AMUNDI ETF EURO CORPORATE EX FINANCIALS IBOXX UCITS ETF

Transcription

1 AMUNDI ETF EURO CORPORATE EX FINANCIALS IBOXX UCITS ETF Semi-Annual report September 2015 AMUNDI S UCITS Fund manager : AMUNDI Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian : CACEIS BANK FRANCE Auditors : PRICEWATERHOUSECOOPERS AUDIT This periodic document is not subject to certification by the Auditor of the mutual fund.

2 Contents Pages Informations about the Fund 3 Semi-Annual Report 7 Significant events during the financial period 8 Specific details 9 Certificate drafted by the Auditor relative to the asset composition for the Mutual Fund 10 Portfolio Listing Semi-Annual Report on 09/30/15 2

3 Informations about the Fund Classification Bonds and other debt instruments denominated in the euro. Allocation of net profit Accumulation Allocation of net capital gains realised Accumulation Tax treatment The Fund is eligible for life insurance policies. The Fund may provide a support vehicle for life insurance policies denominated in units of account. The UCITS, by its nature, is not subject to taxation. However, unitholders may be taxed on any income distributed by the Fund or when they sell Fund units. The tax treatment applicable to amounts distributed by the Fund or unrealised or realised capital gains or losses will depend on the individual unitholder's tax situation, residence for tax purposes and/or the investment jurisdiction of the Fund. If an investor is uncertain of his or her tax position, the investor should consult a financial advisor or a professional investment consultant to determine the tax rules applicable to his or her particular situation before any investment. Some income distributed by the UCITS to unitholders residing outside France may be subject to withholding tax in France. Benchmark index The Fund s Benchmark Index is the Markit iboxx EUR Liquid Non-Financials Index, a euro-denominated total return index (i.e. reinvesting the coupons of the components). The Markit iboxx EUR Liquid Non-Financials Index is a bond index, calculated and published by the international index provider Markit Indices Limited, wholly owned by Markit Group Limited. Bonds in the Markit iboxx EURO Liquid Non-Financials Index are euro-denominated bonds issued by private companies ("corporates"). The eligibility criteria for the bonds making up the Markit iboxx EUR Liquid Non-Financials Index are as follows: - nominal and euro-denominated coupons; - classified as "Investment grade" (i.e. rated at least BBB- by Standard&Poor s); - issued in a total amount of at least 750mn; - issued at least three years before; - issue maturing in no more than 1.5 years; - maximum of one bond per issuer. The Markit iboxx EUR Liquid Non-Financials Index is calculated on the basis of the prices of bonds contributed by major European investment banks. Markit Indices Limited methodology and calculation methods mean that the number of securities making up the Markit iboxx EUR Liquid Non-Financials Index varies. At * the Markit iboxx EUR Liquid Non- Financials Index had 20 components. * Source Markit Indices Limited The full methodology of the construction of the Markit iboxx EUR Liquid Non-Financials Index is available on the Markit Indices Limited website: indices.markit.com. Semi-Annual Report on 09/30/15 3

4 Management fees & commissions Subscription and redemption fees: 0.16% including tax. Subscription fee not retained by the Fund For any unit category: None. In compliance with current regulations, this mutual fund has, during the financial period just ended, levied charges at rates which are in line with those stated in the Prospectus and used under the following headings: - Notes to the Annual Accounts /- Management fees - Shareholders Funds /- Subscription and/or redemption fees /- Management fees. Investment objective The Fund s investment objective is to track as closely as possible the performance of the Markit iboxx EUR Liquid Non-Financials Index (see Benchmark index section), whether the Index rises or falls. The Fund is managed so as to achieve a gap between changes in its NAV and changes in the value of the Markit iboxx EUR Liquid Non-Financials Index (referred to below as the Markit iboxx EUR Liquid Non- Financials Index ) as small as possible. The target for maximum tracking error between the Fund s NAV and the value of the Markit iboxx EUR Liquid Non-Financials Index is 2%. If the tracking error exceeds 2%, the objective would nevertheless be to remain below 15% of the volatility of the Markit iboxx EUR Liquid Non-Financials Index. Investment strategy The Fund is managed by index tracking. 1. Strategy employed: The Fund is managed by a technique known as index-tracking with the objective to replicate changes in the performance of the Markit iboxx EUR Liquid Non-Financials Index using a swap-based replication method. To maintain the closest possible correlation with the performance of the Markit iboxx EUR Liquid Non- Financials Index, the Fund will buy a portfolio of bonds and money-market instruments (the "Portfolio") and an over-the-counter (OTC) total return swap, a financial derivative instrument which turns the exposure to the securities in the Portfolio into exposure to the Markit iboxx EUR Liquid Non-Financials Index. Geographic area of the securities issuers OECD issuing countries rated "Investment grade" Spread of sensitivity to interest rates Between 2 and 10 Spread of sensitivity to credit spread Between 2 and 10 Currency in which the components of the index are Euro (EUR) Level of exposure to currency exchange risk The Fund will comply with the investment rules set forth in Articles R and R of the French Monetary and Financial Code (CMF). The Portfolio comprising directly held assets described in the "Assets used" section, complies with the provisions of Article R of the French Monetary and Financial Code (CMF). The Fund's exposure to the Index achieved through the total return swap may be eligible for exemption ratios applicable to the index-tracking UCITS referred to in Article R of the French Monetary and Financial Code (CMF). That Article stipulates that an index may comprise up to 20% equities or debt securities issued by the same entity; this limit may be raised to 35% maximum for a single issuing entity, when such increase is justified by special market circumstances such as the regulated markets where some marketable securities or some money-market instruments are largely dominant. None 2. Assets used (except embedded derivatives): The Fund's exposure to the Index is achieved through the total return swap. The Portfolio consists of the Fund's directly held assets described below. Semi-Annual Report on 09/30/15 4

