AMUNDI 12 M - P
MONTHLY
REPORT
31/03/2017
LONG TERM TREASURY ■
Key information (source : Amundi)
Investment Objective
Information
The Fund’s investment objective, over an investment
period of 12 months, is to achieve an outperformance on
annual basis of the compounded EONIA for the EURO
unit, the compounded Fed Funds pour the USD unit, the
compounded SONIA for the GBP unit , after deducting
ongoing charges.
Net Asset Value (NAV) : 1 0 3 .8 0 ( EU R )
NAV and AUM as at : 3 1 /0 3 /2 0 1 7
Assets Under Management (AUM) :
4 ,0 2 2 .0 2 ( m i l l i on EU R )
ISIN code : FR0 0 1 0 8 2 9 6 9 7
Fund structure : Mu t u a l Fu n d (FC P )
Share-class inception date : 2 1 /0 1 /2 0 1 0
Type of shares : A ccu m u l a t i on
Minimum first subscription / subsequent :
1 t h ou sa n dt h (s) of (a ) sh a re(s)
Bloomberg code : A MTR1 2 P FP
Entry charge (maximum) : 0 .5 0 %
Benchmark :
EON IA (Eu ro Overn i gh t In dex A vera ge da i l y
com pou n ded)
Ongoing charge : 0 .6 2 % ( rea l i z ed )
Exit charge (maximum) : 0 %
Performance fees : Y es
Minimum recommended investment period : 1 yea r
Morningstar Overall Rating © : 3
Morningstar Category © :
EU R U L TRA S H ORT- TERM BON D
Number of funds in the category : 3 2 5
Rating date : 2 8 /0 2 /2 0 1 7
Returns
Performance ev olution (reb as ed to 100) * from 21/01/2010 to 3 1/03 /2017
Ris k & Reward Profile (S RRI)
106
Lower risk, potentially lower rewards
104
Higher risk, potentially higher rewards
Th e S RRI represen t s t h e ri sk a n d ret u rn profil e a s
presen t ed i n t h e Key In vest or In f orm a t i on
Docu m en t (KIID) . Th e l owest ca t egory does n ot
i m pl y t h a t t h ere i s n o ri sk. Th e S RRI i s n ot
gu a ra n t eed a n d m a y ch a n ge over t i m e.
102
100
Fund s tatis tics
Portfolio(103.80)
03
/17
09
/16
03
/16
09
/15
03
/15
09
/14
03
/14
09
/13
03
/13
09
/12
03
/12
09
/11
03
/11
09
/10
03
/10
98
Benchmark(101.21)
Cumulativ e returns *
Since
P ort f ol i o
Ben ch m a rk
S prea d
Y TD
30/12/2016
-0.03%
-0.09%
0.06%
1 m on t h
28/02/2017
-0.06%
-0.03%
-0.03%
3 m on t h s
30/12/2016
-0.03%
-0.09%
0.06%
1 yea r
31/03/2016
0.14%
-0.35%
0.49%
3 yea rs
31/03/2014
0.25%
-0.46%
0.71%
5 yea rs
30/03/2012
1.88%
-0.19%
2.06%
S i n ce
21/01/2010
3.80%
1.21%
2.59%
Calend ar y ear p erformance *
P ort f ol i o
Ben ch m a rk
S prea d
2016
0.30%
-0.32%
0.62%
2015
-0.32%
-0.11%
-0.22%
2014
0.46%
0.10%
0.37%
2013
0.54%
0.09%
0.45%
2012
2.33%
0.24%
2.10%
2011
-0.02%
0.88%
-0.90%
2010
-
2009
-
2008
-
2007
-
* S ou rce : A m u n di . Th e a bove resu l t s pert a i n t o f u l l 1 2 - m on t h peri od per ca l en da r yea r. A l l
perf orm a n ces a re ca l cu l a t ed n et i n com e rei n vest ed a n d n et of a l l ch a rges t a ken by t h e S u b- Fu n d a n d
expressed wi t h t h e rou n d- off su peri or. P a st perf orm a n ce i s n ot a rel i a bl e i n di ca t or of f u t u re
perf orm a n ce. Th e va l u e of i n vest m en t s m a y va ry u pwa rds or down wa rds a ccordi n g t o m a rket
con di t i on s.
