OSTRUM CASH EURIBOR Open-ended investment company with variable capital (société d'investissement à capital variable – SICAV) Share capital: €38,112,254.31 Registered office: Immeuble Eléments 43 Avenue Pierre Mendès France 75013 – Paris, France Paris Trade and Companies Register No. 350 958 401
FINANCIAL YEAR 2019–2020
ANNUAL REPORT
Comprising: – The Management Report (Article L. 225-100 para. 2 of the French Commercial Code) – The Corporate Governance Report (Article L. 225-37 para. 6 of the French Commercial Code)
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 CONTENTS
SECTION 1 – MANAGEMENT REPORT PREPARED BY THE BOARD OF DIRECTORS AND PRESENTED TO THE ANNUAL GENERAL MEETING OF 30 OCTOBER 2020
I. COMPANY OPERATIONS ▪ Identification of the SICAV ▪ Investment policy – Target subscribers ▪ Net asset value ▪ Financial instruments held in the portfolio issued by the service provider or group entity ▪ Threshold crossing ▪ Information regarding research funding
II. MANAGEMENT REPORT a) Investment guidelines ▪ Economic environment ▪ Management policy
b) Information on the UCI ▪ Main changes during the financial year ▪ Substantial changes occurring during the financial year and in the future ▪ Index-linked UCI ▪ Alternative funds of funds ▪ Efficient portfolio management techniques and derivatives (ESMA) ▪ SFTR regulation ▪ Access to documentation
c) Information regarding risks ▪ Overall risk calculation method ▪ Leverage ▪ Exposure to securitisation ▪ Risk management ▪ Cash management ▪ Processing of non-liquid assets
d) Environmental, social and governance (ESG) criteria
e) Law on the Energy Transition for Green Growth
III. GOVERNANCE AND COMPLIANCE COMMITMENTS ▪ Procedure for selecting and assessing intermediaries and counterparties – Order execution ▪ Voting policy ▪ Remuneration policy
IV. FEES AND TAXATION ▪ Retrocession of management fees ▪ Intermediation fees ▪ Withholdings at source
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 V. INCOME – ALLOCATION ▪ Review of financial statements and results ▪ Proposed allocation of distributable income - I – Distributable income relating to profit/loss - II – Distributable income relating to net gains and losses
Appendix 1 – Agenda and draft resolutions Appendix 2 – Annual financial statements at 30 June 2020
SECTION 2 – CORPORATE GOVERNANCE REPORT COMPILED BY THE BOARD OF DIRECTORS AND PRESENTED TO THE ANNUAL GENERAL MEETING OF 30 OCTOBER 2020
I – REMUNERATION PAID BY THE SICAV II – INFORMATION ABOUT CORPORATE OFFICERS III – AGREEMENTS REFERRED TO IN ARTICLE L. 225-38 OF THE FRENCH COMMERCIAL CODE IV – EXECUTIVE MANAGEMENT WORKING METHODS V – COMPOSITION OF THE BOARD OF DIRECTORS VI – ORGANISATION OF THE BOARD'S WORK VII – STATUTORY PROVISIONS REGARDING THE ARRANGEMENTS FOR SHAREHOLDER ATTENDANCE AT THE GENERAL SHAREHOLDERS' MEETING VIII – DELEGATION(S) OF POWERS CURRENTLY IN FORCE, GRANTED BY THE GENERAL SHAREHOLDERS' MEETING REGARDING CAPITAL INCREASES IX – MISCELLANEOUS
Appendix 3 – Statutory Auditor's reports
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
SECTION 1 – MANAGEMENT REPORT PREPARED BY THE BOARD OF DIRECTORS AND PRESENTED TO THE ANNUAL GENERAL MEETING OF 30 OCTOBER 2020
Dear Shareholders,
In accordance with the law and the Articles of Association, we have convened this annual ordinary general meeting in order to report to you on the position and activity of the company over the financial year ended 30 June 2020 and to submit the annual financial statements for the year for your approval.
We will provide you with any clarifications and additional information about the papers and documents that are required by the regulations in force and that have been made available to you within the legally required timescales.
You will then be presented with the Statutory Auditor's reports.
I – COMPANY OPERATIONS
▪ Identification of the SICAV
• Name: OSTRUM CASH EURIBOR • Classification: Money market SICAV with short-term variable net asset value. • Delegated financial, administrative and accounting manager: Natixis Investment Managers International, delegated management company (hereinafter the "Management Company" or "Portfolio Management Company") • Other representatives: ○ Delegated accountant: CACEIS FUND ADMINISTRATION ○ Delegated financial management: OSTRUM ASSET MANAGEMENT. The delegation of financial management covers all aspects of the financial management of the SICAV. • Institutions authorised to receive subscriptions and redemptions ○ NATIXIS and CACEIS BANK Requests are cleared with the depositary, CACEIS BANK. • Recommended investment period: overnight • ISIN codes: ○ I shares: FR0010831693 ○ R(C) shares: FR0000293714 ○ R(D) shares: FR0013311461 ○ RE shares: FR0010845065 ○ TC shares: FR0013311487 • Allocation of distributable income: The SICAV's distributable income is accumulated annually, after the end of the financial year, except for "RD" shares, which pay an annual dividend.
▪ Investment policy – Target subscribers • Management objective: The SICAV aims to outperform the capitalised EONIA index (the overnight interbank rate in euros). In the event of very low interest rates on the money market, the return generated by the UCITS would not be sufficient to cover the management fees and the UCITS would see a structural reduction in its net asset value.
• Benchmark index: The EONIA (European Overnight Index Average) is the average overnight rate in the eurozone. The EONIA index reflects the average of the interest rates at which the 57 banks in the sample lend and borrow money overnight. This sample includes 47 banks in the eurozone (including 10 French banks), 4 non-eurozone European banks and 6 banks from outside the European Union with a base in the eurozone.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 It is calculated by the European Central Bank and published by the European Banking Federation on www.emmi-benchmarks.eu.
• Target subscribers and typical investor profile: All subscribers. - I and R shares are particularly aimed at institutional investors (insurance companies, pension funds, mutual societies, etc.) and businesses. - RE shares are open to all subscribers, and are particularly aimed at Italian investors. - TC shares are open to all subscribers, primarily for Banque Populaire, Caisse d'Epargne and BRED networks.
The SICAV is aimed at investors seeking to invest their surplus cash in the short term with the objective of outperforming the EONIA rate. Subscribers residing in the territory of the United States of America are not authorised to subscribe to this SICAV.
Minimum recommended investment period: overnight.
The amount that would be reasonable to invest in the SICAV depends on the amount of risk the investor is willing to take. This amount also depends on the shareholder's personal profile, particularly their financial situation and the current composition of their financial assets. Building and holding a financial asset portfolio implies a diversification of investments. It is also recommended that anyone wishing to subscribe to shares in the SICAV contact their usual adviser in order to obtain information or advice tailored to their personal circumstances.
Shareholders are advised to refer to the KIID or prospectus available from the SICAV's delegated management company for more information on the investment strategy and exposure to risk.
▪ Net asset value
The net asset values of shares of the OSTRUM CASH EURIBOR SICAV at 30 June 2020 were:
- For I shares: €101,892.28, a decrease of €379.49 compared with the net asset value of €102,270.77 at 28 June 2019, i.e. a performance net of fees of -0.37%.
- For RC shares: €41,108.48, a decrease of €158.35 compared with the net asset value of €41,266.83 at 28 June 2019, i.e. a performance net of fees of -0.38%.
- For RE shares: €1,006.13, a decrease of €3.88 compared with the net asset value of €1,010.01 at 28 June 2019, i.e. a performance net of fees of -0.38%.
- For RD shares: €15,148.60, a decrease of €67.74 compared with the net asset value of €15,216.34 at 28 June 2019, i.e. a performance net of fees of -0.38%.
- For TC shares: €15,154.22, a decrease of €77.41 compared with the net asset value of €15,213.63 at 28 June 2019, i.e. a performance net of fees of -0.39%.
Over the minimum recommended investment period (1 day), the SICAV's performance met its management objective.
The performance figures quoted relate to previous years. Past performance is not a reliable indicator of future performance.
▪ Financial instruments held in the portfolio issued by the service provider or group entity
In accordance with the General Regulations of the Autorité des Marchés Financiers (AMF), investors are informed that the portfolio holds €232,422,631.28 in UCIs managed by entities of the NATIXIS group and its subsidiaries, €278,669,420.08 in forward financial instruments and €300,155,462.89 in negotiable debt securities.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 ▪ Threshold crossing
No threshold was crossed during the financial year ending 30 June 2020.
▪ Information regarding research funding
Natixis Investment Managers International has chosen to bear the cost of research on its own income statement for all portfolios it manages.
II – MANAGEMENT REPORT a) Investment guidelines
▪ Economic and financial environment
Having recorded its weakest growth since the economic and financial crisis of 2008/2009, during the first half of 2020 the global economy entered its largest recession since the Second World War. It was hit hard by the strong and rapid spread of the coronavirus epidemic outside China. The strict lockdown measures adopted almost simultaneously in most countries to curb the epidemic brought global activity to a sudden halt, particularly in the services sector given the significant impact of social distancing measures on catering, hospitality, tourism, air transport and trade. There was also a collapse in international trade. Faced with this unprecedented shock, authorities responded quickly and extensively to deal with the health and economic crisis and to prevent it developing into a financial crisis. Governments thus announced measures for the health sector and wide-ranging economic support schemes in order to avoid multiple corporate bankruptcies and an excessive rise in unemployment. The central banks promptly lowered their key rates to bring them close to zero and/or announced significant purchases of financial assets, placing themselves in front of national governments to absorb the forthcoming sharp rise in public debt and ensure the continuation of highly advantageous financing conditions for households and companies. After reaching a low point in April, business started to recover from May in most countries with the gradual lifting of lockdown measures, although it remained well below pre-crisis levels at the end of June. There is still a lot of uncertainty as to the profile and scale of the recovery and when the economy will return to pre-crisis levels. This will depend in particular on the capacity of governments to contain the epidemic in the long term and on the effectiveness of the stimulus measures adopted. In addition to fears of a second wave of infection, risks include a too rapid and abrupt withdrawal of support schemes for households and businesses, as well as an increase in tensions between the United States and China and the growing possibility of a hard Brexit on 1 January 2021. The rapid deterioration of growth prospects and the major intervention of central banks resulted in an easing of bond rates that was particularly marked in the United States and Italy over the past year. After completely collapsing between the end of February and mid-March, the equity markets rebounded dramatically driven by the large-scale measures taken by central banks and governments and the prospect of a rapid resumption of activity following the gradual lifting of lockdown measures.
While US growth reached the end of the cycle and showed signs of slowdown due to the impact of the trade war, the economy entered a deep recession as a result of the COVID-19 crisis. The lockdown measures imposed had an unprecedented impact on business activity and therefore on the job market. The rebound recorded in May and June, with the gradual lifting of these measures, could not make up for the considerable losses recorded during the previous two months. At the end of June, production was still down by 10.9% from February, and the 7.5 million jobs created in May and June did not offset the 22.2 million job losses recorded in March and April. Although retail sales returned to February levels at the end of June, this recovery is likely to be damaged by the resurgence of the epidemic from mid- June in around 30 southern and western US states, including Texas, Florida, California and Arizona. Many of them have broken new records in terms of new daily rises in cases, forcing them to stop the lockdown easing process or to re-establish social distancing measures. Faced with the health and economic crisis, the government adopted a large- scale support plan for the economy with a record amount of $2,200 billion for households and businesses in March, supplemented by new measures totalling almost $500 billion in April. A new plan was being discussed in June, with the aim of extending unemployment benefit payments, which were set to finish at the end of July, in order to avoid a strong adjustment in consumption.
In the eurozone, growth had slowed markedly to stabilise at a low level at the start of 2020 and was hit hard by the COVID-19 outbreak. The eurozone entered a deep recession after coming close to one during the second half of 2019 in some countries, such as Italy and Germany, which was heavily affected by the intensification of trade tensions between China and the United States. The COVID-19 crisis exacerbated the dissimilarities within the eurozone. The countries most affected are those with the least leeway to deal with these issues given the high level of public debt, such as Italy and Spain in particular. The growth support measures announced by the various governments will result in an increase in deficits and public debt, weakening these economies further still. Against this backdrop, the Franco- German proposal for a European stimulus fund represents a real step forward towards greater integration and financial solidarity within the eurozone. It aims to create a temporary and targeted fund, allowing subsidies to be paid
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 primarily to the countries most affected by the crisis, and financed by European Commission borrowings on the financial markets. This proposal was taken up by the European Commission within the broader context of the multi- year European budget. It is calling for a €750 billion recovery fund, comprised of up to €440 billion in grants, €60 billion in guarantees and €250 billion in loans. This fund aims to bolster the capacity of the 2021–2027 European budget, the proposed amount of which is €1,100 billion. It supplements the measures approved in April by the European Union in the amount of €540 billion, comprised of three safety nets for workers, companies and states in the form of loans. Rapid adoption of the stimulus package by European governments is essential. A European Council meeting will be held on 17 and 18 July.
In the United Kingdom, the coronavirus outbreak has pushed Brexit-related concerns out of the limelight. There was a major impact on growth with GDP contracting by 20.4% in April after -5.8% in March. There was a recovery from May onwards (GDP increased by 1.8% over the month) with the gradual lifting of lockdown measures. According to surveys, however, business continued to decline in the services sector in June. Added to this was the resurgence of fears related to Brexit after the British government refused to extend the transition period, which began on 1 February 2020, beyond 31 December 2020. This increases the risk of a hard Brexit at the end of the year (whereby the United Kingdom leaves the European Union without a trade agreement) given the very short period remaining to conduct negotiations that are proving particularly difficult and complex, considering the major differences.
In Japan, while growth was weakened by the trade war between China and the United States, it was affected by the rise in the VAT rate and the impact of COVID-19. The government decided to implement an increase in VAT (from 8% to 10%) on 1 October. This resulted in a collapse in household consumption at the end of 2019, leading the government to adopt a wide-ranging stimulus package due to the Bank of Japan's reduced operating margins. As a result, the last quarter of 2019 saw GDP record its sharpest decline for five years, the last time VAT was raised, falling by 7.2% year on year over the quarter. The consequences of the COVID-19 crisis exacerbated its contraction during the first half of 2020. It already recorded a year-on-year fall of 2.2% in the first quarter with a much harsher contraction forecast for the second quarter. In June, surveys conducted with business leaders revealed the continued contraction of activity in the manufacturing sector – albeit at a more moderate rate – and stabilisation in the services industry. In view of the impact on growth, the government adopted an extensive stimulus package and the Bank of Japan injected cash through the purchase of financial assets.
Growth that was slowing in emerging countries bore the full brunt of the consequences of COVID-19. In China, the epidemic occurred as the economy continued its structural slowdown, recording its smallest increase since 1992 (6% year-on-year in Q4 2019). This is the result of rebalancing growth in favour of consumption and services, to the detriment of the investment and manufacturing sector. The slowdown was also intensified by the sharp drop-off in exports, following the significant rise in US tariffs. In December, the coronavirus epidemic began in Wuhan, China, an industrial hub which is home to many multinational companies. Lockdown measures were not introduced until January, but they were drastic and have resulted in a large part of economic activity coming to a standstill, impacting global supply chains and international trade. There was a brutal impact on Chinese business in the first quarter as GDP fell 6.8% year-on-year, justifying the adoption of large-scale measures by the government and the central bank. From March onwards, the gradual lifting of lockdown resulted in a rebound in activity. China, the first economy to be hit by the COVID-19 crisis and to contain the epidemic, was the first to record a return to growth. GDP increased by 3.2% in the second quarter yet remained well below the pre-crisis level. The recovery was driven by industry and investment in infrastructure by public companies. However, consumption remains fragile as evidenced by the year-on-year drop in retail sales in June, impacted by the deterioration of the employment market. Private investment also contracted and exports fell due to the major recession impacting most of its trading partners.
The slowdown in the Chinese economy followed by the collapse in global activity in the first half of 2020 had a significant impact on emerging countries. The rapid spread of the virus in Latin America and India during the second quarter soon impacted the growth prospects for these countries. The fall in global trade, commodities prices and tourism prompted central banks to reduce their key rates sharply, and some used financial asset purchases to soften financing conditions for the first time. Governments have implemented large-scale support schemes, which have weakened already heavily indebted countries and raised fears about debt sustainability.
In addition to the impact of the health crisis on their growth, emerging countries suffered massive capital outflows from investors due to strong risk aversion, which weakened heavily indebted countries in particular. The IMF and the World Bank provided emerging countries with financial aid to combat COVID-19 and called for a suspension in debt repayments owed by heavily indebted poor countries. The Fed reactivated swap lines with other central banks and adopted other measures to facilitate access to dollar funding, which had become more difficult. These measures have helped to curb capital flight.
Emerging oil-producing countries were also severely weakened by the fall in the price of 'black gold' between March and April 2020, following the decline in global demand and the price war started by Saudi Arabia, which followed the failure to reach an agreement with Russia on a reduction in oil production at the OPEC+ meeting on 6 March. This led to a collapse in the price of crude oil, particularly weakening heavily indebted US producers of shale oil. The US barrel of oil price (WTI) even became negative on 20 April (at -$37.6) due to the imminent expiry of the supply contract in
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 May and the saturation of US crude storage capacity. Prices finally rebounded in light of the implementation of the oil supply reduction agreement reached between the OPEC countries and Russia. The price per barrel of Brent closed at $41.3 on 30 June and WTI at $39.3, a fall of 38.3% and 32.6% respectively year-on-year.
This steep decline in oil prices resulted in a sharp slowdown in inflation. In the United States, the household expenditure deflator stood at 0.5% in May 2020 for the global index and at 1% for the underlying index (excluding food and energy). In the eurozone, inflation was 0.3% in June 2020 and 0.8% for the underlying index, far from the ECB's target of close to but less than 2%.
Faced with the sharp deterioration in growth and inflation prospects, central banks became very accommodating. The Federal Reserve (Fed) made a U-turn from summer 2019, while US growth continued at a moderate rate. It reduced its rates by 25 basis points on three occasions: 31 July, 18 September and 30 October. This reduced the range for the Fed Funds rate to [1.50%; 1.75%]. It took preventative measures in the face of the risks associated with increased trade tensions and the slowdown in global growth in an environment where inflation was below the 2% target. In March 2020, the collapse in business activity associated with COVID-19 led it to make a prompt and substantial reduction in its key interest rates: On 3 March, -50 basis points (bps) and -100 bps on 15 March, bringing the range for the Fed Funds rate to between [0% and 0.25%]. It also resumed its purchases of bonds and mortgage receivables for an unlimited period and an unrestricted amount, including corporate bonds for the first time. It also adopted a whole series of measures designed to provide the liquid assets necessary for running the economy. In order to avoid an international shortage of dollars, the Fed also reactivated swap agreements with the main central banks. In June, the Federal Reserve indicated that it would maintain a very accommodative monetary policy in the long term. According to the estimates of the monetary policy committee, rates would remain close to zero until 2022. The Fed is therefore pursuing its purchases of financial assets for as long as necessary at a rate of $120 billion per month (excluding reinvestment of securities redemptions maturing) and is prepared to do more if necessary. The nine emergency lending facilities launched in collaboration with the US Treasury are also operational. The purpose of these is to facilitate access to credit for households, businesses and local communities. They have only been used to a limited extent. At the end of June, Fed chairman Jerome Powell warned against the highly uncertain nature of the recovery and the risk posed by the resurgence of the epidemic in numerous states.
The European Central Bank (ECB) also made its monetary policy even more accommodative in the face of risks to growth and the persistent weakness of inflation, On 12 September 2019, it adopted a whole raft of measures, reducing the deposit rate by 10 basis points to -0.50% and adopting a tiering mechanism with the intention of reducing the negative impact on banks. It also decided to resume its purchases of financial assets, which it had stopped in December 2018, at the rate of €20 billion per month from 1 November 2019. In response to the unpreceded shock precipitated by the health crisis, the ECB took large-scale measures. On 12 March, it announced an additional budget of €120 billion, until at least the end of 2020, intended primarily for the purchase of corporate bonds. On 18 March, it also launched the €750 billion pandemic emergency purchase programme (PEPP) which will run until at least the end of 2020. It is particularly flexible, as evidenced by the removal of the maximum holding limit of 33% per issuer and issue it had set in previous programmes. The ECB clearly indicated its strong and unlimited commitment to preserving the integrity of the eurozone. It has thus positioned itself in front of the States to absorb the forthcoming sharp rise in their public debt and maintain low interest rates for all eurozone countries, even those with high public debt such as Italy and Greece. The ECB also relaxed the eligibility criteria for the collateral provided by banks during its refinancing operations, as well as the terms of its targeted long-term refinancing operations. This resulted in record bank participation in the TLTRO III operation held in June 2020: €1,308 billion requested, of which €548.5 billion net. These transactions aim to provide very attractive refinancing conditions for banks (at a rate of up to -1%) provided that they continue to lend to households (excluding real estate loans) and businesses. On 4 June, fears of deflation related to the deep recession led the ECB to strengthen the force of the PEPP by increasing its size by €600 billion to €1,350 billion, extending its term by 6 months, until the end of June 2021 at least, and reinvesting redeemed securities maturing and acquired through this programme until at least 2022.
In the United Kingdom, the Bank of England reduced its key rate by 65 basis points in March 2020 to 0.1% in an attempt to reduce the impact of the COVID-19 crisis on growth. It also announced the resumption of financial asset purchases for an additional amount of £200 billion and adopted measures to facilitate access to liquid assets for companies experiencing cash difficulties. In June, the sharp contraction of activity led it to increase its financial asset redemption programme by £100 billion to £745 billion.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
Financial markets
The adoption of very accommodative monetary policies to cope with the fallout of the COVID-19 crisis resulted in an easing of bond rates which was particularly pronounced in the United States, Italy and Greece.
In August 2019, bond markets benefited from a flight to quality linked to the clear escalation in Long-term interest rates (10 years) the trade war between China and the United 4 Italy Spain United States
States. Investors sought to purchase safer United Japan France 3.5 Kingdom
Germany assets (sovereign bonds) to the detriment of 3 riskier securities (equities). In Italy, investors Brexit Election of Trump referendum 2.5 were also reassured by the collapse of the ruling coalition and the exit of the far-right 2
League party, led by Matteo Salvini. The 1.5 formation of a new government between the 1 Five Star Movement and the Democratic Party
0.5 has reduced fears about a derailment of public finances, which has resulted in a clear cut in 0
Italian interest rates. -0.5
Last updated on 30 June 2020 -1
From September to December 2019, long-term Jan. '16 Apr. '16 Jul. '16 Oct. '16 Jan. '17 Apr. '17 Jul. '17 Oct. '17 Jan. '18 Apr. '18 Jul. '18 Oct. '18 Jan. '19 Apr. '19 Jul. '19 Oct. '19 Jan. '20 Apr. '20 Jul. '20 interest rates tended to tighten slightly, Sources: Datastream, Ostrum AM remaining low. This trend was due to profit- taking followed by reduction in concerns about the global economy. Investors were reassured by the announcement on 11 October of a possible Phase 1 agreement between China and the United States, followed by a level of stability in economic surveys.