5 Securities: The Fund will be continuously exposed to one or more Eurozone rate markets. The securities held by the Fund will be chosen so as to limit the tracking costs of the Markit iboxx EUR Liquid Non-Financials Index. They will mostly be fixed interest securities from OECD countries, including government stock, Treasury Bills, Deposit Certificates, commercial paper, bonds issued by firms registered in OECD countries, BMTN (negotiable medium-term notes) and EMTN (Euro Medium Term Notes). Interest-rate instruments: Up to 100% of the Fund s net assets may be invested in any kind of monetary and/or bond instrument from OECD countries. The bond issuers selected may be from the private sector or from the public sector (national or local governments, etc.), and private sector debt may account for up to 100% of all debt instruments. The Fund s sensitivity to interest rates will range from 2 to UCITS units or shares: The Fund may hold up to 10% of its assets in UCITS units and/or shares. These UCITS are representative of all asset classes, in compliance with the Fund's requirements. They may be UCITS managed by the Management Company, or by other entities, regardless of whether they belong to the Crédit Agricole SA Group, including related companies. 3. Derivatives: The Fund will use OTC derivative financial instruments (including total return swaps) to turn the exposure to securities held by the Fund into an exposure to the Markit iboxx EUR Liquid Non-Financials Index value. Off-balance sheet commitments are calculated by the accrual method of accounting. The Fund may take positions in the following derivatives: Type of market: regulated organised over-the-counter Categories of risk in which the Fund intends to take a position: equity risk interest rate risk currency risk credit risk other risks Nature of positions to be taken, which must be limited to those required to meet the management objective: hedging exposure arbitrage other Types of instruments used: futures: on equities and indices options: on equities and indices Semi-Annual Report on 09/30/15 5

6 total return swaps: on equities and indices total return swap: credit derivatives: credit default swaps other Strategies for use of incorporated derivatives to achieve the management objective: constructing a synthetic exposure to a particular security, sector and/or to the Markit iboxx EUR Liquid Non-Financials Index via the use of swaps. management of intermediate cash flows (subscriptions/redemptions, etc.) to reach the desired degree of exposure to a particular stock and/or sector and/or to the Markit iboxx EUR Liquid Non-Financials Index via the use of futures. management of intermediate cash flows (dividends, subscriptions/redemptions, etc.) to reach the desired degree of exposure to a particular stock and/or sector and/or to the Markit iboxx EUR Liquid Non-Financials Index via the use of options. These instruments may be used to hedge up to 100% of the Fund s net assets. 4. Securities incorporating derivatives ( embedded derivatives ): None. 5. Deposits and liquid assets: The Fund may hold up to 20% of its net assets in deposits for a maximum term of twelve months. The deposits are used for cash management purposes and help the Fund achieve its management objectives. 6. Borrowing: The Fund may temporarily, and in exceptional cases, borrow up to 10% of its net assets in order to optimize its cash flow management. 7. Temporary acquisitions and sales of securities: None. Over-exposure of the assets: None All its commitments on derivatives and embedded derivatives may not exceed 110% of the Fund's net assets. Information on UCITS financial guarantees (collateral): None. Overview of the procedure for choosing intermediaries / counterparties and comments: The Management Company generally issues a bid tender. In this case such a procedure has not been required. The Management Company will therefore not undertake a formal procedure that might be tracked and monitored, so as to ensure competition among potential counterparties of OTC swaps it enters into, or among the vendors it buys embedded derivatives from. The Fund may conduct these transactions with Société Générale Corporate and Investment Banking or any other company in the Société Générale group as counterparties or intermediaries. Risk profile: Capital risk Factors that may influence the ability of the Fund to track the performance of the Markit iboxx EUR Liquid Non-Financials Index Interest rate risk Credit Risk Counterparty risk related to the tracking method selected Liquidity risk Liquidity risk in a stock market Operational risk Semi-Annual Report on 09/30/15 6

