NN (L) INSTITUTIONAL Common Fund (FCP) R.C.S. Luxembourg N° K197
Annual report and audited financial statements
LUXEMBOURG for the year ended December 31, 2019 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll
For additional information please contact:
NN Investment Partners B.V. P.O. Box 90470 Schenkkade 65 2509 LL The Hague The Netherlands e-mail: [email protected] or www.nnip.com NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll
Warning
No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter.
The prospectus, the statutes, the annual and semi-annual reports are made available to the Unitholders at the depositary bank and at the Company's registered office as well as at the local sales offices or main client servicing contacts identified in this report. They will also be sent free of charge to anyone who so requests.
The information given in this report is for reference purposes only. It is not a guide to future results.
Only the English version of the present Annual Report has been audited by the Réviseur d’entreprises agréé. Consequently, the Audit Report only refers to the English version of the report; other versions result from a conscientious translation. In case of differences between the English version and the translation, the English version shall be the authentic text. Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll
Table of contents Page
Organisation 2 Management's report 4 Report of the Réviseur d'Entreprises agréé 8 Combined statements Combined statement of net assets as at 31/12/2019 10 Combined statement of operations and changes in net assets for the year ended 31/12/2019 10 NN (L) Institutional FCR Statistics 11 Financial statements 12 Statement of net assets as at 31/12/2019 12 Statement of operations and changes in net assets for the year ended 31/12/2019 12 Securities portfolio as at 31/12/2019 13 Financial derivative instruments as at 31/12/2019 16 Summary of net assets as at 31/12/2019 16 NN (L) Institutional Global Enhanced Statistics 17 Financial statements 18 Statement of net assets as at 31/12/2019 18 Statement of operations and changes in net assets for the year ended 31/12/2019 18 Securities portfolio as at 31/12/2019 19 Summary of net assets as at 31/12/2019 23 Notes to the financial statements 24 Other information to unitholders (unaudited) 30
1 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Organisation
Registered Office of the Management Company 80, route d’Esch, L-1470 Luxembourg (since 01/04/2019) 3, rue Jean Piret, L-2350 Luxembourg (until 31/03/2019)
Board of Directors of the Management Company
Directors Satish Bapat (since 01/04/2019), Chief Executive Officer
Hester Borrie (since 01/04/2019), Chief Client Officer
Martijn Canisius (since 01/04/2019), Chief Finance and Risk Officer
Valentijn van Nieuwenhuijzen (since 01/04/2019), Chief Investment Officer
Jitka Schmiedová (since 01/04/2019), Chief Human Resources Officer
Erno Berkhout (until 31/03/2019), Head of Finance
Corine Gerardy (until 31/03/2019), Chief Operating Officer
Bob van Overbeek (until 31/03/2019), Director
Georges Wolff (until 31/03/2019), Country Manager
Dirk Zunker (until 31/03/2019), Head of Legal & Compliance
Management Company NN Investment Partners B.V. (since 01/04/2019), 65, Schenkkade, 2595 AS, The Hague, The Netherlands
NN Investment Partners Luxembourg S.A. (until 31/03/2019), 3, rue Jean Piret, L-2350 Luxembourg
Investment Manager NN Investment Partners B.V., 65, Schenkkade, 2595 AS, The Hague, The Netherlands
2 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Organisation (continued)
Administrative, NN Investment Partners B.V. (since 01/04/2019), Registrar, Transfer and Paying Agent 65, Schenkkade, 2595 AS, The Hague, The Netherlands
NN Investment Partners Luxembourg S.A. (until 31/03/2019), 3, rue Jean Piret, L-2350 Luxembourg
delegated to
Brown Brothers Harriman (Luxembourg) S.C.A., 80, route d’Esch, L-1470 Luxembourg
Depositary Brown Brothers Harriman (Luxembourg) S.C.A., 80, route d’Esch, L-1470 Luxembourg
Cabinet de révision agréé KPMG Luxembourg, Société coopérative, 39, Avenue John F. Kennedy, L-1855 Luxembourg
Local Sales offices or Main Client servicing contacts
All other countries NN Investment Partners B.V., 65, Schenkkade, 2595 AS, The Hague, The Netherlands
Belgium NN Investment Partners Belgium, Marnixlaan 23, 1000 Brussels, Belgium
France NN Investment Partners B.V. French Branch, 52-56, rue de la Victoire, 75009 Paris, France
Spain/Portugal NN Investment Partners B.V. Spanish Branch, Pº de la Castellana 141, 19th floor, 28046 Madrid, Spain
Counterparties to over-the-counter financial derivative
instruments
Swap counterparties BNP Paribas, 787, Seventh Avenue, New York, NY 10019, United States
Citibank N.A., Citigroup Centre, 25, Canada Square, Canary Wharf, London E14 5LB, United Kingdom
Goldman Sachs International, Peterborough Court, 133, Fleet Street, London EC4A 2BB, United Kingdom
3 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Management's report
Economic context
Political uncertainty continued in 2019, with the primary issues at hand being the US-China trade negotiations and the continuing Brexit turmoil. There was growing hope of a US-China deal before end-April, which led to investor optimism. Both parties had an incentive to reach a deal: China because of the domestic economic slowdown and President Trump to counter his decline in popularity. On Brexit, visibility remained low and many options remained open, ranging from a no-deal Brexit (not very likely) to no Brexit at all, as well as everything in between, including a new referendum or Parliamentary approval of the current negotiated deal.
Fundamental data were still weak in the first quarter, but the pace of earnings downgrades slowed and Eurozone macro data were less negative than feared in December. The U-turn made by central banks underscored their flexibility and data dependency in determining their monetary policy.
The United States “US” economy experienced mixed performance in the first quarter of 2019. At the start of the year, the government shutdown dominated the headlines, as onlookers feared the impasse would continue for months and have far-reaching effects on consumer and business confidence.
The Eurozone manufacturing Purchasing Managers Index (“PMI”) for March came in two points below expectations, diving far below the neutral 50 mark and pushing Bund yields into negative territory. This came as a shock to investors, especially because of the weakness seen in German manufacturing and in France in general. This also had repercussions for financial markets worldwide, given Europe’s large dependence on global trade.
After an upturn in the first quarter, composite PMI data for the US fell three months in a row during the second quarter, pointing to underlying weakness that likely stemmed from the ongoing trade tensions and the resulting uncertainty. This underpinned our belief that the US economy is structurally more vulnerable to negative income and confidence shocks as a result of the recent flare-up. Trade risks were essentially an addition to a whole list of drivers of secular stagnation forces, which were very much visible in Europe and Japan.
On the whole, the June PMI data for Europe were encouraging and the domestic side of the economy remained resilient. However, Europe is also sensitive to global trade developments, given its dependence on exports, and pricing power is hard to find, which has driven central banks to step up their dovish efforts.
In the third quarter , the economy appeared to have entered the next phase in the global slowdown. Employment growth had already started to slow moderately by August and the most recent survey data suggest that this process could be accelerating somewhat. Meanwhile, global consumer spending growth is cooling and consumer confidence has started to show a modest decline. Developments reflected the ongoing tug of war between political uncertainties weighing on business confidence on the one hand and monetary policy supporting consumers on the other hand. Meanwhile, the “search for yield” theme intensified. After trade talks between the US and China restarted in July, the conflict flared up again in August. In September, hopes of a partial trade deal increased as both sides attempted to ease tensions ahead of the trade talks scheduled for October.
By the end of the year, growth in the real economy was showing signs of bottoming out as industrial production and cap expenditure stabilize. Meanwhile, the negative spill-over of weakness in these areas to labour markets appeared to be abating.
Some of the main political risks that worried investors moderated during the fourth quarter, even though the underlying problems had not disappeared. A partial US-China trade deal gave hope of a prolonged period of trade truce and the Conservative party’s December victory in the United Kingdom (“UK”) meant that the Withdrawal Agreement was very likely to get through Parliament.
Monetary policy
Central bank policy turned more dovish in the first quarter of 2019. In particular, the US Federal Reserve (“Fed”) signalled it may explicitly aim for a moderate inflation overshoot. The Fed raised rates four times in 2018, and going into 2019, consensus expectations were for at least one further rate hike during the year. However, in January the Fed signalled its intention to remain on hold for some time, while also adopting a fully neutral position in its guidance on the policy rate. In its March meeting, the Fed cemented the dovish pivot established in January, as Chairman Jerome Powell clearly signalled that the Fed believed the economy was in a benign equilibrium with underlying growth slowing towards potential, the policy rate in the neutral zone and the unemployment rate a bit below its long-run level.
4 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Management's report (continued)
The European Central Bank (“ECB”) followed the Fed’s lead in turning more dovish, confronted with deterioration in data. At the March meeting, the ECB materially downgraded its growth forecasts and no longer expects to attain the inflation target over the policy horizon. The ECB also announced a new series of the targeted longer-term refinancing operations (“TLTROs”) starting in September, in addition to extending the date-based element of rate guidance from on hold “through the summer” to “at least through the end of 2019”. Overall, the ECB’s downward revision of 2019 Gross Domestic Product (“GDP”) growth forecasts from 1.70% to 1.10%, the sluggish inflation projections and the extension of the forward guidance to end 2019 pushed forward the expected date of the first ECB rate hike to 2021.
The Fed left borrowing costs unchanged at its April/May meeting, delaying any rate moves amid persistently low inflation. The U.S. central bank’s decision to maintain its benchmark interest rate in a range of 2.25-2.50% was widely anticipated, despite stronger-than-expected growth in the first quarter of 2019 and an unemployment rate near a half-century low.
At the June Fed meeting, Powell made it clear that the Fed was “closely monitoring” developments and would “act as appropriate to sustain the expansion”. His comments implied that the Fed would be very likely to cut interest rates in July if the economic situation does not improve substantially. As such, he successfully managed market expectations for a series of insurance cuts. Downside growth risks and the fact that inflation pressures are more muted than initially anticipated form the rationale for these cuts. So even if a trade deal is reached quickly, the Fed could still cut with the aim of keeping inflation expectations well-anchored.
In contrast to the Fed, the ECB has mostly taken a reactive approach. The central bank operates in a very complicated institutional and political environment, which means any bold and decisive policy action faces a big hurdle. At the ECB meeting in early June, President Mario Draghi still claimed that inflation convergence has been “delayed but not derailed” and signalled that the ECB would react if downside risks materialize. Only two weeks later, he announced that the bank will ease further in an attempt to diminish the threat of continued low inflation rates unless the outlook improves substantially. It is likely that rates will be cut further into negative territory, starting in July, and that the ECB will restart its private asset purchase program.
In the third quarter, the Fed cut its policy rate twice and signalled difficulty in provide a roadmap for future monetary policy. The European Central Bank cut the policy rate further into negative territory in September. In Japan, yield curves were very flat and well into negative territory.
After a third rate in October, the Fed signalled it would not ease further unless there was a “material reassessment” of the outlook, which set the hurdle for a rate hike much higher and requires that core inflation rises moderately but sustainably above 2%.
Before handing over the reins to his successor Christine Lagarde at the end of October, outgoing European Central Bank President Mario Draghi presided over another round of ECB easing consisting of a rate cut, the restart of quantitative easing (“QE”) and an enhanced form of forward guidance.
Fixed Income Markets
During the first two months of 2019, Developed Markets (“DM”) bond yields moved more or less sideways. In the final month of the first quarter, however, bond yields dropped sharply. The main causes of this drop were the weakness in European data for the manufacturing sector and the related pricing by markets of more dovish central banks.
Emerging Market Debt (“EMD”) started 2019 on a strong footing, owing to a confluence of multiple factors. The dovish turn in the Fed’s communication was one such favourable factor for all fixed income asset classes. Over the course of the quarter, the US Treasury yields for different maturities fell by between 20 and 30 basis points. The return of the US and China to the negotiation table mitigated concerns regarding the trade war. Furthermore, the stabilisation of oil prices and a hiatus in the strengthening trend of the US dollar worked in favour of Emerging Market (“EM”) assets, and valuations were quite attractive. All of these led to substantial inflows for the asset class.
Safe government bond yields recovered slightly in April from their late March lows. Over the month, the 10-year US yield rose by 10 basis points and the German 10-year yield rose by 8 basis points. Peripheral yields lagged behind, leading to a decline in their respective spreads versus the German 10-year yield. The 10-year Italian yield rose by 5 basis points in April, while the Spanish 10-year yield declined by 10 basis points.
5 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Management's report (continued)
At the end of May, trade tensions escalated further as a result of newly proposed tariffs by the US on imports from Mexico. In response to these increased trade risks, developed market government bond yields fell sharply. Although Trump dropped his Mexico tariff threat on 8 June 2019, bond yields did not recover. This is partly attributable to the fact that this threat demonstrated Trump’s willingness to use tariffs actively for a wide range of purposes, thus raising ‘trade uncertainty’. A more important factor, however, is that central banks seemed to justify the dovish market pricing at their June meetings.
In the third quarter, the US Treasury yields moved down by between 12 and 40 basis points, for different tenors in the 2- to 30-year segment of the yield curve. The lingering political risks and disappointing economic data ensured that the rally on government bond markets continued unchecked (+3.8% for euro government bonds in the third quarter).
After a sharp decline in developed bond yields from October 2018 until early October 2019, the reduction in political risks probably contributed to a correction higher in bond yields. The US 10-year Treasury yield moved up from 1.66% end-September to 1.92% end- December. In the same period, the German 10-year Bund yield increased from -0.57% to -0.19%. The fact that German yields increased roughly as much as US yields (normally the beta is around 0.7) can be partly explained by the fact that there seems to be an increasing reluctance within the ECB to further ease monetary policy.
Equity markets
Following a very weak December for global equities, January turned out to be a strong month. This was largely because of a change in the investor mindset, which moved from fears of a recession to hopes for a recovery during the month. Divergence picked up in equity markets in February as EM stalled but Eurozone equities gained speed. Japan was also a laggard, despite the weakness of the Japanese yen against the US dollar. Corporate data improved during the month and fourth-quarter earnings results ultimately beat expectations, though these expectations had been revised down aggressively in previous months. March was the third month in a row with positive returns for global equities, bringing the first-quarter rally close to 15.00%. The explanation for this spectacular rally was not to be found in the macro-economic and corporate dynamics, as these continued to worsen.
The equity rally continued in April with the MSCI World adding an additional 3.80%. The main reason was the emergence of economic green shoots feeding expectations of a second-half recovery. In May, signs of an escalating US-China trade war flared up again. A quick deal seemed further away than ever and focus spread towards the technology sector, one of the biggest drivers of US market outperformance. Equities were driven by a rebound in June, both in cyclical and in defensive sectors. Following the dovish shift of the Fed and ECB, risky assets in general were in the ascendant.
The third quarter was on balance a strong one for global equities (+4.4%) as investors sought positive yields. In July, investors moved up the risk curve in search of positive yields as bond yields dropped to record lows in the Eurozone, credit spreads tightened and more than USD 13 trillion of bonds were offering negative yields. In August, EM equities underperformed DM by almost 3%. A confidence crisis in Argentina and weaker currencies, dragged down by the depreciation of China’s renminbi, was an important reason. The UK was weak as the risks of a hard Brexit seemed to rise after Prime Minister Boris Johnson announced his plans to suspend Parliament. In September, non-US markets outperformed the US. Japan rose 5.3%, the UK 5.2% and the Eurozone 3.7%. Japan also benefitted from a weaker yen. The Eurozone got a push from the ECB’s new monetary policy decisions helping the banking sector and from rumours of more fiscal easing.
In the fourth quarter, investor sentiment started to improve sharply thanks to easing trade tensions and clarity on Brexit. October was a good month for risky assets, due to lower political tail risks, strong earnings and signs of stabilization in manufacturing data. Trade uncertainty and Brexit added to market worries in November, but despite continuing challenges to the fundamental outlook, global equity markets added another 4% during the month, driven by US and European monetary policy. In December, the biggest bounce in equities was in the emerging markets, up almost 6%. The trade truce, higher commodity prices and a dovish Fed helped increase investment flows to the region.
The year 2019 turned out to be the best year for equities since 2009, with the MSCI World up 28% in USD terms. This stellar performance was not due to strong fundamentals but to monetary policy. Particularly helpful were the Fed’s U-turn at the beginning of the year and the ECB’s restarting the open-ended QE programme and further cutting interest rates into negative territory.
