Semi-Annual Report as at 28 February Deka-Commodities

Transcription

1 Semi-Annual Report as at 28 February Deka-Commodities An Investment Fund subject to Part I of the Law of 17 December 2010 on Undertakings for Collective Investment (UCITS). Deka International S.A.

2 Board of Management report. March 2018 Dear Investor, This Semi-Annual Report provides complete information on the performance of the fund Deka-Commodities for the period 1 September 2017 to 28 February The last six months saw a continuation of the strong recovery that the global real economy has recorded for more than a year. In an environment marked by a strong synchronous upswing in mature economies and very solid growth in the emerging markets, most economic barometers were high at the expansive end of the scale. The liquidity-driven search for adequate returns and increasing corporate earnings overshadowed existing monetary policy risks over long periods. It was not until the beginning of the year that strong economic data led investors to turn their attention to the signals being given by the major central banks on further normalisation of monetary policy. The yields on 10-year German government bonds initially followed a volatile sideways movement during the reporting period, before trending significantly upwards after the beginning of the year to end the period at 0.7 per cent, the highest level since December Given good US economic data, US Treasuries with the same maturity yielded 2.9 per cent at the end of the period, the highest since January On international stock markets, the strong upward movement recorded in the previous year continued until the end of January, before concerns about early monetary policy tightening by the major central banks led stock markets to plunge in a major correction in the final month of the reporting period. This led to most of the previous price gains being eliminated in Europe. The losses were smaller in the US, Japan and China. Deka-Commodities recorded performance of 8.3 per cent in unit class CF (A) and 8.6 per cent in unit classes I (A) and I (T) in this market environment. Unit class TF (A) recorded performance of 7.9 per cent. We would like to take this opportunity to thank you for the confidence you have placed in us. In addition, please note that changes to the Contractual Terms of the Investment Fund and other important information are announced for unit holders on the Internet at Additional information on investment funds, as well as current monthly facts and figures on your funds, are also provided there. Yours sincerely, Deka International S.A. Board of Management Holger Hildebrandt Eugen Lehnertz 3

3 Contents. Investment policy. Page Deka-Commodities 5 Asset statement as at 28 February Page Deka-Commodities 6 Management information. 9 Your partners in the Sparkassen-Finanzgruppe. 10 Any decision to acquire units must be based solely on the current Sales Prospectus, together with the latest Annual and, if applicable, Semi-Annual Report included with it. 4

4 Deka-Commodities Investment policy. The investment objective of Deka-Commodities is to achieve medium- to long-term capital growth by indirect participation in the performance of international commodity and commodity futures markets. Derivative financial instruments will be used to achieve this objective. The Fund follows a strategy of investing indirectly in selected commodities using derivative financial instruments (derivatives) in order to participate in the performance of these international commodity and commodity futures markets. These derivatives are not based directly on commodities, but on commodity indices. The Fund is thus able to invest in the energy, agricultural (except for staple foods), base metal and precious metal sectors. However, the Fund only needs to use a portion of its assets to invest in commodity markets using derivatives, the remaining portion is invested in euro-denominated money market instruments and fixed interest securities or in call and term deposits. Key figures Deka-Commodities Performance* 6 months 1 year 3 years Unit class CF (A) 8.3% 10.7% -0.2% Unit class TF (A) 7.9% 9.9% -0.9% Unit class I (A) 8.6% 11.3% 0.3% Unit class I (T) 8.6% 11.3% 0.3% ISIN Unit class CF (A) Unit class TF (A) Unit class I (A) Unit class I (T) LU LU LU LU * p.a./calculated using the BVI method, previous performance is not a reliable indicator of future performance Fund structure Deka-Commodities J A Credit derivatives in the form of total return swaps (long and short) on ten commodity sub-indices were used to position the Fund. The crude oil, heating oil, palladium, nickel, lead and cocoa segments made positive contributions during the reporting period, while the petrol, natural gas, gold, silver and coffee segments had negative effects. Deka-Commodities recorded performance of 8.3 per cent in unit class CF (A) and 7.9 per cent in unit class TF (A) during the reporting period. Unit classes I (A) and I (T) each recorded an increase of 8.6 per cent. H G A Cocoa B Zinc C Platinum D Palladium E Copper F Gold G Crude oil H Heating oil I Lead J Natural gas I F E D B C 10.9% 10.6% 10.2% 10.1% 10.0% 9.9% 9.9% 9.7% 9.5% 9.2% 5

