AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF
March 26, 2016 | Author: Eileen Riley | Category: N/A
Short Description
1 AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Semi-Annual report December 2015 AMUNDI S ASSET MANAGEMENT UCITS...
Description
AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Semi-Annual report December 2015
AMUNDI’S ASSET MANAGEMENT UCITS Fund manager : AMUNDI ASSET MANAGEMENT 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.
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF
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
11
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UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Informations about the Fund Classification Bonds and other debt instruments denominated in the euro. Determination and allocation of distributable sums 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 FRN IG 1-3 Index, a euro-denominated total return index (i.e. reinvesting the coupons of the components). The Markit iBoxx EUR FRN IG 1-3 Index is a bond index, calculated and published by the international index provider Markit Indices Limited, a wholly-owned subsidiary of Markit Group Limited. Management fees and commissions Administrative and management fees: maximum 0.18% 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 set out in the paragraph “Management Fees” and use under the following headings: - Notes to the annual accounts/Management fees. - Further Details/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 FRN IG 1-3 Index (see “Benchmark Index” section), whether the Index rises or falls. The Fund is managed to obtain the smallest possible difference between changes in the NAV and changes in the value of the Markit iBoxx EUR FRN IG 1-3 Index (referred to below as the “Markit iBoxx EUR FRN IG 1-3 Index”). Accordingly, the target for maximum tracking error between the Fund’s NAV and the value of the Markit iBoxx EUR FRN IG 1-3 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 FRN IG 1-3 Index. Investment strategy The Fund is managed by “index tracking”. 1. Strategy employed: The Fund is managed by a technique known as “index-tracking”, the objective of which is to track the changes in the performance of the Markit iBoxx EUR FRN IG 1-3 Index using a swap-based replication method.
Semi-Annual Report on 12/31/15
3
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF To maintain the closest possible correlation with the performance of the Markit iBoxx EUR FRN IG 1-3 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 FRN IG 1-3 Index. Geographic area of the securities issuers
OECD issuing countries rated "Investment grade"
Spread of sensitivity to interest rates
Between 0 and 1
Spread of sensitivity to credit spread
Between 1 and 3
Currency in which the components of the index are Euro (EUR) denominated Level of exposure to currency exchange risk
None
The Fund will comply with the investment rules set forth in Articles R 214-21 and R214-22 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 214-21 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 R214-22 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: 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 FRN IG 1-3 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 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 0 to 1.
Semi-Annual Report on 12/31/15
4
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF - 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 exposure to the Markit iBoxx EUR FRN IG 1-3 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 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 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 FRN IG 1-3 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 to the Markit iBoxx EUR FRN IG 1-3 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 FRN IG 1-3 Index via the use of options. These instruments may be used to hedge up to 100% of the Fund’s net assets.
Semi-Annual Report on 12/31/15
5
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF 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 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 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 FRN IG 1-3 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 12/31/15
6
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF
Semi-Annual Report December 2015 The Fund's objective is to track as closely as possible the euro-denominated Markit iBoxx EUR FRN IG 1-3 index rises or falls. For the period under review, the portfolio AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF performance is 0.17%. The benchmark performance is 0.08%. Past performance is no guarantee of future performance. Movements in portfolio listing during the period Securities
Movements (in amount) Acquisitions
Transfers
ESM 0 7/8 10/15/19
149,176,299.51
126,186,764.18
KFW 1.125% 10/18
75,865,567.78
75,922,666.53
KFW 0.0% 07-12-18 EMTN
66,023,322.14
66,144,144.51
EFSF 2% 15/05/2017
76,427,760.35
52,020,676.96
EIB 0.5% 15/09/17
61,445,390.95
61,463,474.36
EFSF 0 7/8 04/16/18
57,779,006.08
60,248,728.02
CADESi 1.85%250717
49,031,167.51
36,195,167.39
EURO STAB MECH ZCP 21-01-16
40,654,254.27
40,660,035.56
RESFER 0 3/8 02/25/16
37,963,245.55
37,962,819.62
EFSF 1.625% 07/20
35,174,211.70
35,215,400.30
Semi-Annual Report on 12/31/15
7
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Significant events during the financial period None.