6 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Management's report (continued)
Outlook
Easing trade and political tensions and signs of stabilization in global industrial production and capex momentum increase the probability that the current soft patch will make way for a mild growth acceleration in 2020. Trade uncertainty remains the biggest risk to the macro outlook, though the initial US-China agreement offers a positive signal. While the Brexit-related risk factor has eased, caution on UK assets is still warranted given the nation’s need to negotiate a new trade agreement with Europe. The short-term fundamental outlook for global equities remains challenging but there are glimmers of hope. Global manufacturing confidence is showing some signs of stabilization, the slowdown in the service sector is ending and the consumer sector is receiving support from a strong labour market.
Luxembourg, March 2, 2020
7 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
KPMG Luxembourg, Société coopérative Tel.: +352 22 51 51 1 39, Avenue John F. Kennedy Fax: +352 22 51 71 L-1855 Luxembourg E-mail: [email protected] Internet: www.kpmg.lu
To the Unitholders of NN (L) INSTITUTIONAL 80, route d’Esch L-1470 Luxembourg
REPORT OF THE REVISEUR D’ENTREPRISES AGREE
Opinion
We have audited the accompanying financial statements of NN (L) INSTITUTIONAL and each of its sub-funds (“the Fund”), which comprise the statement of net assets, the securities portfolio and the financial derivative instruments as at December 31, 2019 and the statement of operations and changes in net assets for the year then ended, and notes to the financial statements, including a summary of significant accounting policies.
In our opinion, the accompanying financial statements give a true and fair view of the financial position of NN (L) INSTITUTIONAL and each of its sub-funds as at December 31, 2019 and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements.
Basis for opinion
We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (“Law of 23 July 2016”) and with International Standards on Auditing (“ISAs”) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (“CSSF”). Our responsibilities under the Law of 23 July 2016 and ISAs are further described in the « Responsibilities of “Réviseur d’Entreprises agréé” for the Audit of the Financial Statements » section of our report. We are also independent of the Fund in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants (“IESBA Code”) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.
Other information
The Board of Directors of the Management Company is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our report of “Réviseur d’Entreprises agréé” thereon.
Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon.
In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.
KPMG Luxembourg, Société coopérative, a Luxembourg entity and a T.V.A. LU 27351518 member firm of the KPMG network of independent member firms R.C.S. Luxembourg B 149133 affiliated with KPMG International Cooperative (“KPMG International”), a Swiss entity.
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REPORT OF THE REVISEUR D'ENTREPRISES AGREE (continued)
Responsibilities of Board of Directors of the Management Company for the financial statements
The Board of Directors of the Management Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Management Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error.
In preparing the financial statements, the Board of Directors of the Management Company is responsible for assessing the Fund's and each of its sub-funds' ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Management Company either intends to liquidate the Fund or any of its sub-funds or to cease operations, or has no realistic alternative but to do so.
Responsibilities of the "Reviseur d'Entreprises agree" for the audit of the financial statements
The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of "Reviseur d'Entreprises agree" that includes our opinion. Reasonable assurance is a high level of assurance but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists.
Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements.
As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:
- Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. - Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund's internal control. - Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Management Company. - Conclude on the appropriateness of Board of Directors of the Management Company use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund's or any of its sub-funds' ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our report of "Reviseur d'Entreprises agree" to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our report of "Reviseur d'Entreprises agree". However, future events or conditions may cause the Fund or any of its sub-funds to cease to continue as a going concern. - Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.
We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit and significant audit findings, including any significant deficiencies in internal control that we identify during our audit.
Luxembourg, March 19, 2020 KPMG Luxembourg Societe cooperative Cabinet de revision agree
V. Ehx Partner
9 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll Combined statements (Denominated in EUR)
Combined statement of net assets as at 31/12/2019 Notes Total securities portfolio 2 1,314,677,576.51 Shares 251,662,621.66 Undertakings for collective investment 325,186,565.12 Bonds and other debt instruments 737,828,389.73 Total financial derivative instruments 2 11,894,964.74 Interest rate swaps 12 8,018,639.66 Futures 3,876,325.08 Cash at bank 35,019,982.19 Margin deposits 3,100,070.87 Other assets 4,13 13,999,096.21 Total assets 1,378,691,690.52 Current liabilities 4,13 (11,090,737.20) Total financial derivative instruments 2 (6,998,877.35) Interest rate swaps 12 (6,811,151.36) Futures (187,725.99) Total liabilities (18,089,614.55) Net assets at the end of the year 1,360,602,075.97
Combined statement of operations and changes in net assets for the year ended 31/12/2019 Notes Total income 2 14,057,493.51 Dividends 5,324,010.63 Interest on bonds and other debt instruments 6,775,689.86 Bank interest 19,399.77 Interest on swaps 1,853,430.65 Other income 9 84,962.60 Total expenses (1,447,427.79) Management fees 5 (948,661.62) Depositary fees 6 (208,541.35) Subscription tax 8 (23,248.16) Bank interest (22,750.06) Other expenses 10 (244,226.60) Net investment income 12,610,065.72 Realised gains on securities portfolio 51,617,921.34 Realised losses on securities portfolio (11,612,651.38) Realised gains on financial derivative instruments 90,628,416.39 Realised losses on financial derivative instruments (68,008,752.23) Realised gains on currency 2,778,841.89 Realised losses on currency (1,891,411.54) Changes in net unrealised gains or (losses) on securities 166,250,312.51 portfolio Changes in net unrealised gains or (losses) on financial (7,859,038.79) derivative instruments Result of operations 234,513,703.91 Subscriptions 76,190,991.52 Redemptions (89,620,512.68) Net assets at the beginning of the year 1,139,517,893.22 Net assets at the end of the year 1,360,602,075.97
The accompanying notes form an integral part of these financial statements.
10 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional FCR (Denominated in EUR) Statistics
Net assets 31/12/2019 EUR 1,108,003,393.22 31/12/2018EUR 968,174,455.75 31/12/2017EUR 990,685,431.64
Net asset value per unit
Distribution I (EUR) 31/12/2019 EUR 276.58 31/12/2018 EUR 232.42 31/12/2017 EUR 234.13
Number of units
Distribution I (EUR) 31/12/2019 4,006,088 31/12/2018 4,165,714 31/12/2017 4,231,305
Ongoing charges in %*
Distribution I (EUR) 31/12/2019 0.14%
Portfolio turnover in %* 31/12/2019 45.09%
* The portfolio turnover data has been calculated by the Administrative Agent (see note 15). The ongoing charges figure corresponds to the ongoing charges figure as mentioned in the latest available Key Investor Information Document ("KIID") as at the date of this report. Transaction costs are included in the purchase/sale price of the securities (if any). These costs, which are not treated as operating expenses, are not included in the calculation of the ongoing charges. The ongoing charges and the portfolio turnover rate are calculated for the last twelve months. The ongoing charges are annualised for periods less than one year. The portfolio turnover rate is not annualised for periods less than one year.
11 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional FCR (Denominated in EUR) Financial statements
Statement of net assets as at 31/12/2019 Notes Total securities portfolio 2 1,063,014,954.85 Undertakings for collective investment 325,186,565.12 Bonds and other debt instruments 737,828,389.73 Total financial derivative instruments 2 11,894,964.74 Interest rate swaps 12 8,018,639.66 Futures 3,876,325.08 Cash at bank 33,455,532.47 Margin deposits 3,100,070.87 Other assets 4,13 13,538,676.24 Total assets 1,125,004,199.17 Current liabilities 4,13 (10,001,928.60) Total financial derivative instruments 2 (6,998,877.35) Interest rate swaps 12 (6,811,151.36) Futures (187,725.99) Total liabilities (17,000,805.95) Net assets at the end of the year 1,108,003,393.22
Statement of operations and changes in net assets for the year ended 31/12/2019 Notes Total income 2 9,423,448.18 Dividends 709,365.07 Interest on bonds and other debt instruments 6,775,689.86 Interest on swaps 1,853,430.65 Other income 9 84,962.60 Total expenses (372,488.10) Depositary fees 6 (151,450.89) Bank interest (22,325.22) Other expenses 10 (198,711.99) Net investment income 9,050,960.08 Realised gains on securities portfolio 29,763,803.86 Realised losses on securities portfolio (188,219.88) Realised gains on financial derivative instruments 90,628,416.39 Realised losses on financial derivative instruments (68,008,752.23) Realised gains on currency 1,175,355.50 Realised losses on currency (302,825.78) Changes in net unrealised gains or (losses) on securities 128,175,134.21 portfolio Changes in net unrealised gains or (losses) on financial (7,859,179.94) derivative instruments Result of operations 182,434,692.21 Redemptions (42,605,754.74) Net assets at the beginning of the year 968,174,455.75 Net assets at the end of the year 1,108,003,393.22
The accompanying notes form an integral part of these financial statements.
12 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional FCR (Denominated in EUR)
Securities portfolio as at 31/12/2019
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
Transferable securities and money market instruments admitted to an 600,000 RCI BANQUE SA 0.250% 12/07/2021 EMTN EUR 602,385.74 0.05 official stock exchange listing and/or dealt in on another regulated market 640,000 RCI BANQUE SA 0.625% 04/03/2020 EMTN EUR 640,925.04 0.06 820,000 RCI BANQUE SA 1.625% 26/05/2026 EMTN EUR 841,744.25 0.08 200,000 RCI BANQUE SA 2.250% 29/03/2021 EMTN EUR 205,888.00 0.02 Bonds and other debt instruments 300,000 SANEF SA 1.875% 16/03/2026 EUR 320,444.47 0.03 France 1,500,000 SANOFI 1.125% 05/04/2028 EMTN EUR 1,614,138.06 0.15 1,000,000 SANOFI 1.125% 10/03/2022 EMTN EUR 1,027,587.05 0.09 200,000 ACCOR SA 2.625% 05/02/2021 EUR 205,958.52 0.02 300,000 SOCIETE GENERALE SA 1.250% 15/02/2024 EMTN EUR 310,189.85 0.03 400,000 AEROPORTS DE PARIS 1.000% 13/12/2027 EUR 422,531.71 0.04 400,000 SOCIETE GENERALE SA 1.750% 22/03/2029 EMTN EUR 430,095.83 0.04 1,000,000 APRR SA 1.125% 09/01/2026 EMTN EUR 1,054,310.48 0.10 3,000,000 TOTAL CAPITAL INTERNATIONAL SA 0.250% EUR 3,031,276.56 0.27 600,000 APRR SA 1.500% 17/01/2033 EMTN EUR 654,931.36 0.06 12/07/2023 EMTN 500,000 APRR SA 1.875% 06/01/2031 EMTN EUR 562,384.88 0.05 800,000 TOTAL CAPITAL INTERNATIONAL SA 0.625% EUR 824,864.82 0.07 BANQUE FEDERATIVE DU CREDIT MUTUEL SA 04/10/2024 EMTN 1,100,000 EUR 1,115,287.75 0.10 UNIBAIL-RODAMCO-WESTFIELD SE 0.875% 0.500% 16/11/2022 EMTN 300,000 EUR 293,357.06 0.03 BANQUE FEDERATIVE DU CREDIT MUTUEL SA 29/03/2032 900,000 EUR 921,060.72 0.08 UNIBAIL-RODAMCO-WESTFIELD SE 2.250% 0.750% 08/06/2026 EMTN 400,000 EUR 458,108.63 0.04 14/05/2038 EMTN 300,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA EUR 306,882.90 0.03 0.750% 15/06/2023 EMTN 600,000 VINCI SA 1.750% 26/09/2030 EMTN EUR 668,718.49 0.06 1,100,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA EUR 1,126,486.09 0.10 382,984,215.92 34.57 0.750% 17/07/2025 EMTN 500,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA EUR 551,437.78 0.05 Germany 2.625% 18/03/2024 EMTN BANQUE FEDERATIVE DU CREDIT MUTUEL SA 300,000 EUR 334,156.02 0.03 440,000 BASF SE 0.875% 15/11/2027 EUR 462,150.42 0.04 3.000% 28/11/2023 EMTN BERTELSMANN SE & CO KGAA 1.750% 1,000,000 BNP PARIBAS SA 1.125% 11/06/2026 EMTN EUR 1,036,788.43 0.09 500,000 EUR 537,658.20 0.05 14/10/2024 EMTN 400,000 BNP PARIBAS SA 1.125% 15/01/2023 EMTN EUR 413,433.43 0.04 400,000 COMMERZBANK AG 1.000% 04/03/2026 EMTN EUR 412,427.02 0.04 200,000 BNP PARIBAS SA 23/01/2027 FRN EMTN EUR 218,293.77 0.02 560,000 DAIMLER AG 0.375% 08/11/2026 EUR 553,042.50 0.05 1,000,000 BNP PARIBAS SA 4.125% 14/01/2022 EMTN EUR 1,088,232.06 0.10 400,000 DEUTSCHE BANK AG 1.500% 20/01/2022 EMTN EUR 405,378.54 0.04 100,000 BOUYGUES SA 4.500% 09/02/2022 EUR 109,854.52 0.01 36,446,598 DEUTSCHE BUNDESREPUBLIK INFLATION LINKED EUR 49,016,758.12 4.43 300,000 BPCE SA 0.375% 05/10/2023 EMTN EUR 303,110.35 0.03 BOND 0.100% 15/04/2046 133,802,171 DEUTSCHE BUNDESREPUBLIK INFLATION LINKED EUR 159,136,305.83 14.37 300,000 BPCE SA 0.625% 26/09/2023 EMTN EUR 305,808.60 0.03 BOND 0.500% 15/04/2030 1,800,000 BPCE SA 1.000% 15/07/2024 EUR 1,866,069.88 0.17 1,000,000 DEUTSCHE TELEKOM AG 0.500% 05/07/2027 EUR 998,575.45 0.09 EMTN 100,000 BPCE SA 1.125% 14/12/2022 EMTN EUR 103,330.71 0.01 1,500,000 EUROGRID GMBH 1.500% 18/04/2028 EMTN EUR 1,601,775.03 0.14 200,000 BPCE SFH SA 0.375% 10/02/2023 EMTN EUR 203,899.32 0.02 1,500,000 EUROGRID GMBH 1.625% 03/11/2023 EMTN EUR 1,578,844.23 0.14 600,000 CIE DE FINANCEMENT FONCIER SA 0.375% EUR 614,586.71 0.06 11/12/2024 1,500,000 HANNOVER RUECK SE 1.125% 18/04/2028 EUR 1,596,106.58 0.14 700,000 CIE FINANCIERE ET INDUSTRIELLE DES EUR 744,492.48 0.07 350,000 HEIDELBERGCEMENT AG 2.250% 03/06/2024 EUR 376,215.57 0.03 AUTOROUTES SA 1.125% 13/10/2027 EMTN EMTN 1,000,000 CREDIT AGRICOLE SA/LONDON 0.750% EUR 1,023,426.78 0.09 800,000 MERCK FINANCIAL SERVICES GMBH 0.875% EUR 804,545.23 0.07 01/12/2022 EMTN 05/07/2031 EMTN 700,000 CREDIT AGRICOLE SA/LONDON 0.750% EUR 718,236.13 0.06 700,000 MUENCHENER RUECKVERSICHERUNGS- EUR 801,639.27 0.07 05/12/2023 EMTN GESELLSCHAFT AG IN MUENCHEN 26/05/2042 900,000 CREDIT AGRICOLE SA/LONDON 1.250% EUR 952,416.10 0.09 FRN EMTN 14/04/2026 EMTN 500,000 VIER GAS TRANSPORT GMBH 1.500% 25/09/2028 EUR 543,331.87 0.05 CREDIT AGRICOLE SA/LONDON 1.375% 500,000 EUR 535,903.67 0.05 VOLKSWAGEN BANK GMBH 0.625% 08/09/2021 03/05/2027 EMTN 400,000 EUR 404,095.33 0.04 CREDIT AGRICOLE SA/LONDON 2.375% EMTN 300,000 EUR 307,239.64 0.03 VOLKSWAGEN BANK GMBH 1.875% 31/01/2024 27/11/2020 EMTN 300,000 EUR 315,580.19 0.03 CREDIT AGRICOLE SA/LONDON 3.125% EMTN 1,800,000 EUR 2,111,301.90 0.19 VOLKSWAGEN BANK GMBH 2.500% 31/07/2026 05/02/2026 EMTN 400,000 EUR 437,077.38 0.04 EMTN 548,000 ENGIE ALLIANCE GIE 5.750% 24/06/2023 EMTN EUR 656,073.26 0.06 420,000 VOLKSWAGEN FINANCIAL SERVICES AG 0.875% EUR 426,800.42 0.04 1,000,000 ENGIE SA 1.500% 13/03/2035 EMTN EUR 1,086,321.53 0.10 12/04/2023 EMTN VOLKSWAGEN FINANCIAL SERVICES AG 1.500% 900,000 ESSILORLUXOTTICA 0.125% 27/05/2025 EUR 898,079.79 0.08 385,000 EUR 399,924.33 0.04 01/10/2024 EMTN FRANCE GOVERNMENT BOND OAT 0.700% 19,355,475 EUR 22,934,850.28 2.07 125,000 VOLKSWAGEN FINANCIAL SERVICES AG 2.250% EUR 134,510.53 0.01 25/07/2030 16/10/2026 EMTN FRANCE GOVERNMENT BOND OAT 1.750% 99,562,000 EUR 124,219,355.66 11.20 260,000 VOLKSWAGEN LEASING GMBH 1.500% EUR 269,381.87 0.02 25/05/2066 19/06/2026 EMTN FRANCE GOVERNMENT BOND OAT 2.000% 36,524,483 EUR 46,911,283.70 4.22 331,000 VOLKSWAGEN LEASING GMBH 1.625% EUR 346,035.67 0.03 25/05/2048 15/08/2025 EMTN 21,000,000 FRANCE GOVERNMENT BOND OAT 3.500% EUR 21,271,199.67 1.92 25/04/2020 221,558,159.58 20.00 63,349,000 FRANCE GOVERNMENT BOND OAT 4.000% EUR 125,954,738.85 11.36 25/04/2060 Netherlands 1,000,000 HOLDING D'INFRASTRUCTURES DE TRANSPORT EUR 1,003,832.17 0.09 SASU 0.625% 27/03/2023 EMTN 667,000 ABN AMRO BANK NV 0.250% 03/12/2021 EMTN EUR 671,147.73 0.06 900,000 HSBC FRANCE SA 0.100% 03/09/2027 EMTN EUR 873,159.31 0.08 295,000 ABN AMRO BANK NV 0.500% 17/07/2023 EMTN EUR 299,157.82 0.03 600,000 HSBC FRANCE SA 0.200% 04/09/2021 EMTN EUR 603,145.27 0.05 200,000 ABN AMRO BANK NV 0.875% 15/01/2024 EMTN EUR 205,892.89 0.02 400,000 HSBC FRANCE SA 0.250% 17/05/2024 EUR 401,791.59 0.04 1,000,000 ALLIANDER NV 2.875% 14/06/2024 EMTN EUR 1,128,496.51 0.10 1,000,000 KERING SA 1.250% 10/05/2026 EMTN EUR 1,063,449.06 0.10 100,000 ALLIANZ FINANCE II BV 0.250% 06/06/2023 EMTN EUR 101,006.76 0.01 600,000 ORANGE SA 1.125% 15/07/2024 EMTN EUR 624,822.50 0.06 600,000 ALLIANZ FINANCE II BV 0.875% 06/12/2027 EMTN EUR 630,853.48 0.06 2,000,000 ORANGE SA 1.875% 12/09/2030 EMTN EUR 2,226,303.48 0.20 1,400,000 ARGENTUM NETHERLANDS BV FOR GIVAUDAN SA EUR 1,465,596.89 0.13 1.125% 17/09/2025 200,000 PERNOD RICARD SA 0.500% 24/10/2027 EUR 200,296.68 0.02 1,000,000 ARGENTUM NETHERLANDS BV FOR GIVAUDAN SA EUR 1,130,285.65 0.10 800,000 PERNOD RICARD SA 2.125% 27/09/2024 EUR 873,936.58 0.08 2.000% 17/09/2030
The accompanying notes form an integral part of these financial statements.
