MILLENIUM GARANT 80 FCP

Transcription

1 MILLENIUM GARANT 80 FCP ANNUAL Report at 31/12/2017 R.C.S. Luxembourg K 1430 The asset manager for a changing world

2 The asset manager for a changing world

3 MILLENIUM GARANT 80 Table of contents Page Organisation 2 Information 3 Manager's report 4 Audit report 5 Financial statements at 31/12/ Key figures relating to the last 3 years 10 tes to the financial statements 11 Unaudited appendix 17 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 MILLENIUM GARANT 80 Organisation Registered office 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Board of Directors of the Management Company Chairman Mr. Frédéric JANBON, Chairman Members ASSET MANAGEMENT Holding SA represented by Mr. Pascal BIVILLE, Director Mr. Philippe MARCHESSAUX, Director Mr. Anthony FINAN, Director (until 29 vember 2017) Mr. François DELOOZ, Director Mr. Fabrice SILBERZAN, Deputy Chief Executive Officer and Director Mr. David BOUCHOUCHA, Director Mr. Arnaud DE BEAUCHEF DE SERVIGNY, Director Management Company THEAM S.A.S, 1 Boulevard Haussmann, F Paris, France (until 31 October 2017) ASSET MANAGEMENT France*, 1 Boulevard Haussmann, F Paris, France (since 1 vember 2017) ASSET MANAGEMENT France* is a Management Company in the meaning of Chapter 15 of the Luxembourg Law of 17 December 2010 concerning undertakings for collective investment, as amended. The Management Company performs the functions of administration, portfolio management and marketing duties. Effective Investment Manager ASSET MANAGEMENT France*, 1 Boulevard Haussmann, F Paris, France NAV Calculation, Registrar and Transfer Agent Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Depositary Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg Legal and Tax Advisor Allen & Overy, 33 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 *As of 1 vember 2017 THEAM S.A.S. has been absorbed by ASSET MANAGEMENT France Page 2

5 Information MILLENIUM GARANT 80 ASSET MANAGEMENT France a société par actions simplifiée incorporated and subject to the laws of France (the Management Company ), shall manage MILLENIUM GARANT 80 (the Fund ) in accordance with the management regulations (the Management Regulations ) duly registered with the Registre du Commerce et des Sociétés of Luxembourg and published in the Mémorial C, Recueil des Sociétés et Associations (the Mémorial replaced by the Recueil Electronique des Sociétés et Associations ( RESA ) as of 1 June 2016). The Fund is an open-ended undertaking for collective investment in transferable securities (or UCITS ), organized as a fonds commun de placement (or FCP ), and is lawfully registered on the list of UCITS organised as FCP held by the Luxembourg financial authority, the Commission de Surveillance du Secteur Financier (the CSSF ), pursuant to part I of the Luxembourg law dated 17 December 2010, relating to undertakings for collective investment, as may be amended or supplemented from time to time (the 2010 Law ). The Fund being a FCP, is not a legal entity, but a joint ownership of assets, held by the unitholders of the Fund (the Unitholders ), which are fully differentiated from the assets of the Management Company. The Management Company is governed by chapter 15 of the Law of 2010, as amended and in that capacity, is in charge of the Fund s collective management of portfolio. The Fund is registered in the Luxembourg Trade Register under the number K Information to the Unitholders The Articles of Association of the Management Company, the Prospectus, Management Regulations and latest annual and semi-annual reports may be obtained free of charge from the registered office of the Management Company. Except for newspaper publications required by Law, the official media to obtain any notice to unitholders will be the website: Documents and information are also available on the website: The annual report is made public within four months of the end of the financial year and the semi-annual report within two months of the end of the half-year. 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. Net asset values are calculated every full bank business day in Luxembourg. Page 3

6 Manager's report MILLENIUM GARANT 80 The FCP MILLENIUM GARANT 80 («the Fund») has been launched in May This Fund belongs to the TIPP (Time Invariant Portfolio Protection) funds family. The principal objective of the Fund is to allow the unitholders to benefit from : - a protection mechanism according to which, for each calendar month, the net asset value per unit of the Fund will be at least equal to 80% of the first net asset value per unit of the current month. - a variable exposure to the Paribas index Millenium 10 EUR Series 3 TR ex Agri [(IM3EA) the Index ] From 30 December 2016 to 29 December 2017, the NAV of the Fund has increased by 2.71% (increased by % since inception). The number of units has moved from units on 30 December 2016 to units at the end of December The Board of Directors Luxembourg, 19 February 2018 te: The information stated in this report is historical and not necessarily indicative of future performance. Page 4

