AMUNDI DYNARBITRAGE INTERNATIONAL CONTRACTUAL-TYPE MUTUAL FUND REPORT FROM THE STATUTORY AUDITORS ON THE ANNUAL ACCOUNTS FOR THE FINANCIAL YEAR ENDING ON 31 MAY 2012 PwC Sellam, SARL, 49 - 53, avenue des Champs-Elysées 75008 Paris. T: +33 (o) 1 45 62 00 82, F: +33 (o) 1 42 89 45 28, [email protected]Statutory auditing firm, member of the Regional Institute of Paris. Limited liability company (SARL) with capital of €10,000. Registered office: 49 - 53, avenue des Champs-Elysées 75008 Paris, Paris Trade and Company Register: 453 541 450 - VAT no. FR 27 453 541 450 - Siret trade registration no.: 453 541 450 00012 - APE industry classification code: 6920 Z.
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Statutory auditing firm, member of the Regional Institute of Paris. Limited liability company (SARL) with capital of €10,000. Registered office: 49 - 53, avenue des Champs-Elysées 75008 Paris, Paris Trade and Company Register: 453 541 450 - VAT no. FR 27 453 541 450 - Siret trade registration no.: 453 541 450 00012 - APE industry classification code: 6920 Z.
AMUNDI DYNARBITRAGE INTERNATIONAL CONTRACTUAL-TYPE MUTUAL FUND
STATUTORY AUDITOR'S REPORT ON THE ANNUAL ACCOUNTS Year ended 31 MAY 2012
In fulfilment of the mission which was entrusted to us by the Board of Directors of the fund's management
company, we present our report relating to the financial year ended 31 May 2012, concerning:
– audit of the annual accounts for the mutual fund AMUNDI DYNARBITRAGE INTERNATIONAL, as
appended to this report;
– justification for our appraisals;
– the verifications and specific information provided for by the law.
The annual accounts were authorised for issue by the Fund's management company. On the basis of our audit, it is
our duty to express an opinion about said accounts.
I. - OPINION ON ANNUAL ACCOUNTS
We carried out our audit in accordance with the professional standards of conduct as applicable in France; these
standards require the implementation of procedures so as to provide reasonable assurance that the annual accounts
do not contain any significant anomalies. An audit consists of verifying by survey or by using other selection
methods, those elements which justify the sums and information featured in the annual accounts. It also consists of
assessing the accounting principles followed, any significant estimates made and the presentation of the accounts
as a whole. We consider that the elements we have gathered are of a sufficient and appropriate nature to serve as
the basis for our opinion.
We certify that the annual accounts are, with regard to French accounting principles and rules, regular and
accurate, and give a faithful image of the result of transactions occurring during the financial year in question, as
well as of the financial position and net asset situation of the mutual fund at the close of the financial year.
II. - EXPLANATION OF APPRAISAL
Pursuant to the provisions of Article L. 823-9 of the Commercial Code, relating to the justification of our
assessment, we would like to draw the following to your attention:
The assessment methods for financial instruments, as described in the notes, along with the annual accounts that
are presented, were drawn up according to the principles, rules and specific accounting methods applicable to
UCITS, as laid down by the decree of 16 December 2003. PwC Sellam, SARL, 49 - 53, avenue des Champs-Elysées 75008 Paris.
T: +33 (o) 1 45 62 00 82, F: +33 (o) 1 42 89 45 28, [email protected] Statutory auditing firm, member of the Regional Institute of Paris. Limited liability company (SARL) with capital of €10,000. Registered office: 49 - 53, avenue des Champs-Elysées 75008 Paris, France. Paris Trade and Company Register: 453 541 450 - VAT no. FR 27 453 541 450 - Siret trade registration no.: 453 541 450 00012 - APE industry classification code: 6920 Z.
