AMUNDI FUNDS BOND EURO HIGH YIELD - IE MONTHLY REPORT 31/12/2016
BOND ■
Key information (source : Amundi)
Investment Objective
Risk & Reward Profile (S RRI)
The objective of the Sub-Fund is to seek income and capital growth (“total return”) by combining interest income, capital appreciation and currency gains. To achieve that objective, the Sub-Fund invests at least two thirds of its assets in bonds issued in Euro and paying a high yield but having a relatively high risk of default (“high yield bonds”). The ML European Curr H YLD BB-B Rated Constrained Hed index represents the reference indicator of the Sub-Fund. The Sub-Fund does not aim to replicate the reference indicator and may therefore significantly deviate from it. Investors can sell their shares of the Sub-Fund on a daily basis. The Sub-Fund may invest in financial derivative instruments for hedging purpose and for the purpose of efficient portfolio management.
Net Asset Value (NAV) : (A ) 2 ,4 7 3 .8 6 ( EU R ) (D) 1 ,0 7 2 .7 3 ( EU R ) NAV and AUM as at : 3 0 /1 2 /2 0 1 6 Assets Under Management (AUM) : 1 ,2 6 3 .3 7 ( m i l l i on EU R ) ISIN code : (A ) L U 0 1 1 9 1 0 9 9 8 0 (D) L U 0 1 9 4 9 0 8 4 0 5 Benchmark : ML Eu ropea n C u rr H Y L D BB- B Ra t ed C on st ra i n ed H ed Morningstar Overall Rating © : 4 Morningstar Category © : EU R H IGH Y IEL D BON D Number of funds in the category : 3 5 8
Lower risk, potentially lower rewards 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.
Rating date : 3 0 /1 1 /2 0 1 6
Returns Performance ev olution (reb as ed to 100) * from 02/01/2007 to 3 0/12/2016 250
A
Fund s tatis tics P ort f ol i o Ben ch m a rk Modi f i ed du ra t i on ¹ 2.71 3.26 A vera ge Ra t i n g B+ B+ Y i el d To Ma t u ri t y 2.85% 3.19% S WMD ² 11.37 14.06 S prea d ³ 309 358 N u m ber of l i n es 369 573 ¹ Modified duration (in points) estimates a bond portfolio’s percentage price change for 1% change in yield ² SWMD : spread-weighted modified duration ³ Spread: difference in yield between a corporate bond and its reference government bond (Germany for the Euro zone).
B
200
150
100
Portfolio (179.44)
12 /16
06 /16
12 /15
06 /15
12 /14
06 /14
12 /13
06 /13
12 /12
06 /12
12 /11
06 /11
12 /10
06 /10
12 /09
06 /09
12 /08
06 /08
12 /07
06 /07
50
Benchmark (216.85)
A : Until the end of this period, the sub-fund invested minimum two thirds of the net assets in bonds denominated in freely convertible currencies. B : Since the beginning of this period, the sub-fund applies the current investment policy
Cumulativ e returns * Since P ort f ol i o Ben ch m a rk S prea d
Y TD 31/12/2015 6.44% 9.37% -2.92%
1 m on t h 30/11/2016 1.60% 1.80% -0.20%
3 m on t h s 30/09/2016 1.53% 1.69% -0.16%
1 yea r 31/12/2015 6.44% 9.37% -2.92%
3 yea rs 31/12/2013 13.62% 17.46% -3.84%
5 yea rs 30/12/2011 52.52% 64.29% -11.77%
S i n ce 06/04/2001 147.39% 206.54% -59.15%
Ris k analy s is (rolling )
P ort f ol i o vol a t i l i t y Ben ch m a rk vol a t i l i t y Ex- post Tra cki n g Error In f orm a t i on ra t i o S h a rpe ra t i o
1 yea r 3 yea rs 5 yea rs 5.33% 4.27% 4.48% 4.54% 3.68% 4.14% 1.45% 1.08% 1.03% -2.03 -1.08 -1.58 1.27 1.04 1.96
Calend ar y ear p erformance *
P ort f ol i o Ben ch m a rk S prea d
2016 6.44% 9.37% -2.92%
2015 1.05% 1.31% -0.26%
2014 5.64% 6.01% -0.38%
2013 9.09% 9.81% -0.72%
2012 23.05% 27.37% -4.32%
2011 -5.64% -1.64% -4.01%
2010 16.74% 13.67% 3.07%
2009 74.09% 71.83% 2.26%
2008 -36.96% -30.06% -6.90%
2007 -2.64% -1.66% -0.98%
* 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.
