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Amundi Index Solutions AMUNDI INDEX SOLUTIONS SICAV with sub-funds under Luxembourg law Annual report, including Audited Financial Statements for the period from 09/06/16 (date of incorporation) to 30/09/17 AMUNDI INDEX SOLUTIONS Audited annual report R.C.S. Luxembourg B 206.810 For the period from 09/06/16 (date of incorporation) to 30/09/17 Subscriptions are only valid if made on the basis of the current prospectus accompanied by the key investor information document, the latest annual report and the latest semi-annual report if published after the annual report. Table of contents Page Organisation 4 Director’s Report 6 Securities Portfolio as at 30/09/17 AMUNDI INDEX EQUITY EUROPE LOW CARBON 11 AMUNDI INDEX EQUITY GLOBAL LOW CARBON 15 AMUNDI INDEX EQUITY GLOBAL MULTI SMART ALLOCATION SCIENTIFIC BETA 27 AMUNDI INDEX FTSE EPRA NAREIT GLOBAL 39 AMUNDI INDEX MSCI EMERGING MARKETS 43 AMUNDI INDEX MSCI EMU 52 AMUNDI INDEX MSCI EUROPE 55 AMUNDI INDEX MSCI JAPAN 60 AMUNDI INDEX MSCI NORTH AMERICA 63 AMUNDI INDEX MSCI PACIFIC EX JAPAN 70 AMUNDI INDEX MSCI WORLD 72 AMUNDI INDEX S&P 500 87 AMUNDI FTSE 100 92 AMUNDI GLOBAL INFRASTRUCTURE 93 AMUNDI MSCI BRAZIL 94 AMUNDI MSCI USA MINIMUM VOLATILITY FACTOR 95 AMUNDI USA EQUITY MULTI SMART ALLOCATION SCIENTIFIC BETA 96 AMUNDI INDEX BARCLAYS EURO AGG CORPORATE 97 AMUNDI INDEX BARCLAYS EURO CORP BBB 1-5 105 AMUNDI INDEX BARCLAYS GLOBAL AGG 500M 109 AMUNDI INDEX BARCLAYS US CORP BBB 1-5 127 AMUNDI INDEX BARCLAYS US GOV INFLATION - LINKED BOND 132 AMUNDI INDEX J.P. MORGAN EMU GOVIES IG 133 AMUNDI INDEX J.P. MORGAN GBI GLOBAL GOVIES 136 Statement of Net Assets as at 30/09/17 142 Financial Details 147 Statement of Operations and Changes in Net Assets for the period from 09/06/16 (date of incorporation) to 30/09/17 162 Notes to the Financial Statements as at 30/09/17 167 Additional information (Unaudited Information) 182 Independent Auditor’s Report 191 3 Organisation DENOMINATION AND REGISTERED OFFICE AMUNDI INDEX SOLUTIONS 5, allée Scheffer L-2520 Luxembourg BOARD OF DIRECTORS OF THE SICAV Chairman Valérie Baudson CEO of Amundi ETF, Indexing & Smart Beta Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Managing Director Julien Faucher Amundi Luxembourg 5, allée Scheffer L-2520 Luxembourg Directors Laurent Bertiau Global Head of Institutional Clients Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Dung Ramon General Secretary of Control and Supervision Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Christophe Lemarié Head of Marketing Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Management Company Amundi Luxembourg S.A. 5, allée Scheffer L-2520 Luxembourg BOARD OF DIRECTORS OF THE MANAGEMENT COMPANY Chairman Bernard De Wit Director of Support and Business Development Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Directors Julien Faucher Managing Director Amundi Luxembourg S.A. 5, allée Scheffer L-2520, Luxembourg Christian Pellis Global Head of External Distribution Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Pedro Arias (since July 7, 2017) Global Head of Alternative Assets Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Anne Landier - Juglar 100, boulevard Beaumarchais F-75011 Paris, France 4 Organisation CONDUCTION OFFICERS OF THE MANAGEMENT Mr Julien Faucher, Managing Director COMPANY Mr. Charles Giraldez, Deputy General Manager Mr. Oliver Guilbault, PCO Manager Mr. Pedro Arias, Global Head of Alternative Assets Mr. François de la Villeon, Real Estate Portfolio Manager INVESTMENT MANAGERS Amundi Asset Management 90, boulevard Pasteur F-75015 Paris, France Amundi Asset Management (London branch) 41 Lothbury London EC2R 7HF, United Kingdom Amundi Japan Ltd Hibiya Dai Building, 1-2-2 Uchisawai-cho, Chiyoda-ku Tokyo # 100-0011, Japan ADMINISTRATION AGENT, REGISTRAR, CACEIS Bank, Luxembourg branch TRANSFERT AGENT,CUSTODIAN AGENT AND 5, allée Scheffer PAYING AGENT L-2520 Luxembourg AUDITOR Ernst & Young, S.A. 35E, avenue J.F. Kennedy L-1855 Luxembourg LEGAL ADVISER Arendt & Medernach S.A. 41A, avenue J.F. Kennedy L-2082 Luxembourg 5 Director’s Report The economic figures released in Q4 were encouraging in the United States and in the Euro Zone, but more mixed in emerging countries. Nevertheless, it was the US presidential election that grabbed the headlines. The unexpected results pushed up bond yields, and led to a rise in the dollar and in developed country stocks. Other highlights of the quarter included the failure of the Italian constitutional referendum and the agreement reached by oil producing countries. United States: vast uncertainty following the presidential election The Q3 economic data from the US provided some positive surprises: the labour market is still strong (unemployment dropped to 4.6% in November, its lowest point since 2007), and the business climate indicators rebounded following a disappointing start to the year. Even so, there were other