Semi-Annual Report on 12/31/15
8
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF 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. 444-3 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 12/31/15
9
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UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
Bonds and similar securities Listed bonds and similar securities AUSTRALIA TELSTRA CORP 4.25% 23/03/20 EMTN TOTAL AUSTRALIA
EUR
880,000
1,042,406.31 1,042,406.31
0.26 0.26
OBB INFRA 4.50% 02/07/19 EMTN
EUR
750,000
883,958.85
0.22
OMVAV 0.6 11/19/18
EUR
829,000
833,253.18
0.21
TELEKOM FINANZMANAGEMENT GMBH 3.125% 03/12/2021 TOTAL AUSTRIA
EUR
6,926,000
7,605,354.88 9,322,566.91
1.90 2.33
CANADA 3.5%10-130120
EUR
350,000
411,531.01
0.10
ONTARIO 3%10-28/09/2020 EMTN
EUR
796,000
901,553.38
0.23
ONTARIO 4%09-031219 EMTN
EUR
6,797,000
7,830,800.30
1.96
ONTARIO 4.75%09-230419 EMTN
EUR
13,458,000
15,974,024.58
3.99
RY 1 5/8 08/04/20 TOTAL CANADA
EUR
100,000
106,158.74 25,224,068.01
0.03 6.31
EUR
105,000
124,672.87 124,672.87
0.03 0.03
EUR
190,000
198,623.10 198,623.10
0.05 0.05
BFCM 3.75% 26/01/18
EUR
268,000
296,950.02
0.07
BOUYGUES 4%10-120218
EUR
500,000
554,942.81
0.14
BPCE E3R+0.2% 10-03-17 EMTN
EUR
4,600,000
4,599,911.07
1.15
BPIF FINA 0.125% 25-11-20
EUR
4,500,000
4,464,597.17
1.12
AUSTRIA
CANADA
CZECH REPUBLIC CEZ AS 4.5%10-290620 TOTAL CZECH REPUBLIC DENMARK DANSKE BK 4.5% 01/07/16 EMTN TOTAL DENMARK FRANCE
CADES 1% 05/18
EUR
40,000
41,381.10
0.01
CADES 1 1/8 05/25/19
EUR
48,000
50,243.33
0.01
CADES 1.5% i 25/07/2021
EUR
3,805,000
4,452,969.53
1.11
CADES 3.25%11-070318 EMTN
EUR
900,000
991,660.08
0.25
CADES 3.75%251020
EUR
700,000
826,151.93
0.21
CADES 4%04-251019
EUR
1,793,000
2,081,545.43
0.52
CADESi 1.85%250717
EUR
11,085,000
12,923,291.44
3.25
CAISSE CENTRALE DE CREDI 0.5% 19/05/2017
EUR
2,100,000
2,124,498.05
0.53
CARREFOUR SA 3.875%10-250421
EUR
1,625,000
1,913,694.17
0.48
CARREFOUR 4% 09/04/20 EMTN
EUR
2,402,000
2,804,929.46
0.70
CDCEPS 1 1/8 12/10/18
EUR
100,000
103,581.92
0.03
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UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
COUN EUR 0.375% 27-10-22 EMTN
EUR
12,187,000
12,157,351.63
3.05
COUNCIL 1.125% 22/10/2018
EUR
1,423,000
1,478,219.98
0.37
DEXGRP 1 07/11/16
EUR
1,577,000
1,593,453.45
0.40
DEXGRP 2 01/22/21
EUR
6,800,000
7,447,961.75
1.86
DEXI CRE 0.625% 21-01-22 EMTN
EUR
150,000
150,711.90
0.04
ENGIE 1.50% 07/17
EUR
43,000
44,203.84
0.01
ENGIE 3% 02/23
EUR
1,207,000
1,392,528.96
0.35
ENGIE6.375% 18/01/21 EMTN
EUR
4,499,000
6,032,121.76
1.51
FRANCE TELECOM 3.875% 09/04/20
EUR
973,000
