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NATIXIS AM Funds NATIXIS AM Funds Société d'Investissement à Capital Variable organised under the laws of the Grand Duchy of Luxembourg Audited annual report for the year ended June 30, 2020 R.C.S. Luxembourg B 177 509 NATIXIS AM Funds Table of Contents Management and Administration 3 Report of the Board of Directors 4 Report of the Réviseur d’Entreprises agréé 14 Combined statement of net assets 18 Combined statement of operations and changes in net assets 19 NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months 21 NATIXIS AM Funds - Ostrum Euro Short Term Credit 25 NATIXIS AM Funds - Ostrum Euro Credit 34 NATIXIS AM Funds - Ostrum Euro Inflation 41 NATIXIS AM Funds - Ostrum Euro Aggregate 45 NATIXIS AM Funds - Ostrum Global Aggregate 55 NATIXIS AM Funds - Ostrum Credit Opportunities 61 NATIXIS AM Funds - Ostrum Global Convertible Bonds 67 NATIXIS AM Funds - Ostrum Multi Asset Global Income 73 NATIXIS AM Funds - H2O Lux Multibonds (liquidation on May 28, 2020) 81 NATIXIS AM Funds - H2O Lux Allegro (liquidation on May 28, 2020) 84 NATIXIS AM Funds - Ostrum Euro Value Equity 87 NATIXIS AM Funds - Ostrum Food & Consumer Equities (liquidation on October 30, 2019) 91 NATIXIS AM Funds - Natixis Conservative Risk Parity 94 NATIXIS AM Funds - Seeyond Multi Asset Conservative Growth Fund 99 NATIXIS AM Funds - Seeyond Multi Asset Diversified Growth Fund 104 NATIXIS AM Funds - Seeyond Equity Factor Investing Europe 109 NATIXIS AM Funds - Seeyond Europe Market Neutral 116 NATIXIS AM Funds - Seeyond Europe Minvol 124 NATIXIS AM Funds - Seeyond US Minvol 130 NATIXIS AM Funds - Seeyond Global Minvol 135 NATIXIS AM Funds - Seeyond Equity Volatility Strategies 143 NATIXIS AM Funds - Ostrum Global Emerging Bonds 148 NATIXIS AM Funds - Ostrum Global Emerging Equity 156 Notes to the financial statements - Schedule of derivative instruments 161 Other notes to the financial statements 172 Unaudited information 199 No subscription can be received on the basis of this financial report. Subscriptions are only valid if made on the basis of the current Prospectus supplemented by the latest annual report and the latest semi-annual report if published thereafter. Page 2 NATIXIS AM Funds Management and Administration REGISTERED OFFICE 5, Allée Scheffer L - 2520 Luxembourg MANAGEMENT COMPANY Natixis Investment Managers International 43, Avenue Pierre Mendès-France 75013 Paris - France BOARD OF DIRECTORS OF THE SICAV Chairman Natixis Investment Managers International Represented by Jason Trépanier, « Executive Vice-President, Chief Operating Officer» of Natixis Investment Managers International Directors Natixis Wealth Management Luxembourg Represented by Philippe Guénet (since September 25, 2019), Directeur Général of Natixis Wealth Management Luxembourg Natixis Life Represented by Frédéric Lipka, « Directeur Général » of Natixis Life DELEGATED INVESTMENT MANAGERS Ostrum Asset Management 43, Avenue Pierre Mendès France 75013 Paris - France H2O Asset Management LLP (until 28/05/2020) 10 Old Burlington Street London W1S 3AG - United Kingdom SEEYOND 43, Avenue Pierre Mendès-France 75013 Paris - France Ostrum Asset Management Asia Limited 5 Shenton Way #22-06 UIC Building Singapore 068808 DEPOSITARY BANK CACEIS Bank, Luxembourg Branch 5, Allée Scheffer L - 2520 Luxembourg ADMINISTRATIVE AGENT, PAYING AGENT, CACEIS Bank, Luxembourg Branch LISTING AGENT, DOMICILIARY, CORPORATE 5, Allée Scheffer L - 2520 Luxembourg AGENT, REGISTRAR AND TRANSFER AGENT AUDITOR (Cabinet de Révision Agréé) KPMG Luxembourg, Société Coopérative 39, Avenue John F. Kennedy L - 1855 Luxembourg C2 - Internal Natixis Page 3 NATIXIS AM Funds Report of the Board of Directors 1. NATIXIS AM Funds - Ostrum Euro Bonds Opportunities 12 Months The Fund outperformed its Reference Index (the EONIA capitalized) by 0.84% (gross of fees I/C share class in EUR) in the 12 past months as of 30 June 2020. The fund realized a performance of 0.39% (gross of fees I/C share class) VS. - 0.44% for the benchmark. The fund’s outperformance was mainly realized T3 2019 and T2 2020. During T3 2019 the outperformance of was mainly due to our country positioning, especially on Italy which contributed positively, as well as our strategy on forward contracts. Over the second quarter of 2020 Italian, Portuguese and Spanish interest rate spreads tightened with tension over sovereign spreads in April. The 2-year Italian Spread for instance, went from 100 to 75 bps with its highest level at 193 bps on April 21st. Spanish and Portuguese spread levels moved from 47 to 26 bps and from 59 to 19 bps in the quarter, with highest at 80 and 88 bps respectively on 22nd of April. Greek spreads also tightened, for instance Greece 2023 on the portfolio decreased by 72 bps, from 1.04% to 0.32%. All this contributed to the fund’s over-performance during the quarter. The I/C share class of the fund outperformed its Reference Index (the EONIA capitalized) by 0.46% (net of fees I/C share class) in the 12 past months ended 30 June 2020. The share class realized a yearly performance of 0.02% (net of fees I/C share class) VS. -0.44% for the benchmark as of end of June 2020. 