P ort f ol i o
Modi f i ed du ra t i on ¹
0.14
C redi t du ra t i on ²
1.55
A vera ge l i f e ³
1.33
A vera ge Ra t i n g
BBB
N u m ber of l i n es
260
Issu er n u m ber
163
¹ Modified duration (in points) estimates a bond portfolio’s
percentage price change for 1% change in yield
² Credit duration (in points) estimates a bond portfolio’s
percentage price change for 1% change in Credit spread
³ Weighted average life expressed in years
Volatility
1 yea r 3 yea rs 5 yea rs
P ort f ol i o vol a t i l i t y
0.18%
0.35%
0.31%
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.
■ www.amundi.com
This material is s olely for the attention of “profes s ional” inves tors .
AMUNDI 12 M - P
MONTHLY
REPORT
31/ 03/ 2017
N a t h a l i e C of f re
L a u ren t Ri eu
Head of Short-Term Solutions
Management
Portfolio manager
Management commentary
In the United States, the robust economic trends prompted the Federal Reserve to make its first interest rate hike of the year, raising the Fed Funds rate by 25bps, bringing the target range
to 0.75%-1%. However, the pace could accelerate if the Trump administration’s promised fiscal stimulus measures take concrete shape.
In the Eurozone, the political risks do not appear to be hampering recovery. However, inflation dipped as the base effects diminished.
This situation led the ECB to remain cautious by beginning the shift to a less accommodative monetary policy by not renewing TLTRO II.
In these conditions, after rising throughout the month, interest rates dipped again sharply at the very end of the month under the impact of the UK government’s activation of Article 50,
contradicting statements from various ECB members and the Trump administration’s failed attempt to reform Obamacare.
Over the month, the fund’s investment policy consisted of:
- investing the subscriptions received, around €200 million, while maintaining the portfolio’s current structure.
- maintaining a liquidity pocket of around 12% so as to seize any opportunities that arise in the primary and secondary markets.
- increasing our investments in money market instruments, bringing money market exposure to more than 9%.
- arbitraging part of our exposure to Mediobanca. We sold the 11/2017 bond at -0.05% to invest in CDS of the same issuer maturing 06/2018 at 0.80%.
- participating in the primary market by subscribing to Export Import Bank of China 3 years with a premium of Swap + 35bps, ING 5 years at Swap + 70bps and Roche in CHF with a
maturity of 18 months.
- arbitraging foreign-currency issues such as CS4.875 3/2018 in CHF.
The fund’s performance was attributable to its interest-rate exposure. This is admittedly low at 0.15%, but interest rate volatility and the fact that the portion with maturities of under one
year is not hedged as we do not expect a change in ECB monetary policy, explains our counterperformance.
Portfolio breakdown
Top 10 hold ing s
SPAIN (KINGDOM OF )
SPAIN (KINGDOM OF )
SPAIN (KINGDOM OF )
ITALIAN REPUBLIC
ITALIAN REPUBLIC
ITALIAN REPUBLIC
NIBC BANK NV
SPAIN (KINGDOM OF )
PROLOGIS INTL FUNDING II SA
GOLDMAN SACHS GRP INC
Portfolio b reak d own b y maturity
C ou pon (%)
3.75
0.25
4.10
4.50
3.50
0.30
2.00
0
2.75
2.50
Ma t u ri t y
31/10/2018
31/01/2019
30/07/2018
01/08/2018
01/06/2018
15/10/2018
26/07/2018
18/08/2017
23/10/2018
18/10/2021
% a sset
1.33%
1.24%
1.07%
1.05%
1.04%
0.99%
0.99%
0.99%
0.96%
0.95%
60%
51.14%
40%
20%
14.88%
13.19%
9.21%
6.60%
9.09%
8.40%
0%
Mutual
Funds
&Cash
0-3
months
3-6
months
6-9
months
9-12
months
1-3
years
3-5
years
The total may be different by up to 100% to reflect the portfolio's real exposure (consideration
of derivative instruments)
Legal information
This document is of an informative, non-contractual and simplified nature. The main characteristics of the funds are mentioned in the legal documentation available on the AMF website
or on request made to the main offices of the management company. The legal documentation will be sent to you prior to subcribing to a fund. To invest means to assume risks: the
values of PPCVM stocks and shares are subject to market fluctuations and investments made may vary both upwards and downwards. Therefore, POCVM subscribers may lose all or part
of the capital initially invested. Any person interested in investing in an OPCVM should, preferably prior to subscription, to ensure this is in accordance with their pertaining legislation as
well as the tax consequences of such an investment and have knowledge of the valid legal documents of each OPCVM. The source of the data contained in this document is Amundi,
unless otherwise mentioned. The date of the data contained herein is that indicated in the MONTHLY REPORT, unless otherwise stated.
■ www.amundi.com
This material is s olely for the attention of “profes s ional” inves tors .