1,129,723.00
0.28
FRANCE TELEC.5.625% 08-18
EUR
1,150,000
1,336,439.13
0.33
GDF SUEZ. 1.375% 19/05/2020
EUR
500,000
522,694.14
0.13
H E3R+0.55% 27-11-19 EMTN
EUR
400,000
400,213.27
0.10
OAT 0% 05/04/19
EUR
250,000
250,815.00
0.06
OAT 0% 25/04/18
EUR
200,000
201,262.00
0.05
OAT 0% 250420
EUR
366,694
366,609.66
0.09
OAT 0% 25/04/2016
EUR
40,000
40,047.60
0.01
OAT 0% 25/04/2022
EUR
115,000
112,610.30
0.03
OAT 0% 251019
EUR
200,000
200,384.00
0.05
R E3R+0.58% 16-07-18 EMTN
EUR
2,729,000
2,719,543.33
0.68
R.A.T.P. 4.5% 08-18
EUR
19,650,000
22,348,634.36
5.60
RCI B 1.25% 08-06-22 EMTN
EUR
1,314,000
1,295,244.34
0.32
RFF 2.45% 02/2023
EUR
262,000
385,753.60
0.10
SAGESS 1.75% 10/19
EUR
200,000
213,311.21
0.05
SAGESS 2.75% 24/01/2017
EUR
100,000
105,700.85
0.03
SANOFI AVENTIS 1% 11/17
EUR
6,205,000
6,320,479.80
1.58
SNCF MOBILITES 3.625%05-0620 EMTN
EUR
70,000
81,959.04
0.02
SNCF R 0.05% 23-10-18 EMTN
EUR
100,000
100,245.11
0.03
SNCF RESEAU 4.375%06-020622 EMTN
EUR
100,000
127,059.92
0.03
TOTAL CAP 4.875% 28/01/19 EMTN TOTAL FRANCE
EUR
1,635,000
1,938,305.71 108,723,936.15
0.49 27.23
GERMANY ALLEMAGNE 0% 2018
EUR
3,239,187.13
3,262,833.20
0.81
ALLEMAGNE 0% 04/07/17
EUR
4,867,073.17
4,890,775.82
1.21
ALLEMAGNE 0% 04/07/20
EUR
1,320,579
1,317,449.23
0.33
ALLEMAGNE 0% 07/16
EUR
250,000
250,452.50
0.06
ALLEMAGNE 0% 07/23
EUR
3,077,566
2,983,300.15
0.75
ALLEMAGNE 0%040722 IPMT
EUR
2,857,067
2,818,639.45
0.71
ALLEMAGNE 4.25% 04/17
EUR
93,000
101,031.86
0.03
BAYERN FREISTAAT 3.5% 27/01/2016
EUR
88,000
91,095.00
0.02
BAYERN FREITS 4.125% 16/01/2017
EUR
605,000
656,144.79
0.16
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UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
BERLIN LAND 2.875% 08/09/2016
EUR
660,000
679,844.67
0.17
BERLIN LAND 4.125% 24/05/2016
EUR
50,000
52,099.57
0.01
BERLIN 4.875% 26/06/2017
EUR
205,000
225,556.78
0.06
CMZB 0.5% 03-04-18 EMTN
EUR
420,000
422,610.40
0.11
CONTINENTAL AG 3.125% 09/09/2020
EUR
400,000
447,362.05
0.11
DAIGR 2 1/4 01/24/22
EUR
3,096,000
3,393,274.10
0.84
DAIMLER AG 2% 07/04/2020
EUR
1,705,000
1,823,749.90
0.46
DAIMLER 1.50% 11/19/2018
EUR
1,735,000
1,794,660.11
0.45
DEUTSCHE BANK AG 1.375% 09/20
EUR
835,000
884,814.59
0.22
DEUTSCHE BANK AG 1.75% 08/06/2022
EUR
800,000
876,575.04
0.22
DEUTSCHE BANK AG 3.375% 06/04/18
EUR
1,900,000
2,093,717.15
0.52
DEUTSCHE BK AG 3.75% 06/16
EUR
100,000
103,789.64
0.03
EVONIK INDUSTRIES 1.0% 23-01-23 EMTN
EUR
3,105,000
3,086,577.57
0.76
FMS WERTMANAGEMENT 0.75% 14/03/2019
EUR
6,300,000
6,508,190.21
1.62
FREISTAAT BAYERN
EUR
100,000
107,761.48
0.03
FREISTAAT BAYERN 3.25% 03/20
EUR
1,641,000
1,903,289.19
0.48