From the end of January 2020, long-term interest rates began to ease drastically. The announcement on 22 January of quarantine measures in the city of Wuhan (11 million inhabitants), where the coronavirus outbreak began in December, generated fears over Chinese growth and, as a result, global growth. Subsequently, the rapid, sustained spread of the coronavirus epidemic outside China triggered real panic in the financial markets and boosted the easing of interest rates. This fall was accentuated on 9 March following the collapse of the stock markets, which was caused by a fall in oil prices. This took US, German and UK rates to record lows, with the US 10-year rate at 0.50%, the UK 10-year rate at 0.17% and the German 10-year rate at -0.84%. The French 10-year rate fell back to the record low of - 0.42% seen in August 2019.
Bond markets then became volatile, despite the aggressive measures taken by the central banks. In the eurozone, the ECB's announcements on 12 March, including an additional envelope of €120 billion primarily for the purchase of corporate bonds, did not have the expected effect on the markets. Interest rates tightened due to poor communication from Christine Lagarde, head of the ECB since November 2019, according to whom the central bank's mission was not to "close spreads" between German bond yields and those of certain other countries. The polar opposite of the "whatever it takes" strategy of her predecessor Mario Draghi, this announcement created doubts about the central bank's commitment to pulling out all the stops to preserve the integrity of the eurozone. The rates of peripheral countries tightened considerably, with Greece and Italy in the lead and trailing all sovereign rates in their wake. This communication error was quickly corrected, with the announcement of the pandemic emergency purchase programme shortly before midnight on 18 March, and a powerful statement from the ECB on its boundless determination to preserve the integrity of the eurozone. These measures allowed interest rates to ease rapidly, returning to the levels seen in mid-March. The ECB has shown flexibility with the PEPP by deviating from the capital allocation key to buy more securities that were subject to unjustified tensions such as Italy and Spain. The rates of peripheral countries also benefited from mid-April from the Franco-German proposal, which was taken up by the European Commission, to create a European stimulus fund based primarily on the payment of subsidies to the states most affected by the crisis and financed by European Commission borrowings on the financial markets. The measures taken by the ECB and the prospect of a European stimulus fund, which was still to be approved by governments in July, boosted bond markets in peripheral countries. The Italy vs Germany 10-year spread, which peaked at 320 basis points during trading on 18 March, eased sharply to 172 points on 30 June.
In total, over the entire year, the US 10-year rate fell by 135 basis points, closing at 0.65% on 30 June 2020. The German and French 10-year rates fell by 20 basis points to close at -0.50% and -0.18% respectively. Prior to the COVID-19 crisis, peripheral country rates were very popular with investors seeking yield and benefitted from the measures adopted by the ECB and the prospect of a European stimulus fund. Over the past year, the Greek 10-year
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 rate lost almost 150 bps and the Italian 10-year rate lost close to 90 bps, closing at 1.7% and 1.2% respectively on 30 June 2020.
Equity markets plummeted amid forecasts of a major global recession following the COVID-19 epidemic before rebounding sharply after the unprecedented measures adopted by the central banks.
The equity markets began the year with the uncertainty surrounding the trade tensions Equity markets – Base 100 at 28 June 2019 120 between China and the United States. As a
115 result, they alternated between downward phases, with the announcement of hikes in 110
customs tariffs, and upward swings, with the 105 resumption of negotiations. 100
95 They recorded strong growth from 11 October until mid-February 2020. This followed the 90 Standard & Poor's announcement of a partial trade agreement 85 Nikkei between China and the United States, which 80 Euro Stoxx was ratified on 15 January, and the adoption CAC 40 75 of more accommodative monetary policies by FTSE
70 the Fed and the ECB. Markets were also Last updated on 30 June 2020 reassured in January by signs of stabilising 65 global activity through market surveys. The Jul. 2019 Aug. 2019 Sep. 2019 Oct. 2019 Nov. 2019 Dec. 2019 Jan. 2020 Feb. 2020 Mar. 2020 Apr. 2020 May 2020 Jun. 2020 Jul. 2020 Sources: Datastream, Ostrum AM US Standard & Poor's index reached a new all-time high in mid-February and the CAC 40 index was above the 6,000-point mark for the third time only in 20 years.
The announcement over the weekend of 22 February of a rapid, sustained spread of the coronavirus epidemic outside China, and in Iran and Italy in particular, triggered panic in the financial markets. This was when equity markets began to crash, due to fears of a global recession and investor flight from risky markets to safer markets, such as government bonds. Volatility rose sharply, reaching one of its highest levels in many years. The oil price war, started on 6 March by Saudi Arabia, Christine Lagarde's miscommunication of 12 March, although quickly corrected, and the announcement of lockdown measures in several European countries all exacerbated a precipitous fall in indices. Between 21 February and 23 March, the Standard & Poor's index fell by 33%, the Euro Stoxx 50 index by 34.6% and the CAC 40 by 35.1%.
The rapid and unprecedented interventions of the central banks, through interest rate decreases and the resumption of financial asset purchases in particular, as well as the large-scale support schemes announced by governments, enabled equity markets to rebound at the end of March. It then grew further amid forecasts of a strong and rapid recovery in activity related to the lifting of lockdown measures and the adoption of new monetary and budgetary policy measures. Between 23 March and 5 June, the CAC 40 grew by 32.8%, the Euro Stoxx 50 by 36.2% and the Standard & Poor's by 42.8%. After this spectacular rebound, at odds with the development of the global economy, the stock markets consolidated over the last three weeks of June. They have not been unduly affected by the resurgence of the COVID-19 epidemic in many US states.
Over the last year, the US Standard & Poor's index registered a rise of 5.4% and the Japanese Nikkei index increased by 4.8%. In Europe, however, equity markets fell: -10.9% for the CAC 40, -6.9% for the Euro Stoxx 50 and -0.7% for the German DAX 30. In the United Kingdom, the FTSE 100 index fell by 16.9% over the year, with the COVID-19 crisis adding to the risk of an exit from the European Union without an agreement at the end of 2020.
▪ Management policy
During the financial year, which ran from 28 June 2019 to 30 June 2020, the net asset value of the I share in your SICAV (*), which decreased from €102,270.77 to €101,892.28, posted a net annual growth rate of -0.37% (-0.28% for the previous year), representing a gain of +7 bps (against +8 bps for the previous year) compared to the Euro Overnight Index Average, or EONIA. The assets under management of OSTRUM CASH EURIBOR stood at €8,371 billion at the end of June 2020 compared with €6,793 billion at the end of June 2019, an increase of 23.2% (a decrease of 1.40% for the previous financial year). The average assets under management for the financial year decreased: €6,932.9 billion compared to €8,648.5 billion for the previous year, a fall of 19.80%.
In accordance with the now well-established management policy, OSTRUM CASH EURIBOR, whose portfolio is composed primarily of negotiable debt securities and bonds or equivalent securities issued either directly in euros and referenced against the three-month money market rates (negotiable debt securities with a three-month fixed rate and floating rate notes indexed on the three-month Euribor) or indexed indirectly on these same rates after interest-rate and/or currency swaps (synthetic assets or asset swaps), fulfilled its assigned objective: namely, to provide a higher yield than the euro overnight index average (EONIA) thanks to investments mainly indexed on the three-month money
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 market rates to endeavour to take advantage of the spread in rates resulting from a short-term interest rate structure that normally rises.
On the macroeconomic front, having recorded its weakest growth since the economic and financial crisis of 2008/2009, during the first half of 2020 the global economy entered its largest recession since the Second World War. It was hit hard by the strong and rapid spread of the coronavirus epidemic outside China. The strict lockdown measures adopted almost simultaneously in most countries to curb the epidemic brought global activity to a sudden halt. There was also a collapse in international trade. Faced with this unprecedented shock, authorities responded quickly and extensively to deal with the health and economic crisis and to prevent it developing into a financial crisis. Governments thus announced measures for the health sector and wide-ranging economic support schemes in order to avoid multiple corporate bankruptcies and an excessive rise in unemployment. The central banks promptly lowered their key rates to bring them close to zero and/or announced significant purchases of financial assets, placing themselves in front of national governments to absorb the forthcoming sharp rise in public debt and ensure the continuation of highly advantageous financing conditions for households and companies.
Against this backdrop, according to Eurostat, economic growth in the eurozone declined by 3.6% in Q1 2020 compared to the previous quarter, its largest downturn since the creation of the single currency in 1999. This result followed zero growth in Q4 2019, growth of 0.3% in Q3 and of 0.2% in Q2. It should be noted that, across the whole of 2019, GDP had increased in the eurozone by 1.3%.
With regard to macroeconomic projections, the European Central Bank (ECB) revised its growth forecast in June to -8.7% for 2020, +5.2% for 2021 and +3.3% for 2022 (compared with +0.8%, +1.3% and 1.4% respectively three months previously). With regard to price changes across the eurozone, the ECB now expects an inflation rate of 0.8%, 0.6% and 0.3% respectively (compared with 1.1%, 1.4% and 1.6% respectively in its latest three-year projections).
With regard to monetary policy and the level of key rates, the ECB not only maintained them at their lowest historical level, but also lowered them again at its meeting on 12 September 2019, dropping its deposit facility rate from -0.40 to -0.50%, while leaving its other rates unchanged (refi rate at 0% and marginal lending facility rate at 0.25%).
The European Central Bank (ECB) also eased its non-conventional monetary policy in the face of risks to growth and the persistent weakness of inflation. On 12 September 2019, it adopted a whole raft of measures, A tiering mechanism was adopted aimed at reducing the negative impact on banks of their excess liquidity. The ECB also decided to resume its purchases of financial assets, which it had stopped in December 2018, at the rate of €20 billion per month from 1 November 2019. In response to the unpreceded shock precipitated by the health crisis, the ECB took large- scale measures. On 12 March, it announced an additional budget of €120 billion, until at least the end of 2020, intended primarily for the purchase of corporate bonds. On 18 March, it also launched the €750 billion pandemic emergency purchase programme (PEPP) which will run until at least the end of 2020. It is particularly flexible, as evidenced by the removal of the maximum holding limit of 33% per issuer and issue it had set in previous programmes. The ECB clearly indicated its strong and unlimited commitment to preserving the integrity of the eurozone. It has thus positioned itself in front of the States to absorb the forthcoming sharp rise in their public debt and maintain low interest rates for all eurozone countries, even those with high public debt such as Italy and Greece. The ECB also relaxed the eligibility criteria for the collateral provided by banks during its refinancing operations, as well as the terms of its targeted long-term refinancing operations. This resulted in record bank participation in the TLTRO III operation held in June 2020: €1,308 billion requested, of which €548.5 billion net. These transactions aim to provide very attractive refinancing conditions for banks (at a rate of up to -1%) provided that they continue to lend to households (excluding real estate loans) and businesses. On 4 June, fears of deflation related to the deep recession led the ECB to strengthen the force of the PEPP by increasing its size by €600 billion to €1,350 billion, extending its term by 6 months, until the end of June 2021 at least, and reinvesting redeemed securities maturing and acquired through this programme until at least 2022.
As a result of these measures, between the end of June 2019 and the end of June 2020, the annual average of the EONIA was -0.434% compared to -0.363% during the previous financial year. The annual average of the 3-month Euribor was recorded at -0.378% compared to -0.315% previously. The average spread between the annual averages of these two reference rates increased year-on-year, from 4.8 bps to 5.6 bps.
The adoption of very accommodative monetary policies to cope with the fallout of the COVID-19 crisis resulted in an easing of bond rates which was particularly pronounced in Italy and Greece. In total, over the entire year, the US 10- year rate fell by 135 basis points, closing at 0.65% on 30 June 2020. The German and French 10-year rates fell by 20 basis points to close at -0.50% and -0.18% respectively. Prior to the COVID-19 crisis, peripheral country rates were very popular with investors seeking yield and benefitted from the measures adopted by the ECB and the prospect of a European stimulus fund. Over the past year, the Greek 10-year rate lost almost 150 bps and the Italian 10-year rate lost close to 90 bps, closing at 1.7% and 1.2% respectively on 30 June 2020.
In terms of the growth of private-sector issuer credit spreads in the eurozone, the iTRAXX Europe 5-year Corporate "generic" index increased from +53 bps at the start of the period to +67 bps at the end of the period, reflecting an
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 average increase in credit spreads in this issuer class of nearly 14 bps. However, during the period under review, this index has undergone two distinct phases. Firstly, between the beginning of July 2019 and mid-February 2020, credit spreads were generally downward-oriented in the context of an increase in equity markets, a stabilisation of the deterioration of business activity and the expectation of sustained low money-market rates. Additionally, credit spreads were significantly on the upside (the high point of the year on 18 March at +139 bps) within a context of strong retracements of all global equity markets due to the anticipation of a major global economic recession generated by the COVID-19 pandemic.
With regard to the short-term credit spreads of bank issuers, these remained settled in negative territory until February 2020 but above their historical lows of the beginning of 2018. The tensions observed on all the markets will have led them to increase very significantly thereafter. The monthly average of spreads against EONIA on the issue of 3-month certificates of deposit from the main French banks posted a significant increase, particularly in April and May (+16.7 bps and + 17.1 bps respectively) before returning to a level closer to pre-crisis levels (3.4 bps in June 2020).
In view of all this, the monthly average of spreads against EONIA for 3-month certificates of deposit from the main French banks (quantitatively significant investment vehicles within the OSTRUM CASH EURIBOR SICAV, which aims to maintain extremely high liquidity in its assets) moved from -4.1 bps in June 2019 to +2.5 bps in June 2020.
The changes to these rates affected the net asset value of your SICAV, the management policy for which is always to endeavour to outperform the EONIA by investing primarily in assets referenced against the three-month money- market rates (three-month fixed rates or assets referenced against the three-month Euribor): OSTRUM CASH EURIBOR will therefore be able to take advantage once again of the average rate spread between the EONIA and the three-month Euribor mentioned above. In this way, the increase in this rate spread and the simultaneous rise in credit spreads on the issue of 3-month bank certificates of deposit have resulted in a stabilisation in the relative year-on-year performance of the SICAV compared with its benchmark index, despite a weakened market climate in the latter part of the year. The WAL of the securities held ("Weighted average Life" representing the sensitivity to changes in credit spreads) of around 100 days during the first nine months of the financial year was reduced to 75 days in the last quarter. During this period of instability on the financial markets, the SICAV adapted its management policy to market conditions by increasing the share of available funds and by favouring the holding of assets with very short maturity on the strongest issuers.
In terms of investment strategy, given the historical context of the negative monetary rates described above, management took great care to always select securities issued by leading issuers ("high-quality credit"). As a result, during the period under review, we continued to exclude Greek and Irish issuers: the Fund did not hold debt from these issuers throughout the financial year. We did, however, invest in Spanish and Italian issuers taken from a very select list of authorised issuers: the total holdings for these two countries increased from 16.35% at the beginning of the period to 16.66% by the end.
Finally, throughout the financial year, management undertook to prioritise as far as possible investments in debt securities from "corporate" issuers with credit spreads considered less volatile than those from "banking" issuers, in the event of pressure on the "credit market". Thus, at the end of June 2020, our cumulative holdings in debt securities from "corporate" issuers came to 25.48% (against 40.55% at 28/06/2019), compared with our cumulative holdings in debt securities from banking issuers, which came to 38.97% (against 51.63% at 28/06/2019). There was also a very significant increase in holdings of cash and cash equivalents (securities with a 24-hour put) and UCITS from 0.96% at the start of the period to 25.14% at the end of the period, as part of a prudential approach linked to a still fragile health situation. Finally, the WAL of the assets, representing the sensitivity to changes in credit spreads, decreased sharply during the period under review, from 0.29 (107 days) at the start of the financial year to 0.20 (72 days) at year-end to limit the impact of new tensions on credit spreads that may result from the emergence of a second wave of the health crisis.
Over one year, the OSTRUM CASH EURIBOR SICAV (I share) fluctuated around the third decile within its reference category of short-term money market SICAVs, according to the Morningstar classification. - For this share class, the net asset value was €101,892.28, a decrease of €379.49 compared with the net asset value of €102,270.77 at 28 June 2019, i.e. a performance net of fees of -0.37%.
The respective performances of the other types of SICAV shares were as follows: - the net asset value of the R share, which decreased from €41,266.83 to €41,108.48, posted a net annual growth rate of -0.38% (-0.29% for the previous year), representing a gain of +6 bps (against +7 bps for the previous year) compared to the Euro Overnight Index Average, or EONIA. - the net asset value of the RE share, which decreased from €1,010.01 to €1,006.13, posted a net annual growth rate of -0.38% (-0.30% for the previous year), representing a gain of +6 bps (against +6 bps for the previous year) compared to the Euro Overnight Index Average, or EONIA. - the net asset value of the TC share, which decreased from €15,213.63 to €15,154.22, posted a net annual growth rate of -0.39% (-0.31% for the previous year), representing a gain of +5 bps (against +5 bps for the previous year) compared to the Euro Overnight Index Average (EONIA) over the period.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 - the net asset value of the RD share, which decreased from €15,216.34 to €15,148.60, posted a net annual growth rate of -0.38% (-0.29% for the previous year), representing a gain of +6 bps (against +7 bps for the previous year) compared to the Euro Overnight Index Average (EONIA) over the period.
b) Information on the UCI
▪ Main changes in the portfolio during the financial year
Changes ("Accounting currency") Securities Purchases Sales ITAL BUON ORDI DEL ZCP 31-12-19 325,226,190.11 325,122,792.84 BRED BANQUE POPULAIRE 020620 FIX 0.0 200,009,556.01 200,000,000.00 ITAL BUON ORDI DEL ZCP 14-07-20 333,084,924.22 0.00 ITALY BUONI POLIENNALI DEL TESORO 0.35% 15-06-20 126,062,470.00 126,000,000.00 CODEIS SECURITIES SA OIS+0.05% 19-02-20 0.00 250,000,000.00 ITALY BUONI TES BOT ZCP 300420 124,052,722.58 124,000,000.00 ITALIE 4.25%09-010320 124,021,110.00 123,000,000.00 CODEIS SECURITIES OIS+0.05% 19-02-21 245,000,000.00 0.00 D E3R+0.35% 03-04-20 EMTN 117,187,887.54 117,055,000.00 ITAL BUON ORDI DEL ZCP 14-05-20 111,510,624.91 111,500,000.00
▪ Substantial changes occurring during the financial year and in the future
On 24 June 2020, the Board of Directors of the SICAV approved the change of management process for the OSTRUM CASH EURIBOR SICAV to an SRI monetary management.
▪ Index-linked UCIs
This UCI is not included in the classification of index-linked UCIs.
▪ Alternative funds of funds
This UCI is not included in the classification of alternative funds of funds.
▪ Efficient portfolio management techniques and derivatives (ESMA)
a) Exposure achieved through efficient portfolio management techniques and derivatives
● Exposure obtained through efficient management techniques: 0.00
o Securities lending: 0.00
o Securities borrowing: 0.00
o Reverse repurchase agreements: 0.00
o Repurchase agreements: 0.00
● Underlying exposure achieved through derivatives: 1,003,034,719.22
o Forward foreign exchange: 0.00
o Futures: 0.00
o Options: 0.00
o Swaps: 1,003,034,719.22
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 b) Identity of the counterparty/counterparties to efficient portfolio management techniques and derivatives
Efficient management techniques Derivatives (*) JPMORGAN CHASE BANK NA
NATIXIS
HSBC FRANCE EX CCF
BARCLAYS BANK IRELAND PLC
(*) Except listed derivatives.
c) Collateral received by the UCITS to reduce counterparty risk
Types of instruments Amount in portfolio currency Efficient management techniques . Forward deposits 0.00 . Equities 0.00 . Bonds 0.00 . UCITS 0.00 . Cash (**) 0.00
Total 0.00
Derivatives . Forward deposits 0.00 . Equities 0.00 . Bonds 0.00 . UCITS 0.00 . Cash 7,198,785.82
Total 7,198,785.82
(**) The Cash account also includes cash and cash equivalents resulting from repurchase transactions.
d) Operating income and expenses related to efficient management techniques
Operating income and expenses Amount in portfolio currency . Income (***) 15,260.86 . Other income 0.00
Total income 15,260.86
. Direct operating expenses 56,952.13 . Indirect operating expenses 0.00 . Other expenses 0.00
Total expenses 56,952.13
(***) Net of the remuneration received by Natixis Asset Management Finance, which may not exceed 40% of the income generated by these transactions. Other income and other expenses relate to remuneration from the investment in deposit accounts of collateral received in cash, which varies according to market conditions, and to any other income on financial accounts and expenses on financial debts not linked to efficient management techniques.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 ▪ SFTR regulation
Reverse Securities Securities Repurchase repurchase TRS – Total lending borrowing agreements agreements Return Swaps a) Securities and commodities lending Amount
% of net assets*
*% excluding cash and cash equivalents b) Assets committed for each type of securities financing transaction and TRS, expressed in terms of absolute value Amount % of net assets c) Top 10 issuers of collateral received (excluding cash) for all types of financing transactions
d) Top 10 counterparties in terms of absolute value of assets and liabilities without offsetting
Reverse Securities Securities Repurchase repurchase TRS – Total lending borrowing agreements agreements Return Swaps
e) Type and quality of guarantees (collateral) Type
- Equities
- Bonds
- UCIs
- Negotiable debt securities
- Cash
Rating
Collateral currency
- EURO
Collateral received must comply with the Natixis Investment Managers International policy established in order to guarantee a high level of quality and liquidity and to ensure that there is no direct correlation with the counterparty to the transaction. Additionally, the Natixis Investment Managers International collateralisation policy sets out levels of over-collateralisation for each type of security, intended to offset any variation in their value. Lastly, a daily margin call system is in place to offset mark-to-market variations in securities.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 f) Settlement and clearing of contracts Tripartite
Central counterparty
Bilateral X X
Reverse Securities Securities Repurchase repurchase TRS – Total lending borrowing agreements agreements Return Swaps
g) Collateral maturity broken down by tranche Less than 1 day
1 day – 1 week
1 week – 1 month
1 – 3 months
3 months – 1 year
More than 1 year
Open
h) Maturity of securities financing transactions and TRS broken down by tranche Less than 1 day
1 day – 1 week 1 week – 1 month
1 – 3 months 3 months – 1 year
More than 1 year
Open
Reverse Securities Securities Repurchase repurchase TRS – Total lending borrowing agreements agreements Return Swaps
i) Data on the re-use of collateral
Maximum amount (%)
Amount used (%)
Income for the UCI following the reinvestment of cash collateral in euros
UCITS funds must reinvest all of their cash collateral (i.e. maximum amount = maximum amount used = 100%) but cannot reuse their securities collateral (i.e. maximum amount = amount used = 0%).
Furthermore, in accordance with the conditions set out in the regulations, in the event that collateral is received in cash, it must only be: - deposited; - invested in high-quality government bonds; - used in reverse repurchase agreements; - invested in short term money-market undertakings for collective investment (UCI).
