MILLENIUM GARANT 80 FCP - Euronext
Transcript of MILLENIUM GARANT 80 FCP - Euronext
MILLENIUM GARANT 80
FCP
SEMI-ANNUAL REPORT at 30/06/2019
R.C.S. Luxembourg K 1430
The asset manager for a changing worldThe asset manager for a changing world
MILLENIUM GARANT 80
Table of contents
Page
Page 1
Organisation 2
Information 3
Financial statements at 30/06/2019 4
Key figures relating to the last 3 years 5
Notes to the financial statements 6
No subscription can be received on the basis of the financial statements alone. Subscriptions are only valid if made on the basis of the
current prospectus, accompanied by the latest annual report and the most recent semi-annual report, if published thereafter.
MILLENIUM GARANT 80
Organisation
Page 2
Registered office
60 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of Luxembourg
Board of Directors of the Management Company
Chairman
Mr. Frédéric JANBON, Chairman
Members
BNP PARIBAS ASSET MANAGEMENT Holding SA represented by Mr. Pascal BIVILLE, Director
Mr. Philippe MARCHESSAUX, Director
Mr. François DELOOZ, Director
Mr. Fabrice SILBERZAN, Deputy Chief Executive Officer and Director
Mr. Arnaud DE BEAUCHEF DE SERVIGNY, Director
Mrs. Cecile LESAGE, Group Chief Financial Officer
Mrs. Marion AZUELOS, Global Head of Human Resources
Management Company
BNP PARIBAS ASSET MANAGEMENT France, 1 Boulevard Haussmann, F-75009 Paris, France
BNP PARIBAS ASSET MANAGEMENT France is a Management Company in the meaning of Chapter 15 of the
Luxembourg Law of 17 December 2010 concerning undertakings for collective investment, as amended.
The Management Company performs the functions of administration, portfolio management and marketing duties.
Effective Investment Manager
BNP PARIBAS ASSET MANAGEMENT France, 1 Boulevard Haussmann, F-75009 Paris, France
NAV Calculation, Registrar and Transfer Agent
BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg,
Grand Duchy of Luxembourg
Depositary
BNP Paribas Securities Services, Luxembourg Branch, 60 Avenue J.F. Kennedy, L-1855 Luxembourg,
Grand Duchy of Luxembourg
Legal and Tax Advisor
Allen & Overy, Société en commandite simple, 33 Avenue J.F. Kennedy, L-1855 Luxembourg, Grand Duchy of
Luxembourg
Auditor
PricewaterhouseCoopers, Société coopérative, 2 Rue Gerhard Mercator, B.P. 1443, L-1014 Luxembourg,
Grand Duchy of Luxembourg
MILLENIUM GARANT 80
Information
Page 3
BNP PARIBAS ASSET MANAGEMENT France a société par actions simplifiée incorporated and subject to the laws
of France (the “Management Company”), shall manage MILLENIUM GARANT 80 (the “Fund”) in accordance with
the management regulations (the “Management Regulations”) duly registered with the Registre du Commerce et des
Sociétés of Luxembourg and published in the Mémorial C, Recueil des Sociétés et Associations (the “Mémorial” –
replaced by the Recueil Electronique des Sociétés et Associations (“RESA”) as of 1 June 2016).
The Fund is an open-ended undertaking for collective investment in transferable securities (or “UCITS”), organized as
a fonds commun de placement (or “FCP”), and is lawfully registered on the list of UCITS organised as FCP held by the
Luxembourg financial authority, the Commission de Surveillance du Secteur Financier (the “CSSF”), pursuant to part I
of the Luxembourg law dated 17 December 2010, relating to undertakings for collective investment, as may be
amended or supplemented from time to time (the “2010 Law”).
The Fund being a FCP, is not a legal entity, but a joint ownership of assets, held by the unitholders of the Fund
(the “Unitholders”), which are fully differentiated from the assets of the Management Company.
The Management Company is governed by chapter 15 of the Law of 2010, as amended and in that capacity, is in charge
of the Fund’s collective management of portfolio.
The Fund is registered in the Luxembourg Trade Register under the number K 1430.
Information to the Unitholders
The Articles of Association of the Management Company, the Prospectus, Management Regulations and latest annual
and semi-annual reports may be obtained free of charge from the registered office of the Management Company.
Except for newspaper publications required by Law, the official media to obtain any notice to unitholders will be the
website: www.bnpparibas-am.com.
Documents and information are also available on the website: www.bnpparibas-am.com.
The annual report is made public within four months of the end of the financial year and the semi-annual report within
two months of the end of the half-year.
As to net asset values and dividends, the Management Company publishes the legally required information in the Grand
Duchy of Luxembourg and in all other countries where the units are publicly offered.