7 Semi-Annual Report September 2015 The Fund's objective is to track as closely as possible the euro-denominated Markit iboxx EUR Liquid Non- Financials Index, total return index (i.e. interest is rolled up), whether the Markit iboxx EUR Liquid Non- Financials index rises or falls. For the period under review, the portfolio AMUNDI ETF EURO CORPORATE EX FINANCIALS IBOXX UCITS ETF performance is -2.12%. The benchmark performance is -1.99%. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities Movements (in amount) Acquisitions Transfers INST DE 0.5% EMTN 979, , DEXI CRE 0.625% EMTN 911, , KFW 4.375% , , CADES 0 1/2 05/25/23 712, , PAYS-BAS 0% 15/01/19 725, , CCCI 1.125% 04/19 622, , BANQ EUR 0.125% EMTN 594, , ROYAUME D'ESPAGNE 1.8% 30/11/2024 IND 594, , BUONI POLIENNALI DES TESORO 4.75% 15/09/ , , CADES 1% 05/18 572, , Semi-Annual Report on 09/30/15 7

8 Significant events during the financial period None. Semi-Annual Report on 09/30/15 8

9 Specific details Voting rights In accordance with the Fund s Rules and the Fund Manager s stated policy, the Fund Manager exercises the voting rights attached to the securities held by the Fund and decides on contributions in the form of securities, except where the securities are those of the Fund Manager itself or of any associate company as defined in Art L of the French Labour Code (Code du Travail). Two documents, Voting Policy and Report on the Exercise of Voting Rights, prepared by the Fund Manager in compliance with the current regulations are available upon request. This mutual fund (OPC) has not been selected as one of the funds which currently exercise voting rights. Soft commissions The Fund Manager has received no soft commissions. Movement commission The Fund Manager has received no commissions on trade. Use of credit derivatives The Fund has not used credit derivatives during the period under consideration. Group funds Details of the financial instruments held by the Fund which are issued by the Fund Manager or its associates will be found in the Auditor s Report for the latest financial period (enclosed herein) under the following headings of annuals accounts: Further details. Group financial instruments held by the Fund. Off-balance sheet commitments calculation Off-Balance Sheet commitments are calculated with a Commitment calculation method. Semi-Annual Report on 09/30/15 9

10 AMUNDI ETF MSCI EM ASIA UCITS ETF MUTUAL FUND STATEMENT OF AUDIT REGARDING THE COMPOSITION OF ASSETS ON 30 SEPTEMBER 2015 In our capacity as auditor of the Fund AMUNDI ETF MSCI EM ASIA UCITS ETF, and in compliance with the provisions set out in article L of the Code Monétaire et Financier and article of the General Regulations of the AMF, we have verified the validity of the composition AMUNDI ETF MSCI EM ASIA UCITS ETF ETF of assets as shown attached to this statement. The documents published were established under the responsibility of the Fund Manager. We are responsible, based on our audit, for attesting to their validity. The audit of the information contained within these documents has been carried out in accordance with the professional standards applicable in France. These standards require due diligence in order to assess the validity of this information in terms of consistency, accuracy and relevance. Such audit, limited to its objective, essentially consists of analytical procedures and interviews with the people responsible for the information published. We have no observations to make regarding the validity of the information provided in the published documents. Neuilly sur Seine, The auditor PricewaterhouseCoopers Audit firm Document authenticated by electronic signature Benjamin Moïse PricewaterhouseCoopers Audit, SA, 63, rue de Villiers, Neuilly-sur-Seine Cedex T: +33 (o) ,F: +33 (o) ,