GEME BUND 2.625% 18-03-16
EUR
565,000
580,155.75
0.15
GEMEINSAME BUNDESLAEND 3.50% 10/19
EUR
20,000
22,774.73
0.01
GEMEINSAME BUNDESLANDER 2.375% 21/09/18
EUR
218,000
234,181.79
0.06
GEMEINSAME BUNDESLANDER 3% 17/05/16
EUR
75,000
77,296.38
0.02
GEMEINSAME 1.625% 26/01/2017
EUR
100,000
103,406.51
0.03
HESSE 3,75%11-120421 1108
EUR
75,000
90,795.44
0.02
LAND BADE WUE 4% 22-01-19
EUR
130,000
151,148.01
0.04
LAND BADEN-WUERTTEMBERG 3.25% 18/01/2016
EUR
475,000
490,495.67
0.12
LAND BERLIN 22/06/17
EUR
143,000
153,374.48
0.04
LAND BERLIN 4.25% 25/04/22
EUR
168,000
213,017.39
0.05
LAND HESSEN 1.375% 05-02-20
EUR
100,000
106,563.22
0.03
LAND HESSEN 1.75% 19/06/2020
EUR
100,000
108,097.28
0.03
LAND HESSEN 2.875% 03-08-18
EUR
400,000
435,706.22
0.11
LAND HESSEN 3.50% 03/20
EUR
66,000
77,304.75
0.02
LAND HESSEN 3.625% 01/17
EUR
32,000
34,379.96
0.01
LAND NORDRHEIN WESTFALEN 4.375% 04/22
EUR
80,000
102,065.07
0.03
LAND NORDRHEIN-WESTFALEN
EUR
30,000
31,100.23
0.01
LAND NORDRHEIN-WESTFALEN 1.75% 17/05/2019
EUR
43,000
46,059.48
0.01
LAND NORDRHEIN-WESTFALEN 2.375% 30/06/16
EUR
597,000
611,652.97
0.15
LAND NORDRHEIN-WESTFALEN 2.625% 21/01/2016
EUR
340,000
348,979.17
0.09
LAND RHEINLAND-PFALZ 02/03/18
EUR
100,000
113,059.11
0.03
LAND SACHSEN-ANHALT 4.5% 11/09/2017
EUR
660,000
721,440.91
0.18
L-BANK BW FOERDERBANK 0.75% 12.12.17
EUR
106,000
108,005.71
0.03
L-BANK 3.5% 04/07/2016
EUR
60,000
62,167.28
0.02
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UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
LINDE AG 1.75% 17/09/2020
EUR
1,865,000
1,984,135.38
0.50
MERC FIN 0.75% 02-09-19 EMTN
EUR
1,453,000
1,472,560.32
0.37
MERC FINA S 4.5% 24-03-20 EMTN
EUR
597,000
715,878.75
0.18
Niedersachsen 4.25% 22/02/17
EUR
326,000
354,417.73
0.09
NORDRHEIN WES. 4.125%07-130319
EUR
100,000
116,594.61
0.03
NORDRHEIN WEST 3.75% 03/17
EUR
100,000
107,713.74
0.03
NORDRHEIN-WESTFALEN 2.125% 13/10/16
EUR
318,000
325,189.04
0.08 0.03
NORDRHEIN-WESTFALEN 3.5% 07/07/21
EUR
93,000
110,872.22
NRW BANK 1.25% 22/10/2018
EUR
263,000
273,659.78
0.07
NRW BANK 1.5% 18/01/2016
EUR
43,000
43,649.12
0.01
NRW BK 0.625% 01/08/16
EUR
1,123,000
1,131,389.95
0.28
NRW 2 09/13/18
EUR
511,000
543,029.23
0.14
NRW.BANK 0.625% 25/01/2016 SERIE EMTN
EUR
608,000
611,871.46
0.15
NRW.BANK 1.875% 09/17
EUR
150,000
156,146.86
0.04
NRW.BANK 29/05/17
EUR
489,000
534,570.95
0.13
NRW.BANK 4.25% 04/19
EUR
100,000
117,223.62
0.03
PBBGR 2 1/4 09/11/17
EUR
94,000
97,108.69
0.02
S 1.125% 20-02-23 EMTN
EUR
1,581,000
1,618,220.21
0.41
SACHSEN 4%06-260916
EUR
300,000
312,374.48
0.08
SAP E3R+0.3% 20-11-18 EMTN
EUR
869,000
872,159.49
0.22