7 Audit report To the Unitholders of MILLENIUM GARANT 80 Our opinion In our opinion, the accompanying financial statements give a true and fair view of the financial position of MILLENIUM GARANT 80 (the Fund ) as at 31 December 2017, and of the results of its operations and changes in its net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. What we have audited The Fund s financial statements comprise: the statement of net assets as at 31 December 2017; the statement of operations and changes in net assets for the year then ended; and the notes to the financial statements, which include a summary of significant accounting policies. Basis for opinion We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (Law of 23 July 2016) and with International Standards on Auditing (ISAs) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (CSSF). Our responsibilities under those Law and standards are further described in the Responsibilities of the Réviseur d entreprises agréé for the audit of the financial statements section of our report. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. We are independent of the Fund in accordance with the International Ethics Standards Board for Accountants Code of Ethics for Professional Accountants (IESBA Code) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements. We have fulfilled our other ethical responsibilities under those ethical requirements. PricewaterhouseCoopers, Société coopérative, 2 rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg T : , F : , Cabinet de révision agréé. Expert-comptable (autorisation gouvernementale n ) R.C.S. Luxembourg B TVA LU Page 5

8 information The Board of Directors of the Management Company is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our audit report thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information identified above and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit, or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report that fact. We have nothing to report in this regard. Responsibilities of the Board of Directors of the Management Company for the financial statements The Board of Directors of the Management Company is responsible for the preparation and fair presentation of the financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Management Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Board of Directors of the Management Company is responsible for assessing the Fund s ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Management Company either intends to liquidate the Fund or to cease operations, or has no realistic alternative but to do so. Responsibilities of the Réviseur d entreprises agréé for the audit of the financial statements The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue an audit report that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional scepticism throughout the audit. Page 6

9 We also: identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control; obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund s internal control; evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Management Company; conclude on the appropriateness of the Board of Directors of the Management Company s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund s ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our audit report to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our audit report. However, future events or conditions may cause the Fund to cease to continue as a going concern; evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation. Page 7

10 J- pwc We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit. Pricewa rh usecoopers, Société coopérative Luxembourg, 19 April Repres nted y Sébastie dz/ot / Page 8

11 Financial statements at 31/12/2017 MILLENIUM GARANT 80 MILLENIUM GARANT 80 Expressed in tes Statement of net assets Assets Securities portfolio at cost price 0 Unrealised gain/(loss) on securities portfolio 0 Securities portfolio at market value 2 0 Net Unrealised gain on financial instruments 2, Cash at banks and time deposits Liabilities liabilities Net asset value Statement of operations and changes in net assets Income on investments and assets Management fees Bank interest Taxes Total expenses Net result from investments Net realised result on: Financial instruments 2 ( ) Net realised result ( ) Movement on net unrealised gain/(loss) on: Financial instruments Change in net assets due to operations Net subscriptions/(redemptions) 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 EUR The accompanying notes form an integral part of these financial statements Page 9

12 Key figures relating to the last 3 years MILLENIUM GARANT 80 MILLENIUM GARANT 80 EUR EUR EUR Number of units 31/12/ /12/ /12/ /12/2017 Net assets Net asset value per unit Units - ACC The accompanying notes form an integral part of these financial statements Page 10

13 tes to the financial statements Page 11

14 MILLENIUM GARANT 80 tes to the financial statements at 31/12/2017 te 1 - General Information Events that occurred during the financial year ended 31 December 2017 special event occurred during this financial year. te 2 - Principal accounting method a) Presentation of the financial statements The financial statements of the Fund are presented in accordance with the legislation in force in Luxembourg governing undertakings for collective investment. The currency of the Fund is the euro (EUR). The statement of operations and changes in net assets covers the financial year from 1 January 2017 to 31 December b) Net asset value This annual report is prepared on the basis of the last unofficial technical net asset value calculated for financial statements purpose as at 31 December c) Valuation of swaps A Total Return Swap (TRS) is a bilateral agreement in which each party agrees to exchange payments based on the performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or variable rate. One party pays out the total return of a specific reference asset, and in return, receives a regular stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated by reference to an agreed upon notional amount or quantity. Total return swaps are marked to market at each NAV calculation date. The unrealised appreciation/depreciation is disclosed in the Statement of net assets under Net Unrealised gain/(loss) on financial instruments. Realised gains/(losses) and change in unrealised appreciation/depreciation as a result thereof are included in the Statement of operations and changes in net assets respectively under Net realised result on Financial instruments and Movement on net unrealised gain/(loss) on Financial instruments. d) Tracking error The tracking error is the difference between the return on a sub-fund, and the benchmark it is expected to track. It is measured as the standard deviation of the difference in the fund s and index s returns over time. The Fund mainly enters into a derivative instrument in order to allow the Unitholders to benefit from (i) a protection mechanism according to which, for each calendar month, the Net Asset Value per Unit of the Fund will be at least equal to eighty percent (80%) of the first Net Asset Value per Unit of the current month and (ii) a variable exposure to the index Paribas Millenium 10 EUR Serie 3 TR ex Agri (the Index ). The Index, was created by Paribas. The calculation agent is Paribas Arbitrage. It is a total return index. The Index is based on an algorithm which aims to systematically determine the optimal allocation across various asset classes. The asset allocation of the underlying assets is realized under efficient frontier constraints, features both long and short positions and is recalculated monthly. It is composed of a broad universe of assets, and more precisely equities (European, US, Japanese, emerging markets), European real estate, government bonds, commodities (excluding agriculture and livestock commodities), currency and money market. It is subject to a risk-control mechanism, with a maximum target volatility of ten percent (10%). Page 12

