AMUNDI ETF COMMODITIES S&P GSCI METALS UCITS ETF

Transcription

1 AMUNDI ETF COMMODITIES S&P GSCI Semi-Annual report September 2015 AMUNDI S UCITS Fund manager : AMUNDI Delegated fund accountant : CACEIS FUND ADMINISTRATION FRANCE Custodian : CACEIS BANK FRANCE Auditors : PWC SELLAM 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 AMF Classification Diversified. The Fund is an index-tracking Fund. 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 S&P GSCI All Metals Capped Commodity Index, a total return index (i.e including returns on cash in addition to any gain on the commodities), denominated in US dollars. The S&P GSCI All Metals Capped Commodity Index is an index calculated and published by the international index provider Standard & Poors ( S&P ). The S&P GSCI All Metals Capped Commodity Index reflects the sum of the following: - the performance of a portfolio of derivative instruments, and in particular futures (the Futures Contracts ) on precious and industrial metals; the performance taking account the rolling of future contracts (the futures' rolls ) before their expiry dates; and - the theoretical return in cash terms on the Funds allocated to investment in these commodities, this return in cash terms being indexed on the market rates on 91-day American Treasury bills ( US T-Bills ), set in each weekly auction). Management fees & commissions Administrative and management fees: 0.30% including tax. Subscription fees received by the Fund: 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 the performance of the S&P GSCI All Metals Capped Commodity Index (see Benchmark Index section), as closely as possible, whether the S&P GSCI All Metals Capped Commodity Index rises or falls. The Fund will therefore be exposed to commodities, primarily to precious and industrial metals. The Fund is managed so as to achieve a gap between changes in its NAV and changes in the value of the S&P GSCI All Metals Capped Commodity Index (referred to below as the S&P GSCI All Metals Capped Semi-Annual Report on 09/30/15 3

4 Commodity Index ) as small as possible. Therefore, the target maximum tracking error between the change in the Fund s net asset value and the change in the S&P GSCI All Metals Capped Commodity Index is 2%. If the tracking error exceeds 2%, the aim would nevertheless be to remain below 15% of the volatility shown by the S&P GSCI All Metals Capped Commodity Index. Investment strategy The Fund is managed by index tracking. 1. Strategy employed: The Fund is managed by a technique known as index-tracking, and the objective is to replicate changes in the performance of S&P GSCI All Metals Capped Commodity Index using a swap-based replication method. To bring about exposure to the S&P GSCI All Metals Capped Commodity Index, the Fund will resort to the following: - in order to generate a return matching that of the S&P GSCI All Metals Capped Commodity Index, an OTC hedge on bonds and indices which turns the theoretical return in cash terms on the Funds allocated to investment in these commodities (this return in cash terms being indexed on the 91-day US T-Bill rates as set in each weekly auction) or a fixed rate into an exposure to the S&P GSCI All Metals Capped Commodity Index; and - in order to generate the theoretical return in cash terms on the Funds allocated to investment in these commodities (this return in cash terms being indexed on the 91-day US T-Bill rates as set in each weekly auction), by means of a portfolio of securities. The Fund s risk diversification will be evaluated against its corresponding rules by only taking into consideration the securities underlying the derivative instruments, including securities embedded derivatives. The Fund s assets may thus be invested in non-diversified balance sheet assets, as long as, after the underlying items of the derivatives are taken into account, net exposure of the underlying items complies with the diversification rules. The Fund will neither trade in nor itself take delivery of any commodities. 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. 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. - Securities: Up to 100% of the Fund s net assets will be invested in securities of the OECD countries. The securities held by the Fund will be selected to streamline the Fund's money management in US dollars and to track, as closely as possible, the S&P GSCI All Metals Capped Commodity 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). Semi-Annual Report on 09/30/15 4

5 - 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. - 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 may use OTC derivative financial instruments (including security-linked total return swaps) to swap the money-market exposure to US T-Bills and exposure to the S&P GSCI All Metals Capped Commodity Index. 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, organized, 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, 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 synthetic exposure to a particular security, sector and/or to the S&P GSCI All Metals Capped Commodity Index via the use of swaps. 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 the S&P GSCI All Metals Capped Commodity 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 S&P GSCI All Metals Capped Commodity Index via the use of options. Semi-Annual Report on 09/30/15 5