STATE OF LOWER SAXONY 3.5% 22/02/2016
EUR
276,000
285,711.68
0.07
STRIP INT 04/01/19
EUR
323,645
322,677.30
0.08
STRIP INT 04/01/21 TOTAL GERMANY
EUR
11,000
10,942.03 57,916,918.60
14.50
ITALY BTPSH 0 02/01/17
EUR
62,500
62,535.00
0.02
BTPSH 0 02/01/18
EUR
62,500
62,451.25
0.02
BTPSH 0 02/01/19
EUR
62,500
62,155.63
0.02
BTPSH 0 08/01/16
EUR
62,500
62,518.13
0.02
BTPSH 0 08/01/17
EUR
62,500
62,533.75
0.02
BTPSH 0 08/01/18
EUR
62,500
62,375.00
0.02
INTESA SAN 5%09-0919 SUB EMTN
EUR
200,000
219,481.53
0.05
INTESA SANPAOLO SPA 5.15%10-160720 EMTN
EUR
150,000
170,328.43
0.04
INTESA SANPAOLO 4% 09/11/2017
EUR
6,016,000
6,456,368.24
1.61
ISPIM 2 1/4 09/24/18
EUR
200,000
212,254.39
0.05
ITALIE 0% 01/08/20
EUR
62,500
60,761.88
0.02
ITALIE 0% 01/08/2019
EUR
40,624
40,143.82
0.01
ITALIE 0% 01/11/21
EUR
524,887
496,081.20
0.12
UCGIM 0 01/31/17
EUR
1,270,000
1,275,408.82
0.31
UNICREDIT SPA 4.25%09-290716 EMTN
EUR
100,000
104,199.70
0.03
-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 14
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
UNICREDIT SPA 6.95% 31/10/2022
EUR
299,000
354,752.37
0.09
UNICREDITO ITALI 5.75% 09/17
EUR
200,000
217,619.50
0.05
UNICREDT 05/06/18 TOTAL ITALY
EUR
167,000
190,068.52 10,172,037.16
0.05 2.55
EUR
9,802,000
10,805,707.12
2.71
LUXEMBURG CE 3.25%18 EMTN COMMUNAUTE EUROPEENNE 2.75% 03/06/16
EUR
23,000
23,657.33
0.01
EFSF 1.25% 31/07/18
EUR
1,959,000
2,040,859.12
0.51
EFSF 1.625% 15/09/17
EUR
2,136,000
2,213,008.52
0.55
EFSF 2% 15/05/2017
EUR
23,416,000
24,419,645.59
6.11
EIB 2.5% 15-10-18 EMTN
EUR
74,000
79,910.46
0.02
ESM 0 7/8 10/15/19
EUR
22,074,947
22,867,225.29
5.72
ESM 1 1/4 10/15/18
EUR
2,063,421
2,148,723.95
0.54
EURO COM. 3.625% 09-16
EUR
183,000
189,745.01
0.05
EURO COMMUNITY 2.375% 22/09/2017
EUR
8,090,000
8,508,281.51
2.13
EURO FINL STA 0.25% 18-10-17
EUR
9,216,000
9,297,465.91
2.33
EURO STAB ZCP 17-10-17 EMTN
EUR
7,755,607.29
7,782,829.47
1.95
EUROPEAN UNION 3.50% 06/21
EUR
147,000
176,435.30
0.04
GLENCORE 1.25% 17-03-21 EMTN
EUR
500,000
370,100.49
0.09
GRAND DUCHY OF LUXEMBOURG 2.125% 10/07/23
EUR
180,000
205,738.70
0.05
NESTLE FINANCE 1.75% 12/09/2022 TOTAL LUXEMBURG
EUR
7,918,000
8,494,657.12 99,623,990.89
2.13 24.94
AMER MOVI SAB 4.75% 28-06-22
EUR
540,000
664,555.46
0.17
AMERICA MOVIL 3% 07/21 TOTAL MEXICO
EUR
750,000
831,193.65 1,495,749.11
0.20 0.37
ABN AMRO BK 1.875% 31/07/19
EUR
500,000
536,012.13
0.13
BANK NEDER GEMEENTEN 1.875% 06/19
EUR
371,000
399,167.02
0.10
BK NEDERLANDSE GEMEENTEN 1.5% 15/04/2020
EUR
900,000
963,567.59
0.24
BM 0.875% 17-11-20 EMTN
EUR
577,000
578,258.70
0.14
BMW E3R+0.35% 04/04/2017
EUR
4,402,000
4,400,849.00
1.10
