited from this favourable environment, generating most of the portfolio's gains over the month. Against this backdrop, we invested in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and the same rating. Money market instruments (certificates of deposit, commercial papers, Neu CP and more) now accounted for more than 20% of the portfolio of floating-rate securities with a maturity of close to 2 years. We hedged fixed-rate investments with a maturity of between 12 and 13 months against interest-rate risks. The weighted average life (WAL) of the portfolio stood at 254 days and the interest rate sensitivity (WAM) stood at 87 days at the end of the month. May 2017 The key ECB rates remained unchanged in May: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.33%. The Eonia 1-year swap rate fell very slightly in May, settling at % at the end of the month. The German 2-year rate remained stable, at -0.72%. Short-term credit spreads also remained virtually unchanged, after the significant drop recorded following the first round of the French presidential elections on 23 April. Fixed rate securities benefited from this favourable environment, generating most of the portfolio's gains over the month. Against this backdrop, we invested in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and the same rating: Money market instruments (certificates of deposit, commercial papers, Neu CP and more) now accounted for more than 30% of the portfolio of floating-rate securities with a maturity of close to 2 years, in order to take advantage of term premiums. However, please note that the near absence of primary issues over short-term maturities makes these investment opportunities rare. We hedged fixed-rate investments with a maturity of between 12 and 13 months against interest-rate risks. The weighted average life (WAL) of the portfolio and the interest rate sensitivity (WAM) were stable at the end of the month, at 250 days and 81 days, respectively. June 2017 The key ECB rates remained unchanged in June: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at % on average, as did the Euribor 3-month, which settled at -0.33%. Following statements made by Mario Draghi on 26 June, pointing to a potential normalisation of ECB monetary policy, the Eonia 1-year swap rate recovered strongly, settling at -0.33% at the end of June. Alongside this, the German 2-year rate went up by 0.15% over the month, settling at -0.56% at the end of June. Short-term credit spreads remained virtually unchanged. Floating securities naturally benefited from this rates environment. By contrast, fixed rate securities made a negative contribution to the portfolio's performance, which was partially offset by rate hedging implemented on maturities of more than 10 months. Annual report as at 30/11/

11 Against this backdrop, we invested in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and the same rating: money market instruments (certificates of deposit, commercial papers, Neu CP and more) now accounted for close to 35% of the portfolio of floating-rate securities with a maturity of close to 2 years, in order to take advantage of term premiums. However, please note that the near absence of primary issues over short-term maturities makes these investment opportunities rare. We hedged fixed-rate investments with a maturity of between 10 and 13 months against interest-rate risks. The weighted average life (WAL) of the portfolio rose to 264 days. The interest rate sensitivity (WAM) fell, standing at 53 days at the end of the month. July 2017 The key ECB rates remained unchanged in July: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at % on average, as did the Euribor 3-month, which settled at -0.33%. Mario Draghi adopted conciliatory rhetoric following the ECB meeting held on 20 July. Markets interpreted his words as dovish, as he stated that the ECB intended to keep its current monetary policy unchanged, in terms of both conventional and non-conventional measures. The German 2-year rate therefore continued the fall which began at the start of the month, settling at -0.68%, compared to -0.56% at the end of June, a fall of 12 bp over the month. The Eonia 1-year swap rate also fell, finishing the month at -0.34%. Short-term credit spreads continued to narrow. Fixed term securities benefited the most from this rates environment. Against this backdrop, we invested in TCNs presenting attractive levels of remuneration compared to bonds with the same maturity and the same rating. Money market instruments (certificates of deposit, commercial papers, Neu CP and more) now accounted for close to 31% of the portfolio of floating-rate securities with a maturity of close to 2 years, in order to take advantage of term premiums. However, please note that the near absence of primary issues over short-term maturities makes these investment opportunities rare. We hedged fixed-rate investments with a maturity of between 10 and 13 months against interest-rate