Amundi Money Market Fund - Short Term (USD) - IC

Transcription

1 31/05/2018 Key information (source : Amundi) Net Asset Value (NAV) : 1 ( USD ) NAV and AUM as at : 31/05/2018 Assets Under Management (AUM) : ( m illion USD ) ISIN code : LU Bloomberg code : AMSUICD LX Reuters code : LP SEDOL code : - Benchmark : 100% US FEDERAL FUNDS CAPITALISED Investment Objective Rated AAAm by S&P, AAAmmf by Fitch and referenced by IMMFA, the sub-fund offers investors daily liquidity, limited risks and aims to outperform the compounded US FEDERAL FUNDS index (minus fees applicable to each share class). The investment team seeks the best compromise between high performance and low risk. Risk & Reward Profile (SRRI) Lower risk, potentially lower rewards Higher risk, potentially higher rewards The SRRI represents the risk a nd return profile a s presented in the Key Investor Inform a tion Docum ent (KIID). The lowest ca tegory does not im ply tha t there is no risk. The SRRI is not guaranteed and may change over time. Returns Non-capital guaranteed fund 2.25 % 2 % 1.75 % 1.5 % 1.25 % 1 % 0.75 % 3.3 Cumulative returns * /17 07/17 08/17 09/17 10/17 11/17 12/17 01/18 02/18 03/18 04/18 05/ Portfolio Benchmark Basis points spread WAM and WAL in days WAM WAL 31/05/ /04/ /03/ /02/ /01/ /12/ /11/ /10/ /09/ /08/ /07/ /06/ WAL (Weighted Average Life) : credit duration in days WAM (Weighted Average Maturity) : modified duration in days Volatility YTD 1 m onth 3 m onths 1 yea r 3 yea rs 5 years Since Since 29/12/ /04/ /02/ /05/ /05/ /05/ /04/2011 Portfolio 1.70% 2.01% 1.85% 1.43% 0.83% 0.54% 0.45% Benchm a rk 1.57% 1.72% 1.66% 1.35% 0.72% 0.47% 0.37% Sprea d 0.13% 0.28% 0.20% 0.08% 0.11% 0.07% 0.08% Calendar year performance * Portfolio 1.13% 0.56% 0.14% 0.09% 0.16% 0.29% Benchm a rk 1.02% 0.40% 0.14% 0.09% 0.11% 0.14% * Source : Amundi. Cumulative returns are calculated on a yearly basis on a 365 days (expressed with the round-off superior). The a bove results perta in to full 12-m onth period per ca lenda r yea r. All performances are calculated net income reinvested and net of all charges taken by the Sub-Fund. Past perform a nce is not a relia ble indica tor of future perform a nce. The va lue of investm ents m a y va ry upwards or downwards according to market conditions. 1 yea r 3 yea rs 5 yea rs Portfolio volatility 0.04% 0.07% 0.07% Benchmark volatility 0.03% 0.07% 0.07% Volatility is a statistical indicator that measures an asset s variations around its average value. For example, market variations of +/- 1.5% per day correspond to a volatility of 25% per year. Fund statistics Portfolio Modified duration 0.10 Average rating AA- Number of lines 46 Issuer number 44 Modified duration (in points) estimates a bond portfolio s percentage price change for 1% change in yield amundi.com