2. NATIXIS AM Funds - Ostrum Euro Short Term Credit Performance drivers: The fund had a negative performance of -1.83% over 1 year (I/A share class class), underperforming its benchmark, the Bloomberg Barclays Euro Corporate index 1-3 years index (-0.73% over the period). The underperformance happened during Q1 2020 due to the consequences of the Covid19 Pandemic. The risk off move was brutal during March 2020 as the markets collapsed in 3 weeks. Bond valuations dropped sharply amid the market dislocation and absent liquidity. The outperformance generated during the Q3 2019, Q4 2019 and Q2 2020 was not enough to compensate the sharp correction in Q1 2020. During 3Q19, the fund posted a positive gross return of 0.36% (0.25% net of fees), outperforming its benchmark by +0.26%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. This outperformance is explained mostly by the security selection (positive impact of +0.11%), the asset allocation (i.e. the HY allocation, positive impact of +0.08%) and the the yield curve positioning. During 4Q19, the fund posted a positive gross return of 0.16% (0.07% net of fees), outperforming its benchmark by +0.17%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. This outperformance is explained by credit directional exposure which had a positive impact of +0.12% as the fund was overweight credit and credit spread of the benchmark tightened by -12bps over the quarter (from 44bps to 32bps). Secondly, the security selection had a positive impact of +0.07%. During 1Q20, the fund posted a negative gross return of -4.43% (-4.53% net of fees), underperforming its benchmark by - 1.56%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. First, the credit directional exposure had the most significant impact on performance with a negative contribution of -1.96% as the fund was overweight credit and credit spread of the benchmark widened by +147bps over the quarter (from 32bps to 179bps). Secondly, the asset allocation had also a negative impact of -0.61% as the funds was overweight in high beta sectors (subordinated debts) and HY allocation which underperformed strongly over the quarter. Third, the security selection had a positive impact of +0.99%, mainly due to buying protection on credit derivatives index. Page 4 NATIXIS AM Funds Report of the Board of Directors During 2Q20, the fund posted a positive gross return of +2.6% (+2.51% net of fees), outperforming its benchmark by +0.38%, the Bloomberg Barclays Euro Aggregate Corporate 1-3 year. First, the credit directional exposure had the most significant impact on performance with a positive contribution of 0.33% as the fund was overweight credit and the credit spread of the benchmark tightened by -85bps over the quarter (from 179bps to 94bps). Secondly, the asset allocation had an impact of +0.18% as the funds was overweight in high beta sectors (subordinated debts) and HY allocation which performed over the quarter. Third, the security selection had an impact of -0.19%, 3. NATIXIS AM Funds - Ostrum Euro Credit Performance drivers: The fund had a negative performance of -1.47% over 1 year (I/A share class class), underperforming its benchmark, the Bloomberg Barclays Euro Corporate index (-0.42% over the period). The underperformance happened during Q1 2020 due to the consequences of the Covid19 Pandemic. The risk off move was brutal during March 2020 as the markets collapsed in 3 weeks. Bond valuations dropped sharply amid the market dislocation and absent liquidity. The outperformance generated during the Q3 2019, Q4 2019 and Q2 2020 was not enough to compensate the sharp correction in Q1 2020. Q3 2019: Ostrum Euro Credit strategy posted a positive gross performance of +1.52% (+1.37 net of fees), outperforming its benchmark on a gross basis by 0.23%. During the quarter, the credit market widened by 6bps from 63bps to 69bps in spread on average. The decline in rates during this period (-17bps on the 5-year Swap rate) counterbalanced it and contributed to the positive performance of the fund. The outperformance was driven by the sector allocation and the yield curve positioning. Q4 2019: Ostrum Euro Credit strategy posted a negative gross performance of -0.22% (-0.37% net of fees), outperforming its benchmark on a gross basis by 0.29% (0.14% net of fees). During the quarter, the credit market spread tightened by 16bps from 73bps to 57bps on average. However, the rise in rates during this period (+30bps on the 5-year Swap rate) exceeded the tightening in spreads and resulted in a small negative performance for the fund. The outperformance versus the benchmark was mainly driven by the issuer selection for 26bps out of 29bps in total.
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