Net asset values are calculated every full bank business day in France and Luxembourg, as well as any index trading
business day of the index,unless otherwise stated.
MILLENIUM GARANT 80
Financial statements at 30/06/2019
The accompanying notes form an integral part of these financial statements
Page 4
MILLENIUM GARANT 80
Expressed in EUR Notes
Statement of net assets
Assets 112 426 539
Funded swap at cost price 89 642 148 Unrealised gain/(loss) on funded swap 2,7 21 834 138
Funded swap at market value 2 111 476 286 Cash at banks and time deposits 950 250 Other assets 3
Liabilities 1 040 990
Other liabilities 1 040 990
Net asset value 111 385 549
Statement of operations and changes in net assets
Income on investments and assets 2 1 159 422
Management fees 3 1 026 799 Bank interest 34 846 Taxes 5 27 603
Total expenses 1 089 248
Net result from investments 70 174
Net realised result on:
Financial instruments 2 (1 085 959)
Net realised result (1 015 785)
Movement on net unrealised gain/(loss) on:
Financial instruments 2 (525 232)
Change in net assets due to operations (1 541 017)
Net subscriptions/(redemptions) 1 341 978
Increase/(Decrease) in net assets during the year/period (199 039)
Net assets at the beginning of the financial year/period 111 584 588
Net assets at the end of the financial year/period 111 385 549
MILLENIUM GARANT 80
Key figures relating to the last 3 years
The accompanying notes form an integral part of these financial statements
Page 5
MILLENIUM GARANT 80 EUR EUR EUR Number of units
31/12/2017 31/12/2018 30/06/2019 30/06/2019
Net assets 122 178 108 111 584 588 111 385 549
Net asset value per unit
Units “ - ACC” 1 384.21 1 257.71 1 241.14 89 744.299
Page 6
Notes to the financial statements
MILLENIUM GARANT 80
Notes to the financial statements at 30/06/2019
Page 7
Note 1 - General Information
Events that occurred during the financial period ended 30 June 2019.
No special event occurred during this financial period.
Note 2 - Principal accounting method
a) Presentation of the financial statements
The financial statements of the Fund are presented in accordance with the legislation in force in Luxembourg governing
undertakings for collective investment. The currency of the Fund is the euro (EUR).
The statement of operations and changes in net assets covers the financial period from 1 January 2019 to 30 June 2019.
b) Net asset value
This semi-annual report is prepared on the basis of the last net asset value as at 28 June 2019.
c) Valuation of swaps
A Total Return Swap (TRS) is a bilateral agreement in which each party agrees to exchange payments based on the
performance of an underlying instrument represented by a security, commodity, basket or index thereof for a fixed or
variable rate, if any. One party pays out the total return of a specific reference asset, and in return, receives a regular
stream of payments. The total performance will include gains and losses on the underlying, as well as any interest or
dividends during the contract period according to the type of underlying. The cash flows to be exchanged are calculated
by reference to an agreed upon notional amount or quantity.
Total return swaps are marked to market at each NAV calculation date. The unrealised appreciation/depreciation is
disclosed in the Statement of net assets under “Net Unrealised gain/(loss) on financial instruments”. Realised
gains/(losses) and change in unrealised appreciation/depreciation as a result thereof are included in the Statement of
operations and changes in net assets respectively under “Net realised result on Financial instruments” and “Movement on
net unrealised gain/(loss) on Financial instruments”.
d) Investment policy
The Fund mainly enters into a derivative instrument in order to allow the Unitholders to benefit from (i) a protection
mechanism according to which, for each calendar month, the Net Asset Value per Unit of the Fund will be at least equal
to eighty percent (80%) of the first Net Asset Value per Unit of the current month and (ii) a variable exposure to the index
“BNP Paribas Millenium 10 EUR Serie 3 TR ex Agri” (the “Index”). The Index, was created by BNP Paribas.
The calculation agent is BNP Paribas Arbitrage. It is a “total return” index. The Index is based on an algorithm which
aims to systematically determine the optimal allocation across various asset classes. The asset allocation of the underlying
assets is realized under efficient frontier constraints, features both long and short positions and is recalculated monthly.
It is composed of a broad universe of assets, and more precisely equities (European, US, Japanese, emerging markets),
European real estate, government bonds, commodities (excluding agriculture and livestock commodities), currency and
money market. It is subject to a risk-control mechanism, with a maximum target volatility of ten percent (10%).