15 MILLENIUM GARANT 80 tes to the financial statements at 31/12/2017 te 3 - Management fees (maximum per annum) Management fee of 1.90% of the Net Asset Value is payable to the Management Company in compensation for its services. This management fee is accrued daily, calculated and payable quarterly in arrears. Such management fee corresponds to the maximum management charges and includes the remuneration of the Management Company together with all management charges incurred by the Fund. As specified in the Prospectus, out of its management fee, the Management Company shall pay all fees and commissions to be charged to the Fund by the following service providers included but not limited to: the depositary; the administrative agent and the registrar and transfer agent; the auditor; any distributor(s) and/or minee(s). te 4 - Guarantee Granted to the Fund Upon the creation of the Fund, a guarantee was issued by Paribas S.A. (the Guarantor ), a credit institution duly established and authorized under the laws of France, and whose registered office is located at 16, boulevard des Italiens, F Paris. The Guarantor shall thus guarantee to the Fund that its Net Asset Value will, during a month and for each calendar month, in any case at least be equal to eighty percent (80%) of the Net Asset Value calculated on the first Business Day of the current month (the Guarantee ). The Guarantee is initially granted to the Fund until May 2, 2022, but it may be prorogated every year, provided that the Guarantor so agrees, for an additional year. Unitholders shall be informed of such a prorogation in the financial statements of the Fund every year. Unitholders are thus ensured that, during the Guarantee, for any redemption request made to the Fund, the redemption price of their Units shall be at least equal to eighty percent (80%) of the Net Asset Value calculated on the first Business Day of the current month. The Guarantee may however be diminished by any amount, outstanding or paid by the Fund or having an impact on the derivative instrument, as may be determined by the Management Company in accordance with the Guarantor, including any direct or indirect financial liability, deriving of tax constraints or others, resulting from the creation of new obligations for the Fund, or affecting the derivative instrument entered into by the Fund, due to the modification of the applicable laws and regulations effective upon the creation of the Fund. The Guarantee may be freely and legitimately terminated by the Guarantor in the following cases: amalgamation, split, transformation or liquidation of the Fund without prior approval of the Guarantor; change of the Depositary or of the Management Company, or modification in the control of the Management Company without prior consent of the Guarantor; termination of the derivative instrument by the Fund or modification of the content of the Prospectus, without prior consent of the Guarantor. The cost of the guarantee is embedded in the swap valuation. te 5 - Taxation In Luxembourg, no duty or tax is owed for the issue of units. Fees are however charged to the Fund in relation to the registration with the Mémorial of the Management Regulations, and the publication thereof. The Fund is subject to a subscription tax at an annual rate of 0.05% per annum of its net asset value. The tax does not apply to the part of assets invested in other Luxembourg undertakings for collective investment. Subject to certain conditions, units reserved for institutional investors may potentially be reduced to a rate of 0.01% per annum or be exempt from the subscription tax. Page 13