risks. The weighted average life (WAL) of the portfolio fell to 247 days. The interest rate sensitivity (WAM) increased slightly, to 68 days at the end of the month. August 2017 The key ECB rates remained unchanged in August: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.33%. As there were no details given about changes to monetary policies at the main central banks during the annual Jackson Hole economic symposium, the news was still dominated by the geopolitical tensions between North Korea and the United States. Rates therefore narrowed significantly during August: the German 2-year rate dropped by 6 bp to -0.74% and the 10-year rate lost 16 bp over the month, standing at +0.35%. Eonia swaps were down slightly at the end of the month, standing at % for the 1-year rate and % for the 2-year rate, respectively. Please note that spreads in peripheral countries momentarily widened following Mr Berlusconi's remarks stating that he would be in favour of establishing a parallel currency to the euro for paying government suppliers in Italy. Credit spreads widened slightly over the period. All bond securities, both fixed-rate and floating-rate, suffered as a result of this unfavourable environment, marked by a wait-and-see attitude among investors (no investment opportunities on primary markets and few on secondary markets). The average life of the portfolio (WAL) fell to 219 days, as did the interest rate sensitivity (WAM), which stood at 55 days at the end of the month. September 2017 The key ECB rates remained unchanged in September: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia remained stable over the month, at -0.35% on average, as did the Euribor 3-month, which settled at -0.33%. Following the meeting of the Governing Council on 7 September, Mario Draghi stated that the normalisation of ECB monetary policy would begin with the progressive reduction of its bond-buying programmes ("tapering"), which would then be followed by an initial rise in rates. He promised to disclose further details during the meeting on 26 October. Following Mario Draghi's press conference, Eonia swaps began a slow yet continuous upward movement throughout September. The 1-year swap rate therefore closed at % on 30 September, after reaching a low of % on 7 September. The German 2-year rate remained virtually unchanged over the month, after hitting a low following the ECB meeting. It settled at -0.70% on 29 September. Annual report as at 30/11/

12 The Italian 2-year rate went from -0.20% to -0.25% over the month, cancelling out the crises that erupted during August. Sovereign Spanish rates tightened as the referendum in Catalonia approached. The 2-year rate therefore went from -0.34% at the end of August to -0.31% at the end of September. There was little movement in short-term credit spreads over the period. In this environment, the portfolio's performance was down -0.16% in year-on-year terms. The strong performance of floating securities and the gains generated by rate swaps were not enough to offset the losses recorded on fixed-rate securities. We continued investing in long maturities, focusing on the financial sector, which, as it is not included in ECB asset-redemption programmes, is therefore less vulnerable to a slowdown in the pace of monthly security purchases. TCNs still accounted for around 35% of the portfolio. The average life of the portfolio (WAL) rose to 245 days, as did the interest rate sensitivity (WAM), which stood at 70 days at the end of the month. October 2017 The key ECB rates remained unchanged in October: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia dropped slightly over the month, posting an average of %, while the Euribor 3-month remained unchanged at -0.33%. As expected, following the meeting of the Governing Council on 26 October, Mario Draghi announced that the ECB would continue to purchase securities until September 2018 and even beyond, if necessary. However, the pace of purchases will be slower, going from 60 to 30 billion? per month. Despite the fact that the economic situation in the eurozone continued to improve, inflation remained at low levels: underlying inflation fell, going from 1.1% in September to just 0.9% in October. This therefore vindicated the ECB's desire to only normalise its monetary policy very gradually. The caution exercised by the ECB was well received by the markets and led to a narrowing of spreads of risky assets and a drop in rates, as the anticipated timing of the first rise in interest rates was pushed back to the second half of Therefore, the German 2-year rate went from -0.70% to -0.75% and the Italian 2-year rate went from -0.27% to -0.31% over the month. Even the Spanish rates tightened, despite the political turmoil in Catalonia, with the 2-year rate going from -0.37% to -0.40%. The Eonia 1-year swap rate remained close to -0.35%. The Eonia 2-year swap rate rate fell significantly, reflecting the time lag for anticipated drops in rates. It