BNP PARIBAS COMFORT FCP

Transcription

1 BNP PARIBAS COMFORT FCP SEMI-ANNUAL REPORT at 31/01/2018 R.C.S. Luxembourg K 641 The asset manager for a changing world

2 The asset manager for a changing world

3 BNP PARIBAS COMFORT Table of contents Page Organisation 2 Information 3 Financial statements at 31/01/ Key figures relating to the last 3 years 5 Securities portfolio at 31/01/2018 Bond Fund 6 Equity High Dividend Europe 7 Sustainable Equity World Plus 8 Notes to the financial statements 9 No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter. Page 1

4 BNP PARIBAS COMFORT Organisation Registered office 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg Board of Directors of the Management Company Chairman Mr. Anthony FINAN, Chief Marketing Officer & CSR Delegate, BNP PARIBAS ASSET MANAGEMENT France, Paris (until 29 November 2017) Mr. Fabrice SILBERZAN, Deputy Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT France, Paris (since 11 January 2018) Members Ms. Sylvie BAIJOT, Deputy Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT Luxembourg, Luxembourg Mr. Stéphane BRUNET, Chief Executive Officer, BNP PARIBAS ASSET MANAGEMENT Luxembourg, Luxembourg Mr. Georges ENGEL, Independent Director, Vincennes, France Management Company BNP PARIBAS ASSET MANAGEMENT Luxembourg, 10 Rue Edward Steichen, L-2540 Luxembourg, Grand Duchy of Luxembourg BNP PARIBAS ASSET MANAGEMENT Luxembourg is a Management Company as defined in chapter 15 of the amended Law of 17 December 2010 on undertakings for collective investment. In this capacity, the Management Company is responsible for administration, portfolio management and marketing duties. Net asset values calculation, transfer and registrar agent are delegated to: BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Portfolio management is delegated to: Effective Investment Managers BNP PARIBAS ASSET MANAGEMENT France, 1 Boulevard Haussmann, F Paris, France BNP PARIBAS ASSET MANAGEMENT UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom Advisor FundQuest Advisor, 1 Boulevard Haussmann, F Paris, France Depositary BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Auditor PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg, Grand Duchy of Luxembourg Page 2

5 Information BNP PARIBAS COMFORT BNP PARIBAS COMFORT (the Fund ) is as a Mutual Investment Fund (Fonds Commun de Placement - FCP) created under the Luxembourg law on 28 July 2005 for an indefinite period in accordance with the provisions of Part I of the amended Law of 17 December 2010, (the law ) relating to UCI. The Management Regulations of the Fund were filed with the clerk of the district court, where any interested person may consult them or obtain a copy. They were published in the Mémorial, Recueil des Sociétés et Associations, on 15 September An intermediate version of the Management Regulations was signed on 3 October The current version of the Management Regulations was signed on 11 July 2017 and published in the Mémorial on 7 August The complete name BNP PARIBAS COMFORT and the short-name BNPP COMFORT may be used equally in the official and commercial documents of the Fund. The Fund is an umbrella fund, which comprises multiple sub-funds, each with distinct assets and liabilities of the Fund. Each sub-fund shall have an investment policy and a reference currency that shall be specific to it as determined by the Management Company. Each calculation of the net asset value will be performed under the responsibility of the Board of Directors of the Management Company as follows: the net asset value per unit of each sub-fund, category and/or sub-category will be calculated, unless otherwise stated in book II of the prospectus, for each day of the week on which banks are open for business in Luxembourg (a Valuation Day ), there is a corresponding NAV which is dated the same day, unless 50% or more of the underlying assets cannot be valued. It will be calculated in the currencies mentioned in book II of the prospectus for each sub-fund. As to net asset values and dividends, the Management Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the units are publicly offered. The Management Regulations, the Prospectus, the KIID, and periodic reports may be consulted at the Fund s registered office and at the establishments responsible for the Fund s financial service. Copies of the Management Regulations and the annual and interim reports are available on request. Except for the newspaper publications required by Law, the official media to obtain any notice to unitholders from will be the website Documents and information are also available on the website: The financial year begins on 1 August and ends on 31 July. Page 3