13 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional FCR (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
400,000 BAYER CAPITAL CORP BV 1.500% 26/06/2026 EUR 423,455.42 0.04 813,000 EMERSON ELECTRIC CO 1.250% 15/10/2025 EUR 855,092.84 0.08 EMTN 180,000 BMW FINANCE NV 0.125% 15/04/2020 EMTN EUR 180,216.78 0.02 1,545,000 EMERSON ELECTRIC CO 2.000% 15/10/2029 EUR 1,715,943.88 0.15 100,000 BMW FINANCE NV 1.000% 14/11/2024 EMTN EUR 103,958.45 0.01 EMTN GOLDMAN SACHS GROUP INC/THE 1.375% 1,000,000 BMW FINANCE NV 1.000% 15/02/2022 EMTN EUR 1,023,581.09 0.09 550,000 EUR 569,686.11 0.05 15/05/2024 EMTN 1,000,000 BMW FINANCE NV 1.000% 21/01/2025 EMTN EUR 1,040,071.28 0.09 500,000 HONEYWELL INTERNATIONAL INC 1.300% EUR 519,296.01 0.05 1,500,000 BMW FINANCE NV 1.125% 10/01/2028 EMTN EUR 1,579,018.23 0.14 22/02/2023 3,095,000 INTERNATIONAL BUSINESS MACHINES CORP EUR 3,280,106.41 0.31 1,175,000 BMW FINANCE NV 1.500% 06/02/2029 EMTN EUR 1,263,153.00 0.11 1.250% 29/01/2027 1,300,000 COOPERATIEVE RABOBANK UA 4.000% EUR 1,408,517.19 0.13 424,000 JPMORGAN CHASE & CO 04/11/2032 FRN EMTN EUR 427,593.30 0.04 11/01/2022 700,000 DEUTSCHE TELEKOM INTERNATIONAL FINANCE EUR 721,157.53 0.07 2,430,000 JPMORGAN CHASE & CO 11/03/2027 FRN EMTN EUR 2,522,322.53 0.23 BV 0.875% 30/01/2024 EMTN 400,000 JPMORGAN CHASE & CO 1.500% 29/10/2026 EUR 431,568.67 0.04 2,000,000 ENEXIS HOLDING NV 0.750% 02/07/2031 EMTN EUR 2,027,061.86 0.18 EMTN 1,000,000 ENEXIS HOLDING NV 0.875% 28/04/2026 EMTN EUR 1,041,338.78 0.09 345,000 JPMORGAN CHASE & CO 25/07/2031 FRN EMTN EUR 350,386.83 0.03 3,880,000 ENEXIS HOLDING NV 1.500% 20/10/2023 EMTN EUR 4,087,012.55 0.36 100,000 LIBERTY MUTUAL GROUP INC 2.750% 04/05/2026 EUR 111,466.23 0.01 500,000 ING BANK NV 0.750% 22/02/2021 EMTN EUR 505,563.12 0.05 800,000 MERCK & CO INC 1.875% 15/10/2026 EUR 889,909.39 0.08 400,000 ING BANK NV 0.750% 24/11/2020 EMTN EUR 403,627.36 0.04 1,070,000 MORGAN STANLEY 1.750% 11/03/2024 EUR 1,136,561.06 0.10 400,000 ING GROEP NV 1.125% 14/02/2025 EMTN EUR 414,973.12 0.04 1,260,000 MORGAN STANLEY 1.750% 30/01/2025 EUR 1,347,314.06 0.12 100,000 ING GROEP NV 2.500% 15/11/2030 EMTN EUR 118,175.94 0.01 600,000 MORGAN STANLEY 23/10/2026 FRN EMTN EUR 628,628.67 0.06 200,000 NATIONAL GRID NORTH AMERICA INC 1.000% EUR 205,885.28 0.02 1,350,000 INNOGY FINANCE BV 1.250% 19/10/2027 EMTN EUR 1,424,584.95 0.13 12/07/2024 EMTN 1,555,000 INNOGY FINANCE BV 1.500% 31/07/2029 EMTN EUR 1,666,479.72 0.15 695,000 PARKER-HANNIFIN CORP 1.125% 01/03/2025 EUR 718,824.34 0.06 1,000,000 INNOGY FINANCE BV 6.500% 10/08/2021 EMTN EUR 1,106,454.35 0.10 440,000 PEPSICO INC 0.875% 16/10/2039 EUR 419,719.81 0.04 200,000 JAB HOLDINGS BV 2.500% 25/06/2029 EUR 222,310.59 0.02 1,000,000 PEPSICO INC 2.625% 28/04/2026 EMTN EUR 1,156,778.47 0.10 495,000 KONINKLIJKE AHOLD DELHAIZE NV 0.250% EUR 494,504.76 0.04 730,000 PRAXAIR INC 1.625% 01/12/2025 EUR 793,096.51 0.07 26/06/2025 1,300,000 RELX FINANCE BV 1.500% 13/05/2027 EUR 1,381,480.82 0.12 1,545,000 PROCTER & GAMBLE CO/THE 1.125% 02/11/2023 EUR 1,618,483.24 0.15 1,300,000 ROCHE FINANCE EUROPE BV 0.875% 25/02/2025 EUR 1,356,174.46 0.12 490,000 WELLS FARGO & CO 0.500% 26/04/2024 EMTN EUR 495,287.20 0.04 EMTN 225,000 WELLS FARGO & CO 1.500% 24/05/2027 EMTN EUR 239,959.37 0.02 1,500,000 SHELL INTERNATIONAL FINANCE BV 1.625% EUR 1,650,555.27 0.15 20/01/2027 EMTN 34,348,557.18 3.10 985,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV EUR 998,650.02 0.09 0.300% 28/02/2024 United Kingdom 362,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV EUR 393,532.21 0.04 1.375% 06/09/2030 EMTN 153,000 AVIVA PLC 1.875% 13/11/2027 EMTN EUR 167,628.88 0.02 500,000 UNILEVER NV 0.375% 14/02/2023 EMTN EUR 507,632.74 0.05 400,000 BARCLAYS PLC 1.875% 08/12/2023 EMTN EUR 422,928.86 0.04 3,000,000 UNILEVER NV 0.500% 03/02/2022 EUR 3,043,149.09 0.26 2,000,000 BP CAPITAL MARKETS PLC 0.830% 19/09/2024 EUR 2,057,233.08 0.19 EMTN 1,000,000 UNILEVER NV 1.000% 14/02/2027 EMTN EUR 1,058,211.02 0.10 1,000,000 BP CAPITAL MARKETS PLC 0.900% 03/07/2024 EUR 1,033,592.40 0.09 775,000 UNILEVER NV 1.125% 29/04/2028 EMTN EUR 833,981.44 0.08 EMTN BP CAPITAL MARKETS PLC 1.526% 26/09/2022 1,000,000 UNILEVER NV 1.750% 05/08/2020 EMTN EUR 1,012,444.53 0.09 3,300,000 EUR 3,441,255.81 0.31 EMTN VOLKSWAGEN INTERNATIONAL FINANCE NV 400,000 EUR 423,603.97 0.04 1,000,000 BP CAPITAL MARKETS PLC 1.573% 16/02/2027 EUR 1,079,544.27 0.10 1.875% 30/03/2027 EMTN VOLKSWAGEN INTERNATIONAL FINANCE NV 500,000 EUR 644,293.85 0.06 294,000 DIAGEO FINANCE PLC ZCP 17/11/2020 EMTN EUR 294,581.37 0.03 4.125% 16/11/2038 300,000 VONOVIA FINANCE BV 1.500% 14/01/2028 EUR 314,664.86 0.03 2,000,000 DIAGEO FINANCE PLC 1.000% 22/04/2025 EMTN EUR 2,089,541.96 0.19 700,000 VONOVIA FINANCE BV 1.500% 22/03/2026 EMTN EUR 734,341.42 0.07 665,000 HSBC HOLDINGS PLC 04/12/2024 FRN EMTN EUR 696,435.94 0.06 LEEDS BUILDING SOCIETY 1.375% 05/05/2022 100,000 VONOVIA FINANCE BV 1.800% 29/06/2025 EUR 106,538.51 0.01 200,000 EUR 206,047.36 0.02 EMTN 200,000 VONOVIA FINANCE BV 2.250% 15/12/2023 EMTN EUR 215,081.17 0.02 300,000 LLOYDS BANK PLC 1.000% 19/11/2021 EMTN EUR 306,077.10 0.03 41,561,989.18 3.75 500,000 LLOYDS BANKING GROUP PLC 0.750% 09/11/2021 EUR 507,576.84 0.05 EMTN United States 295,000 NATIONWIDE BUILDING SOCIETY 0.625% EUR 300,687.97 0.03 19/04/2023 EMTN 945,000 APPLE INC ZCP 15/11/2025 EUR 940,309.45 0.08 300,000 NATIONWIDE BUILDING SOCIETY 08/03/2026 FRN EUR 314,043.93 0.03 2,000,000 AT&T INC 2.350% 05/09/2029 EUR 2,237,040.68 0.20 351,000 ROYAL BANK OF SCOTLAND GROUP PLC EUR 370,950.49 0.03 690,000 AUTOLIV INC 0.750% 26/06/2023 EUR 697,053.26 0.06 04/03/2025 FRN EMTN 900,000 SANTANDER UK PLC 0.875% 13/01/2020 EMTN EUR 900,296.39 0.08 640,000 BANK OF AMERICA CORP 07/02/2022 FRN EMTN EUR 645,790.92 0.06 795,000 SANTANDER UK PLC 0.875% 25/11/2020 EMTN EUR 802,618.81 0.07 900,000 BANK OF AMERICA CORP 07/02/2025 FRN EMTN EUR 940,579.80 0.08 150,000 SANTANDER UK PLC 1.125% 10/03/2025 EMTN EUR 156,268.67 0.01 600,000 BANK OF AMERICA CORP 0.750% 26/07/2023 EUR 612,875.61 0.06 EMTN 700,000 SANTANDER UK PLC 2.625% 16/07/2020 EMTN EUR 710,815.00 0.06 718,000 BANK OF AMERICA CORP 09/05/2026 FRN EMTN EUR 734,093.47 0.07 140,000 SMITHS GROUP PLC 2.000% 23/02/2027 EMTN EUR 147,415.81 0.01 400,000 BANK OF AMERICA CORP 2.375% 19/06/2024 EUR 438,488.04 0.04 260,000 TESCO CORPORATE TREASURY SERVICES PLC EUR 260,705.66 0.02 EMTN 0.875% 29/05/2026 EMTN 115,000 BERKSHIRE HATHAWAY INC 1.300% 15/03/2024 EUR 120,512.49 0.01 960,000 VODAFONE GROUP PLC 1.125% 20/11/2025 EUR 1,000,138.40 0.09 550,000 BERKSHIRE HATHAWAY INC 2.150% 15/03/2028 EUR 623,995.94 0.06 EMTN 420,000 VODAFONE GROUP PLC 2.200% 25/08/2026 EUR 467,049.29 0.04 640,000 CHUBB INA HOLDINGS INC 0.875% 15/06/2027 EUR 652,234.73 0.06 EMTN 1,710,000 CHUBB INA HOLDINGS INC 0.875% 15/12/2029 EUR 1,708,763.17 0.15 17,733,434.29 1.60 700,000 CITIGROUP INC 2.125% 10/09/2026 EMTN EUR 775,562.33 0.07 Norway 702,000 CITIGROUP INC 24/07/2026 FRN EMTN EUR 740,524.33 0.07 1,122,000 COCA-COLA CO/THE 0.750% 22/09/2026 EUR 1,162,553.99 0.10 300,000 DNB BANK ASA 0.050% 14/11/2023 EMTN EUR 298,916.50 0.03 855,000 COCA-COLA CO/THE 1.125% 22/09/2022 EUR 884,268.76 0.08 800,000 DNB BANK ASA 0.250% 09/04/2024 EUR 802,609.23 0.07
The accompanying notes form an integral part of these financial statements.