Statutory auditing firm, member of the Regional Institute of Paris. Limited liability company (SARL) with capital of €10,000. Registered office: 49 - 53, avenue des Champs-Elysées 75008 Paris, France. Paris Trade and Company Register: 453 541 450 - VAT no. FR 27 453 541 450 - Siret trade registration no.: 453 541 450 00012 - APE industry classification code: 6920 Z.
Not traded on a regulated market or related market 0,00 0,00
Undertakings for collective investment 7 794 980,83 10 420 761,72
European coordinated UCITS and French general UCITS 7 794 980,83 7 156 036,78 UCITS reserved for certain investors - Venture capital mutual funds - Managed futures funds 0,00 3 264 724,94
Listed SPVs and Investment funds 0,00 0,00
Non-quoted SPVs and Investment funds 0,00 0,00
Temporary transactions on securities 1 301 294,71 3 702 415,26
Debts representing securities received under repurchase agreement 0,00 0,00
The annual accounts are drawn up in line with the provisions laid down in the rules of the accounting regulation committee no. 2003-02 as amended, relating to the chart of accounts for UCITS. The general accounting principles apply: - faithful image, comparable nature, going concern; - regularity and accuracy; - prudence; and - consistency of methods from one financial year to the next. The selected accounting method used to record proceeds from fixed-income securities is that of interest collected. Purchases and sales of securities are recorded exclusive of costs.
The reference currency for the portfolio accounting is the euro. The length of the financial year is 12 months.
Valuation Rules for Assets Financial instruments are recorded for accounting purposes according to the historical cost method, and entered on the balance sheet at their current value, which is determined using the last known market value or, should no market exist, by all external means or using financial models. Differences between current values used to calculate the net asset value and historical cost of securities upon entering the portfolio are recorded in a "Valuation differentials" account. Securities not in the portfolio currency are assessed according to the principle outlined above, then converted into the portfolio currency at the currency value prevailing on the valuation date.
Deposits: Deposits with a residual maturity of less than or equal to 3 months are valued using the straight-line method.
Equities, bonds and other securities traded on a regulated market or related market:
For the calculation of the net asset value, equities and other securities traded on a regulated market or related market, are assessed on the basis of the last stock market price of the day. Bonds and related securities are assessed at the closing price sent by various financial service providers. Interest accrued on bonds and related securities is calculated until the net asset value date.
Equities, bonds and other securities not traded on a regulated market or related market:
Securities that are not traded on a regulated market are valued under the Management Company's responsibility using methods based on the market value and the yield, while taking account of recent prices observed for significant transactions.
Transferable debt securities: Transferable debt securities and related securities which are not subject to major transactions are valued using an actuarial method, on the basis of a reference rate defined below, which is increased, if appropriate, by a differential representative of the intrinsic characteristics of the issuer: Debt securities with a maturity less than or equal to 1 year: Interbank rate in euro (Euribor) Debt securities with a maturity exceeding 1 year: Short-dated government bond rate (BTAN) or OAT (Fungible Treasury Bond) with similar maturity dates for the longer durations. Transferable debt securities with a residual maturity of less than 3 months may be valued by the straight-line method.
Treasury Bills are valued on the basis of market prices, as published daily by the Bank of France.
UCITS held: UCITS shares or units will be valued at the last known net asset value.
Temporary transactions on securities: Securities received under repurchase agreements are recorded under the heading "Debts representing securities received under repurchase agreements" for the sum scheduled in the agreement, with the addition of accrued interest to be received. Securities delivered under repurchase agreements are recorded in the investment portfolio at their current value. Liabilities representing securities delivered under repurchase agreements are recorded in the disinvestment portfolio, at the value determined on the contract date, with the addition of accrued interest payable. Lent securities are valued at their current value and are recorded on the asset side under the heading "Debts representing lent securities" at the current value with the addition of accrued interest to be received. Borrowed securities are listed on the asset side under the heading "borrowed securities" for the sum scheduled in the agreement, and on the liabilities side under the heading "debts representing borrowed securities" for the sum scheduled in the agreement, with the addition of accrued interest to pay.
