BNP Paribas Plan SICAV - FONDS professionell

BNP Paribas Plan
Table of contents
Page 1
Organisation 3 Information 4 Financial statements at 30/04/2015 6 Key figures relating to the last 3 years 13 Securities portfolio at 30/04/2015
Easy Future 2018 18 Easy Future 2021 19 Easy Future 2023 20 Easy Future 2026 21 Easy Future 2028 22 Easy Future 2033 23 Easy Future 2038 24 Easy Future 2043 25 International Derivatives Fund 26 Pension Bond 2015 27 Pension Bond 2020 28 Pension Bond 2025 29 Pension Bond 2030 30 Pension Bond 2035 31 Pension Bond 2040 32 Pension Return Fund 33 Target Click Fund 2015 34 Target Click Fund 2016 35 Target Click Fund 2017 36 Target Click Fund 2018 37 Target Click Fund 2019 38 Target Click Fund 2020 39 Target Click Fund 2021 40 Target Click Fund 2022 41 Target Click Fund 2023 42 Target Click Fund 2024 43 Target Click Fund 2025 44 Target Click Fund 2030 45 Target Click Fund 2035 46 Target Click Fund 2040 47 Target Click Fund 2042 48
BNP Paribas Plan
Table of contents
Notes to the financial statements 49
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.
BNP Paribas Plan
Page 3
Registered office of the Company 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg
Board of Directors Chairman
Mr. Marc RAYNAUD, Head of Global Fund Solutions, BNP Paribas Investment Partners, Paris
Members
Mrs. Marianne DEMARCHI, Head of Group Networks, BNP Paribas Investment Partners, Paris
Mr. Anthony FINAN, Deputy-Head of Distributors Business Line, BNP Paribas Investment Partners, Paris
Mr. Pierre PICARD, Deputy Head of Group Networks, BNP Paribas Investment Partners, Paris
Mr. Bruno PIFFETEAU, Chief Operating Officer, Global Fund Solutions, BNP Paribas Investment Partners, Paris
Company Secretary
Mrs. Claire COLLET-LAMBERT, Head of Fund Legal, BNP Paribas Investments Partners Luxembourg, Hesperange
Management Company BNP Paribas Investment Partners Luxembourg, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg
BNP Paribas Investment Partners Luxembourg is a Management Company as defined by Chapter 15 of the Luxembourg Law of 17 December 2010, concerning Undertakings for Collective Investment, as amended.
In this capacity, the Management Company exercises the functions of administration, portfolio management and marketing.
The responsibilities for calculating net asset values, of transfer agent and registrar are delegated to:
BNP Paribas Securities Services, Luxembourg Branch, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg
Effective Investment Managers • BNP Paribas Investment Partners Belgium, Rue du Progrès, 55, B-1210 Brussels, Belgium • BNP Paribas Investment Partners Netherlands N.V., Herengracht 595, PO box 71770, NL-1008 DG Amsterdam,
The Netherlands • BNP Paribas Investment Partners UK Ltd., 5 Aldermanbury Square, London EC2V 7BP, United Kingdom • THEAM S.A.S., 1 Boulevard Haussmann, F-75009 Paris, France
Those entities are investment managers from the BNP Paribas Group.
Depositary/Paying Agent BNP Paribas Securities Services, Luxembourg Branch, 33 Rue de Gasperich, L-5826 Hesperange, Grand Duchy of Luxembourg
Independent Auditor Ernst & Young S.A., 7 Rue Gabriel Lippmann, Parc d’Activité Syrdall 2, L-5365 Munsbach, Grand Duchy of Luxembourg
Guarantor BNP PARIBAS, 16 Boulevard des Italiens, F-75009 Paris, France
BNP Paribas Plan
Page 4
Principal features
BNP Paribas Plan (the “Company” or “SICAV”) is an open-ended investment company (Société d’Investissement à Capital Variable – abbreviated to “SICAV”), incorporated on 7 August 2000 for an indefinite period under the name “ABN AMRO Target Click Funds”, in accordance with the provisions of Part II of the Luxembourg Law of 30 March 1988 governing undertakings for collective investment. It was renamed “ABN AMRO Structured Investments Funds” on 27 January 2006, “Fortis Plan” on 3 October 2008 and “BNP Paribas Plan” on 1 June 2010.
The Company is currently governed by the provisions of part I of the Law of 17 December 2010, as amended governing undertakings for collective investment as well as by European Directive 2009/65 (UCITS IV).
There is no cross-liability between sub-funds. Each sub-fund is exclusively responsible for those liabilities attributable to it, the claim of any third party against a sub-fund can only be made against the assets of that sub-fund.
The Articles of Association of the SICAV have been filed with the registrar of the District Court of Luxembourg, where any interested party may consult them and obtain a copy. They were last modified on 16 September 2011 and were published in the Mémorial, Recueil des Sociétés et Associations on 3 October 2011.
The SICAV is registered in the Luxembourg Trade Register under the number B 77 227.
The Articles of Association, the Prospectus, the KIID and periodic reports may be consulted at the Company’s registered office and at the establishments responsible for the Company’s financial service. Copies of the Articles of Association and the annual and interim reports are available upon request.
Information on changes to the Company will be published in the Luxemburger Wort newspaper and in any other newspapers deemed appropriate by the Board of Directors in countries in which the Company publicly markets its shares.
Documents and information are also available on the website: www.bnpparibas-ip.com.
As to net asset values, the Company publishes the legally required information in the Grand Duchy of Luxembourg and in all other countries where the shares are publicly offered.
This information is also available on the website: www.bnpparibas-ip.com.