For transactions conducted by NAM Finance, acting as an "agent" or "principal", the amounts received in respect of cash collateral on temporary sales of securities are invested in an interest-bearing deposit account.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 j) Data on the custody of collateral received by the UCI
Caceis Bank
Securities
Cash
k) Data on the custody of collateral provided by the UCI Securities
Cash
All collateral provided by the UCI is transferred in full ownership. I) Data on income and costs, broken down Income
- UCIs 13,768.46
- Manager
- Third parties
Expenditure
- UCIs 50.00
- Manager
- Third parties
The Management Company has entrusted Natixis Asset Management Finance with performing securities lending and repurchase agreement transactions for the UCITS.
Income from these transactions is returned to the UCITS. These transactions give rise to costs that are borne by the UCITS. Natixis Asset Management Finance's invoicing cannot exceed 40% of the revenue generated by these transactions and is deducted from the income recognised by the UCITS.
The amounts shown do not include remuneration from the investment of cash collateral in deposit accounts.
▪ Access to documentation
The legal documentation for the UCI (KIID, prospectus, periodic reports, etc.) is available from the Management Company at its registered office or from the following email address: [email protected].
c) Information regarding risks
▪ Overall risk calculation method
The calculation method used by the Management Company to measure the overall risk for this UCI is the commitment method.
▪ Leverage
This UCI does not use leverage.
▪ Exposure to securitisation
This UCI is not affected by exposure to securitisation.
▪ Risk management
As part of its risk management policy, the Portfolio Management Company prepares, implements and maintains in operation a risk management policy and procedures that are effective, appropriate and documented, so as to identify the risks linked to its activities, processes and systems.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 For more information, please consult the KIID for this UCI and specifically the "Risk and reward profile" section or its prospectus, available on request from the Management Company.
▪ Cash management
The Portfolio Management Company has established a liquidity management policy for its open-ended UCIs, based on measures and indicators of illiquidity and impact on portfolios in the event of forced sales following massive redemptions by investors. Measurements are taken at a frequency appropriate to the type of management, according to various simulated redemption scenarios, and are compared to predefined alert thresholds. Collateral liquidity is monitored weekly using identical parameters.
Those UCIs identified as being in a sensitive situation, having recorded low liquidity levels or impact pursuant to a forced sale, are subject to additional analyses on their liabilities, with the frequency of these tests changing depending on the management techniques used and/or the markets in which the UCIs invest. At the very least, the results of these analyses are presented during a governance committee meeting.
The Management Company thus relies on a monitoring and supervisory scheme that ensures fair treatment of investors.
Any change to this policy during the year that has an effect on the UCI documentation will be indicated in the section of this document on "substantial changes".
▪ Processing of non-liquid assets
This UCI is not affected.
d) Environmental, social and governance (ESG) criteria
This UCI does not take the three ESG criteria into account simultaneously. Ostrum Asset Management has been committed to issues of sustainable development and responsible financing for over 30 years. It has positioned itself as an ESG leader by fully embracing non-financial considerations in all its management processes and offering its clients responsible investment solutions appropriate to the specific features of their ESG philosophies and ambitions. Ostrum Asset Management has been a signatory to the United Nations Principles for Responsible Investment (UN- PRI1) since 2008. On this 11th anniversary, the quality and ambition of our approach to responsible investment were once again recognised and praised by excellent ratings (A+ scores for all classes of assets under management) on all the modules to which we are subject.
Our Median Ostrum AM score Median scores for Peer Group score Module scores vs Y-1 vs Y-2
Strategy & Governance A+
Listed Equity Incorporation A+
Listed Equity Active Ownership A+
Fixed Income A+ SSA*
Fixed Income A+ Corporate Financial
Direct& Active Ownership Modules Fixed Income Corporate Non-Financial A+
At Ostrum AM, we are committed to understanding the issues of responsible development and their impact on the various issuers. Ostrum AM has also made Commitment a central feature of its Responsible Investor program, which is why we actively participate in general shareholders' meetings and strive to maintain constructive discussions with our stakeholders.
Ostrum AM's aim in terms of responsible management naturally leads to a growing number of employees, with different levels of responsibility and activities, being involved in implementing this aim.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 I. EXCLUSION POLICIES APPLIED TO OUR WHOLE INVESTMENT UNIVERSE
As a responsible asset manager, Ostrum Asset Management refuses to support sectors or issuers that fail to observe certain fundamental principles of responsibility. This is in fact crucial to ensuring the credibility of our responsible approach and our fiduciary responsibility towards our customers. Accordingly, we have drafted various exclusion policies implemented across all our investment universes, as illustrated below. As a responsible asset manager, Ostrum Asset Management refuses to support sectors or issuers that fail to observe certain fundamental principles of responsibility. This is in fact crucial to ensuring the credibility of our responsible approach and our fiduciary responsibility towards our customers. Accordingly, we have drafted various exclusion policies implemented across all our investment universes, as illustrated below.
Excluding controversial companies by establishing sector-specific exclusion policies As part of its commitment to CSR, Ostrum Asset Management has defined and implemented various sector-specific policies within its direct scope of investment:
• Blacklisted States: Ostrum AM does not invest in countries that are subject to US or European embargoes or identified by the Financial Action Task Force (FATF) as having strategic deficiencies in their anti-money laundering and terrorist financing systems. We also exclude sovereign issuers with an SDG Index score (see below) of less than 46.
• Cluster bombs and anti-personnel mines. In accordance with the Ottawa Convention and the Oslo Treaty signed by numerous countries, including France, Ostrum Asset Management excludes from all its portfolios any parties involved in the production, use, stockpiling, sale and transfer of anti-personnel mines and cluster bombs.
• Policy on the coal sector and mountaintop removal. In line with its parent company Natixis, and as part of its work to promote the energy transition, Ostrum AM excludes from its investment universe companies that are heavily invested in the production and mining of coal or companies that use so-called "mountaintop removal" (MTR) coal extraction methods.
• Tobacco: Ostrum Asset Management is committed to no longer supporting the highly controversial tobacco sector as its social, societal and environmental impacts are particularly negative and to do so would run contrary to the United Nations Sustainable Development Goals. This policy has been in effect since 30 June 2018.
• Worst Offenders: Ostrum AM undertakes to exclude from its investments any equities or bonds of private companies that have committed proven and serious infringements of a set of core standards of responsibility. As such, we exclude all listed and unlisted companies that fail to comply with the principles of the UN Global Compact and/or the OECD Guidelines for Multinational Enterprises.
II. ESG FACTORS INCORPORATED INTO CLOSE TO 100% OF OUR ASSETS UNDER MANAGEMENT
We have decided to systematically integrate ESG criteria (in almost all of our management) when we believe that they will add value to our financial analysis. We firmly believe that material non-financial factors offer additional information that may influence the issuer's risk profile. Ostrum AM has decided to implement ESG integration in all its investment processes as we firmly believe that some non-financial factors influence the issuer's risk profile. These factors are therefore considered to be "material" because they have an impact on the risk or performance of securities held in the portfolios. Taking into account such ESG criteria is therefore relevant for all investment processes. These factors must be taken into account in issuer fundamental analysis and risk assessment. Implementing the integration of material non-financial factors into nearly all investment processes has helped Ostrum AM to achieve excellent PRI ratings (A/A+ ratings for all asset classes under management).
ESG IN FIXED INCOME
We incorporate ESG criteria into all our main bond investment processes by reviewing relevant ESG criteria as part of our fundamental issuer analysis.
1. AS REGARDS CREDIT ISSUERS
The ESG incorporation process is based on our belief that material ESG factors, just like any other material factor, can have an impact on an issuer's credit risk and accordingly influence its fundamental rating.
An ESG factor is considered "material" when it has a positive or negative impact on the credit risk profile of an issuer and is reasonably likely to occur over the investment horizon (which is close to three years, just like our fundamental ratings).
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 Our approach is a qualitative one. It is based on the in-depth knowledge of our credit analysts: they are best placed to evaluate the material factors impacting issuer credit risk in the sectors in which they have expertise.
Governance is systematically reviewed and incorporated into the "Management, Strategy and Governance" section of our analysis reports. Social and Environmental factors are considered at each stage, namely in terms of industry, business model and financial analysis, and are thus included in the credit analysis score.
NB: Within our investment universe, one third of "avoid" issuers are there for governance reasons. This shows our belief regarding the crucial role of ESG criteria in assessing a company's future risk profile.
The credit incorporation process is a combination of an "issuer-by-issuer" approach and a sector-based approach:
• "Issuer-by-issuer" approach The analyst's judgement is key: reviewing all non-financial inputs is essential in order to evaluate the strength/weakness of a specific issuer with respect to an identified ESG factor. In order to incorporate ESG criteria in a uniform manner, we developed a risk/opportunity categorisation for each pillar (E/S/G). Analysts must thus keep this categorisation in mind and incorporate it into their assessment of issuer credit risk. For example, we identified that material environmental issues are typically linked to two risks: "environmental accidents" (man-made environmental disasters) or, alternatively, "transition" risks stemming from changes in the regulatory framework aimed at reducing environmental risks. A typical transition risk for automotive manufacturers, for example, stems from new air quality regulations (CO2 emission regulations in Europe, nitrogen oxide emissions in the United States and fuel consumption in China). It means additional R&D expenditure, additional costs from new components, possible fines, etc.
• "Sector-based" approach We regularly organise ESG workshops with credit analysts that identify the material key ESG factors potentially impacting a particular sector (and hence our ratings). These factors are documented and allow material risks to be mapped. Anticipating future ESG risks is a key part of our approach, given that we also invest for the long term and are interested in the futures of the companies we finance. In some instances, we know that certain ESG risks are not necessarily material in the short term but will be over the next 10 years (such as those resulting from climate change). That is why we have identified specific ESG issues that are not material now or in the medium term, but will be over the long term. We are therefore monitoring them from now on. We believe that this is a key differentiator in our proprietary credit research.
The output from our sector risk mapping consists of eight "one-pagers" summarising the key risks/opportunities: 1. Media – Telecommunications – Technology – Leisure 2. Pharmaceutical & Health 3. Consumer Goods & Retail 4. Basic Industries (Metal & Mining, Chemicals, Paper/Packaging) 5. Automotive & Transport 6. Capital Goods (Diversified Manufacturing Industries) Aerospace & Defence, Construction Machinery, Construction Materials) 7. Utilities – Energy – Oil & Gas 8. Financial (Banking – Insurance – Real Estate)
We measure the intensity of ESG risks based on the relevance of ESG factors to the industry or company itself. If these ESG factors are relevant, we measure their impact on the company's risk profile.
We classify ESG impact using the intensity scale below:
• ESG0: ESG elements "not relevant" to industry or company • ESG1: ESG elements "relevant" to the industry or company, low impact on the company's credit risk • ESG2: ESG elements "relevant" to the industry or company, limited direct impact or, where the ESG risks/opportunities are significant, the company manages them well so that the impact on credit risk is limited • ESG3: ESG elements "relevant" to the industry or company, ESG elements are one of the key factors in the fundamental credit score, independently or in combination with other factors
The ESG information including the ESG assessments and the impacts are documented in our CIGAL system, which is accessible to the entire management department.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 ESG Relevance of ESG elements to Impact of ESG elements on the company's credit profile Impact the sector or company Measurement ESG 0 Not relevant - ESG 1 Relevant ✓ The factors are relevant to the industry or company, but their credit impact is low. ESG 2 Relevant ✓ (i) Either the direct impact is limited, or (ii) the ESG risks/opportunities are significant; but the company actively manages them, so the credit impact is limited. ESG 3 Relevant ✓ ESG factors may be a key consideration in the fundamental score or are combined with other factors.
2. AS REGARDS SOVEREIGN AND QUASI-SOVEREIGN ISSUERS
The material non-financial factors are systematically reviewed and directly incorporated into portfolio construction by assessing country risk. This assessment takes place in two stages:
ESG included in risk Sovereign Risk assessment for Model (proprietary developed and machine learning) emerging market committee meetings
Horizon: medium Horizon: investment term process
Analysis of Risk and Assessment Performance/ of country risk Comparison with the investment universe
a. Sovereign Risk Assessment Model
A proprietary valuation model, offering medium-term forecasts (over one to two years and updated every three months if necessary), was recently developed by our team of quantitative engineers. This model allows possible changes in the risk assessment for both developed and emerging countries to be identified using an internal rating scale. The changes predicted in the risk assessment are monitored for each country (+/- rating category). This innovative machine learning model is another source of information for managers and is used to construct sovereign portfolios, and is thus central to the investment process. This model is based on the following elements:
• Economy: internal vulnerability variables (such as the unemployment rate) and external vulnerability variables (such as the primary balance). Source: Standard & Poor's
• Material non-financial information: ESG variables such as anti-corruption monitoring, political stability, CO2 emissions, etc. Sources: World Bank and the United Nations Development Programme.
b. Sovereign Debt Selection (SDS) Sector Team
Our sovereign investment experts take a historical view of ESG factors and their impact on the risk assessment of eurozone countries.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 The SDS team produces bottom-up opinions on the relative value of government bonds for each country in the eurozone. The objective is to identify those sovereign debts to which the managers wish to be exposed over a defined investment horizon.
SDS members analyse both performance factors (opinions on spreads and flows) and risk factors (financial risks, such as macroeconomic and regulatory, as well as non-financial factors).
In this respect, our teams assess each ESG pillar by country: • The Environment strand is assessed against: trends in CO2 emissions per capita (World Bank source), energy intensity (World Bank) and a country's vulnerability to climate change and its ability to adapt to it (ND-Gain Index) • The Social strand is assessed by the Inequality-adjusted Human Development Index (United Nations Development Program) • Governance is assessed using the World Bank's World Governance Indicators (WGI): Political Stability, Government Effectiveness, Regulatory Quality, Rule of Law, Voice and Accountability and Control of Corruption
Some variables similar to those of the sovereign risk model are therefore reviewed by the SDS team. Thanks to the various discussions that take place within the SDS sector team (the deadline for downgrading a country's assessment, for example), they are complemented by the analyses and interpretations of the management teams and are reviewed in respect of the investment horizon. As a result, by combining the financial and non-financial elements, the Sovereign Debt Selection Team produces opinions on the sovereign debts of the eurozone on the basis of their maturity terms (1–3; 3–7; 7–15; 15+ years) with a rating (-2, -1, 0, +1, +2).
Lastly, with regard to our emerging debt investment process, portfolio managers consider and historically incorporate material non-financial factors into their risk assessment for each emerging country (in addition to financial factors).
III. Voting and engagement
Ostrum AM encourages its portfolio companies to improve their practices by participating in general shareholders' meetings and engaging in constructive dialogue with the companies.
It has two major levers to bring about this positive change:
- The exercise of shareholder voting rights at general meetings for all investments, in line with our active policy and the highest standards and taking into account social and environmental issues. Motivated by a desire to improve the transparency of its efforts as a shareholder, Ostrum AM has developed a platform that aggregates all its votes by company and by fund.
- A process of engagement that involves long-term dialogue with the companies in which it invests to get a better understanding of their practices and support the adoption of higher ESG standards.
Our internal research model, built around in-depth knowledge and ongoing dialogue with the portfolio companies, simultaneously incorporates ESG factors within the financial analysis (proprietary tools for assessing quality and growth), the assessment of ESG risk (internal analysis model), valuation (proprietary tool) and the exercise of voting rights (Ostrum voting policy and internal governance analysis).
IV. CO2 and energy transition
Carbon strategies materialise first and foremost by the CO2 valuation of portfolios. At Ostrum AM, we provide our eligible customers, through our annual "LTE" reporting, with the carbon footprint of the portfolio in which they are invested. In addition, in line with its parent company Natixis, and in the context of its work to promote the energy transition, Ostrum AM excludes from its investment universe companies that are heavily invested in the production and mining of coal or companies that use so-called "mountaintop removal" coal extraction methods.
Companies with a significant impact on the climate are subject to particular scrutiny: energy producers, carbon- intensive sectors (heavy industry, construction and transport) and suppliers of low-carbon devices and solutions. Companies with a significant impact on the climate are subject to particular scrutiny: energy producers, carbon- intensive sectors (heavy industry, construction and transport) and suppliers of low-carbon devices and solutions.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 e) French law on the Energy Transition for Green Growth
■ CARBON INTENSITY
Average Carbon Intensity (Scope 1 & 2) 250 205.0 200
150
100
50
0 Fund
Hedging Rate (Fund) 77%
Exposure of the portfolio and its index to companies with high carbon intensity, expressed in tonnes of CO2/million dollars of turnover. Measure recommended by the TCFD (1).
■ MAIN CONTRIBUTORS TO THE AVERAGE CARBON INTENSITY OF THE PORTFOLIO (SCOPE 1 & 2)
Companies (2) Contribution to the Carbon Emissions (tCO2) (4) Carbon Intensity (tCO2/million carbon intensity of the portfolio dollars of turnover) (%) (3) ENEL FINANCE INTERNATIONAL NV 14% 1,123 96,891,101 IBERDROLA S.A. 13% 655 27,112,909 ENGIE 9% 968 69,202,007 ELECTRICITE DE FRANCE 8% 444 36,169,762 SNAM SPA 5% 508 1,532,261 RTE RESEAU DE TRANSPORT D'ELECTRICITE 4% 444 36,169,762 SSE PLC 4% 989 9,514,640 SUEZ SA 2% 440 8,999,824 IBERDROLA INTERNATIONAL B.V. 2% 655 27,112,909 VEOLIA ENVIRONNEMENT 1% 1,141 34,903,276 Source: Trucost
Carbon intensity corresponds to the volume of CO2 emitted per 1 million dollars of turnover generated. To calculate this intensity, we take into account not only the direct emissions related to the operations of the company (Scope 1) but also those related to the supply of the required energy (Scope 2).
Carbon intensity of a company (tonnes of CO2/million dollars of turnover) = (Scope 1 + Scope 2)/million dollars of turnover.
Scope 1: Greenhouse gas emissions generated by the combustion of fossil fuels and production processes held or controlled by the company.
Scope 2: Indirect gas emissions related to the company's energy consumption.
The average carbon intensity of the portfolio is the sum of company carbon intensities weighted by the portfolio weightings.
1. The TCFD is the task force on climate-related financial disclosures established by the Financial Stability Board. The Financial Stability Board (FSB), is an international economic group created at the G20 meeting in London in April 2009. 2. The calculation of the average carbon intensity of the portfolio only takes into account the securities of private issuers held in our internal funds. 3. Represents the contribution (in %) of the company in the average carbon intensity of the portfolio. 4. Represents the number of tonnes of CO2 emitted by the company for Scope 1 and Scope 2.
III – GOVERNANCE AND COMPLIANCE COMMITMENTS
■ Procedure for selecting and assessing intermediaries and counterparties – Order execution
For the Management Company to meet its best execution obligation, the selection and monitoring of rate intermediaries, stockbrokers and counterparties is governed by a specific process.
The policy for selecting intermediaries/counterparties and the execution of orders of the delegated financial manager can be found online at: https://www.im.natixis.com (/regulatory-information)
■ Voting policy
Details of the conditions under which the delegated financial manager intends to exercise the voting rights associated with securities held in the portfolio by the UCI it manages, as well as the latest annual report, are available from the Company's registered office, or online at: http://www.ostrum.com ("About us/our commitments/governance and compliance commitments" section).
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 ■ Remuneration policy
NATIXIS INVESTMENT MANAGERS INTERNATIONAL (NIMI) remuneration policy
This NIMI remuneration policy consists of general principles applicable to all employees (see point I), specific principles applicable to employees identified by AIFM and UCITS V (see point II) and a governance mechanism applicable to all employees (see point III).
It falls within the framework of the remuneration policy defined by Natixis and is established in compliance with the provisions relating to remuneration stipulated in the following regulatory texts, as well as the guidelines of the European Securities and Markets Authority (ESMA) and the positions of the Autorité des Marchés Financiers (AMF, the French Financial Markets Authority) resulting therefrom:
• Directive 2011/61/EU of the European Parliament and of the Council of 8 June 2011 on Alternative Investment Fund Managers, transposed into the French Monetary and Financial Code by Order No. 2013-676 of 27 July 2013 ("AIFM Directive")
• Directive 2014/91/EU of the European Parliament and of the Council of 23 July 2014 on undertakings for collective investment in transferable securities (UCITS), transposed into the French Monetary and Financial Code by Order No. 2016-312 of 17 March 2016 ("UCITS V Directive")
• Directive 2014/65/EU of the European Parliament and of the Council of 15 May 2014 on Markets In Financial Instruments, transposed into the French Monetary and Financial Code by Order No. 2016-827 of 23 June 2016, supplemented by the Delegated Regulation 2017/565/EU of 25 April 2016 ("MIFII Directive")
1. General principles of the remuneration policy
The remuneration policy is a strategic aspect of the NIMI policy. As a tool to enhance employee motivation and commitment, it aims to be competitive and attractive in relation to the rest of the industry while fully complying with key financial indicators and regulations.
NIMI's remuneration policy, which applies to all employees, counts the alignment of employees' interests with those of investors among its fundamental principles:
• It is consistent and promotes sound and effective risk management and does not encourage risk-taking that is incompatible with the risk profiles, regulations or the constituent documents of the managed products.
• It is in line with the economic strategy, objectives, values and interests of the Management Company and the products it manages, as well as those of investors, and includes measures aimed at preventing conflicts of interest.
The remuneration policy covers all components of remuneration, which include fixed remuneration and, where applicable, variable remuneration.
Fixed remuneration rewards skills, professional experience and level of responsibility. It takes into account market conditions.
Variable remuneration depends on the assessment of collective performance — measured at the level of the Management Company and the products managed — and individual performance. It considers quantitative and qualitative elements, which may be established on an annual or multi-year basis.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 a. Definition of performance
The objective and transparent assessment of annual and multi-year performance based on predefined objectives is a prerequisite for applying the NIMI remuneration policy. It ensures the fair and selective treatment of employees. This evaluation is shared between the employee and their manager during an individual appraisal interview. The contribution and performance level of each employee are evaluated with regard to their duties, assignments and level of responsibility in the Management Company. In this context, the remuneration policy distinguishes several categories of staff:
• The Management Committee is assessed on its contribution to the definition and implementation of the Management Company's strategy, this strategy being part of that of the international distribution platform and that of Dynamic Solutions. The Management Committee is also assessed on its ability to expand the performance of product and service offerings, on the performance of the distribution activity and, more generally, on the development of the group's multi-boutique model, as well as on the risk-adjusted financial performance within its scope of supervision. For this category, performance is assessed annually through quantitative indicators linked to changes in NIMI's financial results and supervised activities, as well as a contribution to the overall performance of Natixis IM. Performance is also assessed through the achievement of qualitative objectives, such as the quality of management and/or responsibility for/contribution to cross- functional projects.
• Support functions are assessed on their ability to proactively support the strategic challenges of the Management Company. Individual performance is assessed annually through the achievement of qualitative objectives, such as the quality of recurring activity and/or the degree of participation in cross-functional projects or strategic/regulatory plans. These objectives are defined annually in accordance with those of NIMI, those of the international distribution platform and, where applicable, those of Dynamic Solutions.