11 Portfolio Listing Name of security Currency Quantity Market value % Bonds and similar securities Listed bonds and similar securities AUSTRIA AUTOBAHN 1.75% 10/20 EUR 156, , OMVAV /19/18 EUR 147, , TELEKOM FINANZMANAGEMENT GMBH 3.125% 03/12/2021 EUR 46,000 51, TOTAL AUSTRIA 369, BELGIUM ANHEUSER E3R+0.38% 29/03/2018 EUR 100, , ANHEUSER-BUSCH INBEV 2.875% 25/09/24 EUR 107, , TOTAL BELGIUM 216, FRANCE CADES 1.5% i 25/07/2024 EUR 14,000 16, ENGIE 3% 02/23 EUR 217, , FREN REPU REPU ZCP EUR 33, , FREN REPU REPU ZCP EUR 89, , LAFARGE SA 5.375% EMTN EUR 62,000 73, OAT 0% 25/10/2028 FUNGIBLE EUR 115, , R.A.T.P. 4.5% EUR 50,000 56, RCI B 1.25% EMTN EUR 43,000 40, RCI BANQUE 4.25% 04/17 EUR 15,000 16, RENAULT 3.625% 19/09/2018 EUR 6,000 6, SANOFI AVENTIS 1% 11/17 EUR 408, , TOTAL FRANCE 1,087, GERMANY ALLEMAGNE 0% 04/01/22 EUR ALLEMAGNE 0% 04/0725 EUR 88, , ALLEMAGNE 0% 07/24 EUR 162, , ALLEMAGNE 0% 07/26 EUR 119, , ALLEMAGNE 0% 07/27 EUR 119, , ALLEMAGNE 0% 07/29 EUR 35, , CONTINENTAL AG 3.125% 09/09/2020 EUR 107, , LINDE AG 1.75% 17/09/2020 EUR 138, , NRW BANK 1.5% 18/01/2016 EUR 6,000 6, S 1.75% EMTN EUR 132, , STRIP INT 04/01/19 EUR STRIP INT 04/01/24 EUR 21,048 20, STRIP PPMT (5.625%) 04/01/28 EUR 53, , TOTAL GERMANY 956, Semi-Annual Report on 09/30/15 11

12 Portfolio Listing Name of security Currency Quantity Market value % LUXEMBURG EFSF 1 1/2 01/22/20 EUR 174, , EFSF 1.625% 07/20 EUR 33,000 35, EFSF 2% 15/05/2017 EUR 35,000 36, EURO FIN 0.2% EMTN EUR 189, , EURO FINL STA 0.25% EUR 67,000 67, TOTAL LUXEMBURG 504, NETHERLANDS BMW FINANCE 3.25% 14/01/2019 EUR 26,000 28, DEUTSCHE POST FINANCE 1.875% 27/06/2017 EUR 41,000 42, HEINEKEN 2.50% 03/19 EUR 275, , PAYS BAS 0% 15/01/2026 STRIPS EUR 75,848 69, PAYS-BAS 0% 15/01/19 EUR 166, , RDSALN 2 1/2 03/24/26 EUR 200, , RWE FINANCE 5 1/8%03-18 EMTN EUR 106, , V E3R+0.3% EMTN EUR 313, , VOLKSWAGEN INTL FIN NV 1.875% 15/05/2017 EUR 37,000 37, TOTAL NETHERLANDS 1,270, SLOVAKIA SPAIN USA SLOVAKIA TV 11/16 EUR 562, , TOTAL SLOVAKIA 562, CORES 4.5%08-18 EMTN EUR 200, , ICO 0 3/8 10/31/16 EUR 63,000 63, INSTITUT CREDITO OFICIAL 2.375% 31/10/2015 EUR 51,000 52, TOTAL SPAIN 339, GLAX CAP 0.625% EMTN EUR 228, , PEMEX PROJECT 5.50% 02/25 EUR 85,000 93, TOYO MOT 0.75% EMTN EUR 9,000 8, TOYOTA MOTOR CREDIT CORP 1.25% 01/08/2017 EUR 35,000 35, TOYOTA /23/20 EUR 64,000 66, TOTAL USA 435, Total listed bond and similar securities 5,742, Total bonds and similar securities 5,742, Credit instruments Credit instruments traded in a regulated market or equivalent LUXEMBURG EURO STAB MECH ZCP EUR 395, , Semi-Annual Report on 09/30/15 12

13 Portfolio Listing Name of security Currency Quantity Market value % EUROPEAN STABILITY MECHANISM ZCP EUR 100, , TOTAL LUXEMBURG 495, Total credit instruments traded on a regulated or similar market 495, Total credit instruments 495, Hedges Other hedges Other swaps SG ETF 27/11/2019 EUR 6,222,000-19, Total Other SWAPS -19, Total other hedges -19, Total hedges -19, Debts -2, Financial accounts Net assets 6,215, AMUNDI ETF EURO CORPORATE EX FINANCIALS IBOXX UCIT EUR 60, Semi-Annual Report on 09/30/15 13

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