Performance analy tics
Ma xi m u m dra wdown Recovery peri od (da ys) Worst m on t h L owest ret u rn Best m on t h H i gh est ret u rn
■ www.amundi.com This material is s olely for the attention of “profes s ional” inves tors .
In cept i on t o da t e -41.39% 311 10/2008 -18.19% 04/2009 11.93%
AMUNDI FUNDS BOND EURO HIGH YIELD - IE MONTHLY REPORT 31/ 12/ 2016
Jea n L u c Th om a s
Th i erry L eba u pa i n
Ma ri n a C oh en
Portfolio Manager
Portfolio manager
Head of Credit High Yield
Management commentary The European HY (ML HPC4 index) rose +1.80% in December, with the spread narrowing -43bp to 347bp. During a month full of major political and economic events (Italian referendum, monetary policy meetings, OPEC members' agreement), HY performance has come from both narrower spreads and a partially technical retracement of the upwards rate movement that began this autumn. The Italians massively rejected the constitutional reform, leading to the resignation of the Prime Minister Matteo Renzi. However, the quick appointment of his successor Paolo Gentiloni opened the possibility of a fast solution to the Monte dei Paschi case and postponement of the general elections, leading peripheral spreads and credit spreads to narrow. The ECB's announcement of a nine-month extension of its QE, reducing the monthly purchase volume from €80bn to €60bn, and the lifting of certain restrictions, led to steepening of the yield curve, which is positive news for the financial sector. At the same time, the macro figures published during the month continue to point towards continued recovery in the Eurozone. In the United States, as widely expected the Fed raised the Fed funds 25bp. Additionally, in view of a strong employment market, it increased the number of rate increases to come in 2017 from two to three. In Europe, subscriptions for HY funds continued (JP: +1.8%). The primary market experienced reduced activity with €2.7bn of issues during the month, bringing the year's net issues to €5bn compared to €28bn in 2015. We took part in Thomas Cook, Catalent and Swedbank AT1 issues. Our underperformance during the period can be explained by our underexposure to certain high beta issuers which benefited from the search for yield. Europe's political environment remains uncertain (upcoming elections, implementation of Brexit) but the ECB will continue to be accommodating for some time, in particular maintaining pressure on the short part of the curve. While German 5-year government borrowing offers a yield of -0.53%, we feel the European HY, with a yield of 3.58% (CCC included) and solid fundamentals, is likely to continue to benefit from buoyant technical factors (low net issues, search for yield). Thus, while we are not expecting a significant narrowing of the spread to this level (389bp), we are remaining positive about the European HY compared to other bond asset classes by banking on carry strategies as the main source of performance.
Portfolio breakdown by issuer
In S WMD
Ex p os ure Ris k 2.80
Financials 1.46
Telecommunication services
Utilities
0.67
Chemicals
0.65
0.22
Metals
0.22
Food
Machinery
2.98 %
Utilities
3.28 %
3.52 %
Chemicals
2.79 %
Construction
4.02 %
Staples Services Food
0.20
Media Services
0.02
1.42 % 0.16 %
Technology & Electronics UCITS
Technology & Electronics 0.15
UCITS
4.51 %
Packaging
0.13
Staples Services
2.57 %
Metals
0.52
Packaging
8.95 % 2.16 %
Energy
0.42
Construction
8.32 %
Cable-operators
0.94
Machinery
7.70 %
Automobiles & Equipment suppliers
0.82
Automobiles & Equipment suppliers
Media Services
Distribution
0.93
Cable-operators Consumer Services
5.98 %
Consumer Services
0.38
Energy
10.08 %
Telecommunication services
0.84
Distribution
16.69 %
Financials
1.20 % 2.95 %
ITRAXX et IBOXX 0 %
ITRAXX et IBOXX 0
1
Portfolio
2
Benchmark
3
4
5 %
Portfolio
10 %
15 %
20 %
25 %
Benchmark
The Itraxx (and IBoxx) are indices comprising credit risk swaps (CDS). The chart shows % of assets, including Credit Default Swaps, excluding cash.
Amundi As s et Management, Public Limited Company with a capital of 746,262,615 € - AMF approved Portfolio Management Company- GP number 04000036 - Corporate addres s : 90, Boulevard Pas teur - 75015 Paris - France 437 574 452 RCS Paris This material is s olely for the attention of “profes s ional” inves tors .