6 Financial statements at 31/01/2018 BNP PARIBAS COMFORT Bond Fund Equity High Dividend Europe Sustainable Equity World Plus Consolidated Expressed in EUR EUR EUR EUR Notes Statement of net assets Assets Securities portfolio at cost price Unrealised gain/(loss) on securities portfolio Securities portfolio at market value Net Unrealised gain on financial instruments 2,7, Cash at banks and time deposits Other assets Liabilities Options at market value 2, Bank overdrafts Other liabilities Net asset value Statement of operations and changes in net assets Income on investments and assets Management and advisory fees Bank interest Interest on swaps Other fees Taxes Transaction fees Total expenses Net result from investments ( ) ( ) ( ) ( ) Net realised result on: Investments securities Financial instruments Net realised result Movement on net unrealised gain/(loss) on: Investments securities Financial instruments Change in net assets due to operations Net subscriptions/(redemptions) ( ) ( ) ( ) Dividends paid 6 ( ) ( ) ( ) ( ) Increase/(Decrease) in net assets during the year/period ( ) ( ) ( ) Net assets at the beginning of the financial year/period Net assets at the end of the financial year/period The accompanying notes form an integral part of these financial statements Page 4

7 Key figures relating to the last 3 years BNP PARIBAS COMFORT Bond Fund EUR EUR EUR Number of units 31/07/ /07/ /01/ /01/2018 Net assets Net asset value per unit Units Classic - Capitalisation Units Classic - Distribution Equity High Dividend Europe EUR EUR EUR Number of units 31/07/ /07/ /01/ /01/2018 Net assets Net asset value per unit Units Classic - Capitalisation Units Classic - Distribution Sustainable Equity World Plus EUR EUR EUR Number of units 31/07/ /07/ /01/ /01/2018 Net assets Net asset value per unit Units Classic Solidarity - Capitalisation Units Classic Solidarity - Distribution The accompanying notes form an integral part of these financial statements Page 5

8 BNP PARIBAS COMFORT Bond Fund Securities portfolio at 31/01/2018 Expressed in EUR Quantity Denomination Quotation currency Market value % of net assets Shares/Units in investment funds Luxembourg ALPHA UCITS SICAV FAIR OAKS DNMC CRDT FD EUR BLUEBAY - INVESTMENT GRADE AGGREGATE BOND FUND EUR - I EUR BNP PARIBAS EASY JPM GBI EMU TRACK - I - CAP EUR DB PLATINUM IV SYSTEMATIC ALPHA I 1C - E EUR GOLDMAN SACHS EM DEBT PORTFOLIO - I - CAP USD JP MORGAN INVESTMENT FUNDS INC OPP AHC SHS A EUR CAP EUR MERRILL LYNCH INVEST SOLUTIONS - MARSHALL WACE TOPS UCITS F - EUR - B - CAP EUR PARVEST BOND ABSOLUTE RETURN V350 - I - CAP EUR PARVEST BOND EURO CORPORATE - I - CAP EUR PARVEST CROSS ASSET ABSOLUTE RETURN - I - CAP EUR PARVEST ENHANCED CASH 6 MONTHS - I - CAP EUR PARVEST GEARS - I - CAP USD PARVEST MULTI- ASSET INCOME EMERGING - I - CAP USD PARVEST QIS MULTI-FACTOR CREDIT EURO IG - I - CAP EUR PARVEST QIS MULTI-FACTOR CREDIT EURO IG - X - CAP EUR PARWORLD FLEXIBLE CONVERTIBLE BOND FUND - I - CAP USD STANDARD LIFE-EU CORP BOND - D EUR Ireland BLACKROCK ISHARES CORE EURO CORP BOND UCITS ETF EUR EUR BLACKROCK ISHARES EURO GOVERNMENT BOND INDEX - I CAP EUR EUR BLACKROCK ISHARES EURO INVESTMENT GRADE CORPORATE BOND INDEX FUND (IE) CAP - EUR EUR MUZINICH LONG SHORT-HEAANE EUR PIMCO EURO BD EURINS ACC EUR SPDR EMERGING MARKETS LOCAL BD USD France BNP PARIBAS ABS EUROPE IG - EUR - I EUR BNP PARIBAS SUSTAINABLE BOND EURO SHORT TERM - I - CAP EUR CAMGESTION CONVERTIBLE EUROPE - G EUR United Kingdom SEQUOIA ECONOMIC INFRASTRUCT GBP Total securities portfolio The accompanying notes form an integral part of these financial statements Page 6