BMW FIN 0.5% 05-09-18 EMTN
EUR
2,661,000
2,674,003.42
0.67
DEUTSCHE POST FINANCE 1.875% 27/06/2017
EUR
444,000
459,573.77
0.12
DT 2 1/8 01/18/21
EUR
1,520,000
1,659,449.59
0.42
ENEL FIN 5% 09-22
EUR
500,000
631,458.58
0.16
HEINEKEN 2.50% 03/19
EUR
2,761,000
2,988,051.82
0.75
ING BANK NV 1.875% 02/18
EUR
1,658,000
1,742,885.28
0.44
ING BANK 4.75% 27/05/19 EMTN
EUR
200,000
237,562.25
0.06
NEDWBK 1.75% 07/09/20
EUR
443,000
478,934.63
0.12
MEXICO
NETHERLANDS
-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 15
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
PAYS BAS 0% 150116 IPMT
EUR
2,901,874
2,901,990.07
PAYS-BAS 0% 15/01/19
EUR
9,615
9,649.81
%
0.73
PAYS-BAS 0% 15/07/2020
EUR
77,348
76,945.79
0.02
PROPBV 1 02/18/19
EUR
100,000
104,127.45
0.03
RWE FINANCE BV 6.5%09-100821 EMTN
EUR
3,633,000
4,671,798.78
1.17
RWE FINANCE 5 1/8%03-18 EMTN
EUR
2,984,000
3,406,428.57
0.85
SIEGR 1.75% 3/4 03/12/21
EUR
4,816,000
5,165,768.97
1.29
SIEMENS FINANCIER 1.5% 10/03/20
EUR
1,473,000
1,561,830.83
0.39
SIEMENS FINANCIERINGSMAAT 5.625% 06/18
EUR
995,000
1,159,241.88
0.29
V E3R+0.3% 16-07-18 EMTN
EUR
1,514,000
1,468,329.81
0.37
VOLKSWAGEN INTL FIN NV 2% 14/01/2020
EUR
1,134,000
1,178,052.33
0.29
VOLKSWAGEN INTL FIN NV 3.25% 21/01/19
EUR
1,362,000
1,480,256.12
0.37
VOLKSWAGEN INTL 5.375% 05/18 TOTAL NETHERLANDS
EUR
750,000
845,515.20 41,779,709.39
0.21 10.46
SLOVAKIA SLOVAK REPUBLIC 4% 26/03/21
EUR
80,000
98,652.60
0.02
SLOVAKIA TV 11/16
EUR
70,000
70,012.60
0.02
SLOVAKIA 4.375% 15/05/17 *EUR
EUR
97,000
105,443.93
0.03
SLOVAKIA 4.625% 01/17
EUR
70,000
76,465.62
0.02
SLOVAQUIE 3.5% 24/02/16
EUR
532,000
550,862.32
0.14
SLOVAQUIE 4.2% 04/04/17 TOTAL SLOVAKIA
EUR
53,110.4
57,560.10 958,997.17
0.01 0.24
EUR
4,959,000
5,122,684.94 5,122,684.94
1.28 1.28
ABERTIS INFRASTRUCTURAS 4.625% 14/10/16
EUR
750,000
783,883.79
0.20
ESPAGNE TF 31/10/20
EUR
100,000
96,336.00
0.02
ESPAGNE 0% 31/01/2022 STRIP
EUR
381,585
356,854.48
0.09
ICO 4.625% 01/17
EUR
307,000
335,015.43
0.08
INST DE 0.5% 15-12-17 EMTN TOTAL SPAIN
EUR
1,694,000
1,706,733.60 3,278,823.30
0.43 0.82
EUR
1,718,000
2,227,446.99 2,227,446.99
0.56 0.56
ANGLO AMERICAN CAPITAL 2.5% 18/09/18
EUR
500,000
420,317.68
0.11
BARCLAYS 4.7/8%-13/08/2019
EUR
921,000
1,087,741.09
0.27
C E3R+0.46% 10-11-17 EMTN
EUR
1,000,000
1,003,131.25
0.25
CS 0 10/16/19
EUR
600,000
600,043.35
0.15
SLOVENIA SLOREP 1 3/4 10/09/17 TOTAL SLOVENIA SPAIN
SWEDEN VATTENFALL AB 6.25%09-170321 EMTN TOTAL SWEDEN UNITED KINGDOM
-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 16
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
L E3R+0.45% 10-09-19 EMTN
EUR
1,100,000