14 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional FCR (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
200,000 DNB BANK ASA 0.600% 25/09/2023 EMTN EUR 203,872.23 0.02 Ireland 400,000 DNB BANK ASA 1.125% 01/03/2023 EMTN EUR 413,514.18 0.04 100,000 AIB GROUP PLC 1.250% 28/05/2024 EMTN EUR 102,842.48 0.01 500,000 DNB BANK ASA 3.875% 29/06/2020 EMTN EUR 510,172.13 0.05 200,000 AIB GROUP PLC 2.250% 03/07/2025 EMTN EUR 216,089.84 0.02 1,000,000 EQUINOR ASA 1.625% 17/02/2035 EMTN EUR 1,118,587.37 0.10 300,000 BANK OF IRELAND GROUP PLC 1.375% EUR 309,761.17 0.03 200,000 SANTANDER CONSUMER BANK AS 0.875% EUR 203,576.88 0.02 29/08/2023 EMTN 21/01/2022 EMTN 1,710,000 CLOVERIE PLC FOR ZURICH INSURANCE CO LTD EUR 1,835,739.74 0.16 315,000 SPAREBANK 1 SR-BANK ASA 0.375% 10/02/2022 EUR 317,396.86 0.03 1.750% 16/09/2024 EMTN EMTN 3,095,000 STATKRAFT AS 1.125% 20/03/2025 EMTN EUR 3,224,595.45 0.28 2,464,433.23 0.22 1,500,000 STATNETT SF 0.875% 08/03/2025 EMTN EUR 1,546,059.42 0.13 Sweden
8,639,300.25 0.77 740,000 ATLAS COPCO AB 0.625% 30/08/2026 EMTN EUR 758,433.95 0.07 Canada 300,000 FASTIGHETS AB BALDER 1.875% 23/01/2026 EUR 311,839.80 0.03 800,000 SKANDINAVISKA ENSKILDA BANKEN AB 2.000% EUR 819,976.58 0.07 630,000 BANK OF MONTREAL 0.250% 17/11/2021 EMTN EUR 633,923.71 0.06 19/02/2021 EMTN 511,000 CANADIAN IMPERIAL BANK OF COMMERCE EUR 523,317.99 0.05 400,000 SVENSKA HANDELSBANKEN AB 0.125% EUR 399,561.50 0.04 0.750% 22/03/2023 18/06/2024 EMTN 695,000 FEDERATION DES CAISSES DESJARDINS DU EUR 700,267.42 0.06 2,289,811.83 0.21 QUEBEC 0.250% 27/09/2021 EMTN 980,000 TORONTO-DOMINION BANK/THE 0.625% EUR 1,001,873.86 0.09 Australia 20/07/2023 EMTN 2,000,000 TOTAL CAPITAL CANADA LTD 2.125% 18/09/2029 EUR 2,310,804.68 0.21 400,000 NATIONAL AUSTRALIA BANK LTD 0.350% EUR 404,284.18 0.04 EMTN 07/09/2022 EMTN 5,170,187.66 0.47 407,000 NATIONAL AUSTRALIA BANK LTD 0.625% EUR 415,188.49 0.04 30/08/2023 EMTN Luxembourg 300,000 NATIONAL AUSTRALIA BANK LTD 1.125% EUR 315,743.95 0.03 20/05/2031 200,000 AROUNDTOWN SA 1.625% 31/01/2028 EMTN EUR 206,827.20 0.02 300,000 ORIGIN ENERGY FINANCE LTD 2.500% 23/10/2020 EUR 306,480.00 0.03 EMTN 200,000 AROUNDTOWN SA 2.000% 02/11/2026 EMTN EUR 213,700.51 0.02 500,000 TRANSURBAN FINANCE CO PTY LTD 1.750% EUR 535,109.27 0.04 500,000 CNH INDUSTRIAL FINANCE EUROPE SA 1.875% EUR 527,226.95 0.05 29/03/2028 EMTN 19/01/2026 EMTN 300,000 WESTPAC BANKING CORP 0.375% 05/03/2023 EUR 302,595.63 0.03 599,000 DH EUROPE FINANCE II SARL 0.750% 18/09/2031 EUR 584,784.14 0.05 EMTN 350,000 DH EUROPE FINANCE SA 1.700% 04/01/2022 EUR 362,987.89 0.03 2,279,401.52 0.21 300,000 GRAND CITY PROPERTIES SA 1.500% 22/02/2027 EUR 311,018.43 0.03 EMTN Belgium HEIDELBERGCEMENT FINANCE LUXEMBOURG SA 150,000 EUR 157,909.86 0.01 ANHEUSER-BUSCH INBEV SA/NV 2.750% 1.625% 07/04/2026 EMTN 1,200,000 EUR 1,462,728.97 0.13 17/03/2036 EMTN 197,000 HEIDELBERGCEMENT FINANCE LUXEMBOURG SA EUR 207,972.66 0.02 1.750% 24/04/2028 EMTN 400,000 BPOST SA 1.250% 11/07/2026 EUR 420,248.72 0.04 490,000 JOHN DEERE CASH MANAGEMENT SA 0.500% EUR 499,118.17 0.05 100,000 SOLVAY SA 1.625% 02/12/2022 EUR 104,049.37 0.01 15/09/2023 EMTN 200,000 SOLVAY SA 2.750% 02/12/2027 EUR 233,159.03 0.02 267,000 LOGICOR FINANCING SARL 1.625% 15/07/2027 EUR 270,212.37 0.02 EMTN 2,220,186.09 0.20 200,000 LOGICOR FINANCING SARL 3.250% 13/11/2028 EUR 224,005.25 0.02 EMTN Finland 360,000 MEDTRONIC GLOBAL HOLDINGS SCA 1.000% EUR 370,540.57 0.03 02/07/2031 1,215,000 OP CORPORATE BANK PLC 0.375% 11/10/2022 EUR 1,228,329.64 0.11 415,000 NESTLE FINANCE INTERNATIONAL LTD 1.250% EUR 455,163.45 0.04 EMTN 02/11/2029 EMTN 400,000 OP CORPORATE BANK PLC 0.375% 29/08/2023 EUR 404,763.92 0.04 4,391,467.45 0.39 EMTN 100,000 SAMPO OYJ 2.250% 27/09/2030 EMTN EUR 113,845.19 0.01 Switzerland 1,746,938.75 0.16 200,000 CREDIT SUISSE AG/LONDON 1.500% 10/04/2026 EUR 214,286.65 0.02 EMTN Denmark 700,000 CREDIT SUISSE GROUP AG 17/07/2025 FRN EMTN EUR 725,550.43 0.07 1,400,000 CARLSBERG BREWERIES A/S 0.875% 01/07/2029 EUR 1,418,968.88 0.13 500,000 CREDIT SUISSE GROUP AG 24/06/2027 FRN EMTN EUR 510,760.21 0.05 EMTN 540,000 UBS AG/LONDON 0.250% 10/01/2022 EMTN EUR 543,599.02 0.05 1,418,968.88 0.13 1,202,000 UBS AG/LONDON 0.625% 23/01/2023 EUR 1,223,843.87 0.10 Austria 200,000 UBS GROUP AG 1.500% 30/11/2024 EUR 210,193.03 0.02 300,000 ERSTE GROUP BANK AG 0.375% 16/04/2024 EUR 303,335.82 0.03 500,000 UBS GROUP AG 17/04/2025 FRN EUR 520,217.77 0.05 EMTN 3,948,450.98 0.36 500,000 OMV AG 2.625% 27/09/2022 EMTN EUR 536,806.10 0.04 New Zealand 840,141.92 0.07
375,000 ANZ NEW ZEALAND INT'L LTD/LONDON 0.375% EUR 367,095.18 0.03 Japan 17/09/2029 EMTN 500,000 TAKEDA PHARMACEUTICAL CO LTD 3.000% EUR 594,855.62 0.05 1,600,000 ASB FINANCE LTD 0.500% 17/06/2020 EMTN EUR 1,605,759.70 0.14 21/11/2030 600,000 ASB FINANCE LTD 0.750% 13/03/2024 EMTN EUR 614,394.52 0.06 594,855.62 0.05 470,000 BNZ INTERNATIONAL FUNDING LTD/LONDON EUR 472,496.90 0.04 0.375% 14/09/2024 295,000 BNZ INTERNATIONAL FUNDING LTD/LONDON EUR 299,017.35 0.03 737,828,389.73 66.59 0.500% 13/05/2023 275,000 BNZ INTERNATIONAL FUNDING LTD/LONDON EUR 279,125.75 0.03 0.625% 23/04/2022 EMTN 3,637,889.40 0.33
The accompanying notes form an integral part of these financial statements.
15 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional FCR (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Quantity Name Currency Commitment Unrealised Nominal in EUR NAV in EUR profit or (loss) in EUR
Undertakings for collective investment 35 TOPIX INDEX FUTURE 12/03/2020 JPY 4,937,793.35 (61,686.55)
18,760,315.33 (187,725.99) Open ended funds Luxembourg Futures on interest rates
258,253 LYXOR S&P 500 UCITS ETF EUR 49,091,312.77 4.43 (387) EURO-BUND FUTURE 06/03/2020 EUR 65,979,630.00 639,785.08 1,785 NN (L) EMERGING MARKETS HIGH DIVIDEND - I EUR 12,842,789.40 1.16 CAP EUR (210) EURO-BUXL 30Y BOND 06/03/2020 EUR 41,659,800.00 1,160,840.00 224,532 NN (L) EUROPEAN EQUITY - I CAP EUR EUR 17,681,895.00 1.60 (814) EURO-OAT FUTURE 06/03/2020 EUR 132,494,780.00 2,075,700.00 2,380 NN (L) EUROPEAN SUSTAINABLE EQUITY - I CAP EUR 19,536,848.80 1.76 EUR 44,680 NN (L) GLOBAL SUSTAINABLE EQUITY - I CAP EUR EUR 19,949,975.27 1.80 240,134,210.00 3,876,325.08 3,372 NN (L) US ENHANCED CORE CONCENTRATED EUR 51,210,729.51 4.62 EQUITY - I CAP EUR Total financial derivative instruments 4,896,087.39 811,166 XTRACKERS NIKKEI 225 UCITS ETF EUR 16,300,380.77 1.48 186,613,931.52 16.85 Summary of net assets as at 31/12/2019 Ireland % 1,588 BERESFORD FUNDS PLC - NORTH AMERICA EUR 20,427,301.52 1.84 SUSTAINABLE EQUITY FUND NAV 97,197 INVESCO S&P 500 UCITS ETF EUR 51,421,100.88 4.64 Total securities portfolio 1,063,014,954.85 95.94 1,061,028 ISHARES EMERGING MARKETS INDEX FUND EUR 23,556,943.66 2.13 77,000 ISHARES MSCI CANADA UCITS ETF EUR 9,575,720.00 0.86 Total financial derivative instruments 4,896,087.39 0.44 703,985 ISHARES PACIFIC INDEX FUND USD 11,826,321.18 1.07 Cash at bank 33,455,532.47 3.02 116,807,387.24 10.54 Other assets and liabilities 6,636,818.51 0.60 France Total net assets 1,108,003,393.22 100.00 159,874 LYXOR MSCI EUROPE DR UCITS ETF EUR 21,765,246.36 1.96 21,765,246.36 1.96
325,186,565.12 29.35
Total securities portfolio 1,063,014,954.85 95.94
Financial derivative instruments as at 31/12/2019
To receive To pay Maturity Currency Notional Swap value (%) (%) date in EUR
Interest rate swaps
1.070 Floating 30/04/2069 EUR 32,593,963.00 8,018,639.66 0.480 Floating 14/11/2069 EUR 12,240,000.00 (186,595.50) (0.087) Floating 07/02/2030 EUR 15,160,000.00 (444,622.64) (0.275) Floating 22/08/2029 EUR 143,380,000.00 (6,179,933.22) 1,207,488.30
Quantity Name Currency Commitment Unrealised in EUR profit or (loss) in EUR
Futures on stock indices
197 EURO STOXX 50 20/03/2020 EUR 7,346,130.00 (13,790.00) (45) S&P500 EMINI FUTURE 20/03/2020 USD 6,476,391.98 (112,249.44)
The accompanying notes form an integral part of these financial statements.
16 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR) Statistics
Net assets 31/12/2019 EUR 252,598,682.75 31/12/2018EUR 171,343,437.47 31/12/2017EUR 204,529,069.84
Net asset value per unit**
Capitalisation I (EUR) 31/12/2019 EUR 13,558.34 31/12/2018 EUR 10,614.51 31/12/2017 EUR 11,246.90
Capitalisation V (EUR) 31/12/2019 EUR 277.39 31/12/2018 EUR 219.27 31/12/2017 EUR 234.59
Number of units
Capitalisation I (EUR) 31/12/2019 17,722 31/12/2018 14,661 31/12/2017 15,740
Capitalisation V (EUR) 31/12/2019 44,402 31/12/2018 71,698 31/12/2017 117,228
Ongoing charges in %*
Capitalisation I (EUR) 31/12/2019 0.41%
Capitalisation V (EUR) 31/12/2019 1.38%
Portfolio turnover in %* 31/12/2019 138.13%
* The portfolio turnover data has been calculated by the Administrative Agent (see note 15). The ongoing charges figure corresponds to the ongoing charges figure as mentioned in the latest available Key Investor Information Document ("KIID") as at the date of this report. Transaction costs are included in the purchase/sale price of the securities (if any). These costs, which are not treated as operating expenses, are not included in the calculation of the ongoing charges. The ongoing charges and the portfolio turnover rate are calculated for the last twelve months. The ongoing charges are annualised for periods less than one year. The portfolio turnover rate is not annualised for periods less than one year. ** Official net asset value per share including a swing pricing adjustment, if any.
17 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR) Financial statements
Statement of net assets as at 31/12/2019 Notes Total securities portfolio 2 251,662,621.66 Shares 251,662,621.66 Cash at bank 1,564,449.72 Other assets 4 460,419.97 Total assets 253,687,491.35 Current liabilities 4 (1,088,808.60) Total liabilities (1,088,808.60) Net assets at the end of the year 252,598,682.75
Statement of operations and changes in net assets for the year ended 31/12/2019 Notes Total income 2 4,634,045.33 Dividends 4,614,645.56 Bank interest 19,399.77 Total expenses (1,074,939.69) Management fees 5 (948,661.62) Depositary fees 6 (57,090.46) Subscription tax 8 (23,248.16) Bank interest (424.84) Other expenses 10 (45,514.61) Net investment income 3,559,105.64 Realised gains on securities portfolio 21,854,117.48 Realised losses on securities portfolio (11,424,431.50) Realised gains on currency 1,603,486.39 Realised losses on currency (1,588,585.76) Changes in net unrealised gains or (losses) on securities 38,075,178.30 portfolio Changes in net unrealised gains or (losses) on financial 141.15 derivative instruments Result of operations 52,079,011.70 Subscriptions 76,190,991.52 Redemptions (47,014,757.94) Net assets at the beginning of the year 171,343,437.47 Net assets at the end of the year 252,598,682.75
The accompanying notes form an integral part of these financial statements.