Purpose of the SICAV
The SICAV’s purpose is to manage its capital for the benefits of its Shareholders. Sub-funds within the SICAV invest in a variety of transferable securities, money market instruments, units or shares of UCIs, credit institution deposits and derivative instruments denominated in various currencies and issued in different countries, using the principle of risk spreading, and have the general investment goal of seeking the best possible result.
a) Guaranteed sub-funds
The guaranteed sub-funds Target Click Fund 2015 to 2042 provide a guarantee in their respective reference currency which is issued by BNP PARIBAS (the “Guarantor”) and will be effective on the maturity date of each Guaranteed sub- fund. They guarantee the agreed upon Guaranteed Value to investors at the respective maturity date of the sub-funds; this applies to the outstanding shares at that date. BNP Paribas will only issue a guarantee in the sub-funds which have a maturity less than 10 years; greater than 10 years there will be a guarantee for current investors only. As a result of this, the Board resolved on 1 August 2012 to block all subscription done on the sub-funds with a maturity date higher than 2023. This applies to the following sub-funds: Target Click Fund 2024 to 2042. However, investors holding shares in the above mentioned sub-funds will still be authorized to buy additional shares but only by using the same accounts. Each Guaranteed Fund has a specified life span and invests in progressively lower risk investments as its Maturity Date approaches. Therefore, the asset allocation of the guaranteed funds is expected to change over time.
The guaranteed sub-funds Easy Future 2018 to 2043 provide a guarantee in their respective reference currency which is issued by BNP PARIBAS (the “Guarantor”) and will be effective on the maturity date of each Guaranteed sub-fund.
BNP Paribas Plan
Guarantee
The Guarantor will guarantee the Guaranteed Value to investors at the respective Maturity Date of each Guaranteed Fund. The Guarantee will apply to all Shares outstanding on the Maturity Date. In case of a call of the Guarantee, the Guarantor will pay the Company on behalf of the relevant shareholders of any Guaranteed Fund the Total Amount Callable within 15 Business Days upon receipt of a drawing certificate (the “Drawing Certificate”) to be issued by the Company no later than 5 Business Days after the Maturity Date.
The Guarantee shall be payable to any Guaranteed Fund as from the Maturity Date only. See below in the event the Company or any Guaranteed Fund is liquidated before its Maturity Date. Shareholders, who redeem their Shares on a date other than the Maturity Date, will be paid the NAV per Share on the date of such redemption.
The Guarantor reserves the right to terminate the Guarantee
(i) in the event where the Board of Directors of the Company is no longer composed of a majority of representatives of the BNP Paribas Group for reasons other than voluntary resignation;
(ii) if the Management Company is replaced by a company chosen from outside the BNP Paribas Group without the consent of the Guarantor (provided that the Guarantor will not unreasonably withhold its consent regarding the replacement);
(iii) if the Management Company and/or the Investment Manager is no longer directly or indirectly controlled by the Guarantor.
b) Derivative sub-fund
The “International Derivatives Fund” (the “Derivatives Fund”) aims to provide its investors with capital growth through investment in a quantitatively and dynamically managed portfolio of derivatives based on international equities and equity indices. To this end, the Derivatives Fund will invest in options and futures, both listed and over-the-counter (OTC), as the Investment Manager deems appropriate. The Derivatives Fund may also invest in other derivatives such as swaps and forward foreign exchange contracts.
c) Pension sub-funds
The Pension Bond 2015 to 2040 sub-funds aim to achieve a return comparable to or higher than a Synthetic Zero Coupon Bond maturing on the maturity date of each respective Pension sub-fund and returning a yield similar to a basket of high quality European government bonds.
These sub-funds invests at least two-thirds of their assets in Investment Grade bonds and/or securities treated as equivalent denominated in EUR, and also in interest rate derivatives or other derivatives on this type of asset.
The remainder, namely one-third of their assets maximum, may be invested in any other transferable securities, money market instruments, derivatives and/or cash, and also, within a limit of 10% of the assets, in UCITS or UCI.
The “Pension Return Fund” invests in UCITS and/or UCI which invest in equities, debt securities, other transferable securities, money market instruments, financial derivative instruments on this type of asset, financial derivative instruments based on commodities indices, and real estate indices, in order to achieve maximum profitability for the risk incurred.