Futures:
Forward-based financial instruments traded on a regulated market or related market:
Futures traded on regulated markets are valued at the settlement price for the day.
Futures not traded on a regulated market or related market:
Swaps: Interest rate and/or currency swaps are valued at their market value using the price calculated by the interest flow method at the interest rate and/or currency exchange rate prevailing on the market. This price is adjusted to the issuer's risk. Index swaps are assessed actuarially on the basis of a benchmark rate provided by the counterparty. Other swaps are assessed at their market value or a value estimated according to the procedures laid down by the Management Company.
Off-balance sheet liabilities: Futures contracts are recorded at their market value as off-balance sheet liabilities at the price used in the portfolio. Options are converted into the underlying equivalent. Foreign-exchange contract commitments are presented at their nominal value, or in the absence of a nominal value, at an equivalent amount.
Management fees Management fees are calculated at each net asset valuation. These fees are charged to the UCITS statement of operations. Management fees are fully paid to the management company which is responsible for all UCITS running costs. Management fees do not include transaction fees. The rate applied is 0.80%, including taxes, based on net assets. The performance fee is based on the comparison between the portfolio's valued assets (after fixed management fees) and the "benchmark assets". These benchmark assets represent the portfolio's assets, after taking account of subscription/redemption amounts on each valuation, and valued according to the performance of the benchmark index (benchmark index). The benchmark rate is equal to the EONIA, capitalised daily and increased by four percentage points annually. The performance of the mutual fund is calculated according to the evolution of the net asset value.
The observation period will begin when the first net asset value is calculated for March and will end on the last net asset value calculated for the following February each year. If, over the observation period, the fund's valued assets are greater than the benchmark assets defined above, the variable component of management fees will represent maximum 30% of the variation in the two asset figures. If, over the observation period, the valued assets of the fund are less than those of the benchmark assets then the variable component of management fees will be zero. If over the observation period, the Fund's valued assets are greater than the benchmark assets, then this variation will be subject to a provision for variable management fees when the net asset value is calculated. In the event that the Fund's valued assets are lower than those of the benchmark index between two net asset values, any provision previously transferred will be adjusted via a recovery on provision. Reversals of provisions may not exceed the sum of the prior allocations. This variable share will only be definitively recognised at the end of each observation period if – over the year elapsed – the mutual fund's performance is greater than the benchmark rate. In case of redemption, the proportion of the accrued provision corresponding to the number of units redeemed is immediately deducted by the management company.
Profit allocation
Net profit for the financial year is equal to the sum of interest, arrears, premiums and units, and dividends, plus the financial charges on this income. Unrealised capital gains or losses and subscription and redemption commissions do not represent income.
The amounts available for distribution equal the net profit for the financial year, with the inclusion of any balance carried forward and with the addition or reduction of those income equalisation accounts relating to the financial year ended. In line with the provisions set out in the full prospectus, the UCITS will fully capitalise any amounts available for distribution.
3.1. BREAKDOWN BY LEGAL OR ECONOMIC TYPE OF FINANCIAL
INSTRUMENT
Amount %
Assets
Bonds and related securities
Mortgages traded on a regulated market or related market 501 541,45 0,60 Fixed rate bonds traded on a regulated market or related market 23 509 001,68 28,08 Variable/floating-rate bonds traded on a regulated market or related market 2 233 070,36 2,67
TOTAL Bonds and related securities 28 243 613,49 31,35 Debt securities
Treasury Certificates 11 996 811,56 14,33 Foreign transferable debt securities apart from Euro Commercial Paper (ECP) 6 996 508,84 8,36
TOTAL Debt securities 18 993 320,40 22,69
Liabilities
Sale transactions of financial instruments
TOTAL Sale transactions of financial instruments 0,00 0,00