16 MILLENIUM GARANT 80 tes to the financial statements at 31/12/2017 te 6 - Depositary, Administrative Agent, Registrar and Transfer Agent Fees The Management Company has appointed Paribas Securities Services, Luxembourg Branch as depositary bank of the Fund (hereinafter the Depositary ), as administrative agent of the Fund (hereinafter Administrative Agent ) as well as registrar and transfer agent of the Fund (hereinafter Registrar and Transfer Agent ) by way of agreements concluded since 17 May 2010, for an unlimited period of time. Paribas Securities Services, Luxembourg Branch is entitled, in its capacity as Depositary, Administrative Agent, Registrar and Transfer Agent to receive a fee for the performance of its duties above, as indicated in agreements. Those fees are borne by the Management Company. te 7 - Swaps Total Return Swaps A Total Return Swap (TRS) is an agreement to exchange the total performance of a bond or other underlying asset (share, index, etc.) for a benchmark rate plus a spread. The total performance includes the interest coupons, dividends and profits and losses on the underlying asset over the life of the agreement, depending on the type of underlying concerned. The risk in this type of agreement is linked to the fact that the benefit for each counterparty will depend on how the underlying asset performs over time, which is unknown at the time at which the agreement is entered into. MILLENIUM GARANT 80 % Of net assets minal Counterparty Currency Maturity Sub-fund paid Sub-fund received engaged MILLENIUM % EUR 01/06/2022 minal amount EUR SERIE 3 TR EX AGRI PARIS, INDEX % FRANCE Net unrealised gain (in EUR) Counterparty to Swaps contracts: Paribas Securities Services Paris, France Page 14

17 MILLENIUM GARANT 80 tes to the financial statements at 31/12/2017 te 8 - Global overview of collateral As at 31 December 2017, the counterparties to financial instruments pledged the following collateral in favour of the Fund: Sub-fund Currency OTC collateral Type of collateral MILLENIUM GARANT 80 EUR Cash ; AT REPUBLIC OF AUSTRIA 6.250% 97-15/07/2027 ; AT REPUBLIC OF AUSTRIA 3.900% 05-15/07/2020 ; CA135087E679 - CANADA GOVT 1.500% 15-01/06/2026 ; CA135087WL43 - CANADA GOVT 5.750% 98-01/06/2029 ; CA135087YQ12 - CANADA GOVT 4.000% 08-01/06/2041 ; DE BUNDESREPUBLIK DEUTSCHLAND 1.000% 15-15/08/2025 ; DE BUNDESREPUBLIK DEUTSCHLAND 6.250% 94-04/01/2024 ; DE BUNDESREPUBLIK DEUTSCHLAND 4.250% 08-04/07/2018 ; DE BUNDESREPUBLIK DEUTSCHLAND % 13-23/02/2018 ; FR FRANCE O.A.T % 92-25/04/2023 ; FR FRANCE O.A.T % 12-25/10/2027 ; FR FRANCE O.A.T % 14-25/11/2019 ; GB00B UK TREASURY 4.250% 10-07/12/2040 ; US912828NT32 - US TREASURY NTS 2.625% 10-15/08/2020 te 9 - Changes in the composition of the securities portfolio The list of changes in the composition of the securities portfolio during the year is available free of charge at the Management Company s registered office and from local agents. te 10 - 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). Page 15

18 MILLENIUM GARANT 80 tes to the financial statements at 31/12/2017 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. The Fund did not bear such transactions cost for the year ended 31 December Page 16

19 Unaudited appendix MILLENIUM GARANT 80 Global market risk exposure The Management Company of the Fund, after a risk profile assessment, decided to adopt the commitment approach to determine the global market risk exposure. Information on the Remuneration Policy in effect within the Management Company Below are the quantitative information on remuneration, as required by Article 22 of the AIFM directive (Directive 2011/ 61 / EC of 8 June 2011) and by Article 69 (3) of the UCITS V directive (Directive 2014/91/EU of 23 July 2014), in a format compliant with the recommendations of the AFG (French Asset Management Association) 1. Aggregate quantitative information for members of staff of P AM France (art 22-2-e of AIFM directive and art 69-3 (a) of the UCITS V directive): All staff of P AM France 2 Number of Staff 762 Total Remuneration (k EUR) (fixed + variable) Of which total variable remuneration (k EUR) Including formerly members staff of : CamGestion : THEAM : Aggregate quantitative information for members of staff whose actions have a material impact on the risk profile of the firm and who are indeed Identified Staff 3 (art 22-2-f of AIFM directive and art 69-3 (b) of the UCITS V directive): Business Area Identified Staff of the P AM France : Of which AIF/UCITS and European mandates Portfolio managers Number of Staff Total Remuneration (k EUR) Including formerly Identified staff of CamGestion : Of which AIF/UCITS and European mandates Portfolio managers THEAM : Of which AIF/UCITS and European mandates Portfolio managers NB 1: The remuneration amounts above are not directly reconcilable with the accounting data of the year, as they reflect the amounts allocated, based on the scope of employees at the closing of the annual compensation review process (CRP), in March Thus, for example, these amounts include all variable remuneration awarded during this CRP, whether this variable remuneration is deferred or not, and whether the employees ultimately remained in the company or not. NB 2: As a reminder, level 3 of UCITS V regulation (eg minimum deferred etc ) was published in March 2016 and applies for the first time in performance year 2017, i.e. to variable remuneration awarded in March NB 1: In addition to the these members staff and the corresponding amounts, it should be noted the 5 employees of the Austrian branch, none of whom being an identified staff, and whose the 2016 total fixed remuneration and the 2016 total variable remuneration are K EUR et 247 K EUR respectively. NB 2: For information, are also disclosed the quantitative information on remuneration concerning the former management companies CamGestion and THEAM, both of them having been absorbed by P AM France on the 1 st of vember The identified staff is determined based on end of year review. Page 17