When the investment in UCITS and/or UCI is not considered attractive, the sub-fund may be invested directly in underlying targeted assets except those relating to the exposure on commodities and real estate.
Emphasis is placed on international diversification of investments with a long term target risk profile comparable to global equities. For effective portfolio management the manager may vary the actual asset class weightings based on market conditions and his forecasts. The sub-fund will mainly apply “long-only” strategies so that no leverage will be created.
BNP Paribas Plan
Financial statements at 30/04/2015
The accompanying notes form an integral part of these financial statements Page 6
Easy Future 2018 Easy Future 2021 Easy Future 2023 Easy Future 2026
Expressed in EUR EUR EUR EUR Notes
Statement of net assets Assets 3 773 832 8 713 854 5 880 396 3 685 161
Securities portfolio at cost price 2 595 803 5 759 793 3 700 030 2 691 507 Unrealised gain/(loss) on securities portfolio 24 063 37 530 25 287 34 922
Securities portfolio at market value 2 619 866 5 797 323 3 725 317 2 726 429 Options at market value 2,9 0 0 0 0 Net Unrealised gain on financial instruments 2,7,8 225 080 1 116 037 1 043 099 868 877 Cash at banks and time deposits 2,7,12 928 886 1 800 494 1 111 980 89 355 Other assets 0 0 0 500
Liabilities 3 739 6 895 4 929 13 342 Bank overdrafts 0 0 0 0 Other liabilities 3 739 6 895 4 929 13 342
Net asset value 3 770 093 8 706 959 5 875 467 3 671 819 Statement of operations and changes in net assets
Income on investments and assets 58 218 252 85 Management fees 3 13 997 34 111 27 744 14 537 Bank interest 0 0 0 6 Other fees 4 6 300 10 660 8 614 3 456 Taxes 5 3 962 6 968 5 449 2 294 Transaction fees 11 0 0 0 0
Total expenses 24 259 51 739 41 807 20 293
Net result from investments (24 201) (51 521) (41 555) (20 208)
Net realised result on: Investments securities 40 668 35 767 40 899 1 635 Financial instruments 150 150 (56 450) 493 311 (46 957)
Net realised result 166 617 (72 204) 492 655 (65 530) Movement on net unrealised gain/loss on:
Investments securities (22 514) (14 372) (27 418) 8 069 Financial instruments (93 391) 197 131 (216 482) 235 780
Change in net assets due to operations 50 712 110 555 248 755 178 319
Net subscriptions/(redemptions) (2 320 889) 913 703 (2 446 342) 273 291 Increase/(Decrease) in net assets during the year/period
(2 270 177) 1 024 258 (2 197 587) 451 610
Net assets at the beginning of the financial year/period
6 040 270 7 682 701 8 073 054 3 220 209
Net assets at the end of the financial year/period
3 770 093 8 706 959 5 875 467 3 671 819
BNP Paribas Plan
Easy Future 2028 Easy Future 2033 Easy Future 2038 Easy Future 2043 International Derivatives Fund Pension Bond 2015
EUR EUR EUR EUR EUR EUR 4 291 764 4 233 873 4 291 075 5 740 271 75 427 699 802 057 2 971 083 2 690 446 2 498 361 3 020 717 63 678 689 644 942
38 212 36 751 36 213 33 684 341 661 (20 378) 3 009 295 2 727 197 2 534 574 3 054 401 64 020 350 624 564
0 0 0 0 10 515 0 1 161 844 1 422 280 1 666 059 2 461 827 751 469 0
89 348 84 396 90 437 212 445 10 454 792 166 686 31 277 0 5 11 598 190 573 10 807 21 587 13 734 16 025 69 346 441 643 163 624
0 0 0 0 158 649 0 21 587 13 734 16 025 69 346 282 994 163 624
4 270 177 4 220 139 4 275 050 5 670 925 74 986 056 638 433
101 111 119 166 0 10 272 17 271 16 140 15 768 23 147 473 938 0
2 2 2 13 2 137 0 3 968 3 931 3 962 5 019 21 205 779 2 642 2 621 2 644 3 399 8 929 43
0 0 0 0 40 724 0 23 883 22 694 22 376 31 578 546 933 822
(23 782) (22 583) (22 257) (31 412) (546 933) 9 450
0 0 0 4 038 16 915 (6 333)
(60 261) (56 727) (34 127) (229 519) 12 999 243 0 (84 043) (79 310) (56 384) (256 893) 12 469 225 3 117
10 845 9 898 9 411 6 831 71 456 (3 639) 346 138 494 919 610 640 1 050 542 57 780 0 272 940 425 507 563 667 800 480 12 598 461 (522) 297 334 209 663 128 339 618 363 (800 172) (263 501)
570 274 635 170 692 006 1 418 843 11 798 289 (264 023)
3 699 903 3 584 969 3 583 044 4 252 082 63 187 767 902 456
4 270 177 4 220 139 4 275 050 5 670 925 74 986 056 638 433
BNP Paribas Plan
Pension Bond 2020 Pension Bond 2025 Pension Bond 2030 Pension Bond 2035
Securities portfolio at market value 3 271 028 3 190 169 4 355 652 3 792 179 Options at market value 2,9 0 0 0 0 Net Unrealised gain on financial instruments 2,7,8 0 0 0 0 Cash at banks and time deposits 2,7,12 13 003 57 518 53 873 67 949 Other assets 49 224 24 114 24 056 10 092
Liabilities 501 503 798 678 Bank overdrafts 0 0 0 0 Other liabilities 501 503 798 678
Income on investments and assets 34 860 24 232 28 647 11 964 Management fees 3 3 29 724 523 Bank interest 0 0 0 0 Other fees 4 2 698 2 915 3 132 2 833 Taxes 5 164 175 209 187 Transaction fees 11 0 0 0 0
Total expenses 2 865 3 119 4 065 3 543