18 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR)
Securities portfolio as at 31/12/2019
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
Transferable securities and money market instruments admitted to an 887 DECKERS OUTDOOR CORP USD 133,433.25 0.05 official stock exchange listing and/or dealt in on another regulated market 9,849 DOMINION ENERGY INC USD 726,676.33 0.29 3,108 DOVER CORP USD 319,134.15 0.13 1,800 EAGLE MATERIALS INC USD 145,379.06 0.06 Shares 3,360 EASTMAN CHEMICAL CO USD 237,250.42 0.09 United States 8,272 EDWARDS LIFESCIENCES CORP USD 1,719,175.84 0.68 5,900 ELECTRONIC ARTS INC USD 565,085.97 0.22 9,196 ABBOTT LABORATORIES USD 711,594.26 0.28 8,592 ELI LILLY & CO USD 1,006,010.30 0.40 13,554 ABBVIE INC USD 1,069,105.71 0.42 4,856 EMERSON ELECTRIC CO USD 329,905.18 0.13 3,637 ADOBE INC USD 1,068,613.78 0.42 19,086 EOG RESOURCES INC USD 1,424,181.17 0.56 13,533 AFLAC INC USD 637,769.00 0.25 2,400 EPAM SYSTEMS INC USD 453,616.04 0.18 6,167 AIR PRODUCTS & CHEMICALS INC USD 1,291,031.92 0.51 3,394 EQUINIX INC USD 1,764,880.00 0.70 6,687 ALLSTATE CORP/THE USD 669,891.45 0.27 2,040 ESSEX PROPERTY TRUST INC USD 546,774.52 0.22 23,068 ALLY FINANCIAL INC USD 628,025.02 0.25 1,853 ESTEE LAUDER COS INC/THE - A USD 340,952.00 0.13 1,860 ALPHABET INC - A USD 2,219,390.11 0.88 1,900 EVERCORE INC - A USD 126,542.54 0.05 2,569 ALPHABET INC - C USD 3,059,959.36 1.21 8,600 EVERSOURCE ENERGY USD 651,761.25 0.26 2,519 AMAZON.COM INC USD 4,146,734.04 1.64 22,789 EXXON MOBIL CORP USD 1,416,673.87 0.56 1,328 AMEDISYS INC USD 197,478.63 0.08 10,240 FACEBOOK INC - A USD 1,872,391.98 0.74 13,622 AMERICAN ELECTRIC POWER CO INC USD 1,146,917.79 0.45 6,629 FIDELITY NATIONAL FINANCIAL INC USD 267,817.51 0.11 1,900 AMERICAN TOWER CORP USD 389,004.90 0.15 7,914 FIFTH THIRD BANCORP USD 216,727.27 0.09 41,900 ANNALY CAPITAL MANAGEMENT INC USD 351,624.05 0.14 3,279 FORTINET INC USD 311,862.84 0.12 3,728 ANTHEM INC USD 1,003,089.39 0.40 2,975 F5 NETWORKS INC USD 370,119.15 0.15 26,489 APPLE INC USD 6,929,616.79 2.74 6,664 GENTEX CORP USD 172,046.97 0.07 21,846 AT&T INC USD 760,571.65 0.30 5,700 GLOBE LIFE INC USD 534,454.34 0.21 202 AUTOZONE INC USD 214,382.73 0.08 7,700 HALLIBURTON CO USD 167,856.57 0.07 1,500 AVALONBAY COMMUNITIES INC USD 280,222.72 0.11 9,307 HERSHEY CO/THE USD 1,218,657.34 0.48 1,200 AVERY DENNISON CORP USD 139,852.12 0.06 2,404 HEXCEL CORP USD 157,004.22 0.06 82,186 BANK OF AMERICA CORP USD 2,578,700.15 1.01 7,000 HOLLY ENERGY PARTNERS LP USD 138,129.18 0.05 4,500 BANKUNITED INC USD 146,565.70 0.06 13,017 HOLOGIC INC USD 605,449.95 0.24 6,308 BERKSHIRE HATHAWAY INC - B USD 1,272,839.20 0.50 12,443 HOME DEPOT INC/THE USD 2,420,759.32 0.96 8,306 BEST BUY CO INC USD 649,680.89 0.26 6,415 HONEYWELL INTERNATIONAL INC USD 1,011,541.20 0.40 4,588 BIOGEN INC USD 1,212,826.05 0.48 47,070 HP INC USD 861,726.95 0.34 300 BIO-RAD LABORATORIES INC - A USD 98,894.43 0.04 1,400 HUMANA INC USD 457,129.62 0.18 591 BLACKROCK INC - A USD 264,673.23 0.10 1,600 HUNTINGTON INGALLS INDUSTRIES INC USD 357,601.78 0.14 6,880 BORGWARNER INC USD 265,883.65 0.11 2,100 IBERIABANK CORP USD 139,993.76 0.06 8,642 BRISTOL-MYERS SQUIBB CO USD 494,191.52 0.20 1,406 IDEXX LABORATORIES INC USD 327,081.32 0.13 3,700 BRUKER CORP USD 168,008.02 0.07 7,300 INCYTE CORP USD 567,871.71 0.22 133 CABLE ONE INC USD 176,362.15 0.07 4,739 INGREDION INC USD 392,418.75 0.16 16,838 CABOT OIL & GAS CORP USD 261,157.76 0.10 21,480 INTERPUBLIC GROUP OF COS INC/THE USD 442,038.31 0.17 14,491 CADENCE DESIGN SYSTEMS INC USD 895,408.25 0.35 7,018 INTUIT INC USD 1,637,616.69 0.65 4,000 CARGURUS INC - A USD 125,363.03 0.05 2,288 INTUITIVE SURGICAL INC USD 1,204,945.39 0.48 1,000 CASEY'S GENERAL STORES INC USD 141,639.20 0.06 900 JB HUNT TRANSPORT SERVICES INC USD 93,632.07 0.04 2,227 CDW CORP/DE USD 283,389.47 0.11 5,016 JOHNSON & JOHNSON USD 651,834.23 0.26 6,917 CELANESE CORP - A USD 758,682.44 0.30 22,744 JPMORGAN CHASE & CO USD 2,824,511.00 1.12 400 CHEMED CORP USD 156,529.18 0.06 3,410 KIMBERLY-CLARK CORP USD 417,857.91 0.17 3,887 CHENIERE ENERGY PARTNERS LP USD 137,854.32 0.05 877 KONTOOR BRANDS INC USD 32,806.44 0.01 5,124 CHEVRON CORP USD 550,105.34 0.22 450 LAM RESEARCH CORP USD 117,220.49 0.05 1,800 CHOICE HOTELS INTERNATIONAL INC USD 165,856.57 0.07 9,314 LAMB WESTON HOLDINGS INC USD 713,838.24 0.28 3,373 CIGNA CORP USD 614,471.96 0.24 1,000 LANCASTER COLONY CORP USD 142,628.06 0.06 400 CINTAS CORP USD 95,885.97 0.04 3,013 LEAR CORP USD 368,270.47 0.15 54,782 CISCO SYSTEMS INC USD 2,340,618.90 0.93 5,873 L3HARRIS TECHNOLOGIES INC USD 1,035,269.94 0.41 12,454 CITIGROUP INC USD 886,369.76 0.35 2,400 MAGELLAN MIDSTREAM PARTNERS LP USD 134,421.38 0.05 12,252 COCA-COLA CO/THE USD 604,140.94 0.24 2,400 MARRIOTT INTERNATIONAL INC/MD - A USD 323,770.16 0.13 2,600 COGENT COMMUNICATIONS HOLDINGS INC USD 152,432.96 0.06 1,171 MASIMO CORP USD 164,889.32 0.07 37,093 COMCAST CORP - A USD 1,486,033.15 0.59 8,813 MASTERCARD INC - A USD 2,344,297.26 0.93 8,480 COSTCO WHOLESALE CORP USD 2,220,437.95 0.88 15,000 MAXIM INTEGRATED PRODUCTS INC USD 821,959.91 0.33 1,000 CRACKER BARREL OLD COUNTRY STORE INC USD 136,962.14 0.05 34,808 MERCK & CO INC USD 2,820,300.76 1.12 8,488 CUMMINS INC USD 1,353,240.52 0.54 14,036 METLIFE INC USD 637,340.69 0.25 800 CURTISS-WRIGHT CORP USD 100,411.58 0.04 11,800 MGIC INVESTMENT CORP USD 148,958.57 0.06 7,300 CYPRESS SEMICONDUCTOR CORP USD 151,722.94 0.06 45,000 MICROSOFT CORP USD 6,322,049.00 2.50 7,031 DARDEN RESTAURANTS INC USD 682,805.62 0.27 1,300 MID-AMERICA APARTMENT COMMUNITIES INC USD 152,710.91 0.06
The accompanying notes form an integral part of these financial statements.
19 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
1,200 MONOLITHIC POWER SYSTEMS INC USD 190,310.91 0.08 7,148 VALERO ENERGY CORP USD 596,356.53 0.24 6,500 MOODY'S CORP USD 1,374,757.24 0.54 4,500 VALVOLINE INC USD 85,830.73 0.03 3,846 MORGAN STANLEY USD 175,151.47 0.07 4,200 VEEVA SYSTEMS INC - A USD 526,300.22 0.21 3,700 NEW JERSEY RESOURCES CORP USD 146,912.25 0.06 56,368 VEREIT INC USD 464,000.29 0.18 300 NEWMARKET CORP USD 130,027.62 0.05 3,912 VERISIGN INC USD 671,504.82 0.27 3,600 NEXTERA ENERGY INC USD 776,637.86 0.31 5,828 VERISK ANALYTICS INC - A USD 775,370.62 0.31 9,146 NIKE INC - B USD 825,462.15 0.33 44,927 VERIZON COMMUNICATIONS INC USD 2,457,476.88 0.97 2,281 NORFOLK SOUTHERN CORP USD 394,486.00 0.16 14,000 VIACOMCBS INC - B USD 523,456.57 0.21 7,000 NUCOR CORP USD 350,966.59 0.14 16,395 VISA INC - A USD 2,744,428.06 1.09 6,781 NVIDIA CORP USD 1,421,442.58 0.56 4,600 VOYA FINANCIAL INC USD 249,895.77 0.10 130 NVR INC USD 441,063.07 0.17 800 VULCAN MATERIALS CO USD 102,620.94 0.04 3,500 OMNICOM GROUP INC USD 252,623.61 0.10 19,122 WALT DISNEY CO/THE USD 2,463,799.43 0.98 4,600 ON SEMICONDUCTOR CORP USD 99,909.13 0.04 4,444 WASTE MANAGEMENT INC USD 451,169.92 0.18 3,700 ONEOK INC USD 249,424.50 0.10 11,074 WEC ENERGY GROUP INC USD 909,893.11 0.36 10,881 PACCAR INC USD 766,759.11 0.30 700 WELLCARE HEALTH PLANS INC USD 205,921.60 0.08 4,500 PACKAGING CORP OF AMERICA USD 448,957.68 0.18 3,600 WEYERHAEUSER CO USD 96,855.23 0.04 7,200 PARKER-HANNIFIN CORP USD 1,320,181.74 0.52 3,300 WR BERKLEY CORP USD 203,144.77 0.08 9,999 PAYCHEX INC USD 757,697.05 0.30 17,141 XCEL ENERGY INC USD 969,516.34 0.38 18,976 PEPSICO INC USD 2,310,423.09 0.91 13,000 ZAYO GROUP HOLDINGS INC USD 401,291.76 0.16 10,661 PHILLIPS 66 USD 1,058,122.06 0.42 150,750,638.73 59.68 3,073 PHILLIPS 66 PARTNERS LP USD 168,748.08 0.07 8,300 PLAINS ALL AMERICAN PIPELINE LP USD 135,979.51 0.05 Japan 9,134 PLAINS GP HOLDINGS LP - A USD 154,199.82 0.06 7,000 AEON CREDIT SERVICE CO LTD JPY 99,100.16 0.04 4,817 PNC FINANCIAL SERVICES GROUP INC/THE USD 685,022.46 0.27 107,600 ASTELLAS PHARMA INC JPY 1,649,445.13 0.65 1,800 PRA HEALTH SCIENCES INC USD 178,236.08 0.07 5,000 CENTRAL JAPAN RAILWAY CO JPY 901,730.34 0.36 20,355 PROCTER & GAMBLE CO/THE USD 2,264,890.42 0.90 17,900 CHUBU ELECTRIC POWER CO INC JPY 226,193.73 0.09 5,300 PROLOGIS INC USD 420,883.74 0.17 12,600 CHUGAI PHARMACEUTICAL CO LTD JPY 1,041,154.24 0.41 15,100 PULTEGROUP INC USD 521,942.09 0.21 4,200 DENSO CORP JPY 170,977.91 0.07 1,800 QUALYS INC USD 133,689.09 0.05 6,300 EISAI CO LTD JPY 423,691.94 0.17 1,600 QUEST DIAGNOSTICS INC USD 152,217.37 0.06 7,900 HAMAMATSU PHOTONICS KK JPY 291,099.05 0.12 7,000 RADIAN GROUP INC USD 156,899.78 0.06 11,800 HASEKO CORP JPY 142,291.41 0.06 10,000 REALTY INCOME CORP USD 655,946.55 0.26 3,600 HISAMITSU PHARMACEUTICAL CO INC JPY 157,884.78 0.06 3,400 REGENERON PHARMACEUTICALS INC USD 1,137,311.36 0.45 15,200 HOYA CORP JPY 1,302,098.61 0.52 40,228 REGIONS FINANCIAL CORP USD 614,977.71 0.24 75,900 ITOCHU CORP JPY 1,576,950.52 0.62 1,700 RELIANCE STEEL & ALUMINUM CO USD 181,373.72 0.07 23 JAPAN PRIME REALTY INVESTMENT CORP JPY 89,841.03 0.04 1,800 RLI CORP USD 144,352.78 0.06 90 JAPAN RETAIL FUND INVESTMENT CORP JPY 172,123.93 0.07 7,271 ROBERT HALF INTERNATIONAL INC USD 409,054.48 0.16 7,300 KAKAKU.COM INC JPY 167,139.00 0.07 10,516 ROSS STORES INC USD 1,090,666.12 0.43 6,500 KEWPIE CORP JPY 130,705.81 0.05 7,091 SERVICENOW INC USD 1,783,457.57 0.71 2,702 KEYENCE CORP JPY 852,544.88 0.34 7,983 SHELL MIDSTREAM PARTNERS LP USD 143,729.56 0.06 9,100 KIRIN HOLDINGS CO LTD JPY 178,288.48 0.07 9,800 SKYWORKS SOLUTIONS INC USD 1,055,344.32 0.42 3,800 MCDONALD'S HOLDINGS CO JAPAN LTD JPY 163,229.59 0.06 644 SNAP-ON INC USD 97,188.06 0.04 10,200 MEDIPAL HOLDINGS CORP JPY 201,762.98 0.08 2,700 SOUTHWEST AIRLINES CO USD 129,840.53 0.05 1,700 MEIJI HOLDINGS CO LTD JPY 102,846.44 0.04 7,616 S&P GLOBAL INC USD 1,852,604.72 0.73 3,900 MITSUBISHI MATERIALS CORP JPY 95,176.00 0.04 12,000 STEEL DYNAMICS INC USD 363,902.00 0.14 378,300 MITSUBISHI UFJ FINANCIAL GROUP INC JPY 1,839,591.86 0.73 2,300 STEVEN MADDEN LTD USD 88,127.39 0.03 1,668 MURATA MANUFACTURING CO LTD JPY 92,241.50 0.04 2,200 STIFEL FINANCIAL CORP USD 118,868.60 0.05 3,100 NEC CORP JPY 114,864.05 0.05 6,392 TAKE-TWO INTERACTIVE SOFTWARE INC USD 697,169.32 0.28 8,700 NOMURA RESEARCH INSTITUTE LTD JPY 166,743.06 0.07 9,433 TARGET CORP USD 1,077,420.87 0.43 3,448 OBIC BUSINESS CONSULTANTS CO LTD JPY 145,848.16 0.06 600 TELEDYNE TECHNOLOGIES INC USD 185,232.96 0.07 3,700 OBIC CO LTD JPY 447,684.52 0.18 18,887 TEXAS INSTRUMENTS INC USD 2,158,586.40 0.85 3,700 ORIENTAL LAND CO LTD/JAPAN JPY 451,324.23 0.18 5,614 THERMO FISHER SCIENTIFIC INC USD 1,624,784.12 0.64 19,700 OTSUKA HOLDINGS CO LTD JPY 788,564.00 0.31 9,681 TJX COS INC/THE USD 526,611.90 0.21 3,000 PALTAC CORPORATION JPY 128,865.46 0.05 6,408 T-MOBILE US INC USD 447,675.15 0.18 2,700 SANKYO CO LTD JPY 80,233.51 0.03 12,500 TWO HARBORS INVESTMENT CORP USD 162,806.24 0.06 12,100 SEGA SAMMY HOLDINGS INC JPY 157,018.30 0.06 11,314 TYSON FOODS INC - A USD 917,618.32 0.36 1,000 SHIN-ETSU CHEMICAL CO LTD JPY 98,862.44 0.04 10,671 UNION PACIFIC CORP USD 1,718,672.69 0.68 8,500 SONY FINANCIAL HOLDINGS INC JPY 183,116.84 0.07 1,200 UNITED CONTINENTAL HOLDINGS INC USD 94,171.94 0.04 2,700 SUGI HOLDINGS CO LTD JPY 127,488.27 0.05 4,237 UNITED TECHNOLOGIES CORP USD 565,285.63 0.22 12,300 SUMITOMO CORP JPY 163,747.67 0.06 2,535 UNITEDHEALTH GROUP INC USD 663,910.29 0.26 53,000 SUMITOMO MITSUI FINANCIAL GROUP INC JPY 1,754,390.15 0.69 500 VAIL RESORTS INC USD 106,828.51 0.04 8,200 SUMITOMO REALTY & DEVELOPMENT CO LTD JPY 256,242.25 0.10
The accompanying notes form an integral part of these financial statements.