• The performance of the control functions is assessed by reference only to qualitative criteria such as participation in cross-functional projects or strategic/regulatory projects, defined annually, in order not to compromise their independence or create a conflict of interest with the business lines they control.
• The performance of management functions is assessed according to a quantitative criterion linked to the generation of value through allocation, supplemented by one or more qualitative criteria. This quantitative criterion reflects the development issues of the management performance sought by investors without causing excessive risk-taking, which may have an impact on the risk profile of NIMI and/or the products managed. This quantitative criterion is calculated over a predefined period in line with the risk-adjusted performance horizon of the funds managed and of the Management Company.
• Assessment of the performance of the distribution functions is based on the evaluation of quantitative and qualitative criteria. The quantitative criteria are based on gross inflows, net inflows, turnover, the profitability of assets under management and how these change. The qualitative criteria include the diversification and development of the business (new clients, new affiliates, new expertise, etc.) and the joint consideration of the NIMI's interests and those of clients.
For all categories of staff, the performance assessment incorporates qualitative criteria. These qualitative criteria always include compliance with regulations and internal procedures in terms of risk management and NIMI compliance.
They may also include the quality of the relationship with clients, including the level of expertise and advice provided, improving the reliability of a process, participating in a cross-disciplinary project, participating in the development of new expertise, contributing to the development of operational efficiencies or any other aspects defined by the strategic objectives set out by NIMI.
For each category of staff, all quantitative and qualitative objectives are defined and communicated individually at the start of the year, in line with NIMI's strategic objectives.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 b. Components of remuneration i. Fixed remuneration
NIMI strives to maintain a level of fixed remuneration that sufficiently remunerates employees for their employment activity.
Fixed remuneration rewards the skills, professional experience and level of responsibility expected of an employee when performing their duties.
The positioning of fixed remuneration is reviewed periodically to ensure its consistency with regard to geographical and professional market practices.
The revaluation of fixed salaries is analysed once a year as part of the annual remuneration review. Outside these periods, only cases of promotion, professional mobility or exceptional individual situations may give rise to a revaluation. ii. Variable remuneration
The variable remuneration packages are defined based on the annual results of NIMI, the international distribution platform and Dynamic Solutions, and also by reference to qualitative elements, such as the practices of competitor companies, the general conditions of the market applicable at the time the results were obtained and any factors that may have temporarily influenced the business line's performance.
Variable remuneration, where awarded, is paid to reward an individual annual performance achieved as part of a collective performance.
NIMI's collective variable remuneration consists of mandatory and optional profit-sharing and incentive schemes, together with a company savings plan (plan d'épargne d'entreprise, PEE) and a company collective retirement savings plan (plan d'épargne pour la retraite collectif, PERCO). Employees can benefit from a matching scheme under these plans.
This collective variable remuneration has no incentive impact on the risk management of NIMI and/or the managed products and does not fall within the scope of the AIFM or UCITS V directives.
In compliance with the overall variable remuneration packages, individual variable remuneration is allocated as part of the annual remuneration review in a discretionary manner objectified with regard to the assessment of individual performance and the way in which performance is achieved. Variable remuneration awarded to employees is affected by inappropriate risk and compliance management or non-compliance with regulations and internal procedures over the year considered (see I-1. above).
The identified employees are subject to specific obligations in terms of adherence to the rules on risks and compliance. A breach of these obligations may result in the partial reduction or removal of the individual variable remuneration awarded.
In the event of a loss or a significant fall in its profits, NIMI may also decide to reduce or entirely cancel the amount allocated to individual variable remuneration, together with any deferred instalments of variable remuneration previously awarded and that is in the process of vesting.
There are no contractual guarantees for variable remuneration, with the occasional exception of variable remuneration awarded for the first year of work within the framework of external recruitment.
"Golden parachute" agreements are forbidden. Payments related to the early termination of an employment contract are defined in accordance with legal provisions (legal and contractual indemnities) and the performance of the beneficiary, the area of the business to which they belong and the performance of the entire Management Company over the period. They are designed to avoid rewarding failure.
Variable remuneration is not paid through instruments or methods that facilitate circumvention of the requirements established in the regulations.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 iii. Key employee retention scheme
NIMI wants to ensure that its investors have confidence in the stability of its teams.
In order to achieve this, a deferred remuneration system has been incorporated into its remuneration policies.
Beyond a certain variable threshold, this scheme leads to the allocation of a proportion of the variable remuneration in the form of a cash payment indexed to changes in the consolidated financial performance of Natixis IM measured by its earnings before tax (EBT), recorded each year over a minimum period of three years. The deferred variable remuneration component vests in equal tranches over a minimum period of three years and aligns employees' remuneration with Natixis IM's performance. The deferred variable remuneration rate is calculated by applying a deferred remuneration table.
This scheme is subject to the employee meeting conditions relating to attendance and the absence of conduct inconsistent with the company's standards that may have an impact on NIMI's level of risk. Vesting of these tranches may be subject to a repayment commitment, either in full or in part, in order to ensure ex-post risk adjustment. iv. Balance between fixed and variable remuneration
NIMI ensures that there is an appropriate balance between the fixed and variable components of overall remuneration and that the fixed component represents a sufficiently high proportion of overall remuneration so that a fully flexible policy can be exercised with regard to variable components of remuneration, including the option of paying no variable component. All individual situations for which variable remuneration represents more than 100% of fixed remuneration and which can be explained by market practice and/or an exceptional level of responsibility, performance and behaviour, are documented by the Human Resources Department as part of the annual remuneration review.
2. Breakdown of the system applicable to the identified employees under AIFM or UCITS V a. Identified employees
In accordance with regulatory provisions, NIMI's identified employees includes the categories of employee, including executive managers, risk-takers and those exercising a control function, as well as any employee who, based on his/her total remuneration, is in the same remuneration bracket as executive managers and risk-takers, whose employment activities have a material impact on the risk profile of the management company and/or the products managed by the management company. These persons are identified based on their employment activities, level of responsibility or their overall level of remuneration.
With a view to consistency and harmonisation, NIMI has decided to apply the scheme applicable to identified employees to all managed products (mandates, UCITSs and OFIs).
The following employee categories are identified:
• Members of the management body
• Members of staff responsible for portfolio management
• Managers of control functions (risk, compliance and internal control)
• Managers of support or administrative functions
• Other risk-takers
• Employees who, given their overall remuneration, are in the same remuneration bracket as executive management and risk-takers
Each year, prior to the annual remuneration review, the Human Resources Department draws up and formally records the identification methodology and scope of NIMI's identified employees, in conjunction with the Director of Permanent Controls.
The names of all identified employees are then validated by NIMI's Executive Management, before being provided to the Natixis Remuneration Committee.
The entire identification process is documented and archived by the Human Resources Department. The employees concerned are also informed of their status.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 b. System applicable to variable remuneration allocated to the identified employees
In accordance with regulations and in order to ensure alignment between employees and investors and the Management Company, where the variable remuneration of identified employees exceeds a certain threshold, it is partly deferred and partly awarded in the form of a financial instrument vesting over a period of at least three years, acquired pro rata temporis.
The proportion of variable remuneration, which is deferred over three years, increases with the amount of variable remuneration awarded and may reach 60% for those with the highest remuneration at NIMI. Currently, the application methods for the deferred payment are as follows:
• Between €200,000 and €499,000: 50% deferred
• From €500,000: 60% deferred
The thresholds for triggering deferred variable remuneration are subject to change depending on regulations or changes to internal policies. In this case, the new thresholds are submitted to NIMI's Management Committee and the Natixis Remuneration Committee for their approval.
A minimum of 50% of variable remuneration is also awarded in financial instruments in the form of indexed cash payments:
• For teams directly involved in portfolio management, to the performance of a selection of products managed by NIMI
• For teams that are not directly involved in portfolio management, to changes in Natixis IM's consolidated financial performance measured by its earnings before tax (EBT), recorded each year over a minimum period of three years
The vesting of the deferred component of variable remuneration is subject to the employee meeting certain conditions relating to attendance and to Natixis IM's consolidated financial performance as well as the absence of conduct inconsistent with the company's standards that may have an impact on the level of risk for NIMI and/or the products managed.
This vesting is also subject to obligations in terms of adherence to the rules on risks and compliance. Failure to comply with these obligations may result in a partial or total decrease in the vesting. It may also be subject to a full or partial repayment commitment in order to ensure ex-post risk adjustment.
Employees benefiting from deferred variable remuneration are prohibited from using individual hedging or insurance strategies over the entire vesting period.
The terms and conditions applicable to the calculation, valuation, allocation, vesting and payment of the deferred variable remuneration in equivalent financial instruments are set out in NIMI and Natixis IM's Long Term Incentive Plans (LTIPs).
3. Governance
The general and specific principles of the remuneration policy are drawn up and formally recorded by NIMI's Human Resources Department in line with the policy applicable to the global distribution platform.
NIMI's Permanent Controls Department and Risk Department have an active role in the development, ongoing monitoring and evaluation of the remuneration policy. They are thus involved in determining the overall strategy applicable to the Management Company to promote the development of effective risk management. As such, they are involved in determining the scope of identified employees. They are also responsible for assessing the impact of the variable remuneration structure on the risk profile of managers.
NIMI's remuneration policy is approved by the NIMI Board of Directors.
The general and specific principles, the terms of application and summary figures of the remuneration policy for identified employees are successively approved by the members of NIMI's Executive Committee, Natixis IM Executive Management and Natixis Executive Management.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 NIMI does not have its own remuneration committee but, as a member of the Natixis Group, reports to the Natixis Remuneration Committee.
The Natixis Remuneration Committee was established and acts in accordance with regulations:
• Both in its composition: independence and expertise of its members
• And in the exercise of its duties which, more specifically for management companies, include the following roles:
○ Advice and assistance to the Board of Directors for the development and implementation of the Management Company's remuneration policy
○ Assistance to the Board of Directors in overseeing the development and operation of the Management Company's remuneration system
○ Particular attention is paid to the assessment of the mechanisms adopted to ensure that the remuneration system considers all the categories of risks, liquidity and levels of assets under management in an appropriate manner and to ensure the compatibility of the remuneration policy with the economic strategy, objectives, values and interests of the Management Company and the products managed, as well as with those of investors.
In this context, the general and specific principles, compliance of NIMI's remuneration policy with applicable regulations, application methods and summary figures of its remuneration policy, including the identified employees and the highest remuneration, are submitted to the Natixis Remuneration Committee for review, then approved by its Board of Directors.
The remuneration of NIMI's Chief Executive Officer is set by executive management of Natixis IM and Natixis, then presented to the Natixis Remuneration Committee before being approved by the Natixis Board of Directors.
The remuneration of NIMI's Risk and Compliance Directors is reviewed, as part of the independent reviews carried out by the risk and compliance functions, by Natixis IM's Risk and Compliance Directors. They are then submitted to the Natixis Remuneration Committee.
The general and specific principles of the remuneration policy are communicated internally to all employees and members of the Works Council.
This entire review, validation and communication process takes place every year. It includes any regulatory and contextual changes and is consistent with the Natixis remuneration policy.
Finally, the entire NIMI remuneration policy is subject to a centralised and independent annual review by Natixis IM's Internal Audit Department.
When NIMI delegates the financial management of one of the portfolios that it manages to another management company, it ensures that this delegated company complies with the regulations in force.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 Remuneration paid during the last financial year
The total amount of remuneration for the financial year, broken down into fixed and variable remuneration, paid by the Management Company to its staff, and the number of beneficiaries, is as follows:
Fixed remuneration in 2019*: €23,312,064
Variable remuneration awarded for 2019: €10,560,038
Employees concerned: 327 employees
*Fixed remuneration calculated on a pro rata basis for 2019
The aggregate amount of remuneration, broken down between the senior executives and members of staff of the Management Company whose activities have a significant impact on the risk profile of the Management Company and/or portfolios is as follows:
Total remuneration awarded for 2019: €8,479,492, of which: - Senior executives: €4,395,012 - Members of staff: €4,084,480
* * *
OSTRUM ASSET MANAGEMENT remuneration policy
This OSTRUM AM remuneration policy consists of (i) general principles applicable to all employees defined in point 1, (ii) specific principles applicable to employees regulated by AIFM and UCITS V defined in point 2 and (iii) a governance mechanism applicable to all employees defined in point 3. It falls within the principles defined by Natixis.
1. General principles of the remuneration policy
The remuneration policy is a strategic aspect of OSTRUM AM's policy. As a tool to enhance employee motivation and commitment, it aims to be competitive and attractive in relation to the rest of the industry while fully complying with key financial indicators and regulations. It is defined in such a way as to avoid generating situations that are likely to create conflicts of interest between OSTRUM AM's employees and customers.
The policy covers all components of remuneration. It distinguishes between fixed remuneration based on an evaluation of the skills required for the post and determined using market rates, and variable remuneration based on an evaluation of defined individual or collective performance criteria.
This performance assessment is based on quantitative and qualitative annual and multi-year performance criteria. Its fundamental principles incorporate the alignment of the interests of investors, employees and OSTRUM AM. It applies to all OSTRUM AM staff.
The remuneration policy is reviewed and approved each year to incorporate any regulatory and contextual changes, in line with the Natixis remuneration policy. As part of the monitoring and evaluation of the remuneration policy, the Compliance and Internal Control Officer at OSTRUM AM approves the policy prior to its deployment. It is subject to an annual internal audit.
A report on the general principles of the remuneration policy is prepared annually for the members of the Works Council, the Board of Directors and all staff.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 a. Definition of performance
The objective and transparent assessment of annual and multi-year performance is a prerequisite for applying OSTRUM AM's remuneration policy. It ensures fair and selective treatment of the company's employees. This evaluation is shared between the employee and their manager during an individual appraisal interview.
Each employee's contribution and performance are assessed in accordance with their duties, assignments and level of responsibility in the company. In this context, the remuneration policy distinguishes several categories of staff:
- The Executive Committee is evaluated on its contribution to the definition and implementation of the company's strategy and on its ability to increase performance in terms of product and service offerings and financial results. For this category, performance is assessed annually based on the performance of activities supervised through quantitative indicators, changes in OSTRUM AM's financial results and supervised activities, as well as a contribution to overall performance, reflected by the achievement of qualitative objectives such as managerial objectives or in terms of responsibility/contribution to cross-functional projects.
- Support functions are appraised on the basis of their contribution to furthering the company's strategic goals. Individual performance is reflected annually by achievement of qualitative objectives such as the quality of recurring business activity or participation in cross-functional projects or strategic/regulatory plans. These objectives are defined and communicated at the start of each year in the form of OSTRUM AM's strategic objectives.
- Assessment of the performance of the control functions is based on the evaluation of qualitative criteria only, such as participation in cross-functional projects or strategic/regulatory plans, defined annually, in order not to compromise their independence or create conflicts of interest.
- The performance of management functions is assessed on the basis of two quantitative criteria: the information ratio or Sharpe ratio (for absolute return portfolios) and competitive ranking, together with one or more qualitative criteria. Quantitative criteria reflect the development issues of the management performance sought by investors without causing excessive risk-taking, which may have an impact on the risk profile of OSTRUM AM and/or the products managed. These quantitative criteria are calculated over a period of one year and three years to demonstrate the company's performance over time and to limit the impact of a one-off performance.
Performance evaluation always incorporates qualitative criteria. These include improving the reliability of a process, participating in a cross-disciplinary project, contributing to the development of new expertise, contributing to the development of operational efficiencies or any other aspects defined by the strategic objectives set out by OSTRUM AM.
These qualitative objectives are defined and communicated at the start of each year.
These qualitative criteria also incorporate compliance with OSTRUM AM's risk and compliance rules.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 b. Component of remuneration i. Fixed remuneration
OSTRUM AM endeavours to maintain a fixed level of remuneration sufficient to remunerate employees' professional activities, in order to guarantee a balanced proportion between fixed and variable remuneration.
Fixed remuneration reflects the skills and expertise expected of an employee in performing their duties.
The positioning of fixed remuneration is reviewed periodically to ensure its consistency with regard to geographical and professional market practices. Revaluations of fixed salaries and the allocation of variable remuneration are analysed once a year as part of the annual remuneration review. Outside these periods, only cases of promotion, professional mobility or exceptional individual situations may give rise to a revaluation. ii. Variable remuneration
Variable remuneration packages are defined on the basis of the annual results of OSTRUM AM as well as on the basis of qualitative analysis information, including the practices of competitors, the general market conditions in which the results were obtained and any factors that may have temporarily affected the business line's performance.
Variable remuneration rewards annual collective or individual performance.
The collective variable remuneration of OSTRUM AM consists of optional and mandatory employee profit-sharing schemes, associated with an employee savings plan (plan d'épargne salariale, PES) and a collective retirement savings plan (plan d'épargne pour la retraite collectif, PERCO), allowing employees to benefit from an employer matching contribution.
This collective variable remuneration has no incentive effect on OSTRUM AM's risk management and/or the products managed and is not covered by the AIFM or UCITS V directives.
Individual variable remuneration is awarded on a discretionary basis in light of an evaluation of individual performance and the manner in which objectives were achieved. The variable remuneration awarded to employees is affected by any non-compliant risk-taking or failure to comply with internal procedures during the year under review.
Regulated employees and front-office employees are subject to specific obligations in terms of adherence to the rules on risks and compliance. A breach of these obligations may result in the partial reduction or removal of the individual variable remuneration awarded.
In the event of a significant loss or decline in its results, OSTRUM AM may also decide that amounts allocated to individual remuneration and, where appropriate, payments in the process of being made, may not be distributed or may be reduced for one or more years.
No contractual guarantee exists for variable remuneration, with the occasional exception of variable remuneration awarded after the first year in the job as part of recruitment from outside the company.
Schemes such as "golden parachutes" are forbidden. Payments relating to the early termination of an employment contract are defined in accordance with the legal provisions (legal and contractual indemnities) and the performance of the beneficiary, the area of the business to which they belong and the company as a whole.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 iii. Key employee retention scheme
OSTRUM AM wants to ensure that its investors benefit from the continuity of service of its most talented employees or those identified as key in terms of their commitment or contribution to results.
In order to achieve this, a deferred remuneration system has been incorporated into its remuneration policies.
This system enables an additional variable remuneration amount to be awarded in the form of cash indexed to the performance of an equally weighted portfolio of products managed by OSTRUM AM. It is vested in equal tranches over a minimum period of three years, thereby giving employees a vested interest in the performance of OSTRUM AM. It is subject to conditions relating to attendance and the absence of conduct inconsistent with the company's standards that may have an impact on OSTRUM AM's level of risk and/or the products managed. Vesting of these tranches may be subject to a repayment commitment so as to ensure ex-post risk adjustment. Amounts are awarded in light of performance evaluations and individual professional commitment over the year in question.
2. Breakdown of the system applicable to regulated employees
a. Identification of regulated employees
In accordance with the regulatory provisions, the Human Resources Department and the Compliance and Internal Control Officer determine and formalise the scope of OSTRUM AM's regulated employees at the beginning of the year.
Employees are identified according to their professional activities when these involve financial management and/or employees who may have a significant individual impact on the risk profile of OSTRUM AM and/or the products managed due to their decisions or their level of total remuneration.
In order to maintain consistency and alignment, OSTRUM AM has decided to implement the system applicable to regulated employees across the full scope of products managed (mandates, UCITS and AIFs).
Members of the Executive Committee are automatically included in the scope of regulated employees, as are management roles for administrative or support functions (financial and operations managers) and control management functions (risk, compliance and control managers).
The scope of the regulated population is approved by Executive Management and archived by the Human Resources Department. The employees concerned are notified of their status.
The scope of OSTRUM AM's regulated employee population is presented to the Natixis Remuneration Committee.
The scope of the regulated population may be reviewed during the year in the event that an external candidate is recruited or there is an internal appointment, or when new activities or new management processes are launched.
b. Scheme applicable to variable remuneration awarded to regulated employees
The variable remuneration of regulated employees is subject to deferred terms and awarded half in cash and half in the form of an equivalent financial instrument.
The threshold for triggering deferred remuneration is set at €200,000 starting from 2018. It may be reviewed (downwards only) based on regulatory directives or changes to HR policies. In this case, the new threshold is approved by the Executive Committee of OSTRUM AM and the Natixis Remuneration Committee. For the highest levels of remuneration at OSTRUM AM, the deferred proportion in the form of an equivalent financial instrument may reach 60%.
In order to guarantee alignment between employees and investors, the deferred variable remuneration component is granted in the form of cash indexed to the performance of a portfolio of products managed by OSTRUM AM. It vests after a minimum period of three annual deferral periods, subject to continued employment conditions and the absence of conduct inconsistent with the company's standards that may affect the level of risk of OSTRUM AM and/or the products managed.
These vesting items are also subject to obligations in terms of adherence to the rules on risks and compliance. Failure to comply with these obligations may result in a partial or total decrease in said items. They may also be subject to a repayment commitment so as to ensure ex-post risk adjustment. Employees awarded deferred variable remuneration are prohibited from using individual hedging or insurance strategies for the entire vesting period.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
3. Governance
The general and specific principles of the remuneration policy are defined and documented by the Human Resources Department and then submitted for validation by the OSTRUM AM Compliance and Internal Control Officer.
They are validated and approved in turn by members of the Executive Committee of OSTRUM AM and the executive management of Natixis IM and Natixis.
The general and specific principles of the remuneration policy are communicated in-house to all employees by HR announcements, including via the Intranet, and to members of the Works Council through an annual information meeting.
The general and specific principles, the terms of application and figures summarising the remuneration policy, including the regulated employees, as well as the annual remuneration package for executives, are provided annually to the Board of Directors of OSTRUM AM.
The Chief Executive Officer's remuneration is determined by the executive management of Natixis IM and Natixis and is submitted to the Natixis Remuneration Committee for approval by the Board of Directors of Natixis.
When OSTRUM AM delegates the financial management of one of the portfolios that it manages to another management company, it ensures that this delegated company complies with the regulations in force.
Remuneration paid during the last financial year
The total amount of remuneration for the financial year, broken down into fixed and variable remuneration, paid by the Management Company to its staff, and the number of beneficiaries, is as follows:
Fixed remuneration in 2019*: €25,057,302 Variable remuneration awarded for 2019: €8,915,230 Employees concerned: 339 employees *Theoretical fixed remuneration for full-time equivalent (FTE) as at 31 December 2019
The aggregate amount of remuneration, broken down between the senior executives and members of staff of the Management Company whose activities have a significant impact on the risk profile of the Management Company and/or portfolios is as follows:
Total remuneration awarded for 2019: €15,847,881, of which: - Senior executives: €3,397,500 - Members of staff: €12,450,381
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 IV – FEES AND TAXATION
▪ Retrocession of management fees
In accordance with portfolio management best practice, the provisions of Article 411-130 of the AMF General Regulations prohibit retrocession to the delegated management company of any management fees or subscription and redemption fees in respect of investments made by it on behalf of the SICAV in units or shares of UCIs or investment funds. The Management Company has implemented the necessary measures to ensure that all such retrocessions are paid directly to the SICAV.
▪ Intermediation fees
Detailed information on the terms and conditions under which the Management Company engaged order execution or investment decision-making support services during the year ended can be found on the website of the delegated financial manager: http://www.ostrum.com.