Net result from investments 31 995 21 113 24 582 8 421
Net realised result on: Investments securities 2 274 45 373 130 570 144 906 Financial instruments 0 0 0 0
Net realised result 34 269 66 486 155 152 153 327 Movement on net unrealised gain/loss on:
Investments securities 9 102 185 169 305 662 444 696 Financial instruments 0 0 0 0
Net subscriptions/(redemptions) 1 006 704 176 878 1 277 117 723 898 Increase/(Decrease) in net assets during the year/period
1 050 075 428 533 1 737 931 1 321 921
2 282 679 2 842 765 2 694 852 2 547 621
3 332 754 3 271 298 4 432 783 3 869 542
BNP Paribas Plan
Pension Bond 2040 Pension Return Fund
Target Click Fund 2015
EUR EUR EUR EUR EUR EUR 2 001 311 1 826 100 23 228 030 11 682 455 18 562 299 16 617 414 1 168 429 1 448 078 18 555 573 9 606 784 14 666 654 13 238 691
817 232 375 616 335 204 270 737 371 634 305 979 1 985 661 1 823 694 18 890 777 9 877 521 15 038 288 13 544 670
0 0 0 0 0 0 0 0 154 604 1 392 2 221 1 992
13 207 2 399 4 180 453 1 803 276 3 520 617 3 070 360 2 443 7 2 196 266 1 173 392
440 509 75 860 35 152 317 779 436 241 0 0 0 10 548 0 0
440 509 75 860 24 604 317 779 436 241 2 000 871 1 825 591 23 152 170 11 647 303 18 244 520 16 181 173
4 042 73 12 7 12 16 1 177 2 103 15 971 7 677 8 235 12 603
0 7 163 1 68 59 1 507 635 27 380 13 270 37 765 34 095
105 54 15 666 7 646 12 199 10 858 0 246 20 19 71 46
2 789 3 045 59 200 28 613 58 338 57 661
1 253 (2 972) (59 188) (28 606) (58 326) (57 645)
245 561 138 482 78 519 7 880 45 685 51 103
0 (129) (21 685) 23 313 550 188 560 170 246 814 135 381 (2 354) 2 587 537 547 553 628
307 647 133 497 (14 890) 27 734 7 913 (2 915) 0 0 42 772 (854) (486 405) (466 485)
554 461 268 878 25 528 29 467 59 055 84 228 (659 948) (304 273) (3 099 230) (360 511) (1 484 964) (1 135 625)
(105 487) (35 395) (3 073 702) (331 044) (1 425 909) (1 051 397)
2 106 358 1 860 986 26 225 872 11 978 347 19 670 429 17 232 570
2 000 871 1 825 591 23 152 170 11 647 303 18 244 520 16 181 173
BNP Paribas Plan
Target Click Fund
Securities portfolio at market value 14 097 651 30 520 924 11 201 652 21 007 682 Options at market value 2,9 0 0 0 0 Net Unrealised gain on financial instruments 2,7,8 1 695 3 577 1 343 2 531 Cash at banks and time deposits 2,7,12 119 614 47 808 134 916 428 813 Other assets 134 9 952 536 139
Liabilities 44 943 26 602 6 803 22 112 Bank overdrafts 0 0 0 0 Other liabilities 44 943 26 602 6 803 22 112
Income on investments and assets 0 22 7 281 Management fees 3 7 130 22 694 11 345 117 384 Bank interest 0 16 0 0 Other fees 4 28 937 61 400 23 022 42 923 Taxes 5 9 266 19 615 7 381 13 792 Transaction fees 11 83 130 68 35
Total expenses 45 416 103 855 41 816 174 134
Net result from investments (45 416) (103 833) (41 809) (173 853)
Net realised result on: Investments securities 55 000 115 690 36 525 47 674 Financial instruments 1 524 357 993 030 227 987 2 190 507
Net realised result 1 533 941 1 004 887 222 703 2 064 328 Movement on net unrealised gain/loss on:
Investments securities (7 745) (9 575) 3 046 21 715 Financial instruments (1 391 986) (608 957) (30 019) (1 677 592)
Net subscriptions/(redemptions) (464 561) (1 151 276) (322 173) 247 584 Increase/(Decrease) in net assets during the year/period
(330 351) (764 921) (126 443) 656 035
14 504 502 31 320 580 11 458 087 20 761 018
14 174 151 30 555 659 11 331 644 21 417 053
BNP Paribas Plan
EUR EUR EUR EUR EUR EUR
20 475 865 13 198 383 73 524 229 66 259 510 33 520 346 8 571 821 19 932 317 12 909 193 71 950 333 63 857 727 32 638 538 8 393 936
541 053 287 378 1 487 677 1 251 102 496 937 110 750 20 473 370 13 196 571 73 438 010 65 108 829 33 135 475 8 504 686
0 0 0 0 0 0 2 426 1 547 8 997 3 410 1 008 252
0 0 31 155 1 117 727 359 373 62 250 69 265 46 067 29 544 24 490 4 633
175 209 71 578 106 478 74 520 41 767 6 384 120 075 59 023 0 0 0 0
55 134 12 555 106 478 74 520 41 767 6 384 20 300 656 13 126 805 73 417 751 66 184 990 33 478 579 8 565 437
268 154 972 1 228 655 171 109 153 70 077 401 632 409 849 194 276 48 406
13 7 3 145 28 53 38 211 24 543 140 420 126 217 57 093 15 227 13 165 8 468 48 117 40 808 19 940 4 952
50 42 53 314 152 57 160 592 103 137 590 225 577 333 271 489 68 695
(160 324) (102 983) (589 253) (576 105) (270 834) (68 524)
2 305 (9 620) 220 594 1 059 650 1 101 042 368 875
2 101 698 1 348 920 9 624 449 12 187 512 7 267 232 2 033 556 1 943 679 1 236 317 9 255 790 12 671 057 8 097 440 2 333 907
65 412 47 386 (15 107) (791 952) (808 207) (266 308) (1 496 657) (897 634) (6 495 759) (5 745 271) (2 636 232) (611 871)
512 434 386 069 2 744 924 6 133 834 4 653 001 1 455 728 122 789 171 372 (1 725 223) 2 557 310 1 729 577 663 214
635 223 557 441 1 019 701 8 691 144 6 382 578 2 118 942
19 665 433 12 569 364 72 398 050 57 493 846 27 096 001 6 446 495
20 300 656 13 126 805 73 417 751 66 184 990 33 478 579 8 565 437
BNP Paribas Plan
Target Click Fund 2042 Consolidated
Expressed in EUR EUR Notes