20 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
2,800 SUNTORY BEVERAGE & FOOD LTD JPY 104,322.00 0.04 4,600 CANADIAN APARTMENT PROPERTIES REIT CAD 167,522.45 0.07 24,300 TOKIO MARINE HOLDINGS INC JPY 1,218,907.43 0.48 14,871 CANADIAN IMPERIAL BANK OF COMMERCE CAD 1,103,983.36 0.44 5,600 TOYO SUISAN KAISHA LTD JPY 212,546.04 0.08 787 CANADIAN PACIFIC RAILWAY LTD CAD 178,977.93 0.07 29,700 TOYOTA MOTOR CORP JPY 1,878,105.91 0.74 12,897 CI FINANCIAL CORP CAD 192,356.08 0.08 12,500 USS CO LTD JPY 211,701.69 0.08 1,900 COGECO COMMUNICATIONS INC CAD 147,760.18 0.06 3,900 ZENKOKU HOSHO CO LTD JPY 148,662.54 0.06 3,800 DESCARTES SYSTEMS GROUP INC/THE CAD 144,888.52 0.06 20,907,347.84 8.28 2,500 FORTIS INC/CANADA CAD 92,539.04 0.04 15,400 GREAT-WEST LIFECO INC CAD 351,884.68 0.14 United Kingdom 8,200 NORTHLAND POWER INC CAD 153,228.71 0.06 4,907 AON PLC USD 910,538.11 0.36 17,100 POWER CORP OF CANADA CAD 392,961.16 0.16 25,728 ASTRAZENECA PLC GBP 2,309,760.76 0.91 12,800 POWER FINANCIAL CORP CAD 307,248.85 0.12 335,888 BP PLC GBP 1,869,458.55 0.73 3,800 RITCHIE BROS AUCTIONEERS INC CAD 145,462.85 0.06 9,722 COCA-COLA EUROPEAN PARTNERS PLC USD 440,672.93 0.17 5,138 ROGERS COMMUNICATIONS INC - B CAD 227,602.23 0.09 65,289 COMPASS GROUP PLC GBP 1,456,295.06 0.58 32,465 TORONTO-DOMINION BANK/THE CAD 1,624,363.07 0.63 13,204 DIAGEO PLC GBP 498,736.21 0.20 8,225,612.66 3.26 3,200 DIALOG SEMICONDUCTOR PLC EUR 144,352.00 0.06 11,800 HALMA PLC GBP 294,676.31 0.12 Switzerland 7,310 HIKMA PHARMACEUTICALS PLC GBP 171,765.60 0.07 1,764 ADECCO GROUP AG - REG CHF 99,351.22 0.04 11,300 HOMESERVE PLC GBP 168,567.20 0.07 267 ALCON INC CHF 13,460.87 0.01 18,896 IG GROUP HOLDINGS PLC GBP 154,989.49 0.06 1,500 CEMBRA MONEY BANK AG CHF 146,277.80 0.06 44,745 MEGGITT PLC GBP 346,836.83 0.14 463 EMS-CHEMIE HOLDING AG - REG CHF 271,119.45 0.11 5,700 MONDI PLC GBP 119,236.35 0.05 1,800 GALENICA AG CHF 99,110.11 0.04 32,200 MONEYSUPERMARKET.COM GROUP PLC GBP 125,633.74 0.05 3,431 GARMIN LTD USD 298,198.98 0.12 9,700 NATIONAL GRID PLC GBP 108,100.89 0.04 2,164 GEBERIT AG - REG CHF 1,081,429.72 0.43 6,827 NEXT PLC GBP 565,445.59 0.22 233 GIVAUDAN SA - REG CHF 649,715.37 0.26 17,500 PRUDENTIAL PLC GBP 299,263.66 0.12 2,700 LOGITECH INTERNATIONAL SA - REG CHF 113,840.00 0.05 21,837 RELX PLC GBP 491,076.88 0.19 17,137 NESTLE SA - REG CHF 1,651,940.78 0.64 20,900 RIGHTMOVE PLC GBP 156,282.02 0.06 558 PARTNERS GROUP HOLDING AG CHF 455,548.80 0.18 11,221 RIO TINTO PLC GBP 596,322.32 0.24 6,480 ROCHE HOLDING AG - GENUSSCHEIN CHF 1,871,914.19 0.73 13,300 SEVERN TRENT PLC GBP 394,763.68 0.16 520 SONOVA HOLDING AG CHF 105,964.00 0.04 17,066 TATE & LYLE PLC GBP 153,111.27 0.06 1,300 SWISS PRIME SITE AG - REG CHF 133,830.38 0.05 6,200 WH SMITH PLC GBP 190,244.71 0.08 1,483 SWISS RE AG CHF 148,303.70 0.06 58,615 3I GROUP PLC GBP 759,554.02 0.30 600 TECAN GROUP AG CHF 150,141.74 0.06 12,725,684.18 5.04 3,700 TEMENOS AG - REG CHF 521,484.94 0.21 500 ZURICH INSURANCE GROUP AG CHF 182,663.25 0.07 France 7,994,295.30 3.16 988 AIR LIQUIDE SA EUR 124,685.60 0.05 Germany 808 ARKEMA SA EUR 76,517.60 0.03 22,508 AXA SA EUR 565,175.88 0.22 4,000 ALLIANZ SE - REG EUR 873,600.00 0.35 6,800 EDENRED EUR 313,480.00 0.12 5,500 BAYERISCHE MOTOREN WERKE AG EUR 402,270.00 0.16 4,420 EIFFAGE SA EUR 450,840.00 0.18 1,500 BECHTLE AG EUR 187,800.00 0.07 12,188 ESSILORLUXOTTICA SA EUR 1,655,130.40 0.66 6,310 BEIERSDORF AG EUR 672,961.50 0.27 2,600 EURAZEO SA EUR 158,600.00 0.06 2,400 COMPUGROUP MEDICAL SE EUR 153,000.00 0.06 1,877 GAZTRANSPORT ET TECHNIGAZ SA EUR 160,295.80 0.06 43,657 DEUTSCHE POST AG - REG EUR 1,484,774.57 0.59 1,807 HERMES INTERNATIONAL EUR 1,203,823.40 0.48 123,800 E.ON SE EUR 1,179,071.20 0.47 2,100 IPSEN SA EUR 165,900.00 0.07 6,600 FREENET AG EUR 134,904.00 0.05 7,000 LAGARDERE SCA EUR 136,010.00 0.05 1,525 FRESENIUS MEDICAL CARE AG & CO KGAA EUR 100,589.00 0.04 4,553 L'OREAL SA EUR 1,201,992.00 0.48 1,441 MTU AERO ENGINES AG EUR 366,878.60 0.15 200 LVMH MOET HENNESSY LOUIS VUITTON SE EUR 82,840.00 0.03 995 MUENCHENER EUR 261,685.00 0.10 RUECKVERSICHERUNGSGESELLSCHAFT AG IN 35,556 PEUGEOT SA EUR 757,342.80 0.31 MUENCHEN - REG 11,755 SAFRAN SA EUR 1,618,075.75 0.64 2,650 NEMETSCHEK SE EUR 155,820.00 0.06 3,500 SODEXO SA EUR 369,775.00 0.15 4,049 PORSCHE AUTOMOBIL HOLDING SE - PREF EUR 269,825.36 0.11 744 TELEPERFORMANCE EUR 161,745.60 0.06 227 RATIONAL AG EUR 162,759.00 0.06 33,618 TOTAL SA EUR 1,654,005.60 0.65 62,100 TELEFONICA DEUTSCHLAND HOLDING AG EUR 160,466.40 0.06 1,051 VINCI SA EUR 104,049.00 0.04 8,400 VONOVIA SE EUR 403,200.00 0.16 10,960,284.43 4.34 6,969,604.63 2.76 Canada Ireland
47,792 ALIMENTATION COUCHE-TARD INC - B CAD 1,353,054.25 0.53 4,887 ACCENTURE PLC - A USD 916,753.31 0.36 13,043 BANK OF NOVA SCOTIA/THE CAD 657,256.67 0.26 20,879 EATON CORP PLC USD 1,761,834.19 0.71 19,100 BROOKFIELD ASSET MANAGEMENT INC - A CAD 984,522.63 0.39
The accompanying notes form an integral part of these financial statements.
21 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Quantity/ Name Currency Market value % Nominal in EUR NAV Nominal in EUR NAV
7,546 INGERSOLL-RAND PLC USD 893,553.96 0.35 2,222 CYBERARK SOFTWARE LTD USD 230,771.28 0.09 3,100 JAZZ PHARMACEUTICALS PLC USD 412,265.48 0.16 65,700 ISRAEL DISCOUNT BANK LTD - A ILS 271,298.89 0.11 14,563 MEDTRONIC PLC USD 1,471,868.46 0.58 1,400 MELLANOX TECHNOLOGIES LTD USD 146,148.78 0.06 11,200 SEAGATE TECHNOLOGY PLC USD 593,674.83 0.24 2,600 WIX.COM LTD USD 283,463.70 0.11 6,049,950.23 2.40 1,481,802.41 0.59 Australia Denmark
4,600 ALTIUM LTD AUD 100,017.41 0.04 3,005 CARLSBERG A/S - B DKK 399,648.84 0.16 68,508 BEACH ENERGY LTD AUD 107,684.47 0.04 5,600 CHR HANSEN HOLDING A/S DKK 396,740.97 0.16 1,100 COCHLEAR LTD AUD 154,807.43 0.06 10,400 NOVOZYMES A/S - B DKK 453,718.02 0.18 42,400 DEXUS AUD 310,663.17 0.12 2,000 ROYAL UNIBREW A/S DKK 163,265.69 0.06 8,746 MACQUARIE GROUP LTD AUD 755,012.78 0.30 1,413,373.52 0.56 102,856 MIRVAC GROUP AUD 204,830.59 0.08 9,000 NEWCREST MINING LTD AUD 170,492.76 0.07 Cayman Islands 13,464 RIO TINTO LTD AUD 846,536.86 0.34 128,500 CK HUTCHISON HOLDINGS LTD HKD 1,091,610.73 0.43 274,700 SCENTRE GROUP AUD 658,863.56 0.27 1,091,610.73 0.43 228,285 SOUTH32 LTD AUD 385,992.79 0.15 12,100 WESFARMERS LTD AUD 313,706.68 0.12 Bermuda 4,008,608.50 1.59 70,800 HONGKONG LAND HOLDINGS LTD USD 362,672.61 0.15 11,400 JARDINE MATHESON HOLDINGS LTD USD 564,668.15 0.22 Netherlands 927,340.76 0.37 8,384 ASML HOLDING NV EUR 2,210,860.80 0.88 Hong Kong 1,600 EXOR NV EUR 110,528.00 0.04 11,916 KONINKLIJKE AHOLD DELHAIZE NV EUR 265,667.22 0.10 41,700 HENDERSON LAND DEVELOPMENT CO LTD HKD 182,365.78 0.07 11,322 LYONDELLBASELL INDUSTRIES NV - A USD 952,964.42 0.38 146,200 HONG KONG & CHINA GAS CO LTD HKD 254,412.17 0.10 5,969 SBM OFFSHORE NV EUR 99,025.71 0.04 54,000 MELCO INTERNATIONAL DEVELOPMENT LTD HKD 135,211.53 0.05 4,572 WOLTERS KLUWER NV EUR 297,271.44 0.12 14,000 SUN HUNG KAI PROPERTIES LTD HKD 190,960.85 0.08 3,936,317.59 1.56 762,950.33 0.30 Spain Belgium
2,400 AENA SME SA EUR 409,200.00 0.16 10,869 AGEAS EUR 572,578.92 0.22 7,344 AMADEUS IT GROUP SA EUR 534,643.20 0.21 3,500 TELENET GROUP HOLDING NV EUR 140,210.00 0.06 2,800 CORP FINANCIERA ALBA SA EUR 135,940.00 0.05 712,788.92 0.28 8,199 ENDESA SA EUR 195,054.21 0.08 9,351 RED ELECTRICA CORP SA EUR 167,616.68 0.07 Norway 74,086 REPSOL SA EUR 1,032,017.98 0.41 13,000 SPAREBANK 1 SR-BANK ASA NOK 131,795.79 0.05 181,767 TELEFONICA SA EUR 1,131,863.11 0.45 21,300 STOREBRAND ASA NOK 149,043.40 0.07 22,600 ZARDOYA OTIS SA EUR 158,765.00 0.06 6,710 TELENOR ASA NOK 107,108.36 0.04 3,765,100.18 1.49 5,889 TGS NOPEC GEOPHYSICAL CO ASA NOK 159,468.03 0.06 4,400 YARA INTERNATIONAL ASA NOK 162,907.71 0.06 Sweden 710,323.29 0.28 6,600 ATLAS COPCO AB - A SEK 234,660.44 0.09 Portugal 7,700 AXFOOD AB SEK 152,713.53 0.06 5,000 BOLIDEN AB SEK 118,245.73 0.05 146,000 EDP - ENERGIAS DE PORTUGAL SA EUR 564,144.00 0.22 38,186 ESSITY AB - B SEK 1,096,762.22 0.44 26,600 NOS SGPS SA EUR 127,680.00 0.05 9,000 INDUSTRIVARDEN AB - C SEK 193,485.23 0.08 691,824.00 0.27 4,200 LOOMIS AB - B SEK 155,005.17 0.06 21,067 SANDVIK AB SEK 366,194.19 0.14 Jersey 16,900 SKANSKA AB - B SEK 340,483.95 0.13 2,100 APTIV PLC USD 177,672.16 0.07 10,000 SWEDISH ORPHAN BIOVITRUM AB SEK 147,033.93 0.06 53,300 BOOHOO GROUP PLC GBP 187,389.51 0.07 27,600 TELE2 AB - B SEK 356,827.08 0.14 4,036 EXPERIAN PLC GBP 121,556.83 0.05 3,161,411.47 1.25 486,618.50 0.19 Singapore New Zealand
38,700 DBS GROUP HOLDINGS LTD SGD 663,559.12 0.26 22,900 RYMAN HEALTHCARE LTD NZD 224,757.28 0.09 179,700 OVERSEA-CHINESE BANKING CORP LTD SGD 1,307,238.41 0.52 98,300 SPARK NEW ZEALAND LTD NZD 255,819.42 0.10 18,500 UNITED OVERSEAS BANK LTD SGD 323,701.35 0.13 480,576.70 0.19 2,294,498.88 0.91 Italy Israel 7,700 BUZZI UNICEM SPA EUR 172,865.00 0.07 84,840 BANK LEUMI LE-ISRAEL BM ILS 550,119.76 0.22
The accompanying notes form an integral part of these financial statements.
22 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019 llllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllllll NN (L) Institutional Global Enhanced (Denominated in EUR)
Securities portfolio as at 31/12/2019 (continued)
Quantity/ Name Currency Market value % Nominal in EUR NAV
5,900 RECORDATI SPA EUR 221,663.00 0.09 394,528.00 0.16 Isle of Man
32,800 GVC HOLDINGS PLC GBP 342,272.42 0.14 342,272.42 0.14 Austria
8,311 RAIFFEISEN BANK INTERNATIONAL AG EUR 186,083.29 0.06 186,083.29 0.06 Puerto Rico
2,600 POPULAR INC USD 136,080.18 0.05 136,080.18 0.05 Panama
2,100 CARNIVAL CORP USD 95,093.99 0.04 95,093.99 0.04
251,662,621.66 99.63
Total securities portfolio 251,662,621.66 99.63
Summary of net assets as at 31/12/2019 % NAV Total securities portfolio 251,662,621.66 99.63 Cash at bank 1,564,449.72 0.62 Other assets and liabilities (628,388.63) (0.25) Total net assets 252,598,682.75 100.00
The accompanying notes form an integral part of these financial statements.