▪ Withholdings at source
This UCI is not affected by withholdings at source.
V – INCOME – ALLOCATION
▪ Review of financial statements and results
We will now present, in detail, the annual financial statements that we are submitting for your approval and that have been prepared in accordance with the reporting rules and valuation methods laid down by the regulations in force.
Further explanations are provided in the notes.
A reminder of the financial statements for the previous financial year is provided for comparison purposes.
Net assets, which had amounted to €6,792,863,789.13, divided into: 59,243.2834 I shares, 11,320.1294 RC shares, 60.0555 RE shares, 17,431.6658 TC shares and 105.2533 RD shares on 28 June 2019 amounted to €8,370,620,310.53 divided into: 73,944.2584 I shares, 13,962.4692 RC shares, 53.2834 RE shares, 17,217.0939 TC shares and 87.7870 RD shares on 30 June 2020.
▪ Proposed allocation of distributable income
We request that you approve the annual financial statements (balance sheet, off-balance sheet items, income statement and notes) in the form in which they have been presented and which show a loss for the financial year of - €5,986,855.35,
We propose the following distributions and allocations of distributable income:
I shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €5,269,436.97. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
RC shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €480,129.92. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 RE shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €45.57. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
It is noted that distributable income relating to profit was accumulated in full during the previous three financial years for the three share classes above.
TC shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €236,130.93. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
It is noted that distributable income related to profit was accumulated in full during the previous financial year.
RD shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €1,111.96. Consequently, as the distribution of a dividend is not possible, it is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
It is noted that the following dividend was distributed in respect of the previous financial year:
Financial year Net coupon
2018-2019 €9.38
II – Distributable income relating to net gains and losses
Distributable income relating to net gains and losses showed a negative balance of €24,444,000.03.
The following distributions are proposed:
I shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €22,001,740.26. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
RC shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €1,676,231.09. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
RE shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €156.50. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
It is noted that distributable income relating to net gains and losses was accumulated in full during the three previous financial years for the three share classes above.
TC shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €761,987.80. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
RD shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €3,884.38. It is proposed that this amount be allocated to the capital account in accordance with the statutory provisions.
It is noted that distributable income relating to net gains and losses was accumulated in full during the previous financial year for the two aforementioned share classes.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 - Table of financial results for the last five financial years In accordance with the provisions of Article R. 225-102 of the French Commercial Code, the table showing the company's financial results in each of the last five financial years is appended to this report.
Your Board requests that, after reading the reports presented by your Statutory Auditor, you adopt the resolutions on which you are asked to vote.
The Board of Directors
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 Appendix 1
AGENDA
• Reading of the reports of the Board of Directors and of the Statutory Auditor on the financial statements for the financial year ended 30 June 2020 • Reading of the Statutory Auditor's special report on the agreements referred to in Article L. 225-38 of the French Commercial Code • Reading of the Statutory Auditor's report on corporate governance • Review and approval of the annual financial statements, discharge of the directors • Allocation of distributable income • Renewal of the term of office of seven directors • Appointment of a new director • Powers for the completion of formalities.
AND DRAFT RESOLUTIONS
FIRST RESOLUTION
The ordinary general meeting, having heard the report of the Board of Directors and the statutory auditor's report, approves the portfolio breakdown and the annual financial statements, namely the balance sheet, the off-balance sheet items, the income statement and the notes as at 30 June 2020, in the form in which they have been presented, as well as the transactions reflected in these financial statements and summarised in these reports.
The ordinary general meeting notes that the net assets, which amounted to €6,792,863,789.13 divided into 59,243.2834 I shares, 11,320.1294 RC shares, 60.0555 RE shares, 17,431.6658 TC shares and 105.2533 RD shares on 28 June 2019, amounted to €8,370,620,310.53 divided into 73,944.2584 I shares, 13,962.4692 RC shares, 53.2834 RE shares, 17,217.0939 TC shares and 87.7870 RD shares on 30 June 2020. Consequently, for the year ended 30 June 2020, it grants full and unconditional discharge to the directors in respect of their management for this financial year.
SECOND RESOLUTION
The Ordinary General Meeting, having heard the Statutory Auditor's special report on the agreements referred to in Article L. 225-38 of the latest French Commercial Code and giving its decision on this report, approves its findings.
THIRD RESOLUTION
The Ordinary General Meeting, having read the Statutory Auditor's report on corporate governance referred to in Article L. 225-37 of the French Commercial Code and giving its decision on this report, approves its findings.
FOURTH RESOLUTION
The ordinary general meeting, noting that the distributable income relating to the profit/loss for the financial year ended on 30 June 2020 showed a negative balance of €5,986,855.35, hereby resolves, in accordance with the statutory provisions, to make the following distributions and allocations:
I shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €5,269,436.97. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions. It is noted that distributable income was accumulated in full during the previous three financial years.
RC shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €480,129.92. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions. It is noted that distributable income was accumulated in full during the previous three financial years.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020 RE shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €45.57. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions. Shareholders are reminded that distributable income was accumulated in full during the previous three financial years for the three share classes above.
TC shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €236,130.93. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions. It is noted that distributable income related to profit was accumulated in full during the previous financial year.
RD shares The amount to be allocated in respect of the proportion relating to distributable income showed a negative balance of €1,111.96. Consequently, as the distribution of a dividend is not possible, the ordinary general meeting resolves that this amount be allocated to the capital account in accordance with the statutory provisions.
It is noted that the following dividend was distributed in respect of the previous financial year: Financial year Net coupon 2018-2019 €9.38
FIFTH RESOLUTION
The ordinary general meeting, noting that the sums to be allocated in respect of the proportion relating to net gains and losses posted a negative balance of €24,444,000.03, has decided to allocate these sums as follows:
I shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €22,001,740.26. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions.
RC shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €1,676,231.09. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions.
RE shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €156.50. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions.
It is noted that distributable income relating to net gains and losses was accumulated in full during the three previous financial years for the three share classes above.
TC shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €761,987.80. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions.
RD shares The sum to be allocated in respect of the proportion relating to net gains and losses amounted to a negative balance of €3,884.38. The Ordinary General Meeting has decided to allocate this sum to the capital account in accordance with the statutory provisions. It is noted that distributable income relating to net gains and losses was accumulated in full during the previous financial year for the two aforementioned share classes.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
SIXTH RESOLUTION
The ordinary general meeting renews the director's term of office of Ms Laurence Valentin-Esturonne for a period of six years, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2026.
SEVENTH RESOLUTION
The ordinary general meeting renews the director's term of office of Ms Priscilia Bouton-Peignoux for a period of six years, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2026.
EIGHTH RESOLUTION
The ordinary general meeting renews the director's term of office of Mr Laurent Chevignard for a period of six years, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2026.
NINTH RESOLUTION
The ordinary general meeting renews the director's term of office of ARRCO for a period of one year, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2021.
TENTH RESOLUTION
The ordinary general meeting renews the director's term of office of AIR FRANCE for a period of six years, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2026.
ELEVENTH RESOLUTION
The ordinary general meeting renews the director's term of office of DASSAULT AVIATION for a period of six years, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2026.
TWELFTH RESOLUTION
The ordinary general meeting renews the director's term of office of CNP ASSURANCES for a period of six years, i.e. until the end of the ordinary general meeting called to approve the financial statements for the financial year ended on the last Paris stock exchange trading day of June 2026.
THIRTEENTH RESOLUTION
Upon the proposal of the Board of Directors, the ordinary general meeting resolves not to renew the director's term of office of Mr Alain Deschatres.
FOURTEENTH RESOLUTION
The general shareholders' meeting resolves to appoint DANONE as director. Its six-year term of office will expire at the end of the general shareholders' meeting called to approve the financial statements for the year ended on the last Paris stock exchange trading day of June 2026.
FIFTEENTH RESOLUTION
The Ordinary General Meeting grants full powers to the bearer of a copy or extract of these resolutions to carry out any and all filing formalities and disclosures required by law.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
Appendix 2
ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
- Balance sheet - Off-balance sheet items - Income statement - Notes - Portfolio breakdown
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
OSTRUM CASH EURIBOR
ANNUAL FINANCIAL STATEMENTS
30/06/2020
BALANCE SHEET – ASSETS AT 30/06/2020 IN EUR
30/06/2020 28/06/2019 Net fixed assets 0.00 0.00 Deposits 0.00 0.00 Financial instruments 6,271,458,813.77 6,793,473,967.47 Equities and equivalent securities 0.00 0.00 Traded on a regulated or equivalent market 0.00 0.00 Not traded on a regulated or equivalent market 0.00 0.00 Bonds and equivalent securities 710,878,564.36 1,450,852,870.26 Traded on a regulated or equivalent market 710,878,564.36 1,368,992,649.42 Not traded on a regulated or equivalent market 0.00 81,860,220.84 Debt securities 5,324,746,668.60 5,210,130,589.89 Traded on a regulated or equivalent market 5,324,746,668.60 5,210,130,589.89 Negotiable debt securities 5,324,746,668.60 5,210,130,589.89 Other debt securities 0.00 0.00 Not traded on a regulated or equivalent market 0.00 0.00 Undertakings for collective investment 232,422,631.28 128,065,975.67 Retail UCITS and AIFs and equivalents in other countries intended for non-professional 232,422,631.28 128,065,975.67 investors Other funds and equivalents in other EU Member States intended for non-professional 0.00 0.00 investors Retail professional funds and equivalents in other EU Member States and listed special- 0.00 0.00 purpose vehicles Other professional investment funds and equivalents in other EU Member States and 0.00 0.00 unlisted special-purpose vehicles Other non-European undertakings 0.00 0.00 Temporary securities transactions 0.00 0.00 Receivables on securities received under repurchase agreements 0.00 0.00 Receivables on loaned securities 0.00 0.00 Borrowed securities 0.00 0.00 Securities transferred under repurchase agreements 0.00 0.00 Other temporary transactions 0.00 0.00 Forward financial instruments 3,410,949.53 4,424,531.65 Transactions on a regulated or equivalent market 0.00 0.00 Other transactions 3,410,949.53 4,424,531.65 Other financial instruments 0.00 0.00 Receivables 7,165,467.56 5,564,068.27 Forward foreign exchange transactions 0.00 0.00 Other 7,165,467.56 5,564,068.27 Financial accounts 2,105,547,536.56 3,383,691.79 Cash and cash equivalents 2,105,547,536.56 3,383,691.79 Total assets 8,384,171,817.89 6,802,421,727.53
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
BALANCE SHEET – LIABILITIES AT 30/06/2020 IN EUR
30/06/2020 28/06/2019 Shareholders' equity Capital 8,401,051,165.91 6,810,613,058.39 Undistributed prior net capital gains and losses (a) 0.00 0.00 Retained earnings (a) 0.47 0.00 Net capital gains and losses for the financial year (a, b) -24,444,000.03 -24,264,216.49 Profit/loss for the financial year (a, b) -5,986,855.82 6,514,947.23 Total shareholders' equity (= amount representing net assets) 8,370,620,310.53 6,792,863,789.13 Financial instruments 2,733,308.28 3,392,330.92 Sales of financial instruments 0.00 0.00 Temporary securities transactions 0.00 0.00 Payables on securities transferred under repurchase agreements 0.00 0.00 Payables on borrowed securities 0.00 0.00 Other temporary transactions 0.00 0.00 Forward financial instruments 2,733,308.28 3,392,330.92 Transactions on a regulated or equivalent market 0.00 0.00 Other transactions 2,733,308.28 3,392,330.92 Payables 10,813,437.34 6,136,912.04 Forward foreign exchange transactions 0.00 0.00 Other 10,813,437.34 6,136,912.04 Financial accounts 4,761.74 28,695.44 Current bank loans 4,761.74 28,695.44 Borrowings 0.00 0.00 Total liabilities 8,384,171,817.89 6,802,421,727.53
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
OFF-BALANCE SHEET ITEMS AT 30/06/2020 IN EUR
30/06/2020 28/06/2019 Hedging transactions Commitments on regulated or equivalent markets Commitments on over-the-counter markets Interest rate swaps E3R 0.222/FIX/0 0.00 9,000,000.00 E3R/0.081/FIX/0.0 0.00 100,000,000.00 E3R/0.0885/FIX/0.0 0.00 100,000,000.00 E3R/0.123/FIX/0.0 0.00 16,000,000.00 E3R/0.123/FIX/0.0 0.00 65,000,000.00 E3R/0.125/FIX/0.0 0.00 10,000,000.00 E3R/0.1401/FIX/0.0 40,000,000.00 0.00 E3R/0.1435/FIX/0.0 0.00 30,000,000.00 E3R/0.1455/FIX/0.0 0.00 100,000,000.00 E3R/0.15/FIX/0.0 60,000,000.00 0.00 E3R/0.154/FIX/0.0 0.00 70,000,000.00 E3R0.1575/FIX0 0.00 60,000,000.00 E3R/0.1605/FIX/0.0 0.00 65,000,000.00 E3R/0.165/FIX/0.0 0.00 10,000,000.00 E3R/0.168/FIX/0.0 0.00 10,000,000.00 E3R/0.171/FIX/0.0 0.00 16,500,000.00 E3R/0.171/FIX/0.0 0.00 500,000.00 E3R/0.1775/FIX/0.0 0.00 9,000,000.00 E3R/0.1825/FIX/0.0 0.00 32,000,000.00 E3R/0.208/FIX/0.0 0.00 8,000,000.00 E3R/0.21/FIX/0.0 0.00 30,000,000.00 E3R/0.217/FIX/0.0 0.00 25,000,000.00 E3R0.219/FIX0 0.00 10,000,000.00 E3R/0.232/FIX/0.0 0.00 70,000,000.00 E3R/0.2475/FIX/0.0 60,000,000.00 0.00 E3R/0.2545/FIX/0.0 0.00 50,000,000.00 E3R15.4/FIX0 100,000,000.00 0.00 FIX ZERO/E3R 0.103 80,000,000.00 0.00 fix/e3r0.2825 25,000,000.00 0.00 FIXO/E3R0.0985 50,000,000.00 0.00 fix/ois/0.21 0.00 5,000,000.00 FIX0/E3R0.095 60,000,000.00 0.00 FIX0/E3R0.105 80,000,000.00 0.00 FIX0/E3R0.1285 50,000,000.00 0.00 FIX0/E3R0.152 80,000,000.00 0.00
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
OFF-BALANCE SHEET ITEMS AT 30/06/2020 IN EUR
30/06/2020 28/06/2019 FIX0/E3R0.23 70,000,000.00 0.00 FIX0/E3R.23 0.00 13,000,000.00 FIX0/FIX-0.115 9,821,428.57 0.00 FIX0/FIX0.207 0.00 19,599,109.13 FIX0/FIX0.828 8,847,991.51 0.00 FIX0/OIS0.12 0.00 10,000,000.00 FIX0.9/E3R17.15 0.00 9,500,000.00 L1MUSD 0.35FIX-0.135 0.00 6,479,665.79 OIS/0.1185/FIX/0.0 0.00 13,000,000.00 OIS0.131/FIX ZERO 0.00 8,000,000.00 OIS/0.17/FIX/0.0 0.00 500,000.00 OIS/0.2055/FIX/0.0 0.00 10,000,000.00 OIS/0.206/FIX/0.0 0.00 5,000,000.00 OIS/0.2275/FIX/0.0 0.00 70,000,000.00 OIS/0.232/FIX/0.0 0.00 5,000,000.00 Currency swaps E3R/0.135/FIX/0.0 0.00 68,353,867.98 E3R/0.1525/FIX/0.0 45,438,022.50 0.00 E3R/0.21/FIX/0.0 0.00 35,730,182.46 E3R/0.385/FIX/2.17 36,528,000.00 0.00 E3R/0.4125/FIX/2.3 99,958,100.33 0.00 FIX/-0.02/FIX/0.0 7,996,906.44 0.00 FIX/-0.3/FIX/0.0 16,971,853.34 0.00 FIX/0.41/FIX/0.0 0.00 35,398,230.00 FIX/1.0/FIX/0.0 9,717,314.49 0.00 FIX/1.25/FIX/0.0 12,755,102.04 0.00 OIS/0.47/FIX/3.08 0.00 111,696,899.50 Other commitments Other transactions Commitments on regulated or equivalent markets Commitments on over-the-counter markets Other commitments
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
INCOME STATEMENT AT 30/06/2020 IN EUR
30/06/2020 28/06/2019 Income from financial transactions Income from deposits and financial accounts 339.28 51,759.55 Income from equities and equivalent securities 0.00 0.00 Income from bonds and equivalent securities 7,612,996.23 16,161,486.41 Income from debt securities -555,793.79 6,384,635.93 Income from temporary purchases and sales of securities 15,260.86 182,374.22 Income from forward financial instruments 225,912.45 282,498.82 Other financial income 0.00 0.00 Total (1) 7,298,715.03 23,062,754.93 Expenses on financial transactions Expenses on temporary purchases and sales of securities 56,952.13 70,810.92 Expenses on forward financial instruments 4,357,717.25 7,991,687.86 Expenses on financial debt 1,697,804.07 903,426.62 Other financial expenses 0.00 0.00 Total (2) 6,112,473.45 8,965,925.40 Income from financial transactions (1 - 2) 1,186,241.58 14,096,829.53 Other income (3) 0.00 0.00 Management fees and provisions for depreciation (4) 5,755,288.47 5,932,006.06 Net income for the financial year (L. 214-17-1) (1 - 2 + 3 - 4) -4,569,046.89 8,164,823.47 Income adjustment for the financial year (5) -1,417,808.93 -1,649,876.24 Interim dividend payments for the financial year (6) 0.00 0.00 Income (1 - 2 + 3 - 4 + 5 - 6) -5,986,855.82 6,514,947.23
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
NOTES TO THE ANNUAL FINANCIAL STATEMENTS
ACCOUNTING RULES AND METHODS
The annual financial statements are presented in the form prescribed by ANC Regulation 2014-01, as amended.
The following general accounting principles apply: - a true and fair view, comparability and going concern; - lawfulness and fairness; - prudence; - consistency in accounting methods from one financial year to the next.
Income from fixed-income securities is recorded using the accrued interest method.
Purchases and sales of securities are recorded exclusive of fees. The reference currency of the portfolio is the euro. The length of the financial year is 12 months.
Information on the impact of the COVID-19 crisis The statements were prepared by the Board of Directors based on the information available in the changing context of crisis linked to COVID-19.
Asset valuation rules
Financial instruments are recorded using the historical cost method and entered in the balance sheet at their current value, i.e. at their last known market value or, where there is no market, via any external methods or using financial modelling. Differences between the current values used to calculate the net asset value and the historical costs of transferable securities when these were first included in the portfolio are recorded in the accounts as "valuation differences". Securities denominated in currencies other than the portfolio's reference currency are valued in accordance with the principle outlined below and then converted into the portfolio's reference currency at the exchange rate on the valuation date.
Deposits:
Deposits with a residual life of three months or less are valued on a straight-line basis.
Equities, bonds and other securities traded on a regulated or equivalent market:
Equities, bonds and other securities traded on a regulated or equivalent market are appraised at the market's opening price on day D, defined as follows according to the zone in which the market is located: - Asia zone: market closing price, D - Europe zone: opening price, D - America zone: closing price (D-1)
Bonds and equivalent securities are valued at the opening price provided by various financial services providers. Interest accrued on bonds is calculated up to the net asset value date.
Equities, bonds and other securities not traded on a regulated or equivalent market:
Securities not traded on a regulated market are valued under the responsibility of the Board of Directors using methods based on asset value and return, taking into account prices used for recent significant transactions.
Negotiable debt securities:
Money market instruments are valued in accordance with the following rules: - BTANs (fixed-rate, annual interest treasury bills) and BTFs (fixed-rate bills) are valued based on an average of contributed prices obtained from market makers; - unlisted variable-rate money market instruments are valued at cost price, adjusted to take into account any potential variations in credit spreads. - other fixed-rate money market instruments (certificates of deposit, commercial paper, warrants issued by financial institutions, etc.) are valued on the basis of their market price, In the absence of an indisputable market price, money market instruments are valued by applying a yield curve, adjusted, if necessary, by a margin calculated on the basis of the characteristics of the security (of the issuer).
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
UCIs held:
UCI units or shares will be valued at the last known net asset value.
Temporary securities transactions:
Securities received under repurchase agreements are recorded as assets under the heading of "Receivables on securities received under repurchase agreements" at the amount indicated in the contract, plus any accrued interest receivable.
Securities transferred under repurchase agreements are recognised in the long portfolio at their current value. Payables on securities transferred under repurchase agreements are recognised in the short portfolio at the contractual value plus any accrued interest payable.
Loaned securities are appraised at their current value and are recorded as assets at their current value, plus accrued interest receivable, under the "Receivables on loaned securities" heading.
Borrowed securities are recorded as assets under the "Borrowed securities" heading at the contracted amount and as liabilities under the "Payables on borrowed securities" heading at the amount indicated in the contract, plus any accrued interest payable.
Forward financial instruments:
Forward financial instruments traded on a regulated or equivalent market:
Forward financial instruments traded on regulated or equivalent markets are appraised for the purposes of calculating the net asset value on the day (D): - Asia zone: at the day's settlement price - Europe zone: at the days' opening price (D) - America zone: at the settlement price on (D-1)
Forward financial instruments not traded on a regulated or equivalent market:
Swaps:
Interest rate and/or currency swaps are appraised at their market value based on a price calculated by discounting future interest flows at market interest rates and/or exchange rates. The resulting price is then adjusted for issuer risk.
Index swaps are valued using an actuarial method based on a reference rate supplied by the counterparty.
Other swaps are valued at their market value or at a value estimated in accordance with the procedures determined by the Board of Directors.
Off-balance sheet commitments:
Futures contracts are recorded as off-balance sheet commitments at their market value based on the price used in the portfolio. Options are recognised at a value equivalent to that of their underlying assets. Swap commitments are recorded at their nominal value or, where there is no nominal value, at an equivalent amount.
Management fees
Operating and management fees cover all fees relating to the UCI: fees for financial management, administration, accounting, custody, distribution, auditing services, etc. These fees are recorded in the income statement for the UCI.
Management fees do not include transaction fees. For more information about the fees actually charged to the UCI, please see the prospectus.
These are recorded pro rata temporis at each net asset value calculation. The accumulation of these fees meets the maximum fee rate:
Maximum annual amount of management fees for RC and RD shares: 0.25% (incl. taxes) of net assets excluding UCIs. These fees are charged directly to the Fund's income statement.
Maximum annual amount of management fees for I shares: 0.20% (incl. taxes) of net assets excluding UCIs. These fees are charged directly to the Fund's income statement.
Maximum annual amount of management fees for RE shares: 0.50% (incl. taxes) of net assets excluding UCIs. These fees are charged directly to the Fund's income statement.
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Maximum annual amount of management fees for TC shares: 0.25% (incl. taxes) of net assets excluding UCIs. These fees are charged directly to the Fund's income statement.
The rate of management fees actually applied takes into account the exceptional measures implemented due to market conditions and, more specifically, the level of short-term rates during the financial year.