5 Deka-Commodities Asset statement as at 28 February ISIN Category Market Units Holdings Purchases/ Sales/ Price Market value % of or 28/02/2018 Additions Disposals in EUR net currency during the reporting period assets Derivatives (Assets marked with minus are sold positions.) Swaps Total return swap -2,207, TRS long exp CSCU012E Index / CSFBINT_LDN 27/03/2018 OTC UNIT 72,000,000-1,066, TRS long exp CSCU012E Index / MOST_LDN 27/03/2018 OTC UNIT 70,000,000-1,026, TRS long exp CSCU012E Index / JPM_LDN 27/03/2018 OTC UNIT 23,000, , TRS long exp CSCU012E Index / MOST_LDN 27/02/2018 OTC UNIT 9,500, , Total swaps EUR -2,207, Cash at banks, money market securities and money market funds Bank deposits EUR balances with the Custodian DekaBank Deutsche Girozentrale S.A. EUR 16,069, % ,069, Balances in non-eu/eea currencies DekaBank Deutsche Girozentrale S.A. USD 1,063, % , Term money -0.13% Deutsche Bank AG (28/08/2018) EUR 3,000, % ,000, % Deutsche Bank AG (12/09/2018) EUR 15,000, % ,000, % Commerzbank AG (28/08/2018) EUR 7,000, % ,000, % Landesbank Hessen-Thüringen G (26/09/2018) EUR 4,000, % ,000, Call money -0.43% Landesbank Saar EUR 5,000, % ,000, % Bayerische Landesbank EUR 23,500, % ,500, % Norddeutsche Landesbank -Girozentrale- EUR 5,000, % ,000, % Landesbank Berlin AG EUR 23,000, % ,000, % Landesbank Hessen-Thüringen Girozentrale EUR 20,500, % ,500, % Landesbank Baden-Württemberg EUR 23,000, % ,000, Total of cash at banks 1) EUR 145,939, Total of cash at banks, money market securities and money market funds EUR 145,939, Other assets Receivables from unit certificate transactions EUR 34, , Receivables from cash collateral EUR 910, , Receivables from spot currency positions EUR 818, , Total other assets EUR 1,763, Other liabilities Management fee EUR -147, , Taxe d abonnement EUR -10, , Payables from unit certificate transactions EUR -48, , Lump-sum fee EUR -16, , Other liabilities EUR -14, , Liabilities from spot currency positions EUR -814, , Liabilities due to negative deposit rates EUR -29, , Total other liabilities EUR -1,082, Fund assets EUR 144,413, * Class CF (A) units in circulation UNIT 1,269, Class TF (A) units in circulation UNIT 1,061, Class I (A) units in circulation UNIT 202, Class I (T) units in circulation UNIT 227, Class CF (A) unit value EUR Class TF (A) unit value EUR Class I (A) unit value EUR Class I (T) unit value EUR Proportion of securities to fund assets (in %) 0.00 Proportion of derivatives to fund assets (in %) * Differences in percentage values are possible due to rounding. 1) This position includes collateral deposited for other derivatives. Total collateral furnished for derivatives EUR balances at the: Credit Suisse International 530, J.P. Morgan Securities PLC 170, Morgan Stanley & Co. International PLC 210,

6 Deka-Commodities Securities prices or market rates The assets of the Fund have been valued on the basis of the following prices/market rates: Domestic / foreign derivatives as at: 28/02/2018 All other assets as at: 28/02/2018 Exchange rate(s) or conversion factor(s) (volume quotation) as at 28/02/2018 United States, dollar (USD) = 1 euro (EUR) Additional disclosures in accordance with Regulation (EU) 2015/2365 on transparency of securities financing transactions (disclosures for each type of securities financing transaction/total return swap) Assets used Market value in EUR in % of net assets Total return swaps -2,207, largest counterparties Total return swaps Gross volume of open transactions in EUR Country of domicile Morgan Stanley & Co. International PLC 1,253, United Kingdom Credit Suisse International 1,066, United Kingdom J.P. Morgan Securities PLC 340, United Kingdom Type(s) of settlement/clearing (e.g. bilateral, tri-party, CCP) Securities financing transactions are settled through a central counterparty (organised security lending system) as bilateral transactions (principal transactions) or tri-party transactions (agency transactions). Total return swaps are concluded as bilateral OTC transactions. Transactions broken down by time to maturity (absolute amounts) Total return swaps Absolute amount in EUR Time to maturity less than 1 day 226, Time to maturity 7-30 days 2,433, Type(s) and quality of collateral received Collateral that the Fund receives can be provided in the form of liquid assets (e.g. cash and bank balances) or by transfer or pledging of bonds, in particular government bonds. Bonds provided as collateral must have a minimum rating of BBB-. Collateral can also be furnished in the form of shares. Shares provided as collateral must be listed or traded on a regulated market in a Member State of the European Union or on a stock exchange in an OECD Member Country and must be included in a major index. The value of collateral is reduced (haircut) depending on the type of security, issuer creditworthiness and, if applicable, remaining time to maturity. The haircuts are as follows for the categories of securities indicated: - Bank deposits 0% - Shares 5% - 40% - Bonds 0.5% - 30% An additional haircut of up to 10 percentage points can also be applied for collateral that is in a different currency than the fund currency. The Management Company can deviate from the values indicated in exceptional market situations (e.g. market turbulence). Currency/currencies of collateral received Total return swaps No collateral received. Collateral broken down by time to maturity (absolute amounts) Total return swaps No collateral received. Share of income and expenses Total return swaps *) Absolute amount in EUR in % of gross income of the Fund Fund share of income 15,287, Fund share of expenses 1,057, Management Company share of income *) Realised total return swaps, not including open transactions When total return swaps are traded, in addition to transaction costs a market bid/offer spread that generally does not exceed 50 basis points is included that contains the income component for the third party and covers its costs. Extraordinary market situations (e.g. with respect to the underlying, asset class, volatilities or money market rates) could cause a temporary widening of the usual spreads. 7