Statement of net assets Assets 28 171 030 526 966 599
Securities portfolio at cost price 27 304 407 473 606 024 Unrealised gain/(loss) on securities portfolio 396 190 11 388 378
Securities portfolio at market value 27 700 597 484 994 402 Options at market value 2,9 0 10 515 Net Unrealised gain on financial instruments 2,7,8 850 10 904 417 Cash at banks and time deposits 2,7,12 464 549 30 577 679 Other assets 5 034 479 586
Liabilities 22 863 2 222 584 Bank overdrafts 0 348 295 Other liabilities 22 863 1 874 289
Net asset value 28 148 167 524 744 015 Statement of operations and changes in net assets
Income on investments and assets 660 119 665 Management fees 3 160 925 2 238 569 Bank interest 82 2 807 Other fees 4 50 053 802 170 Taxes 5 16 233 287 951 Transaction fees 11 240 42 350
Total expenses 227 533 3 373 847
Net result from investments (226 873) (3 254 182)
Net realised result on: Investments securities 1 385 982 5 407 659 Financial instruments 6 503 753 60 273 521
Net realised result 7 662 862 62 426 998
Movement on net unrealised gain/loss on:
Investments securities (1 002 883) (1 312 036) Financial instruments (1 725 238) (21 545 131)
Change in net assets due to operations 4 934 741 39 569 831
Net subscriptions/(redemptions) 1 852 482 (3 569 070)
Increase/(Decrease) in net assets during the year/period 6 787 223 36 000 761
Net assets at the beginning of the financial year/period 21 360 944 488 743 254
Net assets at the end of the financial year/period 28 148 167 524 744 015
BNP Paribas Plan
Key figures relating to the last 3 years
Easy Future 2018 EUR EUR EUR Number of shares 31/10/2013 31/10/2014 30/04/2015 30/04/2015
Net assets 2 554 117 6 040 270 3 770 093
Net asset value per share Share “Classic - Capitalisation” 102.08 105.28 105.80 14 868.510 Share “Privilege - Capitalisation” 100.31 103.88 104.59 21 006.920
Net assets 2 592 437 7 682 701 8 706 959
Net assets 2 612 657 8 073 054 5 875 467
Net assets 2 630 521 3 220 209 3 671 819
Net assets 2 636 455 3 699 903 4 270 177
Net assets 2 636 388 3 584 969 4 220 139
Net assets 2 628 570 3 583 044 4 275 050
Net asset value per share Share “Classic - Capitalisation” 105.10 141.87 163.35 624.000 Share “Privilege - Capitalisation” 88.83 120.94 139.83 29 844.580
BNP Paribas Plan
Net assets 2 620 114 4 252 082 5 670 925
International Derivatives Fund EUR EUR EUR Number of shares 31/10/2013 31/10/2014 30/04/2015 30/04/2015
Net assets 53 385 938 63 187 767 74 986 056
Net asset value per share Share “Classic - Capitalisation” 10.42 11.93 14.14 660 627.660 Share “I - Capitalisation” 12.05 14.24 17.14 3 831 128.520
Pension Bond 2015 EUR EUR EUR Number of shares 31/10/2013 31/10/2014 30/04/2015 30/04/2015
Net assets 900 672 902 456 638 433
Net asset value per share Share “I - Capitalisation” 100.17 101.04 101.19 1.000 Share “Privilege - Capitalisation” 0 100.52 100.64 1.000 Share “X - Capitalisation” 100.06 100.25 100.19 6 370.190
Net assets 910 007 2 282 679 3 332 754
Net assets 912 602 2 842 765 3 271 298
Net assets 910 937 2 694 852 4 432 783
Net asset value per share Share “I - Capitalisation” 101.29 122.45 141.00 3 705.840 Share “Privilege - Capitalisation” 0 116.29 134.40 1.000 Share “X - Capitalisation” 101.20 122.42 141.14 27 704.180
BNP Paribas Plan
Net assets 907 289 2 547 621 3 869 542
Net assets 904 833 2 106 358 2 000 871
Pension Return Fund EUR EUR EUR Number of shares 31/10/2013 31/10/2014 30/04/2015 30/04/2015
Net assets 930 498 1 860 986 1 825 591
Net asset value per share Share “I - Capitalisation” 103.35 117.53 137.97 13 229.920 Share “Privilege - Capitalisation” 0 112.28 131.74 1.000 Share “X - Capitalisation” 103.38 118.07 138.84 1.000
Target Click Fund 2015 EUR EUR EUR Number of shares 31/10/2013 31/10/2014 30/04/2015 30/04/2015
Net assets 31 276 747 26 225 872 23 152 170
Net asset value per share Share “Classic - Capitalisation” 64.16 64.47 64.54 358 725.910
Net assets 13 756 367 11 978 347 11 647 303
Net assets 26 926 373 19 670 429 18 244 520
Net assets 22 194 084 17 232 570 16 181 173
BNP Paribas Plan
Net assets 31 402 811 14 504 502 14 174 151
Net assets 39 833 461 31 320 580 30 555 659
Net assets 20 752 914 11 458 087 11 331 644
Net assets 31 401 268 20 761 018 21 417 053
Net assets 19 760 332 19 665 433 20 300 656
Net assets 11 635 418 12 569 364 13 126 805
Net assets 16 446 074 72 398 050 73 417 751
Net asset value per share Share “Classic - Capitalisation” 60.01 66.61 69.12 1 062 116.980
Net assets 12 900 000 57 493 846 66 184 990
BNP Paribas Plan
Net assets 9 239 484 27 096 001 33 478 579
Net assets 2 853 872 6 446 495 8 565 437
Net assets 17 558 524 21 360 944 28 148 167
BNP Paribas Plan Easy Future 2018
Securities portfolio at 30/04/2015 Expressed in EUR
Quantity Denomination Quotation currency Market value % of net assets
Shares/Units in investment funds 2 619 866 69.49