2 Management commentary Monetary policy and market environment : US interest rates remained on an upwards trend during the first half of the month and then dropped significantly, by between 10bps and 15bps for the 1-year and 2-year rates to respectively 2.20% and 2.40%. The FOMC minutes published on May 23 were relatively accommodative: they revealed that the FED is not prepared to call into question its policy of gradual tightening of key rates even if inflation climbs above the 2% target rate. Moreover, to prevent the effective Fed Funds rate from coming too close to the upper limit (currently set at 1.75%), the FED suggests cutting the IEOR (interest on excess reserves) by 5bps at the end of next hike in the Fed Funds rates. The uncertainties hanging over the trade discussions between the United States and its partners and above all the political instability that has emerged in Italy also pushed US rates down. In the money market, the LOIS (3-month Libor-OIS spread), which had peaked at +59bps at the beginning of April, dropped back significantly - to 43bps - due to a substantial decrease in issues of US Tbills and commercial paper. Libor fixing rates were down slightly month on month: at the end of May, three, six and 12 month fixing rates stood at 2.32%, 2.48% and 2.73%, down by around 5bps over the month. Investment policy: Instantaneous liquidity was essentially provided by overnight time deposits. The majority of investment during the month concerned money-market securities with a maturity of three months. The yield to maturity on these securities ranged between 2.16% (securities rated A1+P1) and 2.28% (securities rated A1P1). The weighted average life (WAL) of this short-term money-market portfolio is 56 days, down slightly compared with the previous month. Investments maturing in less than three months represent nearly 81% of the portfolio. Interest rate risk: The portfolio s weighted average maturity (WAM) is 36 days versus 38 days at end-april. Market expectations are now slightly above the FED's target (updated in March), i.e. two additional interest rate hikes before the end of 2018 and a hike at the end of the June 13 FOMC is now wholly priced in. In these conditions, raising the portfolio s duration seems appropriate. The portfolio s good credit quality enabled us to maintain a portfolio credit factor compatible with the ratings assigned by the rating agencies. It stood at 0.95 at the end of May compared with the PCF of 1.5 authorized in the rating agencies guidelines. The Fund s average long-term rating is AA-. Portfolio breakdown Principal lines in Portfolio Portfolio Ma turity Country Instrument Group Counterpartyrty BELGIUM 5.02% 05/07/2018 Belgium Money market - UNILEVER NV 3.01% 23/07/2018 Netherlands Money market - LANDESKREDITBK BW (L-BANK) 3.01% 24/08/2018 Germany Money market - COUNCIL OF EUROPE DVPMT BK 3.01% 17/07/2018 Supranational Money market - KFW-KDT F WDERAUFBAU 3.01% 09/07/2018 Germany Money market - ANZ BANKING GRP LTD 3.01% 17/07/2018 Australia Money market - ABN AMRO BANK NV 2.41% 04/09/2018 Netherlands Money market - DEUTSCHE BAHN AG 2.02% 25/06/2018 Germany Money market - ALLIANZ SE 2.01% 05/07/2018 Germany Money market - IRELAND (REPUBLIC OF ) 2.01% 30/07/2018 Ireland Money market - * For reverse repurchase, displayed maturity is of 1 day. It corresponds to the time necessary to settle the transaction * Counterparty column: information only available for the reverse repurchase Portfolio breakdown - Short term Rating Portfolio breakdown - Long term rating 40 % % % 30 % % 20 % 10 % 9.06 % % A1 (without repo) A1+ (without repo) Rating of the agency Standard & Poor's 0 % O/N & Repo AAA AA A Portfolio Median Rating calculated of the three agencies: Fitch, Moody's and Standard & Poor's

3 Portfolio breakdown - Sector Portfolio breakdown - Instrument Type 9.44 % % % 4.02 % % O/N & Repo Financials Govies & agencies Corporate Portfolio breakdown by maturity % Bonds Commercial Paper NEU CP O/N & Repo O/N & Repo 8-30 days 5.53 % days % days % days % days 2.60 % 0 % 5 % 10 % 15 % 20 % 25 % 30 % 35 % 40 % O/N & Repo : assets invested for one business day Long-Term ratings / maturity matrix AAA AA+ AA AA- A+ A O/N & Repo Total 0-4 months 7.54% 7.03% 5.53% 19.93% 12.45% 7.54% 29.92% 89.93% 4-12 months 1.52% 1.01% % 4.00% 1.51% % Tota l 9.06% 8.04% 5.53% 21.95% 16.46% 9.05% 29.92% 100%

4 Countries / S ectors / Maturities matrix 0-1 month 1-3 months 3-6 months 6-12 months Total Euro Zone 4.02% 27.12% 5.92% 1.01% 38.07% Austria % % Financials % % Belgium % % Govies & agencies % % Fra nce 0% 1.50% 3.52% % Financials % % Govies & agencies % % Corporate 0% % % Germ a ny 4.02% 13.56% % Financials 4.02% 13.56% % Irela nd % % Govies & agencies % % Netherla nds % 2.41% 1.01% 6.43% Financials % 1.01% 3.42% Corporate % % Rest of the world 1.51% 21.44% 7.47% 1.59% 32.01% Austra lia % % 6.03% Financials % % 6.03% Ca na da 1.51% 2.38% % Financials 1.51% 2.38% % Ja pa n % 2.01% % Financials % 1.00% % Govies & agencies % % Supra na tiona l % 3.03% % Govies & agencies % 3.03% % Sweden % 1.01% % Financials % 1.01% % Corporate % % Switzerla nd % 0.58% Financials % 0.58% United States % 1.41% % Corporate % 1.41% % O/N & repo 29.92% %