20 Unaudited appendix MILLENIUM GARANT 80 information about P AM France: Number of AIF and UCITS Funds under management of P AM France: UCITS AIFs Number of funds (31/07/2017) AuM (billion EUR) at 31/07/ Number of AIF and UCITS Funds under management of CamGestion: UCITS AIFs Number of funds (31/07/2017) AuM (billion EUR) at 31/07/ Number of AIF and UCITS Funds under management of THEAM: UCITS AIFs Number of funds (31/07/2017) AuM (billion EUR) at 31/07/ More information on the determination of the variable remuneration is set out in the qualitative disclosure on the remuneration policy, which is available on the website of the company. Under the supervision of the P AM remuneration committee, an independent and central audit of the Global P AM remuneration policy and its implementation over the 2016/2017 financial year was conducted between May and July The results of this audit, which covered the P AM entities 4 with an AIFM licence, (most of which have an UCITS licence), was rated globally satisfactory (ie the second best rating out of four). Indeed, no significant issues were found. However, in line with P AM Business line's continuous improvement approach, some recommendations were issued, which relate to further strengthening of controls, processes and documentation. There were no significant changes in the remuneration policy in 2017, save adaptations required by the regulations to better reflect alignment of interest in deferred instruments. tably, the performance of flagship funds of the P AM Business line will have a greater influence on such instruments as from P AM France, P Capital Partners, FundQuest Advisor, P AM Belgium, P AM Luxembourg, P AM Nederland and formerly CamGestion and Theam, both of them having been absorbed by P AM France in Q Page 18

21 Unaudited appendix MILLENIUM GARANT 80 Regulation on transparency of Securities Financing Transactions and Reuse of collateral (SFTR) This collateral applies to all OTC activity of this fund. There is no way to distinguish it upon type of instrument it is related to. MILLENIUM GARANT 80 Counterparty name Type Rating AA+ (S&P) AA+ (S&P) AAA (S&P) AAA (S&P) AAA (S&P) Sub-fund Currency Market Value (absolute value) EUR EUR EUR EUR EUR Cash - EUR Aaa (Moodys) Aaa (Moodys) Aaa (Moodys) Aaa (Moodys) Aa2 (Moodys) Aa2 (Moodys) Aa2 (Moodys) Aa2 (Moodys) EUR EUR EUR EUR EUR EUR EUR EUR Maturity Above Above Above Above Above Less than one day Above Above Three months to One month to three months Above Above Above Above Issuers REPUBLIC OF AUSTRIA REPUBLIC OF AUSTRIA CANADIAN GOVERN- MENT CANADIAN GOVERN- MENT CANADIAN GOVERN- MENT ne BUNDESRE- PUBLIK DEUTSCH- LAND BUNDESRE- PUBLIK DEUTSCH- LAND BUNDESRE- PUBLIK DEUTSCH- LAND BUNDESRE- PUBLIK DEUTSCH- LAND FRANCE (GOVT OF) FRANCE (GOVT OF) FRANCE (GOVT OF) UK TREASURY Safekeeping of collateral received Safekeeping of collateral granted Reinvestment Page 19

22 Unaudited appendix MILLENIUM GARANT 80 Counterparty name Total (absolute value) Type Rating Aaa (Moodys) Sub-fund Currency Market Value (absolute value) EUR EUR Maturity Above Issuers US TREASURY Safekeeping of collateral received Safekeeping of collateral granted Reinvestment Data on cost and return There are no fee sharing arrangements on Total Return Swaps and 100% of the costs/returns generated are recognised in Fund's primary statements. Page 20

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24 The asset manager for a changing world