went from -0.29% to -0.32% over the month. In this environment, the portfolio's performance over the month was -0.08% in year-on-year terms. Fixed-rate securities were the main performance driver. We continued investing in long maturities, focusing on the financial sector, which, as it is not included in ECB asset-redemption programmes, is therefore less vulnerable to the announced slowdown in the pace of monthly security purchases. We were also active on the TCN market, which accounted for more than 30% of the portfolio. The weighted average life (WAL) of the portfolio was virtually stable, at 233 days. The interest rate sensitivity (WAM) was down at the end of the month, standing at 45 days. November 2017 The key ECB rates remained unchanged in November: the Refi rate remained at 0%, the deposit facility rate at -0.40% and the marginal rate at 0.25%. The Eonia was significantly up at the end of the month, settling at -0.24% on 30 November, while the Euribor 3-month remained unchanged at -0.33%. This peak for Eonia seemed to be connected to a number of interbank transactions executed at higher levels against a backdrop of low trading volumes. In November, the SME indices hit their highest level for several years, confirming the strength of the eurozone recovery, while the credit market stabilised after the rally which followed the announcement of the extension of the QE programme in October. The Italian 2-year rate went from -0.20% to -0.30% over the month. The Spanish 2-year rate remained relatively stable, at around -0.30%. The Eonia 1-year swap rate rose slowly but steadily over the month. The increase was more pronounced on 2-year maturities, as swaps went from -0.32% to -0.29% at the end of the month. In this environment, the portfolio's performance over the month was -0.20% in year-on-year terms. Hedging rate swaps contributed positively to the performance, while fixed and floating-rate securities posted a negative contribution. We mainly continued investing in the TCN market, with a lack of opportunities on the bond market. The weighted average life (WAL) of the portfolio was stable, at 231 days. The interest rate sensitivity (WAM) increased slightly, standing at 61 days at the end of the month. Annual report as at 30/11/

13 Over the period under review, the performance of each of the units in the AMUNDI 3-6 M portfolio and its benchmark was: - I-C units in EUR: -0.12% / -0.36%. - S-C units in EUR: -0.15% / -0.36%. - E-C units in EUR: -0.23% / -0.36%. - R-C units in EUR: -0.10% / -0.35%. Past performances are not necessarily indicative of future performances. Main movements in the portfolio over the financial year Securities Movements ("Accounting currency") Acquisitions Transfers AMUNDI CASH CORPORATE I2 C 3,237,933, ,064,352, CCTS EU E6M 01/11/ ,349, ,953, ROYAL BANK OF SCOTLAND, PLC FIX ,000, ,000, SPAI LETR DEL TESO ZCP ,176, ,092, CCT E6R 15/04/ ,696, ,259, EDP FINANCE BV FIX ,000, ,000, ITALIE 3.5% 01/06/ ,973, ,828, CARLSBERG BREWER 3.375% 13/10/ ,476, ,192, ITALIE E3M 15/10/ ,334, ,198, ITAL BUON ORDI DEL ZCP ,138, ,166, Annual report as at 30/11/

14 Effective portfolio management techniques and derivative financial instruments a) Exposure obtained through effective portfolio management techniques and derivative financial instruments Exposure obtained through effective management techniques: o Securities lending: o Securities borrowing: o Reverse repos: o Repurchase agreements: Exposure of underlyings reached through derivative financial instruments: 712,239, o Forward exchange contracts: 112,239, o Futures: o Options: o Swap: 600,000, b) Identity of the counterparty(ies) to the effective portfolio management techniques and derivative financial instruments Effective management techniques Financial derivative instruments (*) STANDARD CHARTERED PLC GOLDMAN SACHS INTERNATIONAL LTD NATIXIS CITIGROUP GLOBAL MARKETS LIMITED CREDIT AGRICOLE CIB HSBC FRANCE EX CCF (*) Except listed derivatives. Annual report as at 30/11/

15 c) Financial guarantees received by the UCITS in order to reduce the counterparty risk Types of instruments Amount in portfolio currency Effective management techniques. Term deposits. Equities. Bonds. UCITS. Cash (**) 2,797, Total 2,797, Financial derivative instruments. Term deposits. Equities. Bonds. UCITS. Cash Total (**) The Cash account also includes liquidity resulting from repurchase transactions. d) Income and operating expenses related to effective management techniques Income and operating expenses Amount in portfolio currency. Income (***) 2, Other income Total income 2, Direct operating expenses Indirect operating expenses. Other costs Total costs (***) Income received on lending and reverse repurchase. Annual report as at 30/11/

16 Transparency of financing operations on securities and the reuse of financial instruments SFTR regulations in UCI accounting currency (EUR) Over the course of the financial year, the UCI did not carry out any operation covered by the SFTR regulations. Annual report as at 30/11/