7 Deka-Commodities Fund income from reinvestment of cash collateral, based on all securities financing transactions and total return swaps (absolute amount) Cash collateral was not reinvested. Ten largest collateral providers, based on all securities financing transactions and total return swaps Total return swaps No collateral received Reinvested collateral as a % of collateral received, based on all securities financing transactions and total return swaps Collateral was not reinvested. Custodians/account managers of collateral received for securities financing transactions and total return swaps Total number of custodians/account managers none Due to the use of global collateral, it is impossible to assign counterparties of the collateral received to transaction types for total return swaps. The amounts shown therefore do not include total return swaps. These are, however, sufficiently collateralised by the global collateral. Type of custodianship for collateral provided for securities financing transactions and total return swaps As a % of all collateral provided for securities financing transactions and total return swaps Segregated accounts/securities accounts 0.00 Pooled accounts/securities accounts 0.00 Other accounts/securities accounts 0.00 Recipient determines type of custodianship

8 Management information. The DekaBank securities account Complete service for your investment funds Our DekaBank securities account is a cost-effective way to hold a variety of funds of your choice in a single securities account with only one exemption application. An investment universe of around 1,000 funds issued by the Deka Group and renowned international cooperation partners is available to you for this purpose. The range of funds is suitable for realising a wide variety of investment models. For example, you can choose from a number of alternatives for capital accumulation, including: The Deka-FondsSparplan, a savings plan which is tailored to an investor s individual needs and has a minimum investment of EUR 25, is suitable for the investor who would like to direct regular savings payments into investment funds. The assets accumulated in this way can be paid out in the future according to the investor s needs by using the Deka-Auszahlplan. Two investment vehicles are available for systematic and flexible asset accumulation, and are particularly appropriate for personal old-age provision: Deka-ZukunftsPlan: A personal pension solution based on an intelligent investment concept also available with a Riester subsidy. Deka-BasisRente: A Rürup solution that combines the benefits of a government-subsidised investment with the growth potential of an optimised asset structure. Orders can be submitted in a number of ways, e.g. by regular mail, telephone and Internet using our website Information on DekaBank securities accounts and funds is available from our service hot-line by calling (0 69) , Monday to Friday between 8:00 a.m. and 6:00 p.m. The Deka-JuniorPlan is particularly appropriate for anyone who wishes to make regular savings deposits for a child. The plan invests monthly contributions of EUR 25 or more in good, broadly diversified opportunities for asset accumulation. Professional asset management is used to take advantage of long-term opportunities for high expected returns, while significantly reducing risk compared to investments in individual securities. 9

9 Your partners in the Sparkassen-Finanzgruppe. Management Company Deka International S.A. 6, rue Lou Hemmer Findel, Equity as at 31 December 2016 subscribed EUR 10.4 million paid-in EUR 10.4 million liable EUR 77.5 million Board of Management Holger Hildebrandt Managing Director of International Fund Management S.A., ; Member of the Board of Directors of Deka Immobilien S.A., Eugen Lehnertz Managing Director of International Fund Management S.A., Supervisory Board Chairman Thomas Schneider Chairman of the Supervisory Board of International Fund Management S.A., ; Member of the Board of Management of Deka Investment GmbH, Frankfurt Deputy Chairman Holger Knüppe Director of Equity Investments, DekaBank Deutsche Girozentrale, Frankfurt am Main, Germany; Member of the Supervisory Board of International Fund Management S.A., Custodian and Payment Agent DekaBank Deutsche Girozentrale S.A. 6, rue Lou Hemmer Findel, Equity as at 31 December 2016 subscribed EUR 50 million paid-in EUR 50 million liable EUR million Cabinet de révision agréé for the Fund and Management Company KPMG Société coopérative 39, avenue John F. Kennedy 1855, Payment and Information Agent in the Federal Republic of Germany DekaBank Deutsche Girozentrale Mainzer Landstraße Frankfurt am Main, Germany The information above is updated in the Annual and the Semi-Annual Reports. Member Marie-Anne van den Berg, (as at 01 January 2018) 10

10 Deka International S.A. 6, rue Lou Hemmer Findel, P.O. Box Version: 02/18 Telephone: (+3 52) Fax: (+3 52)