5 Information Fund structure Management Company Custodian UCITS under Luxembourg law Amundi Luxembourg SA CACEIS Bank, Luxembourg Branch Share-class inception date 19/04/2011 Share-class reference currency Type of shares ISIN code Bloomberg code Minimum first subscription / subsequent Frequency of NAV calculation USD Distribution LU AMSUICD LX USD / 1 thousandth(s) of (a) share(s) Dealing times Orders received each day D day before 18:00 Entry charge (maximum) 0% Maximum direct annual management fees including taxes Maximum indirect annual management fees including taxes - Performance fees Maximum performance fees rate (% per year) - Exit charge (maximum) 0% Daily 0.10% IAT Ongoing charge 0.05% ( Estimated ) - 09/04/2018 Minimum recommended investment period Benchmark index performance record UCITS compliant Current/Forward price Redemption Date Subscription Value Date No 1 Day 19/04/2011: % US FEDERAL FUNDS CAPITALISED UCITS Current price D D Your fund presents a risk of ca pita l loss. Its net asset value may fluctuate and the invested capital is not guaranteed. Under no circumstances may the fund draw on external support to guarantee or stabilise its net asset value. Investing in money market funds is unlike investing in bank deposits.

6 Legal information This document is provided for information purposes only and does not constitute a recommendation, a solicitation, an offer, advice or an invitation to purchase or sell any units or shares of the fund (FCP), collective employee fund (FCPE), SICAV, SICAV sub-fund or SICAV investing primarily in real estate (SPPICAV) (collectively, the Funds ) described herein and should in no case be interpreted as such. This document is not a contract or commitment of any form. Information contained in this document may be altered without notice. The management company accepts no liability whatsoever, whether direct or indirect, that may arise from the use of information contained in this document. The management company can in no way be held responsible for any decision or investment made on the basis of information contained in this document. The information contained in this document is disclosed to you on a confidential basis and shall not be copied, reproduced, modified, translated or distributed without the prior written approval of the management company, to any third person or entity in any country or jurisdiction which would subject the management company or any of the funds, to any registration requirements within these jurisdictions or where it might be considered as unlawful. Not all of the funds are systematically registered in all jurisdictions of all investors. Investment involves risk. The past performances shown in this document, and simulations based on these, do not guarantee future results, nor are they reliable indicators of future performance. The value of an investment in units or shares of the funds may fluctuate according to market conditions and cause the value of an investment to go up or down. As a result, fund investors may lose all or part of the capital originally invested. All potential investors in the funds are advised to ascertain whether such an investment is compatible with the laws to which they are subject and the tax implications of such an investment prior to investing, and to familiarise themselves with the legal documents in force for each fund. Unless stated otherwise, the management company is the source of the data in this document. Unless stated otherwise, the data in this document are correct as at the date specified under MONTHLY REPORT at the beginning of this document. This document is designed exclusively for institutional, professional, qualified or sophisticated investors and distributors. It is not meant for the general public or private clients of any jurisdiction or those qualified as 'US Persons'. Approved investors in regard to the European Union are those which are defined as "Professional" investors in Directive 2004/39/EC of 21 April 2004 "MiFID" or, as the case may be, as defined under each local legislation and, insofar as the offer in Switzerland is concerned, "qualified investors" as set forth in the federal Law on Collective Investments (LPCC), the Ordinance on collective investments of 22 November 2006 (OPCC) and the FINMA 08/8 Circular regarding the legislation on collective investments of 20 November This document shall not, under any circumstance, be sent within the European Union to non "Professional" investors as defined by the MFI or under each local legislation, or in Switzerland to those investors which are not defined as "qualified investors" in the applicable law and regulations.