17 Life of the UCI over the financial year in review 15 September Addition - UCITS under Directive 2009/65/EC combined with Directive 2014/91/EU UCITS subject to Directive 2009/65/EC combined with Directive 2014/91/EU 15 September Modification - Accounting function delegated to: CACEIS Fund Administration, Société anonyme (public limited company), Registered office: 1-3, Place Valhubert Paris CACEIS Fund Administration is the entity of the Crédit Agricole Group specialised in fund administration and accounting for the group s internal and external clients. In this regard, CACEIS Fund Administration was appointed by Amundi Asset Management as accounts manager by delegation for the valuation and administration of the UCI. 15 September Addition - Benchmark indicator: Type of financial guarantees: as part of temporary acquisitions and disposals of securities and derivative transactions traded over-the-counter, the UCITS may receive securities and cash as a guarantee (collateral). Securities received under guarantee must respect the criteria set out by the management company. They must be: - liquid, - transferable at any time, - diversified, fall within the UCITS rules for qualifying, exposure and diversification, -issued by high quality issuers who are not an entity of the counterparty or its group. For bonds, the securities will also be from issuers located in the OECD countries, will be high-quality with a minimum rating ranging between AAA and BBB- on the Standard & Poor's rating scale, or with what the management company judges to be an equivalent rating. Bonds must have a maximum maturity of 50 years. The criteria defined above are set out in detail in a Risk policy that can be found on the management company's website: and may be subject to change, especially in the event of exceptional market circumstances. Discounts on the parity rates may be applied to the collateral received; they take into account credit quality, securities price volatility, as well as the result of crisis simulations carried out. Reuse of cash received as collateral: Cash collateral received may be reinvested in deposits, government bonds, reverse repurchase agreements or in money market UCITS in the short term, in line with the management company's Risk Policy. Reuse of securities received as collateral: Not authorised: Securities received as collateral may be sold, reinvested or provided as collateral. 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): 8- Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (0.0) Types of transactions 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (1.0) Reverse repurchase agreements 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (2.0) Repurchase agreements 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (3.0) Securities lending 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (4.0) Securities borrowing Annual report as at 30/11/

18 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (0.1) Maximum proportion of net assets 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (1.1) 100% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (2.1) 100% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (3.1) 20% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (4.1) 20% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (0.2) Expected proportion of net assets 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (1.2) 25% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (2.2) 25% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (3.2) 5% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): table (4.2) 5% 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): Summary of the ratios applied: 15 September Addition 8 - Information relating to financial guarantees (temporary purchases and sales of securities and/or derivatives traded OTC with total return swaps (TRS)): Types of transactions used: repurchase and reverse repurchase agreements in accordance with the Code monétaire et financier (French Monetary and Financial Code), securities lending and borrowing in accordance with the Code monétaire et financier (French Monetary and Financial Code). These operations will concern eligible assets within the meaning of the regulations. These assets are held by the custodian. Types of operations (all operations are used for the sole purpose of achieving the investment objective): Cash management: through reverse repurchase agreements, optimisation of UCITS revenue, transactions to generate a leverage effect. The commitment of the fund arising from repurchase and reverse repurchase operations is limited to 100% of the net assets. Aggregate commitments related to derivatives and temporary purchases and sales of securities may not exceed 100% of the net assets. The portfolio's total exposure to all risks arising from commitments and positions in paper securities shall not exceed 100% of the net assets. Remuneration: see Fees and Commissions Annual report as at 30/11/