MILLENIUM GARANT 80
Notes to the financial statements at 30/06/2019
Page 8
Note 3 - Management fees (maximum per annum)
Management fee of 1.90% of the Net Asset Value is payable to the Management Company in compensation for its
services. This management fee is accrued daily, calculated and payable quarterly in arrears. Such management fee
corresponds to the maximum management charges and includes the remuneration of the Management Company together
with all management charges incurred by the Fund. As specified in the Prospectus, out of its management fee, the
Management Company shall pay all fees and commissions to be charged to the Fund by the following service providers
included but not limited to:
– the Depositary;
– the Administrative Agent and the Registrar and Transfer Agent;
– the Auditor;
– any Distributor(s) and/or Nominee(s).
Note 4 - Guarantee granted to the Fund
Upon the creation of the Fund, a guarantee was issued by BNP Paribas S.A. (the “Guarantor”), a credit institution duly
established and authorized under the laws of France, and whose registered office is located at 16, boulevard des Italiens,
F-75009 Paris.
The Guarantor shall thus guarantee to the Fund that its Net Asset Value will, during a month and for each calendar month,
in any case at least be equal to eighty percent (80%) of the Net Asset Value calculated on the first Business Day of the
current month (the “Guarantee”).
The Guarantee is initially granted to the Fund until 2 May 2022, but it may be prorogated every year, provided that the
Guarantor so agrees, for an additional year. Unitholders shall be informed of such a prorogation in the financial statements
of the Fund every year.
Unitholders are thus ensured that, during the Guarantee, for any redemption request made to the Fund, the redemption
price of their Units shall be at least equal to eighty percent (80%) of the Net Asset Value calculated on the first Business
Day of the current month.
The Guarantee may however be diminished by any amount, outstanding or paid by the Fund or having an impact on the
derivative instrument, as may be determined by the Management Company in accordance with the Guarantor, including
any direct or indirect financial liability, deriving of tax constraints or others, resulting from the creation of new obligations
for the Fund, or affecting the derivative instrument entered into by the Fund, due to the modification of the applicable
laws and regulations effective upon the creation of the Fund.
The Guarantee may be freely and legitimately terminated by the Guarantor in the following cases:
– amalgamation, split, transformation or liquidation of the Fund without prior approval of the Guarantor;
– change of the Depositary or of the Management Company, or modification in the control of the Management
Company without prior consent of the Guarantor;
– termination of the derivative instrument by the Fund or modification of the content of the Prospectus, without
prior consent of the Guarantor.
The cost of the guarantee is embedded in the swap valuation.
Note 5 - Taxation
In Luxembourg, no duty or tax is owed for the issue of units. Fees are however charged to the Fund in relation to the
registration with the Mémorial of the Management Regulations, and the publication thereof.
The Fund is subject to a subscription tax at an annual rate of 0.05% per annum of its net asset value. The tax does not
apply to the part of assets invested in other Luxembourg undertakings for collective investment. Subject to certain
conditions, units reserved for institutional investors may potentially be reduced to a rate of 0.01% per annum or be exempt
from the subscription tax.
MILLENIUM GARANT 80
Notes to the financial statements at 30/06/2019
Page 9
Note 6 - Depositary, Administrative Agent, Registrar and Transfer Agent Fees
The Management Company has appointed “BNP Paribas Securities Services, Luxembourg Branch” as depositary bank
of the Fund (hereinafter the “Depositary”), as administrative agent of the Fund (hereinafter “Administrative Agent”) as
well as registrar and transfer agent of the Fund (hereinafter “Registrar and Transfer Agent”) by way of agreements
concluded since 17 May 2010, for an unlimited period of time.
BNP Paribas Securities Services, Luxembourg Branch is entitled, in its capacity as Depositary, Administrative Agent,
Registrar and Transfer Agent to receive a fee for the performance of its duties above, as indicated in agreements. Those
fees are borne by the Management Company.
Note 7 - Swaps
Total Return Swaps
A Total Return Swap (TRS) is an agreement to exchange the total performance of a bond or other underlying asset (share,
index, etc.) for the right to make fixed or floating payments. The total performance includes the interest coupons,
dividends and profits and losses on the underlying asset over the life of the agreement, depending on the type of underlying
concerned. The risk in this type of agreement is linked to the fact that the benefit for each counterparty will depend on
how the underlying asset performs over time, which is unknown at the time at which the agreement is entered into.