Method for calculating the performance fee: The performance fee that applies to a given share class is based on the comparison between the day-to-day performance of the SICAV and its benchmark index, over the reference period in question.
Reference index used to calculate the performance fee: capitalised EONIA.
The reference period is defined as follows: For I, R(C) and RE shares: - First reference period: from 7 October 2013 to 30 June 2015 - Subsequent reference periods: from 1 July of the financial year in question to 30 June of the following year.
For R(D) and T(C) shares: - First reference period: from 1 October 2018 to 30 June 2020 - Subsequent reference periods: from 1 July of the financial year in question to 30 June of the following year.
The observation period is: the accounting year.
If, over the reference period, the performance, whether positive, negative or null, of the SICAV's share class (net of fixed management fees) is higher than the performance of its benchmark, whether positive, negative or null, as stated above, the performance fee will be equal to 30% inclusive of tax of the difference. Conversely, if over the reference period, the performance of the SICAV's share class (net of fixed management fees) is below that of its benchmark, the performance fee will be zero.
Thus, if the performance of the SICAV's share class (net of fixed management fees) between two consecutive net asset value calculations is greater than that of its benchmark, this outperformance will be the subject of a provision for variable management fees when calculating the net asset value of the share class in question.
In the event that the performance of the SICAV's share class (net of fixed management fees) between two consecutive net asset value calculations is below that of its benchmark when the NAV is calculated, any previously approved provision will be readjusted by a symmetric provision reversal. The symmetric provision reversals must not exceed the previous allocations. Provision is made for management fees at each net asset value calculation. The total fixed or variable management fee (the performance fee) provisioned will be charged directly to the SICAV's income account.
Allocation of distributable income
Definition of distributable income:
Distributable income consists of:
Income:
Net income for the financial year is equal to the amount of interest, arrears, premiums and bonuses, dividends, directors' fees and all other income generated by the securities held in the portfolio, plus income generated by temporary cash holdings, less management fees and borrowing costs. It is increased by the retained earnings and increased or reduced by the balance of the income adjustment account.
Capital gains and losses:
Realised capital gains, net of fees, minus realised capital losses, net of fees, recorded in the current financial year, plus net capital gains of the same type recognised in previous years that have not been distributed or accumulated, plus or minus current-year net capital gains adjustments.
Procedures for allocating distributable income:
Distributable income IC/RC/RE/TC shares RD share Allocation of net income Accumulation Distribution Allocation of net realised capital gains or losses Accumulation Distribution
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
2. CHANGES IN NET ASSETS AT 30/06/2020 IN EUR
30/06/2020 28/06/2019
Net assets at the start of the financial year 6,792,863,789.13 6,887,641,750.72
Subscriptions (including subscription fees paid to the UCI) 29,835,512,099.36 34,585,448,373.71
Redemptions (excluding redemption fees paid to the UCI) -28,232,360,691.39 -34,655,627,588.95
Capital gains earned on deposits and financial instruments 101,136.75 1,018,569.40
Capital losses incurred on deposits and financial instruments -19,336,166.80 -28,133,820.96
Capital gains earned on forward financial instruments 2,829,901.63 1,755,092.07
Capital losses incurred on forward financial instruments -47,847,283.86 -136,484,388.81
Transaction fees -20,006.06 -45,989.09
Exchange rate differences 34,398,204.78 108,810,776.75
Changes in the valuation difference on deposits and financial instruments 1,492,204.94 319,372.19
Valuation difference, financial year N -2,927,462.30 -4,419,667.24
Valuation difference, financial year N-1 4,419,667.24 4,739,039.43
Changes in the valuation difference on forward financial instruments 7,557,106.63 19,996,966.43
Valuation difference, financial year N -24,819,321.50 -32,376,428.13
Valuation difference, financial year N-1 32,376,428.13 52,373,394.56
Dividends paid in the previous financial year on net capital gains and losses 0.00 0.00
Dividends paid in the previous financial year on income -837.69 0.00
Net income for the financial year prior to adjustment -4,569,046.89 8,164,823.47
Interim dividend(s) paid during the financial year on net capital gains and losses 0.00 0.00
Interim dividend(s) paid during the financial year on income 0.00 0.00
Other items* -100.00 -147.80
Net assets at the end of the financial year 8,370,620,310.53 6,792,863,789.13
* 2016: Fees for obtaining a legal entity identifier (LEI) and annual LEI certification fees: - €50 + adjustment of collections: + €12.65. * 2015: Fees for obtaining a legal entity identifier (LEI) and annual LEI certification fees: €-100
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3. ADDITIONAL INFORMATION
3.1. BREAKDOWN OF FINANCIAL INSTRUMENTS BY LEGAL OR ECONOMIC TYPE
Amount %
Assets
Bonds and equivalent securities Fixed-rate bonds traded on a regulated or equivalent market 141,501,988.89 1.69
Variable/floating rate bonds traded on a regulated or equivalent market 569,376,575.47 6.80
TOTAL Bonds and equivalent securities 710,878,564.36 8.49
Debt securities Treasury bills 490,113,768.37 5.86
Short-term negotiable securities (NEU CP) issued by banking issuers 3,044,050,591.30 36.37
Short-term negotiable securities (NEU CP) issued by non-financial issuers 1,740,662,005.28 20.79
Medium-term negotiable securities (NEU MTN) 49,920,303.65 0.60
TOTAL Debt securities 5,324,746,668.60 63.61
Liabilities
Sales of financial instruments TOTAL Sales of financial instruments 0.00 0.00
Off-balance sheet items
Hedging transactions Foreign exchange 229,365,299.14 2.74
Interest rate 773,669,420.08 9.24
TOTAL Hedging transactions 1,003,034,719.22 11.98
Other transactions TOTAL Other transactions 0.00 0.00
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.2. BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE SHEET ITEMS BY RATE TYPE
Fixed rate % Variable rate % Adjustable rate % Other % Assets
Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Bonds and equivalent securities 141,501,988.89 1.69 494,118,565.94 5.90 75,258,009.53 0.90 0.00 0.00 Debt securities 4,362,132,823.90 52.11 742,682,694.98 8.87 219,931,149.72 2.63 0.00 0.00 Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Financial accounts 0.00 0.00 0.00 0.00 0.00 0.00 2,105,547,536.56 25.15 Liabilities
Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Financial accounts 0.00 0.00 0.00 0.00 0.00 0.00 4,761.74 0.00 Off-balance sheet items
Hedging transactions 773,669,420.08 9.24 0.00 0.00 0.00 0.00 0.00 0.00 Other transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3.3. BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE SHEET ITEMS BY RESIDUAL MATURITY
< 3 months % ]3 months–1 year] % ]1−3 years] % ]3−5 years] % > 5 years %
Assets
Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Bonds and equivalent securities 221,556,252.79 2.65 489,322,311.57 5.85 0.00 0.00 0.00 0.00 0.00 0.00 Debt securities 3,169,645,563.54 37.87 2,155,101,105.06 25.75 0.00 0.00 0.00 0.00 0.00 0.00 Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Financial accounts 2,105,547,536.56 25.15 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Liabilities
Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Financial accounts 4,761.74 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Off-balance sheet items
Hedging transactions 343,669,420.08 4.11 430,000,000.00 5.14 0.00 0.00 0.00 0.00 0.00 0.00 Other transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
Interest rate futures are shown based on the maturity of the underlying asset.
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.4. BREAKDOWN OF ASSETS, LIABILITIES AND OFF-BALANCE SHEET ITEMS BY LISTING OR VALUATION CURRENCY
USD GBP CHF Other currencies
Amount % Amount % Amount % Amount %
Assets
Deposits 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Equities and equivalent securities 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Bonds and equivalent securities 36,123,490.82 0.43 0.00 0.00 0.00 0.00 0.00 0.00 Debt securities 208,329,831.04 2.49 0.00 0.00 0.00 0.00 0.00 0.00 UCIs 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Receivables 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Financial accounts 0.00 0.00 81.43 0.00 72.24 0.00 29.06 0.00
Liabilities Sales of financial instruments 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Temporary securities transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00 Financial accounts 4,637.50 0.00 0.00 0.00 0.00 0.00 124.24 0.00 Off-balance sheet items
Hedging transactions 248,034,719.22 2.96 0.00 0.00 0.00 0.00 0.00 0.00 Other transactions 0.00 0.00 0.00 0.00 0.00 0.00 0.00 0.00
3.5. RECEIVABLES AND PAYABLES: BREAKDOWN BY TYPE
30/06/2020
Receivables
Collateral 7,165,467.56 Total receivables 7,165,467.56
Payables Management fees 164,700.57 Variable management fees 3,449,289.17 Collateral 7,198,785.82 Other payables 661.78 Total payables 10,813,437.34
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.6. SHAREHOLDERS' EQUITY
3.6.1. Number of securities issued or redeemed
In shares Amount OSTRUM CASH EURIBOR TC
Shares subscribed during the year 34,602.1192 525,406,982.50 Shares redeemed during the year -34,816.6911 -528,653,641.87 Net subscriptions/redemptions -214.5719 -3,246,659.37
OSTRUM CASH EURIBOR RC
Shares subscribed during the year 54,235.0045 2,234,391,987.27 Shares redeemed during the year -51,592.6647 -2,125,581,246.44 Net subscriptions/redemptions 2,642.3398 108,810,740.83
OSTRUM CASH EURIBOR I
Shares subscribed during the year 265,154.6500 27,070,015,499.86 Shares redeemed during the year -250,453.6750 -25,572,159,521.95 Net subscriptions/redemptions 14,700.9750 1,497,855,977.91
OSTRUM CASH EURIBOR RD
Shares subscribed during the year 0.0000 0.00 Shares redeemed during the year -17.4663 -265,601.29 Net subscriptions/redemptions -17.4663 -265,601.29
OSTRUM CASH EURIBOR RE
Shares subscribed during the year 5,643.7039 5,697,629.73 Shares redeemed during the year -5,650.4760 -5,700,679.84 Net subscriptions/redemptions -6.7721 -3,050.11
3.6.2. Subscription and/or redemption fees
Amount OSTRUM CASH EURIBOR TC
Redemption fees paid to the Fund 0.00 Subscription fees paid to the Fund 0.00 Total fees paid 0.00
OSTRUM CASH EURIBOR RC
Redemption fees paid to the Fund 0.00 Subscription fees paid to the Fund 0.00 Total fees paid 0.00
OSTRUM CASH EURIBOR RD
Redemption fees paid to the Fund 0.00 Subscription fees paid to the Fund 0.00 Total fees paid 0.00
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.6.2. Subscription and/or redemption fees
Amount OSTRUM CASH EURIBOR I
Redemption fees paid to the Fund 0.00 Subscription fees paid to the Fund 0.00 Total fees paid 0.00
OSTRUM CASH EURIBOR RE
Redemption fees paid to the Fund 0.00 Subscription fees paid to the Fund 0.00 Total fees paid 0.00
3.7 MANAGEMENT FEES
30/06/2020 OSTRUM CASH EURIBOR RC
Guarantee fees 0.00 Fixed management fees 355,488.53 Percentage of fixed management fees 0.07 Variable management fees 142,771.56 Retrocession of management fees 0.00 OSTRUM CASH EURIBOR TC
Guarantee fees 0.00 Fixed management fees 207,580.15 Percentage of fixed management fees 0.08 Variable management fees 57,674.21 Retrocession of management fees 0.00 OSTRUM CASH EURIBOR RD
Guarantee fees 0.00 Fixed management fees 946.27 Percentage of fixed management fees 0.07 Variable management fees 348.01 Retrocession of management fees 0.00 OSTRUM CASH EURIBOR I
Guarantee fees 0.00 Fixed management fees 2,996,104.73 Percentage of fixed management fees 0.05 Variable management fees 1,993,187.70 Retrocession of management fees 0.00 OSTRUM CASH EURIBOR RE
Guarantee fees 0.00 Fixed management fees 778.28 Percentage of fixed management fees 0.07 Variable management fees 409.03 Retrocession of management fees 0.00
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.8. COMMITMENTS RECEIVED AND GIVEN
3.8.1. Guarantees received by the UCI:
None
3.8.2. Other commitments received and/or given:
None
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.9. OTHER INFORMATION
3.9.1. Current value of securities subject to a temporary purchase transaction
30/06/2020 Securities received under reverse repurchase agreements 0.00 Borrowed securities 0.00
3.9.2. Current value of securities representing security deposits
30/06/2020 Financial instruments given as collateral and retained under their original entry 0.00 Financial instruments received as collateral and not posted in the balance sheet 0.00
3.9.3. Group financial instruments held in the portfolio
ISIN code Name 30/06/2020
Equities 0.00 Bonds 0.00 Negotiable debt securities 300,155,462.89 666890652INF BPCE E3R+0.1% 30-09-20 99,984,858.33 666891036INF BPCE 311220 OIS 0.19 49,938,364.64 666891253IPA NATIXIS LEASE IMMO 260321 FIX 0.0 5,013,690.49 666891575IPA NATIXIS 091220 FIX 0.0 30,057,264.10 666890924IPA NATIXIS 181220 FIX 0.0 5,009,865.26 666891524IPA NATIXIS 280820 FIX 0.0 60,048,372.30 666891544IPA NATIXIS 311220 FIX 0.0 50,103,047.77 UCIs 232,422,631.28 FR0010322438 OSTRUM CASH A1P1 IC 232,312,161.58 FR0010731463 OSTRUM CASH A1P1 ID 110,469.70 Forward financial instruments 278,669,420.08 SWP023468502 E3R/0.1401/FIX/0.0 40,000,000.00 SWP023468602 E3R/0.15/FIX/0.0 60,000,000.00 PSW035991 E3R15.4/FIX0 100,000,000.00 PSW035941 FIX0/E3R0.095 60,000,000.00 PSW036193 FIX0/FIX-0.115 9,821,428.57 PSW036153 FIX0/FIX0.828 8,847,991.51
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.10. ALLOCATION TABLE FOR DISTRIBUTABLE INCOME
Allocation table for the portion of distributable income relating to profit/loss
30/06/2020 28/06/2019 Amounts still to be allocated Retained earnings 0.47 0.00 Income -5,986,855.82 6,514,947.23 Total -5,986,855.35 6,514,947.23
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR TC Allocation Distribution 0.00 0.00 Retained earnings for the financial year 0.00 0.00 Accumulation -236,130.93 151,471.73 Total -236,130.93 151,471.73
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR RC Allocation Distribution 0.00 0.00 Retained earnings for the financial year 0.00 0.00 Accumulation -480,129.92 381,662.41 Total -480,129.92 381,662.41
30/06/2020 28/06/2019
OSTRUM CASH EURIBOR RD Allocation Distribution 0.00 987.28 Retained earnings for the financial year 0.00 0.55 Accumulation -1,111.96 0.00 Total -1,111.96 987.83
Information relating to shares with distribution rights Number of shares 87.7870 105.2533 Distribution per unit 0.00 9.38
Tax credits Tax credit relating to the distribution of income 0.00 0.00
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR I Allocation Distribution 0.00 0.00 Retained earnings for the financial year 0.00 0.00 Accumulation -5,269,436.97 5,980,775.99 Total -5,269,436.97 5,980,775.99
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR RE Allocation Distribution 0.00 0.00 Retained earnings for the financial year 0.00 0.00 Accumulation -45.57 49.27 Total -45.57 49.27
Allocation table for the portion of distributable income relating to net capital gains and losses
30/06/2020 28/06/2019 Amounts still to be allocated Undistributed prior net capital gains and losses 0.00 0.00 Net capital gains and losses for the financial year -24,444,000.03 -24,264,216.49 Interim dividends paid on net capital gains and losses for the financial year 0.00 0.00 Total -24,444,000.03 -24,264,216.49
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR RC Allocation Distribution 0.00 0.00 Undistributed net capital gains and losses 0.00 0.00 Accumulation -1,676,231.09 -1,666,149.78 Total -1,676,231.09 -1,666,149.78
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR TC Allocation Distribution 0.00 0.00 Undistributed net capital gains and losses 0.00 0.00 Accumulation -761,987.80 -700,458.44 Total -761,987.80 -700,458.44
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR I Allocation Distribution 0.00 0.00 Undistributed net capital gains and losses 0.00 0.00 Accumulation -22,001,740.26 -21,893,241.69 Total -22,001,740.26 -21,893,241.69
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR RD Allocation Distribution 0.00 0.00 Undistributed net capital gains and losses 0.00 0.00 Accumulation -3,884.38 -4,149.70 Total -3,884.38 -4,149.70
30/06/2020 28/06/2019 OSTRUM CASH EURIBOR RE Allocation Distribution 0.00 0.00 Undistributed net capital gains and losses 0.00 0.00 Accumulation -156.50 -216.88 Total -156.50 -216.88
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.11. TABLE OF FINANCIAL RESULTS AND OTHER SIGNIFICANT ITEMS OVER THE LAST FIVE FINANCIAL YEARS
30/06/2016 30/06/2017 29/06/2018 28/06/2019 30/06/2020 Total net assets in EUR 7,639,191,183.11 7,690,332,483.16 6,887,641,750.72 6,792,863,789.13 8,370,620,310.53
OSTRUM CASH EURIBOR RC Net assets in EUR 1,603,913,813.56 732,083,775.06 423,327,310.09 467,145,885.99 573,975,922.43 Number of securities 38,557.9484 17,631.4282 10,228.0919 11,320.1294 13,962.4692 Net asset value per unit in EUR 41,597.48 41,521.52 41,388.68 41,266.83 41,108.48 Accumulation per unit on net gains and losses in EUR -28.46 -120.42 -160.54 -147.18 -120.05 Accumulation per unit on income in EUR 52.61 54.03 6.26 33.71 -34.38
OSTRUM CASH EURIBOR TC Net assets in EUR 0.00 0.00 0.00 265,199,032.94 260,911,660.81 Number of securities 0.0000 0.0000 0.0000 17,431.6658 17,217.0939 Net asset value per unit in EUR 0.00 0.00 0.00 15,213.63 15,154.22 Accumulation per unit on net gains and losses in EUR 0.00 0.00 0.00 -40.18 -44.25 Accumulation per unit on income in EUR 0.00 0.00 0.00 8.68 -13.71