AMUNDI FUNDS BOND EURO HIGH YIELD - IE MONTHLY REPORT 31/ 12/ 2016
Portfolio breakdown by country
Ex p os ure Ris k 25 %
20 %
15 %
15.06 %
14.18 % 12.30 %
10 % 7.60 %
6.48 %
5 %
5.58 % 5.32 %
4.24 % 2.10 %
0 % France
Italy
United Kingdom
Germany
United States
Luxembourg
Spain
1.99 % 1.58 % 1.47 % 1.37 % 1.25 % 1.23 % 1.08 % 0.83 % 0.82 % 0.67 % 0.63 % 0.55 %
Sweden
Netherlands
Belgium
Ireland
Portfolio
Japan
Mexico
Switzerland
Brazil
Russia
Norway
South Africa
Poland
2.95 %
UCITS
Other countries
ITRAXX et IBOXX
Benchmark
The Itraxx (and IBoxx) are indices comprising credit risk swaps (CDS). The chart shows % of assets, including Credit Default Swaps, excluding cash.
Portfolio breakdown by maturity
Portfolio breakdown by credit rating
Ex p os ure Ris k
Ex p os ure Ris k 23.71 %
Short-term
10Y 15Y
9.93 %
B+
2.17 %
12.16 %
B
0.02 %
3.91 %
BCCC+
20Y
0.65 %
CCC
30Y Others
16.80 %
BB-
11.01 %
7Y
13.30 %
BB
22.68 %
5Y
24.60 %
BB+
26.75 %
2Y
3.61 %
IG
NR
0.01 %
UCITS
2.95 %
ITRAXX & IBOXX 0 %
5 %
0.16 % 1.20 % 2.95 %
ITRAXX & IBOXX 10 %
Portfolio
15 %
20 %
25 %
30 %
35 % 40 %
Benchmark
The Itraxx (and IBoxx) are indices comprising credit risk swaps (CDS). The chart shows % of assets, including Credit Default Swaps, excluding cash. Maturity shall be understood as probable expiry of the credit risk as reflected by the market
0 %
10 %
Portfolio
20 %
30 %
40 %
Benchmark
The Itraxx (and IBoxx) are indices comprising credit risk swaps (CDS). The chart shows % of assets, including Credit Default Swaps, excluding cash. The rating used is the median rating of the 3 agencies
Amundi As s et Management, Public Limited Company with a capital of 746,262,615 € - AMF approved Portfolio Management Company- GP number 04000036 - Corporate addres s : 90, Boulevard Pas teur - 75015 Paris - France 437 574 452 RCS Paris This material is s olely for the attention of “profes s ional” inves tors .
AMUNDI FUNDS BOND EURO HIGH YIELD - IE MONTHLY REPORT 31/ 12/ 2016
Spread 1.78% 1.52% 0.99% 0.50% 0.26% -5.15% -4.00% -2.59% -2.17% -1.90%
Ma i n overwei gh t s Cable-operators Staples Services Packaging Automobiles & Equipment suppliers Chemicals Ma i n u n derwei gh t s Financials Energy Metals Distribution Machinery
Historical risk indicators
Portfolio
Benchmark
Portfolio
Benchmark
Principal relative exposures by issuers
Overwei gh t s UPC HOLDING BV KBC GROEP NV UNICREDIT BANK LUXEMBOURG SA ROYAL BK SCOTL GROUP PLC HOMEVI SAS VIRGIN MEDIA FINANCE PLC HEIDELBERGCEMENT FIN LUX SA SAPPI PAPIER HOLDING AG ENEL SPA COOPERATIEVE RABOBANK UA U n derwei gh t s BANKIA SAU ANGLO AMERICAN CAPITAL ROYAL BK SCOTL PLC RUSSIAN RAILWAYS BANCO POPOLARE SCARL THYSSENKRUPP AG BARCLAYS BK PLC PETROBRAS GLOBAL FINANCE BV GAZPROM OAO CASINO GUICHARD PERRACHON SA
Sectors
Spread
Cable-operators Financials Financials Financials Staples Services Cable-operators Construction Packaging Utilities Financials Financials Metals Financials Consumer Services Financials Metals Financials Energy Energy Distribution
0.50% 0.46% 0.45% 0.44% 0.44% 0.43% 0.41% 0.40% 0.38% 0.37% -0.63% -0.68% -0.70% -0.71% -0.80% -0.82% -0.91% -1.11% -1.22% -1.30%
Amundi As s et Management, Public Limited Company with a capital of 746,262,615 € - AMF approved Portfolio Management Company- GP number 04000036 - Corporate addres s : 90, Boulevard Pas teur - 75015 Paris - France 437 574 452 RCS Paris This material is s olely for the attention of “profes s ional” inves tors .