MILLENIUM GARANT 80
Nominal % of net assets
engaged Counterparty Currency Maturity Sub-fund paid Sub-fund received
89 642 148 80.48%
BNP PARIBAS
SECURITIES
SERVICES PARIS,
FRANCE
EUR 01/06/2022 Nominal amount
Dynamic strategy based on BNP
PARIBAS MILLENIUM 10 EUR
SERIE 3 TR EX AGRI INDEX
Net unrealised gain
(in EUR) 21 834 138
Counterparty to Swaps contracts:
BNP Paribas SA
Note 8 - Global overview of collateral
As at 30 June 2019, the counterparties to financial instruments pledged the following collateral in favour of the Fund:
Sub-fund Currency OTC collateral* Type of collateral
MILLENIUM
GARANT 80
EUR 111 881 568 Cash
AT0000386115 - REPUBLIC OF AUSTRIA 3.900% 05-15/07/2020
DE0001134922 - BUNDESREPUBLIK DEUTSCHLAND 6.250% 94-04/01/2024
DE0001141703 - BUNDESREPUBLIK DEUTSCHLAND 0.250% 170-11/10/2019
FR0125375107 - FRENCH DISCOUNT T-BILL 0% - 29/01/2020
FR0000571085 - FRANCE O.A.T. 8.500% 92-25/04/2023
FR0010192997 - FRANCE O.A.T. 3.750% 05-25/04/2021
FR0010854182 - FRANCE O.A.T. 3.500% 10-25/04/2020
FR0011196856 - FRANCE O.A.T. 3.000% 10-25/04/2022
FR0011962398 - FRANCE O.A.T. 1.750% 92-25/04/2023
FR0011993179 - FRANCE O.A.T. 0.500% 14-25/11/2019
NL0009348242 - NETHERLANDS GOVT 3.500% 10-15/07/2020
NL0011896857 - NETHERLANDS GOVT 0.000% 16-15/01/2022
*An Haircut is applied on Bonds' collateral amount compared to the amount disclosed in Note 11.
MILLENIUM GARANT 80
Notes to the financial statements at 30/06/2019
Page 10
Note 9 - Changes in the composition of the securities portfolio
The list of changes in the composition of the securities portfolio during the period is available free of charge at the
Management Company’s registered office and from local agents.
Note 10 - Transaction fees
Transaction fees incurred by the Fund relating to purchase or sale of transferable securities, money market instruments,
derivatives or other eligible assets are mainly composed of standard fees, sundry fees on transaction, stamp fees, brokerage
fees, custody fees, VAT fees, stock exchange fees and RTO fees (Reception and Transmission of Orders).
In line with bond market practice, a bid-offer spread is applied when buying and selling these securities. Consequently,
in any given transaction, there will be a difference between the purchase and sale prices quoted by the broker, which
represents the broker’s fee.
The Fund did not bear such transactions cost for the period ended 30 June 2019.
Note 11 - Regulation on transparency of Securities Financing Transactions and Reuse
of collateral (SFTR)
This collateral applies to all OTC activity of this fund. There is no way to distinguish it upon type of instrument it is
related to.
MILLENIUM GARANT 80
Counterparty
name
Type Rating Sub-fund
Currency
Market Value
(absolute value)
Maturity Issuers
Safekeeping of
collateral
received
Safekeeping of
collateral
granted
Reinvestment
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
AA+
(S&P)
EUR 5,963,444 Above
one year REPUBLIC
OF AUSTRIA
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Cash -
EUR 21,040,000 Less than
one day None
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aaa
(Moodys) EUR 5,821,467 Above
one year
BUNDESRE-
PUBLIK
DEUTSCH-
LAND
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aaa
(Moodys) EUR 9,778,687 Three
months to
one year
BUNDESRE-
PUBLIK
DEUTSCH-
LAND
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
F1+u
(Fitch) EUR 7,903,114 Three
months to
one year
FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aa2
(Moodys) EUR 1,810,783 Above
one year FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aa2
(Moodys) EUR 17,865,570 Above
one year FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aa2
(Moodys) EUR 6,262,553 Three
months to
one year
FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aa2
(Moodys) EUR 298,729 Above
one year FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aa2
(Moodys) EUR 17,688,363 Above
one year FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aa2
(Moodys) EUR 10,858,555 Three
months to
one year
FRANCE
(GOVT OF)
BNP PARIBAS
SECURITIES
SERVICES
N/A No
MILLENIUM GARANT 80
Notes to the financial statements at 30/06/2019
Page 11
Counterparty
name
Type Rating Sub-fund
Currency
Market Value
(absolute value)
Maturity Issuers
Safekeeping of
collateral
received
Safekeeping of
collateral
granted
Reinvestment
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
Aaa
(Moodys) EUR 1,634,080 Above
one year
NETHER-
LANDS
GOVERN-
MENT
BNP PARIBAS
SECURITIES
SERVICES
N/A No
BNP PARIBAS
SECURITIES
SERVICES,
FRANCE
Other
Collateral
than cash
N/A
(Fitch) EUR 6,996,481 Above
one year
NETHER-
LANDS
GOVERN-
MENT
BNP PARIBAS
SECURITIES
SERVICES
N/A No
Total (absolute
value)
EUR 113,921,826
Data on cost and return
There are no fee sharing arrangements on Total Return Swaps and 100% of the costs/returns generated are recognised in
Fund's primary statements.
The asset managerfor a changing
world