9 BNP PARIBAS COMFORT Equity High Dividend Europe Securities portfolio at 31/01/2018 Expressed in EUR Quantity Denomination Quotation currency Market value % of net assets Shares/Units in investment funds Luxembourg ABN AMRO PZENA E - EQ - I EUR ALLIANZ RCM EUROPE EQUITY GROWTH WT EUR EUR BNP PARIBAS EASY EQUITY VALUE EUROPE UCITS ETF - CAP EUR BNP PARIBAS L1 EQUITY EUROPE DEFI - I - CAP EUR ELEVA EUROPEAN SEL FD I2 EUR EUR JP MORGAN INVESTMENT FUNDS EUR ST DIV - I - ACC EUR JUPITER GLOBAL FD-EURO OPP - I EUR NN (L) EUROPE HIGH DIVIDEND - I - CAP EUR PARVEST EQUITY BEST SELECTION EUROPE - I - CAP EUR PARVEST EQUITY EUROPE SMALL CAP - I - CAP EUR PARVEST EQUITY EUROPE VALUE - I - CAP EUR PARVEST SUSTAINABLE EQUITY HIGH DIVIDEND EUROPE - I - CAP EUR UNI-GLOBAL EQ EUROPE - RA EUR EUR Belgium PETERCAM B - EQ EUROPE DVD - F EUR Ireland SOURCE GS EFI EUROPE EUR France BNP PARIBAS EASY STOXX EUROPE 600 UCITS ETF - CLASSIC - CAP EUR Total securities portfolio The accompanying notes form an integral part of these financial statements Page 7

10 BNP PARIBAS COMFORT Sustainable Equity World Plus Securities portfolio at 31/01/2018 Expressed in EUR Quantity Denomination Quotation currency Market value % of net assets Shares/Units in investment funds Luxembourg PARVEST CLIMATE IMPACT - I - CAP EUR PARVEST HUMAN DEVELOPMENT - I - CAP EUR PICTET CLEAN ENERGY - I EUR EUR SCHRODER INTL GL CLIM CH-CEURA EUR SPARINVEST-ETHICAL GL VAL-IEUR EUR Ireland ACADIAN GLOBAL EQUITY SRI UCITS EUR BLACKROCK ISHARES CORE MSCI WORLD UCITS EUR United Kingdom FIRST STATE WORLDW SUST-B - EUR - A EUR JANUS HENDERSON GLOBAL CARE GROWTH - I A EUR EUR France BNP PARIBAS AQUA - I - CAP EUR Total securities portfolio The accompanying notes form an integral part of these financial statements Page 8

11 Notes to the financial statements Page 9

12 BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Note 1 - General information a) Events that occurred during the financial period ended 31 January 2018 No special event occurred during this financial period. b) Sub-funds open All sub-funds whose securities portfolios are detailed in the present document are available for subscription as at 31 January Note 2 - Principal accounting methods a) Net asset value This semi-annual report is prepared on the basis of the last net asset value as at 31 January b) Presentation of the financial statements The financial statements of the Fund are presented in accordance with the legislation in force in Luxembourg on Undertakings for Collective Investment. The consolidation currency of the Fund is the euro (EUR). The statement of operations and changes in net assets covers the financial period from 1 August 2017 to 31 January c) Valuation of the securities portfolio The value of shares or units in Undertakings for Collective Investment shall be determined on the basis of the last net asset value available on the Valuation Day. If this price is not a true reflection, the valuation shall be based on the probable sale price estimated by the Board of Directors in a prudent and bona fide manner. The valuation of all securities listed on a stock exchange or any other regulated market, which functions regularly, is recognised and accessible to the public, is based on the last known closing price on the Valuation Day, and, if the securities concerned are traded on several markets, on the basis of the last known closing price on the major market on which they are traded; if this price is not a true reflection, then the valuation shall be based on the probable sale price estimated by the Board of Directors of the Management Company in a prudent and bona fide manner. Unlisted securities or securities not traded on a stock exchange or another regulated market which functions in a regular manner, is recognised and accessible to the public, shall be valued on the basis of the probable sale price estimated in a prudent and bona fide manner by a qualified professional appointed for this purpose by the Board of Directors of the Management Company. d) Valuation of futures contracts Unexpired futures contracts are valued at the last price known on the valuation date or closing date and the resulting unrealised profits or losses are accounted for. Margin accounts to guarantee the liabilities on futures contracts are included in the Cash at banks and time deposits account in the statement of net assets. e) Valuation of forward foreign exchange contracts Forward foreign exchange contracts remaining open at the closing date are valued by reference to the forward foreign exchange rate corresponding to the remaining life of the contract. Any unrealised gains and losses are included when determining the result of the transactions. Page 10