France 2 518 510 66.80 647.04 THEAM I KLE GESTION EURIBOR - 2 A EUR 676 261 17.93 646.22 THEAM I KLE GESTION EURIBOR - 3 A EUR 675 125 17.91 575.39 THEAM I KLE GESTION EURIBOR - 4 A EUR 597 462 15.85 548.58 THEAM I KLE GESTION EURIBOR - 5 A EUR 569 662 15.11
Luxembourg 101 356 2.69 0.30 PARWORLD MULTI-ASSET BOOSTER - I - CAP EUR 94 151 2.50 0.08 PARWORLD MULTI-STRATEGY HIGH VOL - I - CAP EUR 7 205 0.19
Total securities portfolio 2 619 866 69.49
France 5 411 193 62.14 1 366.04 THEAM I KLE GESTION EURIBOR - 2 A EUR 1 427 730 16.40 1 413.24 THEAM I KLE GESTION EURIBOR - 3 A EUR 1 476 457 16.95 1 377.39 THEAM I KLE GESTION EURIBOR - 4 A EUR 1 430 227 16.42 1 036.93 THEAM I KLE GESTION EURIBOR - 5 A EUR 1 076 779 12.37
France 3 321 694 56.53 871.04 THEAM I KLE GESTION EURIBOR - 2 A EUR 910 376 15.49 919.24 THEAM I KLE GESTION EURIBOR - 3 A EUR 960 361 16.35 878.39 THEAM I KLE GESTION EURIBOR - 4 A EUR 912 085 15.52 518.93 THEAM I KLE GESTION EURIBOR - 5 A EUR 538 872 9.17
France 2 726 429 74.25 347.66 THEAM F AGE 1 FCP EUR 351 943 9.58 347.66 THEAM F AGE 2 FCP EUR 351 943 9.58 483.25 THEAM I KLE GESTION EURIBOR - 2 A EUR 505 074 13.76 483.43 THEAM I KLE GESTION EURIBOR - 3 A EUR 505 049 13.75 487.39 THEAM I KLE GESTION EURIBOR - 4 A EUR 506 089 13.78 487.59 THEAM I KLE GESTION EURIBOR - 5 A EUR 506 331 13.80
BNP Paribas Plan International Derivatives Fund
Money Market Instruments 26 600 134 35.48
Italy 17 599 774 23.48 4 500 000 ITALY BOTS 0.000% 14-14/05/2015 EUR 4 500 000 6.00 2 300 000 ITALY BOTS 0.000% 14-14/07/2015 EUR 2 299 954 3.07 1 800 000 ITALY BOTS 0.000% 14-29/05/2015 EUR 1 800 000 2.40 3 500 000 ITALY BOTS 0.000% 15-30/06/2015 EUR 3 500 000 4.67 2 000 000 ITALY BOTS 0.000% 15-31/07/2015 EUR 1 999 960 2.67 3 500 000 ITALY BOTS 0.000% 15-31/08/2015 EUR 3 499 860 4.67
France 9 000 360 12.00 9 000 000 FRENCH BTF 0.000% 14-13/05/2015 EUR 9 000 360 12.00
France 37 420 216 49.90 1 512.63 BNP PARIBAS AM KLE EONIA PRIME FCP - DIS EUR 15 299 584 20.41 3 143.41 THEAM F AGE 1 FCP EUR 3 181 948 4.24 3 143.41 THEAM F AGE 2 FCP EUR 3 181 980 4.24 7 515.00 THEAM I KLE GESTION EURIBOR - 2 A EUR 7 853 851 10.47 7 565.00 THEAM I KLE GESTION EURIBOR - 3 A EUR 7 902 853 10.54
BNP Paribas Plan Pension Bond 2015
Transferable securities admitted to an official stock exchange listing and/or traded on another regulated market
624 564 97.83
Bonds 624 564 97.83
Germany 272 919 42.76 200 000 DEUTSCHLAND REP 3.250% 05-04/07/2015 EUR 201 152 31.52 70 000 DEUTSCHLAND REP 3.500% 05-04/01/2016 EUR 71 767 11.24
France 150 354 23.55 150 000 FRANCE O.A.T. 0.250% 13-25/11/2015 EUR 150 354 23.55
Supranational 70 060 10.97 70 000 EFSF 1.125% 12-01/06/2015 EUR 70 060 10.97
The Netherlands 60 424 9.46 60 000 DEUTSCHE BAHN FIN 4.250% 03-08/07/2015 EUR 60 424 9.46
Belgium 35 554 5.57 35 000 BELGIUM OLO 46 3.750% 05-28/09/2015 EUR 35 554 5.57
Austria 35 253 5.52 35 000 REPUBLIC OF AUSTRIA 3.500% 05-15/07/2015 EUR 35 253 5.52
Total securities portfolio 624 564 97.83
3 271 028 98.15
Bonds 3 271 028 98.15
Germany 1 160 397 34.81 300 000 DEUTSCHLAND REP 1.750% 12-04/07/2022 EUR 334 083 10.02 510 000 DEUTSCHLAND REP 3.250% 11-04/07/2021 EUR 609 551 18.28 100 000 KFW 3.375% 11-18/01/2021 EUR 118 491 3.56 90 000 RENTENBANK 1.875% 12-11/05/2020 EUR 98 272 2.95
France 982 227 29.47 110 000 CAISSE AMORT DET 3.750% 05-25/10/2020 EUR 131 287 3.94 460 000 FRANCE O.A.T. 3.750% 09-25/10/2019 EUR 535 872 16.08 210 000 FRTR FUNG STRIP 0.000% 09-25/04/2021 EUR 207 085 6.21 110 000 FRTR FUNG STRIP 0.000% 09-25/10/2021 EUR 107 983 3.24
The Netherlands 683 703 20.52 190 000 NETHER 4 19-PRN 0.000% 09-15/07/2019 EUR 189 476 5.69 420 000 NETHERLANDS GOVT 3.500% 10-15/07/2020 EUR 494 227 14.83
120 000 EIB 3.625% 11-15/01/2021 EUR 143 954 4.32
Belgium 188 538 5.66 150 000 BELGIAN 0321 4.250% 11-28/09/2021 EUR 188 538 5.66
Austria 58 893 1.77 50 000 OEBB INFRASTRUKT 3.500% 05-19/10/2020 EUR 58 893 1.77
3 190 169 97.52
Bonds 3 190 169 97.52
Germany 1 060 717 32.43 630 000 DBR-STRP 0.000% 97-04/07/2025 EUR 592 093 18.10 70 000 DEUTSCHLAND REP 4.750% 98-04/07/2028 EUR 107 928 3.30
210 000 DEUTSCHLAND REP 6.500% 97-04/07/2027 EUR 360 696 11.03
France 1 022 234 31.24 155 000 CAISSE AMORT DET 4.000% 12-15/12/2025 EUR 208 193 6.36 250 000 FRANCE O.A.T. 2.750% 12-25/10/2027 EUR 307 953 9.41 550 000 FRTR FUNG STRIP 0.000% 09-25/04/2026 EUR 506 088 15.47
The Netherlands 614 892 18.80 670 000 NETHER 5 1/228-STP 0.000% 98-15/01/2027 EUR 614 892 18.80
Belgium 188 945 5.78 120 000 BELGIUM OLO 31 5.500% 98-28/03/2028 EUR 188 945 5.78
Supranational 171 356 5.23 100 000 EIB 3.500% 12-15/04/2027 EUR 134 251 4.10 30 000 EUROPEAN UNION 2.500% 12-04/11/2027 EUR 37 105 1.13
Austria 132 025 4.04 100 000 OEBB INFRASTRUKT 3.875% 10-30/06/2025 EUR 132 025 4.04
4 355 652 98.26
Bonds 4 355 652 98.26
Germany 1 400 779 31.60 320 000 DBR-PRIN 0.000% 03-04/07/2034 EUR 276 016 6.23 130 000 DEUTSCHLAND REP 4.750% 03-04/07/2034 EUR 224 420 5.06 520 000 DEUTSCHLAND REP 5.500% 00-04/01/2031 EUR 900 343 20.31