23 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Notes to the financial statements
1- GENERAL INFORMATION
NN (L) INSTITUTIONAL (the "Fund") is a common fund ("Fonds Commun de Placement") organised under the laws of the Grand Duchy of Luxembourg. The Fund is not a separate legal entity and is structured as a co-ownership arrangement. Its assets are held in common by, and managed in the interest of, those people entitled to an undivided co-ownership of the assets and income of the Fund (hereinafter referred to as the "Unitholders") by NN Investment Partners B.V. (hereinafter referred to as the "Management Company" or the “Company”), a company incorporated under the laws of the Netherlands and having its registered office in the Hague, the Netherlands. The assets of the Fund are segregated from those of the Management Company.
The Fund is organised in Luxembourg pursuant to Part I of the modified Luxembourg Law of December 17, 2010 on undertakings for collective investment (the "Law of 2010").
The Fund is managed in accordance with the Management Regulations available at the Registre de Commerce et des Sociétés of the Grand Duchy of Luxembourg, where they may be inspected and copies obtained. The Management Regulations were amended for the last time on August 20, 2018.
The Fund is registered with the Luxembourg Register of Companies under number K197.
The Fund's sole purpose is to invest its assets in transferable securities, other liquid financial assets listed in Article 41 (1) of the Law of 2010 and financial derivative instruments, with a view to enabling its Unitholders to benefit from the results of its portfolio management. The Fund must comply with investment limits as laid out in Part I of the Law of 2010.
The Fund currently offers the following classes to investors:
Units name Description Capitalisation I Capitalisation units dedicated to institutional investors and issued in registered form only. Capitalisation units dedicated to institutional investors and issued in registered form only Capitalisation V yet differing from class "I" in that it attracts a higher management fee. Distribution I Distribution units dedicated to institutional investors and issued in registered form only.
The investors must be aware that every class of units is not offered by every sub-fund of the Fund.
Investment policies
Unitholders are advised that detailed investment policies of every sub-fund are described in the prospectus, which is made available to the unitholders at the depositary bank and at the Management Company’s registered office as well as at the Main Client servicing contacts identified in this report. The prospectus will also be sent free of charge to anyone who so requests.
Changes
To continuously improve its offering and streamline its legal and operational structure and in the framework of the reorganisation of the NN Investment Partners, it has been decided to replace NN Investment Partners Luxembourg S.A. with NN Investment Partners B.V. by way of a legal merger.
The merger of NN Investment Partners Luxembourg S.A. with NN Investment Partners B.V. is effective since April 1, 2019.
2- SUMMARY OF SIGNIFICANT ACCOUNTING POLICIES
The financial statements are prepared and presented in accordance with generally accepted accounting principles and regulations in force in Luxembourg.
Currency conversion
The financial statements have been drawn up in the accounting currency of each sub-fund. Assets and liabilities expressed in currencies other than the accounting currency of each sub-fund are converted into that currency at the exchange rates prevailing on the closing date.
Income and expenses expressed in currencies other than the accounting currency of the sub-fund are converted into that currency at the exchange rates prevailing on the transaction date.
24 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Notes to the financial statements (continued)
The various items in the combined statements correspond to the sum of the corresponding items in the financial statements of each sub-fund,
converted if applicable into EUR, the Company’s consolidation currency, at the exchange rates prevailing on the closing date.
As at December 31, 2019, the exchange rates used were as follows:
1 EUR = 1.5968 AUD 1 EUR = 121.9877 JPY 1.4556 CAD 9.8637 NOK 1.0870 CHF 1.6638 NZD 7.4725 DKK 10.5078 SEK 0.8473 GBP 1.5094 SGD 8.7463 HKD 1.1225 USD 3.8771 ILS
Securities valuation
The value of all assets is determined under the responsibility of the Company’s Board of Directors.
The transferable securities admitted to an official listing or to any other regulated market are valued at the last known prices. If these transferable securities are traded on several markets, the valuation is made on the basis of the last known price on the main market on which the transferable securities are listed. The last known price used for the bonds is the Bid price.
Transferable securities not listed or not traded on a stock exchange or on any other regulated market and transferable securities listed or traded on such a market but whose last known price is not representative, are valued with prudence and in good faith on the basis of their probable realisation value as determined by or under the direction of the Board of Directors of the Management Company.
Money market instruments and other short-term securities are valued using the straight-line amortisation method provided these instruments or securities have an initial or residual maturity at the time of their purchase by the Fund of less than 12 months and if it appears that the last known price on the main market for the security in question cannot be considered as representative of the price of that security.
Investments in investment funds, either listed or not, are valued on the basis of their last available net asset value per share/unit.
Bonds are valued clean (excluding interest receivable) except those identified in the securities portfolio of each concerned sub-fund. The ones valued dirty are identified by an asterisk in the portfolio.
Financial derivative instruments valuation
The value of all assets is determined under the responsibility of the Company’s Board of Directors.
Financial derivative instruments listed on a regulated market are valued at the last available published price applicable at the closing date.
Financial derivative instruments not listed on a regulated market are valued by means of an actuarial method recognised in the market.
Swaps are valued on the basis of their market value, which depends on several parameters (level and volatility of the index, market interest rate, remaining life of the swap).
Swaps are valued clean (excluding interest receivable/payable) except those identified in the financial derivative instruments of each concerned sub-fund.
Forward currency exchange contracts are valued on the basis of currency exchange rates prevailing at the relevant valuation date.
Positive fair values of financial derivative instruments are disclosed as assets and negative fair values as liabilities in the statement of net assets, under the item "Total financial derivative instruments".
Interest to be received on swaps is included in the item "Other assets". Interest to be paid on swaps is included in the item "Current liabilities".
Income
Dividends are accounted for on ex-date, net of withholding tax. Interest is accrued on a daily basis.
25 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Notes to the financial statements (continued)
3- SWINGING SINGLE PRICING
A sub-fund may suffer "dilution" of its net asset value per unit because the price at which investors subscribe or redeem units of the sub-fund does not reflect the dealing and other costs that arise when security trades are undertaken by the Investment Manager to accommodate the cash inflows or outflows related to these subscriptions or redemptions.
In order to counter this impact, a swing pricing mechanism may be applied to protect the interest of the unitholders of the sub-fund. If on any valuation day, the aggregate net transactions in units of the sub-fund exceed a pre-determined threshold, as determined and reviewed for each sub-fund on a periodic basis by the Management Company, the net asset value per unit may be adjusted upwards or downwards to compensate expected transaction costs related to these net capital inflows or outflows respectively.
The net inflows and net outflows will be determined by the Management Company based on the latest available information at the time of calculation of the net asset value per unit. The swing pricing mechanism may be applied on the sub-fund NN (L) Institutional Global Enhanced. The extent of the price adjustment will be set by the Management Company in order to reflect dealing and other costs.
During the year ended December 31, 2019 the following sub-funds applied the swing pricing adjustment:
Swing Factor Swing Factor Sub-funds Threshold subscriptions redemptions NN (L) Institutional Global Enhanced 1.00% 0.08% 0.05%
As at December 31, 2019, no swing pricing adjustment has been applied.
4- OTHER ASSETS AND CURRENT LIABILITIES
Other assets account includes mainly accrued interest receivable, receivable from management company and cash collateral receivable. Current liabilities account includes mainly payable for investments purchased, payable for shares redeemed, accrued expenses payable and cash collateral due to counterparties.
5- MANAGEMENT FEES
For the services provided, the Management Company receives an annual management fee payable monthly as described below:
• NN (L) Institutional FCR: - Distribution I (EUR) class of units: 0.07% of the average monthly assets attributable to this class of unit represented by cash and fixed income securities and 0.27% of the average monthly assets attributable to this class of unit represented by equities.
• NN (L) Institutional Global Enhanced: - Capitalisation I (EUR) class of units: 0.36% of the average monthly net assets of the sub-fund attributable to this class of unit, - Capitalisation V (EUR) class of units: 1.30% of the average monthly net assets of the sub-fund attributable to this class of unit.
In the event of investment in UCITS and other target UCIs and where the Management Company or the sub-portfolio manager is paid a management fee charged directly to the assets of these UCITS and other UCIs (the "investee funds"), such payments shall be deducted from the remuneration payable to the Management Company or the sub-portfolio manager.
In the case where the management fees paid by the investee funds exceed the management fees to be paid by the sub-funds of the Fund, the balance ("management fees excess") is recorded in the item "Other Income" in the statement of operations and changes in net assets.
6- DEPOSITARY FEES
The depositary bank was remunerated in accordance with the agreement between Brown Brothers Harriman (Luxembourg) S.C.A., acting as the depositary, and the Management Company of the Fund.
26 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Notes to the financial statements (continued)
7- TRANSACTION COSTS
The sub-funds of the Fund incurred transaction costs which have been defined as brokerage fees relating to purchases or sales of transferable securities, money market instruments and financial derivative instruments (or other eligible assets traded in by the sub-funds) and/or commissions relating to subscriptions or redemptions of UCITS/UCI shares/units, if applicable.
In case of cross-investments or investment in the shares/units of other UCITS and/or other UCIs that are managed directly or by delegation by the Management Company, no transaction costs are applicable.
Transaction costs are included in the purchase/sale price of the securities.
For the year ended December 31, 2019, the amount of transaction costs incurred by each sub-fund is detailed in the following table:
Sub-funds Currency Transaction costs NN (L) Institutional FCR EUR 39,800.00 NN (L) Institutional Global Enhanced EUR 185,953.24
8- SUBSCRIPTION TAX
The Fund is liable in Luxembourg to a subscription tax ("Taxe d'abonnement") of 0.01% per annum of its net assets for all units restricted to institutional investors.
The subscription tax is paid quarterly and calculated on the net asset value at the end of the relevant calendar quarter.
No subscription tax is paid on the assets held by the Fund in other UCIs already subject to that tax in Luxembourg.
9- OTHER INCOME
This account includes mainly the management fees excess defined in Note 5.
10- OTHER EXPENSES
This account includes mainly audit fees and administration fees.
11- CHANGES IN THE COMPOSITION OF THE SECURITIES PORTFOLIO
These changes are made available to the Unitholders at the depositary bank and at the Management Company's registered office as well as at the Local Sales offices or Main Client servicing contacts identified in this report. They will also be sent free of charge to anyone who so requests.
12- INTEREST RATE SWAPS
NN (L) Institutional FCR was engaged in several interest rate swap contracts as of December 31, 2019. The floating rate of those interest rate swap contracts is indexed to the 6 month EURIBOR rate.
27 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Notes to the financial statements (continued)
13- COLLATERAL RELATED TO OVER-THE-COUNTER FINANCIAL DERIVATIVE INSTRUMENTS
In order to reduce the counterparty risk linked to over-the-counter financial derivative instruments, the Fund received/(delivered) collateral from/to the counterparties as listed below.
As at December 31, 2019, the value of the collateral received is as follows:
Type of Total collateral Sub-fund Counterparty Currency collateral received/(delivered) BNP Paribas Cash EUR 7,490,000.00 NN (L) Institutional FCR Citigroup Cash EUR (270,000.00) Goldman Sachs Cash EUR (6,260,000.03) Total 959,999.97
Cash collateral delivered is included in the caption "Other Assets". Cash collateral received is included in the account "Current Liabilities".
In compliance with the paragraph 43 of CSSF Circular 14/592, a portion of the cash collateral received has been re-invested in high quality assets, i.e. French and German Government bonds.
14- SECURITIES FINANCING TRANSACTION REGULATION (“SFTR”)
As at December 31, 2019, the Fund does not use any instruments or transactions falling into the scope of SFTR.
15- PORTFOLIO TURNOVER RATIO
The Portfolio Turnover Ratio is an indicator of the relevance of the additional costs incurred by a fund when buying and selling investments according to its investment policy.
The Portfolio Turnover Ratio is calculated using the method described below:
Turnover = [(Total 1 - Total 2)/M]*100
Total 1 = Total securities transactions during the period = X + Y X = purchases Y = sales
Total 2 = Total capital transactions during the period = S + R S = subscriptions R = redemptions
M = Average Net Assets
The Portfolio Turnover Ratio is expressed as a percentage. The Portfolio Turnover calculation excludes the trades instructed into NN (L) Liquid which are linked to cash facility management.
28 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Notes to the financial statements (continued)
16- SUBSEQUENT EVENTS
COVID-19
The spread of COVID-19 virus is a matter of global attention. It has impacted the lives of people around the world, and has triggered extraordinary dynamics in the markets. Therefore, NNI P has implemented the following steps:
Business Continuity Plan (BCP)
NN IP has a solid and tested business continuity plan in place and is fully prepared to face the situation. As of the second week of March 2020 the NN IP organisation has been split into two balanced teams, of which the majority (approximately 95%) is working from home. The BCP identifies critical functions such as portfolio management and trading, some of which will continue to work from our premises. The split ensures the management of portfolios can continue to run as usual, while considerably reducing risks for employees and other stakeholders. The BCP was activated on 13 March.
Remote access and technology
NN IP employees have remote access via cloud-based systems and tools, and/or via VPN. Having remote access to critical processes and data enables NN IP to continue to manage the portfolios under all circumstances.
People care
Next to the implemented measures, NN IP has upscaled its IT infrastructure, to ensure that the majority of the staff is able work from home. NN IP has restricted the number of people attending face-to-face meetings and are making ample use of technology to continue our regular contact with stakeholders.
Market developments
NN IP’s portfolio management teams are continuously monitoring and evaluating market developments, asset side liquidity and portfolio flow data, to ensure a timely response to the changing market environment. They do so with support of a team of cross-functional specialists. The team regularly tests the effectiveness of measures in place to manage volatility in transaction costs. They subsequently implement actions to safeguard interests of clients.
29 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Other information to unitholders (unaudited)
ALFI Code of Conduct
It is hereby confirmed that NN (L) Institutional adheres and complies to the principles of the ALFI “Code of Conduct for Luxembourg Investment Funds”.
Remuneration report – 2018 – NN Investment Partners B.V. (Management Company)
Introduction
This remuneration report describes NN Investment Partners remuneration philosophy and system as applicable to staff who perform activities for NN Investment Partners B.V., including its investment funds as regulated by the Alternative Investment Funds Management Directive (AIFMD) and/or the Undertakings for Collective Investments in Transferable Securities Directive (UCITS).
This report is divided into the following subsections:
I. Remuneration in general; II. Remuneration governance; III. Remuneration of Identified Staff; and IV. Quantitative information.
I. Remuneration in general
NN Group has an overall remuneration policy applicable to all staff, the NN Group Remuneration Framework, which provides for reward guidelines and principles for all country and business unit remuneration policies within NN Group. NN Group aims to apply a clear and transparent remuneration policy that is adequate to attract and retain expert leaders, senior staff and other highly qualified employees. The remuneration policy is also designed to support NN’s employees to act with integrity and keep the future of our clients, our company and other stakeholders in mind.
NN Group’s remuneration policy for executives and senior staff is based on a total compensation approach and is benchmarked on a regular basis (where data is available) with relevant national and international peers. Clear performance objectives are set and assessed which are aligned with the overall strategy of the company, both on the short term and the long term, to ensure that remuneration is properly linked to individual, team and company performance. Specifically for investors, the performance is directly linked to the 1-, 3- and 5- year relative performance of the Funds managed which creates alignment with our clients’ interests. Furthermore, the remuneration policy supports a focus on the company’s long term interests and the interests of its clients by ensuring that there is careful management of risk (among others: financial, operational and reputational risks) and that staff are not encouraged, via remuneration, to take excessive risk.
In addition to variable remuneration payable in cash, the NN Group operates an Aligned Remuneration Plan (ARP) which allows NN Investment Partners to award deferred compensation in the form of Funds managed by NN Investment Partners to create further alignment of the employees interests with those of our clients. The ARP also allows NN Group shares to be awarded under a deferral policy which is in place for all staff. The general practice for staff employed by NN Investment Partners exceeding the deferral thresholds as set out in the policy, not being Identified Staff, is to deliver 50% of the deferred variable remuneration in Funds managed by NN Investment Partners, and the remaining 50% of the deferred variable remuneration in NN Group shares. The Remuneration Framework as well as the ARP includes both holdback and claw back clauses which can be invoked in the event that performance, risk, compliance or other issues are discovered after awards have been made.