13 BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 To calculate the net positions per currency, the positions are converted at the forward exchange rates corresponding to the remaining life of the contract. f) Valuation of inflation swaps Inflation swaps are bilateral agreements which allow investors looking to hedge an investment to secure an inflationlinked return against an inflation index. The inflation buyer (inflation receiver) pays a predetermined fixed or floating rate (minus a spread). In exchange, the inflation buyer receives from the inflation seller (inflation payer) one or more inflation-linked payments. The principal risk associated with an inflation swap lies in its sensitivity to interest rates and inflation: the inflation payer takes on the risk of inflation or, in other words, of changes likely to affect the inflation curve. The payer also bears a risk relating to interest rates or, in other words, to changes in the nominal yield curve. In order to value inflation swaps, a forward zero coupon swap curve (seasonally adjusted for inflation) is constructed, facilitating the calculation of future inflation cash flows. g) Presentation of options Options contracts traded over-the-counter are valued at the prices at which the position could be liquidated under the market conditions prevailing at the valuation date. The liquidation value of forward contracts or options contracts traded on regulated markets will be based on the latest available settlement price of these contracts on the regulated markets on which these forward contracts or option contracts are traded by the Fund; provided that if a forward contract or an options contract cannot be liquidated on the day on which the net assets are valued, the basis that will be used to determine the liquidation value of this contract will be determined fairly and reasonably by the Board of Directors of the Management Company. h) Net realised result on the securities portfolios The net realised result on investment securities is calculated on the basis of the average cost of the securities sold. i) Conversion of foreign currencies The values expressed in a currency other than that in which the relevant sub-fund concerned is denominated are converted on the basis of the exchange rate applicable on the Valuation Day. j) Income on investments Dividends are recognized as income on the date on which they are declared and to the extent that the information in question can be obtained by the Fund. Interest is recognized on a daily basis. k) Swing pricing In certain market conditions, taking account of the volume of purchase and sale transactions in a given sub-fund, category or class and the size of these transactions, the Board of Directors of the Management Company may consider that it is in the interests of unitholders to calculate the NAV per unit based on the purchase and sale prices of the assets and/or by applying an estimate of the difference between the buy and sell price applicable on the markets on which the assets are traded. The Board of Directors of the Management Company may further adjust the NAV for transaction fees and sales commissions, provided these fees and commissions do not exceed 1% of the NAV of the sub-fund, category or class at that time. The NAV and the NAV per Share disclosed in the financial statements and in the Key figures relating to the last 3 years do not include Swing pricing adjustment. No swing pricing occurred during the financial period. Page 11

14 BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Note 3 - Management, advisory and charity fees (maximum per annum) Management fees are calculated and deducted monthly from the average net assets of a sub-fund, unit category, or class of unit, are paid to the Management Company and serve to cover the remuneration of the asset managers and also distributors in connection with the marketing of the Fund s units. Sub-fund Management fee (Maximum) Classic* Management fee (Maximum) Privilege Advisory fee (Maximum) Bond Fund 0.75% 0.40% 0.10% Equity High Dividend Europe 1.25% 0.65% 0.15% Sustainable Equity World Plus 1.20% % * Classic Solidarity for the sub-fund Sustainable Equity World Plus An indirect fee of maximum 3.00% is applied for all the sub-funds and for the sub-fund Sustainable Equity World Plus, a charity fee of 0.05% is applied for the Unit class Classic Solidarity. Note 4 - Other fees The other fees are calculated and deducted monthly from the average net assets of a sub-fund, unit category, or unit class and serve to cover general custody asset expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the unitholders, providing and printing the documents legally required for the unitholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for transactions not related to the deposit, director fees, interest and bank fees, extraordinary expenses, reporting cost in relation with regulation requirements including the European Market Infrastructure Regulation (EMIR), and the taxe d abonnement in force in Luxembourg, as well as any other specific foreign tax and other regulators levy. Note 5 - Taxes The Fund is liable in Luxembourg to an annual taxe d abonnement of 0.05% of the net asset value. This rate is reduced to 0.01% for: a) sub-funds with the exclusive objective of collective investments in money market instruments and deposits with credit institutions; b) sub-funds with the exclusive objective of collective investments in deposits with credit institutions; c) sub-funds, categories and/or classes reserved for Institutional Investors, Managers and UCIs. Are exempt from paying the taxe d abonnement : a) the value of the assets represented by units or shares held in other UCIs, where such units or shares have already been subject to the taxe d abonnement ; b) sub-funds, units categories and/or classes: (i) whose securities are reserved for Institutional Investors, Managers or UCIs and (ii) whose sole object is the collective investment in money market instruments and the placing of deposits with credit institutions, and (iii) whose weighted residual portfolio maturity does not exceed 90 days, and (iv) that have obtained the highest possible rating from a recognised rating agency; c) sub-funds, units categories and/or classes reserved to: (i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or more employers for the benefit of their employees, and (ii) companies having one or more employers investing funds to provide pension benefits to their employees; d) sub-funds whose main objective is investment in microfinance institutions; Page 12