France 1 391 957 31.40 85 000 FRANCE O.A.T. 4.750% 04-25/04/2035 EUR 140 824 3.18
810 000 FRTR FUNG STRIP 0.000% 09-25/04/2032 EUR 667 715 15.06 460 000 FRTR FUNG STRIP 0.000% 09-25/04/2033 EUR 372 421 8.40 130 000 RESEAU FERRE FRANCE 5.000% 03-10/10/2033 EUR 210 997 4.76
The Netherlands 900 190 20.31 670 000 NETHER 34-STP 0.000% 05-15/01/2034 EUR 564 187 12.73 260 000 NETHERLANDS GOVT 2.500% 12-15/01/2033 EUR 336 003 7.58
150 000 EIB 4.000% 10-15/04/2030 EUR 220 520 4.97
3 792 179 98.00
Bonds 3 792 179 98.00
Germany 1 190 988 30.77 790 000 DBR 4 1/37-PRIN 0.000% 05-04/01/2037 EUR 658 781 17.02 460 000 DBR 4 1/4 39-PRIN 0.000% 07-04/07/2039 EUR 371 280 9.59
85 000 DEUTSCHLAND REP 4.750% 08-04/07/2040 EUR 160 927 4.16
France 1 161 816 30.02 185 000 FRANCE O.A.T. 4.000% 06-25/10/2038 EUR 291 543 7.53 750 000 FRTR FUNG STRIP 0.000% 09-25/04/2035 EUR 586 778 15.16 385 000 FRTR FUNG STRIP 0.000% 09-25/04/2038 EUR 283 495 7.33
The Netherlands 768 804 19.88 925 000 NETHER 4 37-PRN 0.000% 05-15/01/2037 EUR 768 804 19.88
1 985 661 99.24
Bonds 1 985 661 99.24
Germany 665 668 33.27 210 000 DBR 3.25 42 -PRIN 0.000% 10-04/07/2042 EUR 164 598 8.23 105 000 DBR 4 1/4 39-PRIN 0.000% 07-04/07/2039 EUR 84 749 4.24 520 000 DBR 4 3/47/40-PRIN 0.000% 08-04/07/2040 EUR 416 321 20.80
France 610 525 30.51 250 000 FRTR FUNG STRIP 0.000% 09-25/04/2040 EUR 177 130 8.85 350 000 FRTR FUNG STRIP 0.000% 09-25/04/2042 EUR 238 420 11.92 310 000 FRTR FUNG STRIP 0.000% 09-25/04/2046 EUR 194 975 9.74
The Netherlands 365 339 18.26 463 000 NETHER 3 3/4 42-PRN 0.000% 10-15/01/2042 EUR 365 339 18.26
Finland 56 975 2.85 40 000 FINNISH GOVT 2.625% 12-04/07/2042 EUR 56 975 2.85
BNP Paribas Plan Pension Return Fund
Luxembourg 1 557 416 85.31 1.24 PARWORLD TRACK CONTINENTAL EUROPE - I - CAP EUR 151 217 8.28 2.11 PARWORLD TRACK EMERGING MARKET - I - CAP USD 185 213 10.15 1.64 PARWORLD TRACK EMERGING MARKETS BOND - I - CAP USD 176 540 9.67 1.69 PARWORLD TRACK EUROPE - I - CAP EUR 276 679 15.15 0.29 PARWORLD TRACK EUROPE SMALL CAP - I - CAP EUR 55 046 3.02 1.54 PARWORLD TRACK JAPAN - I - CAP EUR 193 500 10.60 1.50 PARWORLD TRACK NORTH AMERICA - I - CAP EUR 266 771 14.61 0.89 PARWORLD TRACK PACIFIC EX-JAPAN - I - CAP EUR 180 955 9.91 0.57 PARWORLD TRACK UK - I - CAP EUR 71 495 3.92
Ireland 266 278 14.59 5 580.00 DBX MSCI USA 1C EUR 266 278 14.59
BNP Paribas Plan Target Click Fund 2015
France 18 890 777 81.59 2 322.57 THEAM F AGE 1 FCP EUR 2 351 181 10.16 2 322.57 THEAM F AGE 2 FCP EUR 2 351 184 10.16 4 308.07 THEAM I KLE GESTION EURIBOR - 2 A EUR 4 502 617 19.44 4 283.07 THEAM I KLE GESTION EURIBOR - 3 A EUR 4 474 650 19.33 1 787.01 THEAM I KLE GESTION EURIBOR - 4 A EUR 1 855 558 8.01 3 231.40 THEAM I KLE GESTION EURIBOR - 5 A EUR 3 355 587 14.49
France 15 038 288 82.43 2 476.90 THEAM F AGE 1 FCP EUR 2 507 413 13.74 2 476.90 THEAM F AGE 2 FCP EUR 2 507 414 13.74 3 182.32 THEAM I KLE GESTION EURIBOR - 2 A EUR 3 326 028 18.23 3 461.90 THEAM I KLE GESTION EURIBOR - 3 A EUR 3 616 755 19.83 2 966.67 THEAM I KLE GESTION EURIBOR - 5 A EUR 3 080 678 16.89
France 13 544 670 83.71 2 225.40 THEAM F AGE 1 FCP EUR 2 252 813 13.92 2 225.40 THEAM F AGE 2 FCP EUR 2 252 814 13.92 2 958.75 THEAM I KLE GESTION EURIBOR - 2 A EUR 3 092 370 19.11 3 112.30 THEAM I KLE GESTION EURIBOR - 3 A EUR 3 251 510 20.10 2 595.42 THEAM I KLE GESTION EURIBOR - 5 A EUR 2 695 163 16.66
France 14 097 651 99.46 733.23 THEAM F AGE 1 FCP EUR 742 261 5.24 733.23 THEAM F AGE 2 FCP EUR 742 259 5.24
2 754.43 THEAM F KGE FCP EUR 2 760 218 19.47 2 557.38 THEAM I KLE GESTION EURIBOR - 2 A EUR 2 672 876 18.86 2 297.25 THEAM I KLE GESTION EURIBOR - 3 A EUR 2 400 008 16.93 2 303.41 THEAM I KLE GESTION EURIBOR - 4 A EUR 2 391 771 16.87 2 299.87 THEAM I KLE GESTION EURIBOR - 5 A EUR 2 388 258 16.85
France 30 520 924 99.89 1 573.23 THEAM F AGE 1 FCP EUR 1 592 610 5.21 1 375.59 THEAM F AGE 2 FCP EUR 1 392 535 4.56 5 848.18 THEAM F KGE FCP EUR 5 860 459 19.19 5 031.50 THEAM I KLE GESTION EURIBOR - 2 A EUR 5 258 724 17.21 5 177.50 THEAM I KLE GESTION EURIBOR - 3 A EUR 5 409 089 17.70 5 046.90 THEAM I KLE GESTION EURIBOR - 4 A EUR 5 240 495 17.15 5 553.59 THEAM I KLE GESTION EURIBOR - 5 A EUR 5 767 012 18.87
France 73 438 010 100.03 7 912.47 THEAM F AGE 1 FCP EUR 8 009 953 10.91 8 712.45 THEAM F AGE 2 FCP EUR 8 819 784 12.01
13 538.78 THEAM I KLE GESTION EURIBOR - 2 A EUR 14 150 190 19.27 13 535.79 THEAM I KLE GESTION EURIBOR - 3 A EUR 14 141 242 19.26 13 267.16 THEAM I KLE GESTION EURIBOR - 4 A EUR 13 776 083 18.76 14 002.64 THEAM I KLE GESTION EURIBOR - 5 A EUR 14 540 758 19.82
France 65 108 829 98.37 7 726.70 THEAM F AGE 1 FCP EUR 7 821 894 11.82 7 521.06 THEAM F AGE 2 FCP EUR 7 613 724 11.50
Page 49
BNP Paribas Plan
Page 50
Note 1 - General Information
a) Events that occurred during the financial period ended 30 April 2015
No special event occured during this financial period.