19 15 September 2017 Modification 4. Description of securities with embedded derivatives Types of instruments used: Futures: on rates, options: on futures, interest rates, swaps: currencies, interest rates, forward exchange contracts: Credit risk: Credit Default Swap other types 15 September 2017 Addition Investment Strategy: Legal risk: the use of temporary acquisitions and disposals of securities and/or total return swaps (TRS) may incur a legal risk, especially in relation to the contracts. 15 September 2017 Addition Investment Strategy: Liquidity risk linked to temporary purchases and sales of securities and/or total return swaps (TRS): The UCITS may be exposed to trading difficulties or the temporary impossibility of trading for certain securities in which the UCITS invests or those received under guarantee, in the event of the defaulting of a counterparty in temporary security purchase and sale transactions and/or total return swaps (TRS). 15 September 2017 Addition Investment Strategy: Counterparty risk: The UCITS uses temporary acquisitions and sales transactions for OTC securities and/or derivatives, including total return swaps. These transactions, entered into with a counterparty, expose the UCITS to a risk of default and/or failure to execute the exchange contract by the counterparty, which could have a significant impact on the UCITS' net asset value. The risk may not be covered, if it occurs, by the financial guarantees given. 15 September Modification - Investment strategy: Your money shall be invested primarily in financial instruments selected by the management company. These financial instruments are subject to market fluctuations. Capital loss risk: investors are warned that their initial capital invested may not be returned. The Fund does not provide any guarantee or protection of capital. The main risks related to this type of investment are: Interest rate risk: this refers to the risk of a decline in the value of interest rate instruments arising from fluctuations in interest rates. Exposure to interest rate risk is measured by sensitivity. The net asset value of the Fund could diminish significantly in the periods of rapidly rising interest rates. The main specific risks associated with management are: Credit risk: this refers to the risk of a decline in the value of securities issued by a private issuer or to the default of such issuer. Depending on the direction of the transactions carried out by the UCITS, the depreciation (in the case of purchases) or appreciation (in the case of sales) in the value of debt securities to which the UCITS is exposed may cause the net asset value of the UCITS to fall. Other risks include: 15 September 2017 Modification Securities lending transactions and repurchase agreements: Selection of brokers. The management company will implement a broker selection policy, particularly where this leads to temporary security purchase and sale transactions and on certain derivatives such as total return swaps (TRS). The selection of brokers and financial intermediaries is performed rigorously among intermediaries with a good reputation on the markets, based on a number of criteria relating to the provision of Research services (basic financial analysis, information on companies, added value of contacts, solid foundation of recommendations, etc.) or Performance services (access and information on the markets, transaction costs, performance price, proper accomplishment of transactions, etc.). Only the following are selected: the financial establishments of an OECD country with a minimum rating of AAA to BBB- on the Standard & Poor's scale when setting up the transaction, or with a rating deemed equivalent by the management company, Furthermore, each of the chosen counterparties will be analysed based on the criteria of the Risks Department, such as financial stability, rating, exposure, type of business, prior performance, etc. The list of authorised counterparties is reviewed annually. It involves the various actors from the Amundi group's front office and support departments. The brokers and financial intermediaries selected are subject to regular monitoring, in accordance with the Performance Policy of the management company. Annual report as at 30/11/