OSTRUM CASH EURIBOR RD Net assets in EUR 0.00 0.00 0.00 1,601,570.21 1,329,850.23 Number of securities 0.0000 0.0000 0.0000 105.2533 87.7870 Net asset value per unit in EUR 0.00 0.00 0.00 15,216.34 15,148.60 Accumulation per unit on net gains and losses in EUR 0.00 0.00 0.00 -39.42 -44.24 Distribution per unit on income in EUR 0.00 0.00 0.00 9.38 0.00 Tax exemption per unit in EUR 0.00 0.00 0.00 0.00 0.00 Retained earnings per unit on income in EUR 0.00 0.00 0.00 0.00 0.00 Accumulation per unit on income in EUR 0.00 0.00 0.00 0.00 -12.66
OSTRUM CASH EURIBOR I Net assets in EUR 6,035,159,646.65 6,958,187,173.90 6,464,254,088.31 6,058,856,642.85 7,534,349,266.61 Number of securities 58,561.3076 67,635.4968 63,028.9227 59,243.2834 73,944.2584 Net asset value per unit in EUR 103,057.11 102,877.74 102,560.12 102,270.77 101,892.28 Accumulation per unit on net gains and losses in EUR -70.73 -303.06 -406.53 -369.54 -297.54 Accumulation per unit on income in EUR 145.95 147.43 35.74 100.95 -71.26
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.11. TABLE OF FINANCIAL RESULTS AND OTHER SIGNIFICANT ITEMS OVER THE LAST FIVE FINANCIAL YEARS
30/06/2016 30/06/2017 29/06/2018 28/06/2019 30/06/2020 Total net assets in EUR 7,639,191,183.11 7,690,332,483.16 6,887,641,750.72 6,792,863,789.13 8,370,620,310.53
OSTRUM CASH EURIBOR RE Net assets in EUR 117,722.90 61,534.20 60,352.32 60,657.14 53,610.45 Number of securities 115.6254 60.5484 59.5764 60.0555 53.2834 Net asset value per unit in EUR 1,018.14 1,016.28 1,013.02 1,010.01 1,006.13 Accumulation per unit on net gains and losses in EUR -0.69 -2.97 -3.91 -3.61 -2.93 Accumulation per unit on income in EUR 1.28 1.35 0.13 0.82 -0.85
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
3.12. PORTFOLIO BREAKDOWN IN EUR
Quantity (no. or % of net Security name Currency Current value nominal value) assets Bonds and equivalent securities Bonds and equivalent securities traded on a regulated or equivalent market UNITED STATES OF AMERICA AT T E3R+0.4% 03-08-20 EUR 46,305,000 46,321,210.61 0.56 B E3R+0.85% 14-09-20 EMTN EUR 6,000,000 6,009,840.00 0.07 BAC 2.5% 07/27/20 EUR 32,250,000 33,058,692.54 0.39 TOYOTA 1.8 07/23/20 EUR 27,217,000 27,731,097.90 0.33 TOTAL UNITED STATES OF AMERICA 113,120,841.05 1.35 FRANCE GROUPE DANONE 0.167% 03-11-20 EUR 10,900,000 10,920,983.39 0.13 TOTAL FRANCE 10,920,983.39 0.13 IRELAND INTESA BANK IRELAND 2.17% 13-11-20 USD 40,000,000 36,123,490.82 0.43 TOTAL IRELAND 36,123,490.82 0.43 LUXEMBOURG CODEIS SECURITIES OIS+0.05% 19-02-21 EUR 245,000,000 244,637,279.95 2.92 CODEIS SECURITIES OIS+0.05% 25-06-21 EUR 30,000,000 29,998,287.54 0.36 PURPLE PROTECTED ASSET OIS+0.0% 29-07-20 EUR 75,000,000 74,767,687.50 0.89 PURPLE PROTECTED ASSET OIS+0.08% 29-10-20 EUR 40,000,000 39,898,382.17 0.48 PURPLE PROTECTED ASSET OIS+0.1% 04-03-21 EUR 30,000,000 29,965,689.16 0.36 PURPLE PROTECTED ASSET OIS+0.1% 11-12-20 EUR 75,000,000 74,851,239.62 0.89 TOTAL LUXEMBOURG 494,118,565.94 5.90 NETHERLANDS ABN AMRO BK E3R+0.4% 15-01-21 EUR 22,878,000 22,926,958.92 0.28 HEINEKEN 2.125% 08/20 EUR 5,110,000 5,216,864.90 0.06 UNILEVER 1.75% 08/20 EUR 20,000,000 20,357,273.77 0.24 TOTAL NETHERLANDS 48,501,097.59 0.58 UNITED KINGDOM CS 1 1/8 09/15/20 EUR 8,000,000 8,093,585.57 0.10 TOTAL UNITED KINGDOM 8,093,585.57 0.10 TOTAL Bonds and equiv. securities traded on a regulated or equiv. market 710,878,564.36 8.49 TOTAL Bonds and equivalent securities 710,878,564.36 8.49 Debt securities Debt securities traded on a regulated or equivalent market GERMANY CONTINENTAL AG 210820 FIX 0.0 EUR 10,000,000 10,002,678.22 0.12 E.ON SE. 020720 FIX 0.0 EUR 23,000,000 23,000,162.92 0.27 E.ON SE. 060720 FIX 0.0 EUR 10,000,000 10,000,354.18 0.12 FRESENIUS MEDICAL CARE AG 170720 FIX 0.0 EUR 30,000,000 30,003,400.39 0.36
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Quantity (no. or % of net Security name Currency Current value nominal value) assets
SANTANDER CONSUMER BANK AG 070820 FIX 0.0 EUR 25,000,000 25,059,544.25 0.30 SANTANDER CONSUMER BANK AG 130720 FIX 0.0 EUR 60,000,000 60,121,579.20 0.72 SAP SE 110920 FIX 0.0 EUR 6,000,000 6,002,235.23 0.07 TOTAL GERMANY 164,189,954.39 1.96 BELGIUM LVMH FINA BELG ZCP 08-09-20 EUR 6,000,000 6,005,018.19 0.07 LVMH FINANCE BELGIQUE SA 110920 FIX 0.0 EUR 13,000,000 13,011,345.89 0.16 LVMH FINANCE BELGIQUE SA 290920 FIX 0.0 EUR 30,000,000 30,032,735.68 0.36 TOTAL BELGIUM 49,049,099.76 0.59 SPAIN BANCO BILBAO V 091020 FIX 0.0 EUR 70,000,000 70,092,249.19 0.84 BANCO BILBAO V 161120 FIX 0.0 EUR 70,000,000 70,118,266.14 0.83 BANCO SANTANDER SA URUGUAY 131120 FIX 0.0 USD 50,000,000 43,555,247.09 0.52 IBERDROLA SA 030720 FIX 0.0 EUR 50,000,000 50,000,694.45 0.60 IBERDROLA SA 060720 FIX 0.0 EUR 10,000,000 10,000,347.23 0.12 IBERDROLA SA 150920 FIX 0.0 EUR 62,000,000 62,025,599.34 0.74 NT CONS FIN ZCP 08-09-20 EUR 50,000,000 50,042,317.45 0.60 SANTANDER CONSUMER FINANCE S.A 040121 FIX 0.0 EUR 70,000,000 70,106,327.93 0.84 SANTANDER CONSUMER FINANCE S.A 140920 FIX 0.0 EUR 50,000,000 50,045,050.97 0.60 SANTANDER CONSUMER FINANCE S.A 211220 FIX 0.0 EUR 10,000,000 10,016,211.35 0.12 TOTAL SPAIN 486,002,311.14 5.81 UNITED STATES OF AMERICA AMERICAN HONDA FINANCE CORP 240820 FIX 0.0 USD 19,000,000 16,879,451.26 0.20 ENI FINANCE USA INC 010920 FIX 0.0 USD 11,000,000 9,769,273.52 0.12 ENI FINANCE USA INC 140820 FIX 0.0 USD 10,000,000 8,865,159.52 0.11 ENI FINANCE USA INC 170720 FIX 0.0 USD 14,000,000 12,414,568.57 0.15 ENI FINANCE USA INC 180820 FIX 0.0 USD 9,000,000 7,992,342.18 0.10 FIDE NATL INFO ZCP 15-07-20 EUR 75,000,000 75,012,981.41 0.90 FIDELITY NATIONAL INFORMATION 020720 FIX 0.0 EUR 30,000,000 30,000,370.84 0.36 INTE SANP SPA 2.3% 04-01-21 USD 110,000,000 99,103,360.61 1.17 MONDELEZ INTERNATIONAL INC 100720 FIX 0. EUR 11,000,000 11,000,701.29 0.13 MONDELEZ INTERNATIONAL INC 100720 FIX 0. EUR 6,000,000 6,000,382.52 0.07 UNITED PARCEL SERVICE INC 090720 FIX 0.0 EUR 18,500,000 18,501,048.39 0.22 TOTAL UNITED STATES OF AMERICA 295,539,640.11 3.53 FRANCE AGACHE (SOCIETE FINANCIERE) 060720 FIX 0.0 EUR 5,000,000 5,000,003.47 0.06 AGACHE (SOCIETE FINANCIERE) 100920 FIX 0.0 EUR 10,000,000 10,000,098.61 0.12 AGACHE (SOCIETE FINANCIERE) 110920 FIX 0.0 EUR 15,000,000 15,000,150.00 0.18 AGACHE (SOCIETE FINANCIERE) 130720 FIX 0.0 EUR 15,000,000 15,000,025.00 0.18
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Quantity (no. or % of net Security name Currency Current value nominal value) assets AGACHE (SOCIETE FINANCIERE) 151020 FIX 0 EUR 8,000,000 8,000,117.78 0.10 AGACHE (SOCIETE FINANCIERE) 191020 FIX 0 EUR 8,000,000 8,000,122.22 0.10 AGACHE (SOCIETE FINANCIERE) 220720 FIX 0.0 EUR 5,000,000 5,000,014.58 0.06 AGACHE (SOCIETE FINANCIERE) 290720 FIX 0 EUR 18,000,000 18,000,070.00 0.22 AXA SA 071220 FIX 0.0 EUR 13,000,000 13,020,126.95 0.16 AXA SA 220621 FIX 0.0 EUR 20,000,000 20,058,554.93 0.24 BFCM (BANQUE F 040820 FIX 0.0 EUR 30,000,000 30,014,173.36 0.36 BFCM (BANQUE F 140820 FIX 0.0 EUR 80,000,000 80,341,182.22 0.95 BNP PARIBAS 020720 OIS 0.165 EUR 100,000,000 99,728,619.75 1.18 BNP PARIBAS 151020 FIX 0.0 EUR 50,000,000 50,156,935.48 0.60 BNP PARIBAS 161220 FIX 0.0 EUR 50,000,000 50,086,482.66 0.60 BNP PARIBAS 221020 EUR 50,000,000 49,910,838.89 0.60 BNP PARIBAS 270121 OISEST+0.25 EUR 30,000,000 29,958,309.00 0.36 BNP PARIBAS 310820 FIX 0.0 EUR 50,000,000 50,041,319.26 0.60 BPCE E3R+0.1% 30-09-20 EUR 100,000,000 99,984,858.33 1.18 BPCE 311220 OIS 0.19 EUR 50,000,000 49,938,364.64 0.60 CA CONSUMER FINANCE 280920 OIS 0.025 EUR 50,000,000 49,960,723.68 0.60 CAISSE FEDERALE DU CMNE 210820 OIS 0.18 EUR 25,000,000 24,938,395.01 0.30 CAISSE REG. DE 120221 FIX 0.0 EUR 60,000,000 60,170,348.94 0.71 CDC HABITAT ZCP 29-09-20 EUR 23,000,000 23,014,671.85 0.27 CDC HABITAT 250920 FIX 0.0 EUR 10,000,000 10,006,095.38 0.12 CDC HABITAT 310820 FIX 0.0 EUR 10,000,000 10,004,322.70 0.12 CFCM - COMPAGN 040121 FIX 0.0 EUR 10,000,000 10,020,628.05 0.12 CFCM - COMPAGN 040920 FIX 0.0 EUR 40,000,000 40,036,143.74 0.48 CFCM - COMPAGN 100720 FIX 0.0 EUR 80,000,000 80,235,267.63 0.95 CFCM - COMPAGN 231020 FIX 0.0 EUR 50,000,000 50,047,545.17 0.60 CFCM - COMPAGNI 301020 OIS 0.19 EUR 30,000,000 29,933,951.08 0.36 CIE GEN. DES ETS MICHELIN 290920 FIX 0.0 EUR 19,000,000 19,017,829.21 0.23 CM ARKEA 230621 FIX 0.0 EUR 20,000,000 20,062,790.52 0.24 CRCAM PYRENEES GASCOGNE 120221 FIX 0.0 EUR 40,000,000 40,117,633.82 0.48 CREDIT AGRICOLE SA 311220 OIS 0.195 EUR 70,000,000 69,857,672.50 0.82 CREDIT LYONNAIS 040121 FIX 0.0 EUR 100,000,000 100,254,898.08 1.19 CREDIT MUTUEL ARKEA 030920 FIX 0.0 EUR 50,000,000 50,044,483.99 0.60 DANONE SA 080920 FIX 0.0 EUR 17,000,000 17,007,879.04 0.20 ELECTRICITE DE FRANCE EDF 050820 FIX 0.0 EUR 50,000,000 49,999,236.82 0.60 ELECTRICITE DE FRANCE EDF 080920 FIX 0.0 EUR 15,000,000 15,005,242.96 0.18 ELECTRICITE DE FRANCE EDF 150920 FIX 0.0 EUR 100,000,000 100,040,444.13 1.19 ELECTRICITE DE FRANCE EDF 310720 FIX 0.0 EUR 40,000,000 40,016,673.61 0.48 ENGIE SA 040820 OIS 0.1 EUR 10,000,000 9,983,433.11 0.12
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Quantity (no. or % of net Security name Currency Current value nominal value) assets
ENGIE SA 100820 OIS 0.1 EUR 20,000,000 19,966,534.63 0.24 ENGIE SA 140820 OIS 0.1 EUR 30,000,000 29,949,272.20 0.36 ENGIE SA 141220 FIX 0.0 EUR 45,000,000 45,030,730.97 0.54 ENGIE SA 240720 OIS 0.09 EUR 19,000,000 18,967,008.13 0.23 ENGIE SA 241120 FIX 0.0 EUR 5,000,000 5,003,002.91 0.06 EUROFACTOR 261020 OIS 0.05 EUR 50,000,000 49,953,097.29 0.60 EUROFACTOR 301020 FIX 0.0 EUR 80,000,000 80,118,486.34 0.95 HSBC FRANCE 221020 OIS 0.16 EUR 60,000,000 59,835,758.40 0.71 KERING SA 150920 FIX 0.0 EUR 15,000,000 15,007,286.87 0.18 KERING SA 170920 FIX 0.0 EUR 14,000,000 14,006,980.15 0.17 KLEPIERRE 210920 FIX 0.0 EUR 5,000,000 5,002,221.82 0.06 L OREAL S A 300720 FIX 0.0 EUR 15,000,000 15,004,290.81 0.18 LA BANQUE POSTALE 130720 FIX 0.0 EUR 50,000,000 50,008,334.72 0.60 LA BANQUE POSTALE 281020 E3R 0.09 EUR 70,000,000 69,967,356.67 0.83 METROPOLE DE LYON 240820 FIX 0.0 EUR 13,000,000 13,006,438.19 0.16 NATIXIS LEASE IMMO 260321 FIX 0.0 EUR 5,000,000 5,013,690.49 0.06 NATIXIS 091220 FIX 0.0 EUR 30,000,000 30,057,264.10 0.36 NATIXIS 181220 FIX 0.0 EUR 5,000,000 5,009,865.26 0.06 NATIXIS 280820 FIX 0.0 EUR 60,000,000 60,048,372.30 0.71 NATIXIS 311220 FIX 0.0 EUR 50,000,000 50,103,047.77 0.60 PERNOD RICARD 220920 FIX 0.0 EUR 5,000,000 5,002,075.86 0.06 PERNOD RICARD 270720 FIX 0.0 EUR 4,000,000 4,000,520.07 0.05 REGION DE MIDI PYRENEES 250820 FIX 0.0 EUR 35,000,000 35,017,654.73 0.42 REGION PAYS DE LA LOIRE 070720 FIX 0.0 EUR 30,000,000 30,001,650.09 0.36 REGION PROVENCE ALPES CT AZUR 200720 FIX EUR 8,000,000 8,001,393.58 0.10 RENAULT CREDIT 030820 FIX 0.0 EUR 13,000,000 13,005,424.35 0.16 RTE EDF TRANSPORT 060720 FIX 0.0 EUR 15,000,000 15,000,531.27 0.18 RTE EDF TRANSPORT 150720 FIX 0.0 EUR 25,000,000 25,002,479.41 0.30 RTE EDF TRANSPORT 200720 FIX 0.0 EUR 20,000,000 20,002,692.03 0.24 RTE EDF TRANSPORT 220720 FIX 0.0 EUR 15,000,000 15,002,231.58 0.18 RTE EDF TRANSPORT 310720 FIX 0.0 EUR 6,000,000 6,001,260.26 0.07 SAFRAN SA 010920 FIX 0.0 EUR 40,000,000 40,013,782.53 0.48 SOCIETE GENERALE SA 020920 FIX 0.0 EUR 90,000,000 90,078,818.97 1.07 SOCIETE GENERALE SA 030321 OIS 0.22 EUR 50,000,000 49,945,418.77 0.60 SOCIETE GENERALE SA 060121 OIS 0.2 EUR 50,000,000 49,920,303.65 0.60 SOCIETE GENERALE SA 311220 E3R 0.14 EUR 50,000,000 49,978,934.72 0.60 STE ANONYME DE 060720 FIX 0.0 EUR 60,000,000 60,000,083.33 0.71 SUEZ SA 051120 FIX 0.0 EUR 10,000,000 10,004,941.33 0.12 SUEZ SA 071220 FIX 0.0 EUR 20,000,000 20,012,374.32 0.24
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Quantity (no. or % of net Security name Currency Current value nominal value) assets THALES SA 080920 FIX 0.0 EUR 12,000,000 12,003,911.27 0.14 VEOLIA ENVIRONNEMENT SA 041120 FIX 0.0 EUR 12,000,000 12,018,108.28 0.14 VEOLIA ENVIRONNEMENT SA 070720 FIX 0.0 EUR 8,000,000 8,000,643.39 0.10 VEOLIA ENVIRONNEMENT SA 080920 FIX 0.0 EUR 50,000,000 50,042,759.04 0.60 VEOLIA ENVIRONNEMENT SA 090720 FIX 0.0 EUR 30,000,000 30,001,833.45 0.36 VEOLIA ENVIRONNEMENT SA 121020 FIX 0.0 EUR 70,000,000 70,086,727.46 0.83 VEOLIA ENVIRONNEMENT SA 300920 FIX 0.0 EUR 50,000,000 50,054,723.02 0.60 VINCI SA 300920 FIX 0.0 EUR 15,000,000 15,009,864.82 0.18 TOTAL FRANCE 3,061,286,859.75 36.56 ITALY ENI SPA 100820 FIX 0.0 USD 11,000,000 9,750,428.29 0.12 ITAL BUON ORDI DEL ZCP 14-07-20 EUR 246,000,000 246,033,317.01 2.93 ITAL BUON ORDI DEL ZCP 14-07-20 EUR 87,000,000 87,011,782.85 1.04 ITAL BUON ORDI DEL ZCP 14-08-20 EUR 37,000,000 37,015,142.07 0.44 ITAL BUON ORDI DEL ZCP 31-08-20 EUR 50,000,000 50,029,992.70 0.60 ITALY BUONI TES BOT ZCP 310720 EUR 70,000,000 70,023,533.74 0.84 SNAM SPA 020920 FIX 0.0 EUR 6,000,000 6,000,367.52 0.07 SNAM SPA 030720 FIX 0.0 EUR 25,000,000 25,000,074.44 0.30 SNAM SPA 050820 FIX 0.0 EUR 25,000,000 25,001,208.04 0.30 SNAM SPA 230720 FIX 0.0 EUR 20,000,000 20,000,655.13 0.24 TOTAL ITALY 575,866,501.79 6.88 NETHERLANDS ABB FINANCE B V 080720 FIX 0.0 EUR 12,000,000 12,000,653.37 0.14 ABB FINANCE B V 130720 FIX 0.0 EUR 13,000,000 13,001,213.45 0.16 ABB FINANCE B V 200720 FIX 0.0 EUR 13,000,000 13,001,921.40 0.16 ABB FINANCE B V 270720 FIX 0.0 EUR 9,000,000 9,001,820.37 0.11 DE VOLKSBANK NV 150720 FIX 0.0 EUR 50,000,000 50,009,724.11 0.59 ENEL FINA INTL NV ZCP 09-07-20 EUR 30,000,000 30,000,416.67 0.35 ENEL FINA INTL NV ZCP 21-07-20 EUR 20,000,000 20,000,694.47 0.24 ENEL FINANCE INTERNATIONAL NV 200720 FIX 0.0 EUR 13,000,000 13,000,428.83 0.16 ENEL FINANCE INTERNATIONAL NV 310720 FIX 0.0 EUR 25,000,000 25,001,302.15 0.30 ENEL FINANCE INTERNATIONAL NV 310720 FIX 0.0 EUR 10,000,000 10,000,520.86 0.12 IBERDROLA INTERNATIONAL BV 070920 FIX 0.0 EUR 10,000,000 10,004,151.61 0.12 IBERDROLA INTERNATIONAL BV 191120 FIX 0.0 EUR 10,000,000 10,005,878.45 0.12 IBERDROLA INTERNATIONAL 020720 FIX 0.0 EUR 15,000,000 15,000,104.17 0.18 IBERDROLA INTERNATIONAL 090920 FIX 0.0 EUR 25,000,000 25,010,387.65 0.30 ING BANK N.V. 220621 FIX 0.0 EUR 20,000,000 20,024,276.99 0.24 ING BANK NV 311220 OIS 0.17 EUR 50,000,000 49,934,994.25 0.59 LINDE FINANCE BV 150920 FIX 0.0 EUR 6,000,000 6,002,426.65 0.07
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Quantity (no. or % of net Security name Currency Current value nominal value) assets LINDE FINANCE BV 220720 FIX 0.0 EUR 10,000,000 10,001,487.72 0.12 TOYOTA MOTOR F 200720 FIX 0.0 EUR 8,000,000 8,001,076.81 0.10 TOTAL NETHERLANDS 349,003,479.98 4.17 UNITED KINGDOM CREDIT SUISSE AG LONDON BRANCH 070920 FIX 0.0 EUR 80,000,000 80,365,663.77 0.95 MIZUHO BANK LTD 161120 FIX 0.0 EUR 70,000,000 70,115,062.32 0.84 SCOTTISH AND S 030820 FIX 0.0 EUR 16,000,000 16,002,640.44 0.19 SCOTTISH AND S 130820 FIX 0.0 EUR 8,000,000 8,001,720.37 0.10 SSE PLC. 080720 FIX 0.0 EUR 9,000,000 9,000,315.01 0.11 UBS AG LONDON 210621 FIX 0.0 EUR 30,000,000 30,065,343.68 0.36 UBS AG LONDON 250621 FIX 0.0 EUR 30,000,000 30,017,960.75 0.36 TOTAL UNITED KINGDOM 243,568,706.34 2.91 SWEDEN SVENSKA HANDELSBANKEN AB 080121 FIX 0.0 EUR 60,000,000 60,182,553.75 0.72 SVENSKA HANDELSBANKEN AB 181220 FIX 0.0 EUR 10,000,000 10,017,218.49 0.12 SVENSKA HANDELSBANKEN AB 221220 FIX 0.0 EUR 25,000,000 25,042,278.46 0.30 VOLVO TREASURY AB 210920 FIX 0.0 EUR 5,000,000 4,998,064.64 0.06 TOTAL SWEDEN 100,240,115.34 1.20 TOTAL Debt securities traded on reg. or equiv. markets 5,324,746,668.60 63.61 TOTAL Debt securities 5,324,746,668.60 63.61 Undertakings for collective investment Retail UCITS and AIFs and equivalents in other countries intended for non-professional investors FRANCE OSTRUM CASH A1P1 IC EUR 1,999.2778 232,312,161.58 2.78 OSTRUM CASH A1P1 ID EUR 1 110,469.70 0.00 TOTAL FRANCE 232,422,631.28 2.78 TOTAL Retail UCITS and AIFs and equivalents in other countries 232,422,631.28 2.78 intended for non-professional investors TOTAL Undertakings for collective investment 232,422,631.28 2.78 Forward financial instruments Other forward financial instruments Interest rate swaps E3R/0.1401/FIX/0.0 EUR 40,000,000 -165,863.82 0.00 E3R/0.15/FIX/0.0 EUR 60,000,000 -238,088.94 0.00 E3R/0.2475/FIX/0.0 EUR 60,000,000 -117,275.03 0.00 E3R15.4/FIX0 EUR 100,000,000 -371,486.97 0.00 FIX ZERO/E3R 0.103 EUR 80,000,000 -366,328.89 0.00 fix/e3r0.2825 EUR 25,000,000 -52,898.07 0.00 FIXO/E3R0.0985 EUR 50,000,000 -159,929.23 0.00 FIX0/E3R0.095 EUR 60,000,000 -219,293.75 0.00
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
Quantity (no. or % of net Security name Currency Current value nominal value) assets
FIX0/E3R0.105 EUR 80,000,000 -406,688.21 0.00 FIX0/E3R0.1285 EUR 50,000,000 -76,859.75 0.00 FIX0/E3R0.152 EUR 80,000,000 -254,814.30 0.00 FIX0/E3R0.23 EUR 70,000,000 -284,283.49 0.00 FIX0/FIX-0.115 EUR 9,821,428.57 9,817,694.52 0.11 FIX0/FIX-0.115 USD 0 -9,769,273.52 -0.13 FIX0/FIX0.828 EUR 8,847,991.51 8,861,458.15 0.11 FIX0/FIX0.828 USD 0 -8,865,159.52 -0.12 TOTAL Interest rate swaps -2,669,090.82 -0.03 Currency swaps E3R/0.1525/FIX/0.0 EUR 45,438,022.5 45,455,988.82 0.54 E3R/0.1525/FIX/0.0 USD 0 -43,555,247.09 -0.52 E3R/0.385/FIX/2.17 EUR 36,528,000 36,514,917.90 0.44 E3R/0.385/FIX/2.17 USD 0 -36,123,490.82 -0.43 E3R/0.4125/FIX/2.3 EUR 99,958,100.33 99,721,674.43 1.19 E3R/0.4125/FIX/2.3 USD 0 -99,103,360.61 -1.18 FIX/-0.02/FIX/0.0 EUR 7,996,906.44 7,996,410.64 0.10 FIX/-0.02/FIX/0.0 USD 0 -7,992,342.18 -0.10 FIX/-0.3/FIX/0.0 EUR 16,971,853.34 16,964,244.30 0.20 FIX/-0.3/FIX/0.0 USD 0 -16,879,451.26 -0.20 FIX/1.0/FIX/0.0 EUR 9,717,314.49 9,734,631.83 0.12 FIX/1.0/FIX/0.0 USD 0 -9,750,428.29 -0.12 FIX/1.25/FIX/0.0 EUR 12,755,102.04 12,777,752.97 0.15 FIX/1.25/FIX/0.0 USD 0 -12,414,568.57 -0.15 TOTAL Currency swaps 3,346,732.07 0.04 TOTAL Other forward financial instruments 677,641.25 0.01 TOTAL Forward financial instruments 677,641.25 0.01 Receivables 7,165,467.56 0.09 Payables -10,813,437.34 -0.13 Financial accounts 2,105,542,774.82 25.15 Net assets 8,370,620,310.53 100.00
OSTRUM CASH EURIBOR RC EUR 13,962.4692 41,108.48 OSTRUM CASH EURIBOR TC EUR 17,217.0939 15,154.22 OSTRUM CASH EURIBOR RD EUR 87.7870 15,148.60 OSTRUM CASH EURIBOR I EUR 73,944.2584 101,892.28 OSTRUM CASH EURIBOR RE EUR 53.2834 1,006.13
OSTRUM CASH EURIBOR: ANNUAL FINANCIAL STATEMENTS AT 30/06/2020
SECTION 2 – CORPORATE GOVERNANCE REPORT COMPILED BY THE BOARD OF DIRECTORS AND PRESENTED TO THE ANNUAL ORDINARY GENERAL MEETING OF 30 OCTOBER 2020
I - REMUNERATION PAID BY THE SICAV
During the financial year, the SICAV paid a net amount of €8,418 to the directors in respect of directors' duties (formerly attendance fees) for the financial year ended 30 June 2020 (Article L. 225-45 of the French Commercial Code).