15 BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 e) sub-funds, units categories and/or classes: (i) whose securities are listed or traded on at least one stock exchange or another regulated market operating regularly that is recognized and open to the public, and (ii) whose exclusive object is to replicate the performance of one or several indices. When due, the taxe d abonnement is payable quarterly on the basis of the relevant net assets and calculated at the end of the quarter to which it is applicable. In addition, the Fund may be subject to a foreign UCI's tax in the country where the sub-fund is registered for distribution. This tax includes the registration fees too. Note 6 - Dividends The following dividends were paid on 20 November 2017 for units outstanding as at 14 November 2017 with an ex-date 15 November 2017 Sub-fund Currency Dividend Bond Fund Classic - Distribution EUR 0.30 Equity High Dividend Europe Classic - Distribution EUR 3.65 Sustainable Equity World Plus Classic Solidarity - Distribution EUR 2.74 Note 7 - Forward foreign exchange contracts As at 31 January 2018, the total amount purchased per currency and the total amount sold per currency in the context of forward foreign exchange contracts were as follows: Bond Fund Currency Purchase amount Currency Sale amount EUR EUR SEK GBP USD USD Net unrealised gain (in EUR) As at 31 January 2018, the latest maturity of all outstanding contracts is 15 February Counterparties to Forward foreign exchange contracts: Citigroup Global Market Morgan Stanley & Co International Plc UBS Ltd London Note 8 - Swaps Inflation Swaps The Company has entered into inflation swap agreements whereby it exchanges fixed income (sum of the notional amount and the fixed rate) for variable income (sum of the notional amount and the floating rate) and vice versa. These amounts are calculated and recognised at each calculation of the Net Asset Value; the receivable amount is stated under Other assets in the Statement of net assets, while the payable amount is given under Other liabilities in the Statement of net assets. Page 13

16 BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Bond Fund Nominal Currency Maturity Sub-fund paid Sub-fund received GBP 16/05/2022 UK RPI NSA 3.480% GBP 16/05/2022 UK RPI NSA 3.490% Net unrealised gain (in EUR) Counterparty to Swaps contracts: Morgan Stanley & Co International Plc, United Kingdom Note 9 - Options positions As at 31 January 2018, the following positions on options were outstanding: Bond Fund Currency Quantity Purchase/ Sale EUR S EUR P EUR P EUR P Description CALL EUR/USD 12/04/ PUT EUR/USD 12/04/ CALL USD/EUR 12/04/ CALL GBP/EUR 23/08/ Maturity date Strike Nominal (in EUR) Market value (in EUR) 12/04/ ( ) 12/04/ /04/ /08/ Total: ( ) As at 31 January 2018, the cash margin balance in relation to futures and/or options amounted to 0 EUR. Counterparties to Options: BNP Paribas Paris Morgan Stanley & Co International Plc Note 10 - Global overview of collateral held per sub-fund As at 31 January 2018, the counterparties to financial instruments immobilised the following collateral to the profit of the Fund: Sub-fund Currency OTC collateral Type of collateral Bond Fund EUR Cash Note 11 - Changes in the composition of the securities portfolio The list of changes in the composition of the securities portfolio during the period is available free of charge at the Management Company s registered office and from local agents. Note 12 - Exchange rate As at 31 January 2018, all sub-funds and unit classes were denominated in EUR. Page 14

17 BNP PARIBAS COMFORT Notes to the financial statements at 31/01/2018 Note 13 - Transaction fees Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments, derivatives or other eligible assets are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage fees, custody fees, VAT fees, stock exchange fees and RTO fees (Reception and Transmission of Orders). In line with bond market practice, a bid-offer spread is applied when buying and selling these securities. Consequently, in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which represents the broker s fee. Note 14 - List of Fund managers BNP PARIBAS ASSET MANAGEMENT France, abbreviated to BNPP AM France BNP PARIBAS ASSET MANAGEMENT UK Ltd., abbreviated to BNPP AM UK Sub-fund Bond Fund Equity High Dividend Europe Sustainable Equity World Plus Fund managers BNPP AM UK BNPP AM France Subdelegating Cash management (as of 3 July 2017) and Exposure management to BNPP AM UK (as of 1 December 2016) BNPP AM France Subdelegating Cash management (as of 3 July 2017), Exposure management (as of 1 December 2016) and Fx management to BNPP AM UK Note 15 - Information according to regulation on transparency of securities financing transactions The FCP is not affected by SFTR instruments during the financial period ending 31 January Page 15

18 The asset manager for a changing world