AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF

March 26, 2016 | Author: Eileen Riley | Category: N/A
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1 AMUNDI ETF FLOATING RATE EURO CORPORATE 1-3 UCITS ETF Semi-Annual report December 2015 AMUNDI S ASSET MANAGEMENT UCITS...

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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

-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 2

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

-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 11

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

-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 12

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

-------------------------------------------------------------------------------------------------Semi-Annual Report on 12/31/15 13

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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