OSTRUM CASH EURIBOR SICAV Remuneration paid to members of the Board of Directors in 2020 for the year ended 28 June 2019
The Board of Directors NET Total DIRECTORS (LEGAL ENTITIES) GROSS Total 26/09/2018 13/03/2019 (EUR) (EUR)
ARRCO 16-18, rue Jules César 0 0 €0 €0 75592 Paris, France represented by Philippe Goubeault
CNP ASSURANCES 915 915 €1,830 €1,830 4, place Raoul Dautry, 75715 Paris Cedex 15, France represented by Yann Didou DASSAULT AVIATION 78, quai Marcel Dassault 0 915 €915 €915 92552 Saint Cloud, France represented by Alexandre Piffard AIR France 45, rue de Paris 915 915 €1,830 €1,830 DB-BX-95547 - Roissy CDG, France represented by Bruno Lecerf TOTAL LEGAL ENTITIES €4,575 €4,575
DIRECTORS (NATURAL PERSONS) WITHHOLDING GROSS Total NET Total 26/09/2018 13/03/2019 (EUR) Mandatory CSG/CRDS TOTAL (EUR) withholding 17.2%
12.8% Mr Alain Deschâtres 0 915 €915 €117 €157 €275 €641
Mr Laurent Chevignard 915 915 €1,830 €234 €315 €549 €1,281
Ms Laurence Valentin Esturonne 915 915 €1,830 €234 €315 €549 €1,281
Ms Priscilia Bouton-Peignoux 915 0 €915 €117 €157 €275 €641
TOTAL NATURAL PERSONS €5,490 €703 €944 €1,647 €3,843
II – INFORMATION ABOUT CORPORATE OFFICERS
- List of offices and duties
In accordance with the provisions of Article L. 225-37-4 of the French Commercial Code, we bring to your attention the list of offices and duties exercised by the corporate officers in any other companies dated 30 June 2020:
Mr Ibrahima Kobar
Companies Legal form Office
1 OSTRUM SOUVERAINS EURO SICAV Chairman of the Board of Directors
2 OSTRUM ASSET MANAGEMENT SA Deputy Chief Executive Officer
3 EOLE LOCATION TOUONGO SNC Partner
4 VERDI SARL Manager
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
Mr Alain Richier: None
Ms Laurence Valentin-Esturonne: None
Ms Nathalie Pistre:
Companies Legal form Office
1 OSTRUM SOUVERAINS EURO SICAV Permanent representative of OSTRUM ASSET MANAGEMENT
Ms Priscilia Bouton-Peignoux:
Companies Legal form Office
1 CARRAIG DAC/insurance Director company
2 Rock Ré Reinsurance Director
Mr Thomas Benoist: None
Mr Alain Deschâtres
Companies Legal form Office
1 EURO SUSTAINABLE MONEY MARKET SICAV Director
2 LCL Actions France SICAV Director
3 BNPP Midcap Europe SICAV Director
4 SC ROSETTA SARL Director
Mr Philippe Goubeault
Companies Legal form Office
1 AMUNDI "PORTFOLIO STRATEGIE 5-7" SICAV Director
2 PALATINE "MEDITERRANEA" SICAV Director
3 PALATINE "PREMIERE" SICAV Director
4 BFT "FRANCE FUTUR" SICAV Adviser
5 SWISS LIFE "MONEY MARKET EURO" SICAV Director
Mr Laurent Chevignard: None
Companies Legal form Office
1 TANK ÖWA alpha GmbH Manager
2 TANK ÖWC beta GmbH Manager
Mr Yann Didou: None
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
Mr Alexandre Piffard:
Companies Legal form Office
1 DASSAULT AERO SERVICE SARL Manager
2 DASSAULT-REASSURANCE SA Director
3 GROUPEMENT FORESTIER DE GROUPEMENT MONTMORENCY FORESTIER Managing Partner
4 CIC UNION PLUS SA Director
Mr Bruno Lecerf:
Companies Legal form Office 1 PELICAN SA (captive Director insurance company in Luxembourg)
III – AGREEMENTS REFERRED TO IN ARTICLE L. 225-38 OF THE FRENCH COMMERCIAL CODE
We inform you that no agreements referred to in Article L. 225-38 of the French Commercial Code were concluded during the past financial year.
The Board of Directors maintains the list of the SICAV's agreements, which is available on request.
IV – EXECUTIVE MANAGEMENT WORKING METHODS
In accordance with the provisions of Article L. 225-51.1 and R. 225-26 of the French Commercial Code, we confirm that the Board of Directors chose the method of exercising general management at its meeting on 4 September 2007 and opted to separate the duties of Chairman of the Board of Directors and Chief Executive Officer.
At its meeting on 30 March 2016, the Board of Directors appointed Mr Ibrahima Kobar as the new Chairman of the Board, replacing Mr Pascal Voisin, who has resigned. Mr Kobar shall perform these duties until the end of the Annual Ordinary General Meeting called to approve the financial statements for the year ended in June 2021.
At this same meeting, the Board of Directors decided to:
• maintain the general management methods and confirmed the separation of the duties of the Chairman and Chief Executive Officer. • confirm Mr Alain Richier as the Chief Executive Officer. His duties will end upon one of the following events, whichever occurs first: o the end of his term of office as the Chairman of the Board of Directors; o or the expiry of his employment contract with the delegated management company of the SICAV.
No restrictions were placed on his powers by the Board of Directors.
V – COMPOSITION OF THE BOARD OF DIRECTORS
Expiry of term of office (at the end of the AGM called to approve the financial statements for the Full name Position period ending in June) Mr Ibrahima Kobar Chairman of the Board 2021 Mr Alain Richier Chief Executive Officer 2021 Ms Laurence Valentin Esturonne Director 2020 Ms Priscilia Bouton-Peignoux Director 2020 Mr Laurent Chevignard Director 2020 Mr Alain Deschâtres Director 2020
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
AIR FRANCE represented by Mr Bruno Lecerf Director 2020 ARRCO represented by Mr Philippe Director 2020 Goubeault CNP ASSURANCES represented by Mr Yann Director 2020 Didou DASSAULT AVIATION represented by Mr Director 2020 Alexandre Piffard NATIXIS INVESTMENT MANAGERS INTERNATIONAL represented by Mr Thomas Director 2025 Benoist DELOITTE & ASSOCIES represented by Mr 2025 Olivier Galienne Statutory auditor
- Proposal to renew the term of office of seven directors
We propose the renewal of the director's term of office:
- of Ms Laurence Valentin-Esturonne, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
- of Ms Priscilia Bouton-Peignoux, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
- of Mr Laurent Chevignard, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
- of the company DASSAULT AVIATION, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
- of the company AIR FRANCE, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
- of the company CNP ASSURANCES, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
- of ARCCO, which expires at the end of the ordinary general meeting called to rule on the financial statements for the year ended 30 June 2020, for a one-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2021.
- Proposal for the non-renewal of a director's term of office and the appointment of a new director as replacement
We propose that you:
- do not renew the director's term of office of Mr Alain Deschatres, which expires at the end of the general meeting called to approve the financial statements for the year ended 30 June 2020; and - appoint the company DANONE as director for a six-year period, which will expire at the end of the ordinary general meeting of shareholders called to approve the financial statements for the year ended on the last trading day of Paris in June 2026.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
VI – ORGANISATION OF THE BOARD'S WORK
We inform you that two Boards of Directors undertook work over the financial year ended 30 June 2020.
• Board of Directors meeting of 24 June 2020* *The meeting was held via telephone conference in accordance with the Articles of Association and Ordinances No. 2020-318 and 2020-321 of 25 March 2020
In attendance:
Mr Ibrahima Kobar, Chairman of the Board of Directors Mr Alain Richier, Chief Executive Officer Ms Laurence Valentin-Esturonne, director Ms Priscilia Bouton-Peignoux Mr Laurent Chevignard, director CNP ASSURANCES, represented by Mr Yann Didou, director AIR FRANCE, represented by Mr Bruno Lecerf DASSAULT AVIATION, represented by Mr Alexandre Piffard NATIXIS INVESTMENT MANAGERS INTERNATIONAL, represented by Mr Thomas Benoist OSTRUM ASSET MANAGEMENT, represented by Ms Nathalie Pistre
Absent and excused:
Mr Alain Deschatres, director ARRCO represented by Mr Philippe Goubeault
The legal points discussed were as follows:
- Development plan for the SICAV: Transformation into SRI SICAV
All decisions were taken unanimously by the Board members present.
• Board of Directors' meeting of 23 September 2020* *The meeting was held via telephone conference and in person in accordance with the Articles of Association and extended Ordinances No. 2020-318 and 2020-321 of 25 March 2020
The following attended in person or via telephone conference:
Directors:
Mr Ibrahima Kobar, Chairman of the Board of Directors Mr Alain Richier, Chief Executive Officer Ms Laurence Valentin-Esturonne, director Ms Priscilia Bouton-Peignoux Mr Laurent Chevignard, director CNP ASSURANCES, represented by Mr Yann Didou, director AIR FRANCE, represented by Mr Bruno Lecerf NATIXIS INVESTMENT MANAGERS INTERNATIONAL, represented by Mr Thomas Benoist OSTRUM ASSET MANAGEMENT, represented by Ms Nathalie Pistre DASSAULT AVIATION, represented by Mr Alexandre Piffard
Absent and excused:
Mr Alain Deschatres, director
The legal points discussed were as follows:
• Expiry of the term of office of eight directors - Non-renewal of the term of office of one director (natural person) - Proposal to appoint a new director - Proposal to renew the term of office of seven directors • Proposed amendment to the Rules of Procedure of the Board of Directors
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
• Proposed amendment to the Articles of Association • Approval of the programme of work and fees for the Statutory Auditor
All decisions were taken unanimously by the Board members present.
VII – STATUTORY PROVISIONS REGARDING THE ARRANGEMENTS FOR SHAREHOLDER ATTENDANCE AT THE GENERAL SHAREHOLDERS' MEETING
In accordance with the SICAV's Articles of Association, any shareholder may attend the Meetings, in person or by proxy, subject to providing proof of identity and share ownership, either in the form of such shares being entered into registered share accounts held by the SICAV or of their being registered as bearer share accounts, and on presentation of an entry card, which will be issued by the Company, provided that the shareholder has applied for it in advance, at the places cited in the notice of meeting. The deadline for completing these formalities expires two days before the date of the Meeting.
A shareholder may be represented at meetings under the conditions set out in Article L. 225-106 of the French Commercial Code.
A shareholder may also vote by correspondence under the conditions stipulated by the regulations in force.
VIII – DELEGATION(S) OF POWERS CURRENTLY IN FORCE, GRANTED BY THE GENERAL SHAREHOLDERS' MEETING REGARDING CAPITAL INCREASES
Not applicable to SICAVs.
IX – MISCELLANEOUS
A draft amendment to the Articles of Association will be presented to the shareholders attending the extraordinary general meeting on first notice on 30 October 2020 and, failing quorum, on 16 November 2020.
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
Appendix 3
STATUTORY AUDITOR'S REPORTS
- Statutory Auditor's general report on the annual financial statements at 30/06/2020
- Statutory Auditor's special report on the agreements referred to in Article L. 225-38 of the French Commercial Code in respect of the financial year ended 30/06/2020
OSTRUM CASH EURIBOR SICAV – Board Report – Year-end 30 June 2020
OSTRUM CASH EURIBOR Open-ended investment company with variable capital (société d'investissement à capital variable – SICAV)
43 avenue Pierre Mendès France 75013 Paris, France ______
Statutory Auditor's report on the annual financial statements
Financial year ended 30 June 2020
Deloitte & Associés 6 place de la Pyramide 92908 Paris-La Défense Cedex France Telephone: + 33 (0) 1 40 88 28 00 www.deloitte.fr
Postal address: TSA 20303 92030 La Défense Cedex, France
OSTRUM CASH EURIBOR Open-ended investment company with variable capital (société d'investissement à capital variable – SICAV)
43 avenue Pierre Mendès France 75013 Paris, France
Statutory Auditor's report on the annual financial statements
Financial year ended 30 June 2020
______
To the General Shareholders' Meeting,
Opinion
In execution of the assignment entrusted to us by your Board of Directors, we conducted the audit of the annual financial statements of the undertaking for collective investment OSTRUM CASH EURIBOR established in the form of an open-ended investment company with variable capital (SICAV) relating to the year ended 30 June 2020, as attached to this report. These statements were prepared by the SICAV based on the information available in the changing context of crisis linked to COVID-19.
We certify that the annual financial statements are, in conformity with French accounting rules and principles, accurate and consistent, and give a true and fair view of the financial performance for the previous financial year as well as the financial situation and assets of the SICAV at the end of the financial year.
Basis of opinion
Audit terms of reference We conducted our audit in accordance with the standards of professional practice applicable in France. We believe that the information we collected is sufficient and appropriate as a basis for our opinion.
Our responsibilities pursuant to these standards are set out in the section of this report entitled "Statutory Auditor's responsibilities regarding the audit of the annual financial statements".
Independence We conducted our audit assignment in line with the rules of independence that apply to us, during the period from 29 June 2019 to the date of issue of our report, and in particular we did not provide any services forbidden by the Code of Ethics for Statutory Auditors.
Société par actions simplifiée (simplified joint-stock company) with capital of €2,188,160 Accounting firm registered with the Tableau de l'Ordre de Paris Ile-de-France (Paris Ile-de-France Accounting Firm Register) Auditing firm registered with the Compagnie Régionale de Versailles (Versailles Regional Association of Statutory Auditors) Nanterre Trade and Companies Register No. 572 028 041 VAT No.: FR 02 572 028 041
Deloitte network entity
Justification of assessments
In accordance with the provisions of Articles L. 823-9 and R. 823-7 of the French Commercial Code relating to the justification of our assessments, we hereby inform you that, in our professional opinion, the most significant assessments we conducted were based on the appropriateness of the accounting principles applied, with specific regard to the financial instruments held in the portfolio and on the overall presentation of the financial statements, in respect of the chart of accounts for open-ended undertakings for collective investment.
The assessments were carried out as part of our audit of the annual financial statements, taken as a whole, and therefore contributed to the formation of the opinion expressed above. We have no comment to make on any individual aspect of these annual financial statements.
Specific verifications
We also performed the specific verifications required by the relevant legal and regulatory provisions and in accordance with professional auditing standards in France.
Information given in the management report and in the other documents provided to shareholders with respect to the financial position and the annual financial statements
We have no comments to make concerning the accuracy or consistency with the annual financial statements of the information provided in the management report prepared by the Board of Directors and in the other documents provided to shareholders concerning the financial position and the annual financial statements.
Information relating to corporate governance
We certify that the information required by Article L. 225-37-4 of the French Commercial Code is contained in the section of the management report of the Board of Directors devoted to corporate governance.
Responsibilities of senior management and those persons in charge of corporate governance relating to the annual financial statements
It is the management's responsibility to prepare annual financial statements that give a true and fair view, in accordance with French accounting rules and principles, and to implement the internal controls it deems necessary for the preparation of annual financial statements that are free of material misstatement, whether due to fraud or error.
When preparing the annual financial statements, it is the responsibility of senior management to appraise the SICAV's ability to continue as a going concern, to present in said financial statements, where applicable, the necessary information relating to its viability as a going concern, and to apply the going concern accounting policy unless it intends to wind up the SICAV or to cease trading.
The annual financial statements have been prepared by the Board of Directors.
Statutory Auditor's responsibilities regarding the audit of the annual financial statements
It is our responsibility to draft a report on the annual financial statements. Our aim is to obtain reasonable assurance that the annual financial statements, taken as a whole, are free of material misstatement. Reasonable assurance corresponds to a high level of assurance but does not guarantee that an audit performed in accordance with the standards of professional practice can systematically detect any material misstatement. Misstatements can arise from fraud or error and are considered material where it can be reasonably expected that, taken individually or together, they may influence the economic decisions made by users of the financial statements that are based upon such misstatements.
2 l OSTRUM CASH EURIBOR l Report of the Statutory Auditor on the annual financial statements l Financial year ended 30 June 2020
As specified by Article L. 823-10-1 of the French Commercial Code, our task is to certify the financial statements, and not to guarantee the viability or the quality of the management of your SICAV.
As part of an audit conducted in accordance with the professional practice standards applicable in France, the Statutory Auditor exercises its professional judgement throughout this audit. In addition:
• It identifies and assesses the risks that the annual financial statements may contain material misstatements, whether due to fraud or error, sets out and implements the audit procedures intended to counter these risks, and collates the points of information that it deems sufficient and appropriate to justify its opinion. The risk of not detecting a material misstatement due to fraud is higher than that of a material misstatement due to error because fraud can involve collusion, forgery, voluntary omissions, misrepresentation or circumvention of internal control processes;
• It takes note of the internal control processes relevant to the audit so as to set out audit procedures that are appropriate to the circumstances; its role in so doing is not to express an opinion on the effectiveness of the internal control processes;
• It assesses the appropriateness of the accounting policies used and the reasonableness of the accounting estimates made by senior management, as well as the information about them provided in the annual financial statements;
• It assesses the appropriateness of the application by the management of the going concern accounting policy and, based on the evidence gathered, whether significant uncertainty exists relating to events or circumstances that may affect the SICAV's ability to continue as a going concern. This assessment is based on the information gathered up to the date of its report, on the understanding that subsequent events or circumstances may affect its viability as a going concern. If it concludes that there is significant uncertainty, it draws the attention of the reader of the report to the information provided in the Annual Financial Statements about this uncertainty or, if this information is not provided or is not relevant, it issues a certification with reservation or a refusal to certify;
• It appraises the overall presentation of the annual financial statements and assesses whether said statements reflect the transactions and underlying events, and thus provide a true and fair view thereof.
Paris La Défense, 07 October 2020
Statutory Auditor Deloitte & Associés
[Signature] Olivier Galienne
3 l OSTRUM CASH EURIBOR l Report of the Statutory Auditor on the annual financial statements l Financial year ended 30 June 2020
OSTRUM CASH EURIBOR Open-ended investment company with variable capital (société d'investissement à capital variable – SICAV)
43 avenue Pierre Mendès France 75013 Paris, France
______
Statutory Auditor's special report on regulated agreements
General meeting to approve the financial statements for the financial year ended 30 June 2020
Deloitte & Associés 6 place de la Pyramide 92908 Paris-La Défense Cedex France Telephone: + 33 (0) 1 40 88 28 00 www.deloitte.fr
Postal address: TSA 20303 92030 La Défense Cedex, France
OSTRUM CASH EURIBOR Open-ended investment company with variable capital (société d'investissement à capital variable – SICAV)
43 avenue Pierre Mendès France 75013 Paris, France
Statutory Auditor's special report on regulated agreements
General meeting to approve the financial statements for the financial year ended 30 June 2020 ______
To the General Shareholders' Meeting,
In our capacity as the statutory auditor for your company, we hereby present our report on regulated agreements.
Our role is to inform you, on the basis of the information provided to us, of the characteristics and the main terms and conditions of those agreements about which we were notified or which we identified during our assignment, as well as to inform you about how they affect the company, without having to provide an opinion on their usefulness or appropriateness or identify any other such agreements. Under the terms of Article R. 225-31 of the French Commercial Code, it is your responsibility to assess the company's interest in entering into these agreements with a view to their approval.
Furthermore, it is our responsibility, where applicable, to provide you with the information stipulated by Article R. 225- 31 of the French Commercial Code concerning the performance, during the past financial year, of agreements already approved by the General Shareholders' Meeting.
We have performed those procedures that we considered necessary in accordance with professional guidance issued by the French national auditing body, the Compagnie nationale des commissaires aux comptes.
AGREEMENTS SUBMITTED FOR THE APPROVAL OF THE GENERAL SHAREHOLDERS' MEETING
We hereby inform you that we have not been advised of any agreement authorised during the past financial year to be submitted for the approval of the General Shareholders' Meeting pursuant to the provisions of Article L. 225-38 of the French Commercial Code.
Société par actions simplifiée (simplified joint-stock company) with capital of €1,723,040 Accounting firm registered with the Tableau de l'Ordre de Paris Ile-de-France (Paris Ile-de-France Accounting Firm Register) Auditing firm registered with the Compagnie Régionale de Versailles (Versailles Regional Association of Statutory Auditors) Nanterre Trade and Companies Register No. 572 028 041 VAT No.: FR 02 572 028 041
Deloitte network entity
AGREEMENTS ALREADY APPROVED BY THE GENERAL SHAREHOLDERS' MEETING
We hereby inform you that we have not been advised of any agreement already approved by the General Shareholders' Meeting that continued to apply during the past financial year.
Paris La Défense, 07 October 2020
Statutory Auditor Deloitte & Associés
[Signature] Olivier Galienne
3 l OSTRUM CASH EURIBOR l Statutory Auditor's special report on regulated agreements l Financial year ended 30 June 2020
ADDITIONAL INFORMATION FOR INVESTORS IN THE FEDERAL REPUBLIC OF GERMANY
The function of the Paying and Information Agent in the Federal Republic of Germany is performed by:
CACEIS Bank, Germany Branch Lilienthalallee 34 - 36, D-80939 Munich, Germany
(hereinafter: German Paying and Information Agent)
Applications for the redemptions and conversion of shares may be sent to the German Paying and Information Agent.
All payments to investors, including redemption proceeds and potential distributions may be obtained upon request through the German Paying and Information Agent.
The following documents may be obtained, free of charge, in hardcopy form at the office of the German Paying and Information Agent: the prospectus, the key investor information document, the current annual and semi-annual reports, the Articles of Association, the custody agreement between the Fund and CACEIS Bank.
The issue and redemption prices, the net asset value as well as any notices to investors are also available from the German Paying and Information Agent. In addition, the issue and redemption prices are published on www.fundinfo.com and any notices to investors in the Federal Gazette (“www.bundesanzeiger.de”).
In addition, communications to investors in the Federal Republic of Germany will be by means of a durable medium (section 167 of the Investment Code) in the following cases: suspension of the redemption of the units, termination of the management of the fund or its liquidation, any amendments to the company rules which are inconsistent with the previous investment principles, which affect material investor rights or which relate to remuneration and reimbursement of expenses that may be paid or made out of the asset pool, merger of the fund with one or more other funds and the change of the fund into a feeder fund or the modification of a master fund.