1,098,714.34
0.28
LLOYD TSB BANK PLC 3.5% 11/01/2017 SERIE EMTN
EUR
350,000
374,624.13
0.09
LLOYDS TSB BANK 6.5% 10-20
EUR
1,937,000
2,444,203.34
0.61
NATI BUIL SOC 0.75% 25-06-19
EUR
1,046,000
1,069,927.68
0.27
NATIONWID 4 3/8% 28022022
EUR
200,000
252,445.48
0.06
NATIONWIDE BLDG SOCIETY 4.625%11-080221 EMTN
EUR
400,000
500,908.71
0.13
RBS 5.5% 23/03/2020
EUR
98,000
121,631.59
0.03
UBS AG LDN 1.125% 30/06/20 EMTN
EUR
490,000
502,573.12
0.13
UBS 0 05/15/17
EUR
3,823,000
3,827,803.17
0.95
VODAFONE GROUP 4.65%10-200122 TOTAL UNITED KINGDOM
EUR
1,000,000
1,240,279.04 14,544,343.97
0.31 3.64
BMW U 0.625% 20-04-22 EMTN
EUR
1,959,000
1,905,891.30
0.48
CITIGROUP 5%04-19 EMTN
EUR
713,000
838,239.50
0.21
GS 2 5/8 08/19/20
EUR
1,848,000
1,998,204.08
0.50
JP MO EURIBOR 3 MOIS REV +0.6 07/05/2019
EUR
600,000
602,896.55
0.15
MORG STA 2.375% 31-03-21 EMTN
EUR
1,868,000
2,015,645.60
0.50
MORGAN STANLEY TV 01/17
EUR
1,800,000
1,805,012.55
0.45
THE PRIC GRP 2.15% 25-11-22
EUR
500,000
502,329.23
0.13
TOYO MOT 0.75% 21-07-22 EMTN
EUR
1,245,000
1,227,834.72
0.31
TOYO MOT 1.0% 10-09-21 EMTN
EUR
55,000
55,603.72
0.01
TOYOTA MOTOR CREDIT CORP 1.25% 01/08/2017
EUR
630,000
644,352.67
0.16
TOYOTA 1.8 07/23/20 TOTAL USA
EUR
1,651,000
1,753,665.68 13,349,675.60
0.44 3.34
Total listed bond and similar securities
395,106,650.47
98.91
Total bonds and similar securities
395,106,650.47
98.91
5,161,997.24 5,161,997.24
1.29 1.29
Total credit instruments traded on a regulated or similar market
5,161,997.24
1.29
Total credit instruments
5,161,997.24
1.29
USA
Credit instruments Credit instruments traded in a regulated market or equivalent LUXEMBURG EURO STAB MECH ZCP 07-01-16 TOTAL LUXEMBURG
EUR
5,161,894
-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 17
UCITS AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Portfolio Listing Name of security
Currency
Quantity
Market value
%
Hedges Other hedges Other swaps SG ETF 27/11/2019 Total Other SWAPS
EUR
399,465,489.11
-707,542.14 -707,542.14
-0.18 -0.18
Total other hedges
-707,542.14
-0.18
Total hedges
-707,542.14
-0.18
Receivables Debts Financial accounts Net assets AMUNDI ETF FRN CORPORATE 1-3 UCITS ETF
EUR
3,950,801
164,444,450.76
41.17
-164,543,499.45
-41.19
-4.51 399,462,052.37
100.00
101.11
-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 18
Amundi Asset Management Anonymous Inc. 596 262 615 Euros. capital amount Licensed by the French Market Regulator (AMF) as a portfolio management company reg N° GP 04000036 437 574 452 RCS Paris. Registered Office social: 90, boulevard Pasteur 75015 Paris France
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