12/2016
11/2016
10/2016
09/2016
08/2016
07/2016
06/2016
05/2016
04/2016
03/2016
12/2016
11/2016
10/2016
09/2016
08/2016
10 07/2016
2.5 06/2016
15
05/2016
3
04/2016
20
03/2016
3.5
02/2016
25
01/2016
4
02/2016
S p read Weig hted Mod ified Duration (S WMD)
01/2016
Mod ified d uration
AMUNDI FUNDS BOND EURO HIGH YIELD - IE MONTHLY REPORT 31/ 12/ 2016
Information Fund structure
UCITS under Luxembourg law
Fund Manager
Amundi Luxembourg SA
Custodian
CACEIS BANK LUXEMBOURG
Sub-fund launch date
25/04/2001
Share-class inception date
04/06/2001
Share-class reference currency
EUR
Other subscription/redemption currencies
USD
Type of shares
(A) Accumulation (D) Distribution
ISIN code
(A) LU0119109980 (D) LU0194908405
Reuters code
(A) LP60055690 (D) LP68117154
Bloomberg code
(A) CHIYIAI LX (D) AEHYDID LX
Minimum first subscription / subsequent
500000 Equivalent in EUR of USD / 1 thousandth(s) of (a) share(s)
Frequency of NAV calculation
Daily
Dealing times
Orders received each day D day before 14:00
Entry charge (maximum)
2.50%
Maximum direct annual management fees including taxes Performance fees Exit charge (maximum) Ongoing charge Minimum recommended investment period Benchmark index performance record
0.55% IAT Yes 0% 0.82% ( realized ) 5 years 01/11/2005: 100.00% ML EUROPEAN CURR H YLD BB-B RATED CONSTRAINED HEDGED 31/12/2003: 100.00% ML EUROPEAN CURRENCY HIGH YIELD CONST HEDGED 01/01/2003: 100.00% - CLOS - MERRILL LYNCH EUROPEAN CURRENCY HIGH YIELD CONST 05/04/2001: 100.00% - CLOS - MERRILL LYNCH EUROPEAN HIGH YIELD INDEX
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 material is solely for the attention of institutional, professional, qualified or sophisticated investors and distributors. It is not to be distributed to the general public, private customers or retail investors in any jurisdiction whatsoever nor to “US Persons”. Moreover, any such investor should be, in the European Union, a “Professional” investor as defined in Directive 2004/39/EC dated 21 April 2004 on Markets In Financial Instruments (“MiFID”) or as the case may be in each local regulations and, as far as the offering in Switzerland is concerned, a “Qualified Investor” within the meaning of the provisions of the Swiss Collective Investment Schemes Act of 23 June 2006 (CISA), the Swiss Collective Investment Schemes Ordinance of 22 November 2006 (CISO) and the FINMA’s Circular 08/8 on Public Offering within the meaning of the legislation on Collective Investment Schemes of 20 November 2008. In no event may this material be distributed in the European Union to non “Professional” investors as defined in the MIFID or in each local regulation, or in Switzerland to investors who do not comply with the definition of “qualified investors” as defined in the applicable legislation and regulation.
The Overall Morningstar Rating is a weighted average of the performance figures for its 3-, 5- and 10-yr (if applicable) Morningstar Rating metrics. Morningstar, Inc.® 2016. All Rights Reserved. The information, data, analyses and opinions (“Information”) contained herein: (1) include the proprietary information of Morningstar; (2) may not be copied or redistributed; (3) do not constitute investment advice; (4) are provided solely for informational purposes; (5) are not warranted to be complete, accurate or timely; and (6) may be drawn from fund data published on various dates. Morningstar is not responsible for any trading decisions, damages or other losses related to the Information or its use. For more information about Morningstar ratings, see http://corporate.morningstar.com/fr/documents/ MethodologyDocuments/FactSheets/ MorningstarRatingForFunds_FactSheet.pdf
Amundi As s et Management, Public Limited Company with a capital of 746,262,615 € - AMF approved Portfolio Management Company- GP number 04000036 - Corporate addres s : 90, Boulevard Pas teur - 75015 Paris - France 437 574 452 RCS Paris This material is s olely for the attention of “profes s ional” inves tors .