20 15 September 2017 Modification VIII REMUNERATION Principle Standard accounting principles are applied, respecting the principles of: continuity of operations, consistency of accounting methods from one accounting period to the next, independence of accounting periods. The reference method chosen for recording the assets in the accounts is the historical cost method, except in the case of portfolio valuations. Assets valuation rules. The calculation of the net asset value per unit is subject to the following valuation rules: Securities traded on a French or foreign regulated market are valued at their market price. Valuation at the benchmark market price is carried out in accordance with the terms and conditions observed at the last Stock Exchange price. Differences between stock market prices used to calculate the net asset value and the historical cost of securities held in the portfolio are recorded in a "Valuation differentials" account. Nevertheless: Transferable securities whose prices have not been determined on the valuation day or whose prices have been adjusted are valued under the Management Company's responsibility at their foreseeable sale prices. These valuations and their justification are communicated to the statutory auditor at the time of the audit. Transferable debt securities and related securities are valued on the basis of an actuarial method, the reference rate (as defined below) being increased, as the case may be, by a differential representative of the intrinsic characteristics of the issuer: Debt securities with a maturity less than or equal to 1 year: Interbank rate in euro (Euribor) Swap transactions: valued on the basis of the OIS curve (Overnight Indexed Swaps) Debt securities with a maturity exceeding three months (money market funds): valued on the basis of the OIS curve (Overnight Indexed Swaps) Debt securities with a maturity exceeding one year: valued using rates for French treasury bills (BTAN and OAT) with similar maturity dates for the longer durations. Transferable debt securities with a residual maturity of less than or equal to 3 months may be valued by the straight-line method. Treasury bills are valued on the basis of market prices, as published daily by primary dealers in French Treasury issues (Spécialistes en Valeurs du Trésor). UCI shares or units are valued at the last known net asset value. Securities that are not traded on a regulated market are valued under the Management Company's responsibility at their foreseeable sale prices. They are valued using methods based on the market value and the yield, while taking account of recent prices observed for significant transactions. Shares or units in the investment fund are valued according to the last known net asset value or if need be, on the basis of estimates available under the monitoring and responsibility of the Management Company. Holdings of cash, deposits and financial instruments expressed in foreign currencies are converted into the accounting currency of the fund at the foreign exchange rate on the valuation day. Transferable securities subject to a temporary acquisition or sale agreement are valued in accordance with the regulations in force. The applications of these rules are determined by the Management Company. Securities received under repurchase agreements are recorded in the investment portfolio under the heading "Receivables representing securities received under repurchase agreements" at the contract amounts, increased by interest to be received. Securities delivered under repurchase agreements are recorded in the investment portfolio and valued at market prices. The interest to be received and paid in respect of repurchase agreements is calculated on a pro rata temporis basis. The liabilities representing securities delivered under repurchase agreements are recorded in the disinvestment portfolio, at the value determined on the contract date, increased by interest payable. On completion of the transaction, interest received or paid is recorded as income from debt instruments. Securities lent are valued at the market price. The proceeds from securities lending transactions are recorded as income from debt instruments. The accrued interest is included in the market value of loaned securities. Futures and options traded on a French or foreign regulated market are valued at their market value under terms and conditions determined by the Management Company. Futures contracts are valued at the settlement price. Promotion of financial guarantees: Guarantees are assessed daily at the market price (mark-to-market). Discounts on the parity rates may be applied to the collateral received; they take into account credit quality, securities price volatility, as well as the result of crisis simulations carried out. Margin calls are daily unless otherwise stated in the framework agreement overseeing these transactions or in the event of an agreement between the management company and the counterparty on the application of a triggering threshold. Futures, options or swap transactions concluded on over-the-counter markets, approved by regulations applicable to UCIs, are valued at their market value or at a value estimated according to the terms and conditions determined by the Management Company. Interest rate, currency and/or corridor swaps are valued at their market value using the discounted cash-flow method (principal and interest) at the interest rate and/or currency exchange rate prevailing on the market. This price is adjusted to the issuer's risk. Accounting method. Purchases and sales of securities are recorded exclusive of costs. Annual report as at 30/11/