In addition to NN Group’s general remuneration principles for all staff as described in the above, the following three principles apply to remuneration of control function staff (i.e. those in Risk, Compliance, Legal, Finance, HR and Audit) in particular:
• the level of fixed remuneration is sufficiently high to ensure qualified and experienced staff can be employed; • the ratio of fixed remuneration to variable remuneration is weighted in favor of fixed remuneration; and • the variable remuneration is predominantly based on function-specific objectives that include qualitative criteria which are not determined by the financial performance of the business unit directly monitored by the control functions.
The remuneration policies as applicable to staff who perform activities for the AIF, UCITS and/or the Management Company ensure that NN Investment Partners complies with and acts in the spirit of all the relevant (inter)national regulations on remuneration, such as the Dutch Wet beloningsbeleid financiële ondernemingen (Wbfo), AIFMD and UCITS as relevant to our business.
30 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Other information to unitholders (unaudited) (continued)
II. Remuneration governance
NN Investment Partners operates a Compensation Committee responsible for (among others) setting, monitoring and reviewing the remuneration policies, plans and overall remuneration spend globally for NN Investment Partners. The NN Investment Partners Compensation Committee comprises the CEO NN IP, the Head of Human Resources NN IP, the Chief Financial & Risk Officer NN IP, the Head of Compliance NN IP and the Head of Reward NN IP.
The Remuneration Governance of NN Investment Partners is embedded in the NN Group Governance Framework which requires certain remuneration proposals to be approved at NN Group level. This includes requirements for approvals by (i) the NN Group Compensation Committee in which the relevant control functions (Finance, Risk, HR, Legal and Compliance) and the NN Group Management Board Members are represented and (ii) the NN Group Supervisory Board to ensure an objective and independent view. Examples of events at NN Investment Partners that require approval at NN Group level include:
• the Identified Staff (i.e. those staff with a material impact on the risk profile of NN Group and staff with material impact on the AIF’s, UCITS’s and/or the management company NN Investment Partners B.V.) selection methodology, criteria and the annual selection of Identified Staff roles, and remuneration proposals; • remuneration decisions for NN Investment Partners Compensation Committee members; • the annual compensation review for selected Identified Staff members, senior management and high earners, including the potential cases for holdback of deferred compensation by way of malus and or holdback; • the total variable remuneration spent for any performance year; • job offers for joiners and proposals for leavers exceeding certain thresholds; and • any deviation from the minimum standards as set in the NN Group Remuneration Framework.
The Compensation Committees and NN Group Supervisory Board are authorised to engage external remuneration advisors. In 2018 it made use of the services of Willis Towers Watson, and additionally NN Investment Partners made use of the services of McLagan, Korn Ferry Hay Group and PwC with regards to remuneration related policies and practices (including benchmarking).
Further information regarding NN Group Remuneration Governance, including the roles and responsibilities of relevant committees can be found in the NN Group 2018 Annual Report (https://www.nn-group.com – Investors – 2018 Annual report).
III. Remuneration of Indentified Staff
Introduction
NN Investment Partners selected Identified Staff (staff whose professional activities have material impact on the risk profile of NN Group) on the basis of CRD IV, and Identified Staff on the basis of both AIFMD and UCITS (being staff whose professional activities have a material impact on the Dutch licensed AIF(s), and/or the UCITS and/or NN Investment Partners B.V. based in The Hague). All NN Investment Partners Identified Staff selected on the basis of CRD IV, also qualify as AIFMD and UCITS Identified Staff.
AIFMD and UCITS Identified Staff are selected in accordance with ESMA guidelines and a selection methodology and selection criteria that were approved by the NN Group Compensation Committee.
More specifically, the assessment for material influence was done on the following basis: • examining the potential impact on the financial, operational and reputational risks of the organisational units in scope in a way that exceeds the companies risk appetite, and/or the Performance of the AIF and/or UCITS; • by means of the formal organisational position, including applicable governance, role and responsibilities either alone or in committees, organisational unit or as part of a department; • in combination with the factual situation (testing actual versus theoretical), where the actual situation has been considered leading; • taking into account controls in place, and focusing on the residual level of influence one can have, taken normal functioning of the controls into account; and • back testing with past incidents and outcome from monitoring (ISAE 3402, financial reporting risk) to establish if the controls have been working effectively or if any material influence could be exercised outside of the existing controls.
31 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Other information to unitholders (unaudited) (continued)
The following six groups of Identified Staff have been assessed:
(i) executive and non-executive members of the governing body of the AIFM and UCITS; (ii) senior management; (iii) staff in control functions; (iv) staff responsible for heading the portfolio management, administration, marketing and human resources; (v) other risk takers; and (vi) staff whose remuneration in the previous year is as high as or higher than senior management and other risk takers.
Performance management for Identified Staff
The performance management process for Identified Staff selected on the basis of CRD IV is centrally designed and coordinated by NN Group Human Resources, and resulting rules and requirements are also to be applied to AIFMD and UCITS selected Identified Staff.
The performance management principles applied to Identified Staff ensure that there is focus on financial and non-financial performance and on leadership behavior. In addition, the company’s strategy (both long and short term objectives), client interests, as well as the companies values (Care, Clear and Commit) are reinforced. The principles also create alignment with the AIF and UCITS risk profile. In addition to general performance management principles that apply to all NN Group staff, the following performance management principles apply specifically to Identified Staff in 2018:
(i) the performance objectives include both financial and non-financial performance objectives according to the following balance: (a) for non- control functions Identified Staff a maximum of 50% financial and a minimum of 50% non-financial performance objectives and (b) for control functions: a maximum of 15% financial (e.g. departmental budget responsibility) and a minimum of 85% non-financial performance objectives linked to their control function specific role; (ii) control functions will only have financial performance objectives that are not linked to the performance of the business unit they control; and (iii) all performance objectives are reviewed by the Risk and Compliance functions.
For each Identified Staff member a set of objectives is defined, including details on what the individual is expected to contribute to the company’s business success and how this contribution is to be achieved. The individual performance objectives score is used as one of several factors that determine individual variable remuneration. The final amount of variable remuneration is also dependent on other factors such as: the overall financial affordability, the assessment of undesired risk-taking, as well as non-compliant behavior, and the outcome of an assessment of leadership behavior which may cause adjustments of the level of variable remuneration.
The performance assessment of Identified Staff and the consequent awarding of variable remuneration is effected as part of a multiple-year framework. As deferral periods apply to variable remuneration of Identified Staff, it is ensured that variable remuneration is “at risk” during the entire deferral period. Variable remuneration is linked to risk and non-financial performance and takes into account the company performance at group level, business line performance and individual performance. Any undesired risk taking or breaches of compliance that were not apparent at the time the variable remuneration was awarded, will be taken into account at every (deferred) vesting of variable remuneration.
Remuneration principles and policy for Identified Staff
Variable remuneration for Identified Staff is performance-based and risk-adjusted and is partly paid upfront and partly deferred. Deferred variable remuneration is subject to the assessment of undesired risk-taking, as well as non-compliant behavior in view of past performance. If deemed necessary by the Supervisory Board, (deferred) compensation is adjusted downwards via hold back or claw back.
Different elements of remuneration for Identified Staff
The remuneration of Identified Staff has been structured in accordance with the applicable laws and regulations. The total reward of Identified Staff consists of the following elements:
• fixed remuneration; • variable remuneration; and • general employee benefits, such as employer pension contributions, employee discounts on financial services, disability insurance coverage (applicable to all NN Investment Partners staff).
32 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Other information to unitholders (unaudited) (continued)
Variable Remuneration awarded to Identified Staff
At least 40% of the variable remuneration as awarded to Identified Staff is deferred, and for control function Identified Staff a stricter regime applies as a minimum of 50% is deferred.
For all selected Identified Staff members, the variable remuneration comprises the following components:
• upfront cash; • upfront Investment Entitlements, managed by NN Investment Partners (an additional retention of at least one year applies after vesting); • upfront NN Group shares (for CEO NN IP and Member of the Management Board NN Group, and an additional retention of at least five year applies after award); • deferred Investment Entitlements managed by NN Investment Partners (the minimum deferral period is three years, applying a tiered vesting schedule. Deferred variable remuneration vests annually in equal tranches. The first deferred portion of the variable remuneration vests in one year after the date of grant. Any vested portion of the deferred Funds is subject to an additional retention period of at least one year); and • deferred NN Group shares (the minimum deferral period is three years, applying a tiered vesting schedule. Deferred variable remuneration vests annually in equal tranches. The first deferred portion of the variable remuneration vests in one year after the date of grant).
For all selected Identified Staff, ex-post performance assessment is carried out. The performance assessment extends beyond the date of the award of variable remuneration and continues as part of a multi-year framework of at least three to five years.
NN Group has the right to apply a hold back from any (ex-)employee, i.e., not to pay variable remuneration, in the following circumstances:
• the variable remuneration does not reconcile with the financial situation of NN Group or is not justified on the basis of the performance of the relevant business unit or the relevant employee; or • NN Group does not comply with the relevant capital requirements applicable from time to time, which includes a significant deterioration in the financial performance of the AIF/UCITS Management Company and/or AIF’s/UCITS’s funds or a significant downturn in the AIF/UCITS Management Company overall financial situation; or • NN Group’s capital adequacy is insufficient as determined via the capital test; or • the relevant staff member participated in or was responsible for conduct which resulted in significant losses to NN Group or any of its subsidiaries or affiliates; or • the relevant staff member failed to meet the appropriate standards of fitness and propriety (bekwaamheid en correctheid), such as an oath for the financial sector, a code of conduct or other internal rules and regulations that are applicable to NN Group; or • NN Group or the business unit in which the relevant employee works suffers a significant failure of risk management; or • if this is required or reasonable taking into account the outcome of the reassessment procedures set out in the NN Group Remuneration Framework; or • in the event of significant negative changes in the economic and regulatory capital base; or • in the event of specific conduct which has led to the material re-statement of NN Group's annual accounts and/or significant (reputational) harm to NN Group or any of its subsidiaries or affiliates; or if any other material new information arises that would have changed the original determination of the award of variable remuneration to that individual if it were known at the time of the award; such reassessment is also based on the criteria for the original award.
A claw back of paid/vested variable remuneration from any (ex-)employee can be applied in the following circumstances: • this is required or reasonable taking into account the outcome of the (reassessment) procedures; or • in the event of engagement in conduct or performance of acts which are considered malfeasance or fraud; or • in the event of specific conduct which has led to the material re-statement of NN Group’s annual accounts and/or significant (reputational) harm to NN Group or any of its subsidiaries or affiliates; or • in case the relevant staff member participated in or was responsible for conduct which resulted in significant losses to NN Group or any of its subsidiaries or affiliates; or • in case the participant failed to meet appropriate standards of fitness and propriety, such as an oath for the financial sector, a code of conduct or other internal rules and regulations that are applicable to the NN Group; or • a significant deterioration in the financial performance of the AIF/UCITS Management Company and/or AIF’s/UCITS’s funds or a significant downturn in the AIF/UCITS Management Company overall financial situation; or • in the event of significant negative changes in the economic and regulatory capital base; or • if any other material new information arises that would have changed the original determination of the award of variable remuneration to that individual if it were known at the time of the award; such reassessment is also based on the criteria for the original award.
33 NN (L) INSTITUTIONAL Annual report and audited financial statements for the year ended December 31, 2019
Other information to unitholders (unaudited) (continued)
IV. Quantitative information
The table below provides aggregated information on the remuneration of all active staff members employed on December 31, 2018 and performing activities for NN Investment Partners International Holdings B.V. in The Netherlands during the year 2018, and includes all Identified Staff selected on the basis of UCITS.
A significant proportion of the numbers listed below can be attributed to NN Investment Partners B.V. (Management Company), as NN Investment Partners B.V. is the main operating entity held by NN Investment Partners International Holdings B.V.
Information at the level of NN Investment Partners B.V. (beheerder) and/or the AIF’s/UCITS’s is not available. The 2018 variable remuneration is not charged to the AIF’s.
Information on remuneration from the parties to whom NN Investment Partners B.V. has (partly) outsourced portfolio management activities is available in the following attachment: https://nnip.com – About – Policies and governance – Remuneration policy - Remuneration disclosure delegates.
Aggregate fixed and variable remuneration for the performance year 2018
Fixed and variable remuneration awarded in relation to the performance year 2018
Identified Staff qualified as Other Identified Staff All staff – excluding Amounts in EUR 1.000 Senior Management (including (excluding Senior Identified Staff and gross Executives) Management)
Number of employees (#) 8 16 667 Fixed remuneration (1) 2,996 3,922 61,966 Variable remuneration (2) 1,175 1,603 13,690 Aggregate of fixed and variable 4,171 5,525 75,656 remuneration
Note 1) Fixed remuneration per ultimo 2018 for contractual working hours. The Fixed remuneration includes collective fixed allowances, which includes elements such as holiday pay, and pension allowance and excludes benefits.
Note 2) Variable remuneration includes all conditional and unconditional awards in relation to the performance year 2018 as approved by the relevant committees and authorised per March 19, 2019. This includes all payments to be processed through payroll per March/April 2019, upfront NN Group shares and NN IP Investment Entitlements (Fund-of-Fund with a one year holding period) as awarded to Identified Staff as well as all conditional deferred NN Group shares and NN IP Investment Entitlements.
34 Annual report and audited financial statements NN (L) INSTITUTIONAL for the year ended December 31, 2019
Other information to unitholders (unaudited) (continued)
Global exposure calculation method in accordance with the provisions of CSSF Circular 11/512.
Commitment approach:
The commitment approach is used to monitor and measure the global exposure of the following sub-fund: - NN (L) Institutional Global Enhanced.
Value at Risk:
The Value at Risk (VaR) approach is used to monitor and measure the global exposure of the following sub-fund: - NN (L) Institutional FCR.
For the year ended December 31, 2019, the VaR methodology, the information on the utilisation of the VaR limit (the lowest, the highest and the average VaR), the model and the parameters used for its calculation as well as the average level of leverage are detailed as follows:
Sub-Fund Name NN (L) Institutional FCR NN (L) Institutional Global Enhanced Global Exposure - Methodology (1) Absolute VaR Commitment
Value at Risk Regulatory Limit 20% - VaR Model used Parametric - Lowest VaR 2.45% - Highest VaR 6.70% - Average VaR 4.85 - Historical Data Serie Size 1 Year - Price Return Frequency 1 Day - Decay Factor 0.94 - Time Horizon 1 Month - Confidence Level 99% -
Leverage (2) Expected level of leverage Gross approach 200% - Net approach 150% - Average observed level of leverage Gross approach 82% - Net approach 16% -
(1) Commitment or VaR approach. When the VaR approach is used to calculate the global exposure, the table indicates whether the Absolute VaR or Relative VaR is used.
(2) In accordance with the UCITS regulation, the expected level of leverage is outlined in the above above for the Sub-Funds using the VaR approach. The expected level of leverage is expressed as the ratio between the market risk exposure of the Sub-Fund’s positions and its net asset value. The ratio is calculated in accordance with the commitment method (“net approach”) and the sum of notional method (“gross approach”). While the net approach takes into account netting and hedging arrangements, the gross approach does not take into account such arrangements, hence triggering results that are generally higher and not necessarily representative from an economic exposure point of view. Irrespective of the approach used, the expected level of leverage is an indicator and not a regulatory limit. A Sub-Fund’s observed level of leverage may be temporarily higher than the expected level as long as it remains in line with its risk profile and complies with its VaR limit. Depending on market movements, the expected level of leverage may vary over time. The leverage ratio aims to approximate the impact of the use of derivatives instruments on the overall market risk of a given Sub-Fund. For a complete picture of the risk profile associated to each Sub- Fund, please refer to the risk profile section disclosed in each Sub-Fund’s Factsheet of the Prospectus.
35 For additional information please contact:
NN Investment Partners B.V. P.O. Box 90470 Schenkkade 65 2509 LL The Hague The Netherlands e-mail: [email protected] or www.nnip.com