6 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 100% 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 optimise its cash flow management. 7. Temporary acquisitions and sales of securities: None. Over-exposure of the assets: None All the Fund s commitments on derivatives may not exceed 110% of the 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, a comprehensive Request For Proposal ( RFP ) (total return swap and market making) was issued for a portion of the AMUNDI ETF Fund product line. For this reason, neither the Management Company nor the Delegated Fund Manager have undertaken or shall undertake, for this particular Fund, a formal competitive bidding procedure that can be tracked and monitored among counterparties for OTC derivative financial instruments, as the counterparty has already been selected during the comprehensive RFP. The Fund may carry out these transactions with BNP Paribas SA or any other Company of the BNP Paribas SA group as counterparties or intermediaries. Risk profile Risk related to the changes in the S&P GSCI All Metals Capped Commodity Index Capital risk Factors that may influence the ability of the Fund to track the performance of the S&P GSCI All Metals Capped Commodity Index Risk connected with an index of forward commodity contracts Sector / industry risk Interest rate risk Counterparty risk related to the tracking method selected Credit risk 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 investment objective is to track as closely as possible the S&P GSCI All Metals Capped Commodity Total Return Index, whether the S&P GSCI All Metals Capped Commodity Total Return Index rises or falls. For the period under review, the portfolio AMUNDI ETF COMMODITIES S&P GSCI performance is %. The benchmark performance is %. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities Movements (in amount) Acquisitions Transfers UNIT STAT DEPA OF ZCP ,999, ,000, UNITED STATES OF AMERICA USA FIX 0.0 2,999, ,000, USA ZCP ,999, ,000, USA ZCP ,999, ,000, PAYS BAS (KONIN FIX ,999, ,000, USA ZCP ,999, ,000, UNITED STATES OF AMERICA ZCP 27/08/15 2,999, ,000, USA ZCP ,999, ,000, USA ZCP 24/09/15 2,999, ,000, NETHERLANDS FIX ,999, ,000, 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 COMMODITIES S&P GSCI MUTUAL FUND STATEMENT OF AUDIT REGARDING THE COMPOSITION OF ASSETS ON 30 SEPTEMBER 2015 In our capacity as auditor of the Fund AMUNDI ETF COMMODITIES S&P GSCI, 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 COMMODITIES S&P GSCI 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. Levallois-Perret, The auditors PWC SELLAM Audit firm Document authenticated by electronic signature Frédéric Sellam Postal address : 2, rue Vatimesnil Levallois Perret Cedex France Tel Fax [email protected] Public Joint-Stock company (SA); share capital 10,000 Siret No Regulatory disclosure AMUNDI ETF COMMODITIES S&P GSCI Semi-Annual Report September 2015

11 Portfolio Listing Name of security Currency Quantity Market value % Deposits Depo USD 3,900,000 3,900, Total deposits 3,900, Credit instruments Credit instruments traded in a regulated market or equivalent AUSTRIA REPUBLIC OF AUSTRIA FIX 0.18 USD 2,000,000 1,999, TOTAL AUSTRIA 1,999, USA UNIT STAT OF AMER ZCP USD 2,000,000 1,999, UNITED STATES OF AMERICA ZCP 05/11/15 USD 2,000,000 1,999, USA ZCP USD 2,000,000 2,000, USA ZCP USD 2,000,000 1,999, USA ZCP USD 3,000,000 3,000, USA ZCP USD 4,000,000 3,999, TOTAL USA 14,999, Total credit instruments traded on a regulated or similar market 16,999, Total credit instruments 16,999, Hedges Other hedges Other swaps BNP 30/11/17 USD 21,444,896.8 Total Other SWAPS Total other hedges Total hedges Receivables 389, Debts -311, Financial accounts 107, Net assets 21,085, AMUNDI ETF COMMODITIES S&P GSCI USD 112, Semi-Annual Report on 09/30/15 11

12 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