end-of-year statistics-- such as consumption and industrial production-- that were slightly worse. Above all, Donald Trump’s victory in the presidential election has increased the level of uncertainty. His platform calls for a significant increase in the budget deficit (above all due to the effect of steep tax cuts for businesses and wealthy households), and for decisions that are likely to create tensions with other countries (especially with regard to immigration and foreign trade). Once elected, Trump softened his rhetoric on immigration and healthcare. Some officials nominated to key positions have also marked changes in course away from Trump’s campaign promises, which means the tax cuts may therefore end up being more targeted toward the middle class. Other Trump nominations, however, have signalled an increased risk of trade tensions with other countries. The eurozone: the recovery continues in an increasingly uncertain political context The cyclical forces driving the European recovery (especially rebounds in employment and bank credit) continued to provide support. The Q3 growth figures provided a pleasant surprise in the countries that need it most (particularly Italy and Portugal), offsetting the mild disappointments from Germany and France. The indicators looking toward Q4 (PMI and IFO indicators in particular) were quite encouraging. On the political front, however, the defeat of the Italian referendum on 4 December has put into question whether reforms will continue in the country, where recovery is still lagging behind the rest of the eurozone. Moreover, early elections may be held in Italy in 2017, when Eurosceptic parties are in a strong position in the polls. And lastly, the UK government has indicated that by 31 March at the latest it will initiate the official procedure for taking the United Kingdom out of the European Union. Emerging countries: new ups and downs. The last quarter of 2016 started reassuringly, with China’s PMI over 50, and with production prices in positive territory after five long years, and with Q3 GDP up +6.7% (YOY). Donald Trump’s election in early November, however, opened a new chapter of uncertainty for emerging countries. The combined effect of rising US interest rates and the fear of protectionist measures emanating from the US slowed the flow of capital to emerging markets, harshly penalising their currencies. But December’s publication of quarterly GDP figures was satisfactory on the whole, making it possible to end the year on a less negative note, especially as oil prices remained mired at $50-55 per barrel. Stock markets The year’s last quarter was positive for stock markets. The MSCI World local currencies index therefore advanced +4.4% in the quarter. The US presidential election of 8 November was followed by accelerated rises in the market. The real winners were the Japanese market-- which leapt +14% in the quarter, boosted by a weakening yen-- and the US market, which rose by +4% in the quarter on pro-business political/economic expectations. The other highlight was Italy’s referendum of 4 November, which allowed European markets to pick up ground. The eurozone therefore advanced +8% over the entire quarter, with a notable boost from the Italian market (+19%). In Europe, the hottest sectors were finance (+17% in local currency) and energy (+14%), while the more cautious sectors were the ones that struggled. This included, for example, the figures in consumption (-6%) and utilities (-10%). Interest rate markets After three semesters of decreases-- especially due to repeated postponements of a second rate increase by the FED and the ECB’s extremely loose monetary policy-- long-term rates bounced back significantly in the fourth quarter, especially after the election of Donald Trump. The ECB’s decisions of 8 December bogged European rates down, while the Fed’s second rate hike pushed US rates up even higher. Lastly, the ten-year US T-Bill increased from around 1.60% to 2.45%, while its German counterpart increased from approximately -0.10% to 0.20%. France’s ten-year rate rose by about 0.5%, moving from around 0.20% to 0.70%. Periphery bonds also suffered: Italian and Spanish rates increased respectively from around 1.20% and 0.90%, to roughly 1.80% and 1.40%. The dollar benefited from Trump’s victory and the Fed’s decision to raise its benchmark rates. The yen continued to fall against the dollar, with the USD/JPY exchange rate slipping from 101 to 117. The euro also declined against the dollar, dropping from 1.12 to 1.05. The pound and the Swiss franc gained slightly on the euro. Quarterly retrospective. In the first quarter, the markets evolved in a climate marked by positive economic figures, but also by hefty political uncertainty. Growth and employment indicators remained effectively positive in the US, while they improved in the eurozone and in some emerging countries.
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