b) Sub-Funds open
Since the 1 August 2012 the Board of Directors decided to block all subscriptions done on the following sub-funds with a maturity date higher than 2023: Target Click Fund 2024 to 2042. However, investors holding shares in the above mentioned sub-funds will still be authorized to buy additional shares but only by using the same accounts. All the other sub-funds whose securities portfolios are detailed in this document are available for subscription as at 30 April 2015.
Note 2 - Principal accounting methods
a) Presentation of the financial statements
The financial statements of the Company are presented in accordance with the legislation in force in Luxembourg for Undertakings for Collective Investment.
The Company keeps its accounts in accordance with the currency of each sub-fund. The consolidation currency of the Company is the euro (EUR).
The consolidated financial statements are calculated by totalling the net assets of each sub-fund, converted if necessary into EUR at the exchange rate prevailing on the closing date, and are presented solely for information purpose.
The statement of operations and changes in net assets covers the financial period from 1 November 2014 to 30 April 2015.
This semi-annual report is prepared on the basis of the last net asset value as at 30 April 2015.
b) Valuation of the securities portfolio
The valuation of all securities listed on a stock exchange or on any other regulated market functioning regularly, recognized and accessible to the public, is based on the closing price on the order acceptance date, or the price on the market day following that day for Asian/Pacific markets, and, if the securities concerned are traded on several markets, on the basis of the most recent price on the major market on which they are traded; if this price is not a true reflection, the valuation shall be based on the probable sale price estimated by the Board of Directors in a prudent and bona fide manner.
Securities neither listed nor traded on a stock exchange or on any other regulated market operating regularly that is recognised and opened to the public, will be valued on the basis of the probable sale price estimated with prudence and in good faith by a qualified professional appointed for this purpose by the Board of Directors.
In the case of investments in money market instruments, the value of such instruments is based on the acquisition cost plus the difference between the redemption price and the acquisition price calculated on a prorated basis. In the event of significant changes in market conditions, the valuation method will be adjusted based on the new rate conditions existing on the markets.
The value of units/shares in undertakings for collective investment are determined on the basis of the last net asset value available on the valuation day.
c) Conversion of foreign currencies
The financial statements have been drawn up in the accounting currency of each sub-fund. Assets and liabilities expressed in currencies other than the accounting currency of each sub-fund are converted into that currency at the exchange rates prevailing on the closing date. Income and expenses expressed in currencies other than the accounting currency of the sub-fund are converted into that currency at the exchange rates prevailing on the transaction date.
BNP Paribas Plan
Page 51
d) Distribution of costs
The costs common to the various sub-funds, categories or classes of the SICAV are distributed across the various sub- funds, categories or classes and prorated on the basis of their respective net assets.
e) Valuation of futures contracts
Unexpired futures contracts are valued at the last price known on the valuation date or closing date and the resulting unrealised gains or losses are accounted for.
Margin accounts to guarantee the liabilities on futures contracts are included in the “Cash at banks and time deposits” account in the statement of net assets.
f) Valuation of options
The liquidation value of options traded on stock markets is based on the closing prices published by the stock markets on which the SICAV placed the contracts in question. The liquidation value of options not traded on stock markets is determined in accordance with the rules defined by the Board of Directors, in accordance with uniform criteria for each category of contract.
g) Income from investments
Interest income is accrued daily. Accrued interests on term deposits are included under “Cash at banks and time deposits” in the statement of net assets.
h) Valuation of interest rate swaps
An interest rate swap is an over the counter (OTC) financial derivative instrument in which two parties agree to exchange interest rate cash flows, based on a specified notional amount from a fixed rate to a floating rate (or vice versa) or from one floating rate to another and for a fixed period of time.
The interest rate swap are valued at their fair value equivalent to the present value of the future fixed and floating cash flows established by reference to the applicable interest rate curve. This present value of the cash flows is calculated using the market interest rates on the relevant day of valuation obtained from an independent market data provider.
The valuation of the interest rate swaps disclosed in the financial statements includes the accrued interests (“dirty price”).
i) Valuation of total return swaps
At any given point in time, the valuation of a TRS (Total Return Swap) will reflect the difference between the last known price of the underlying security and the valuation on the basis of which the initial agreement was concluded.
BNP Paribas Plan
Page 52
Note 3 - Management fees (maximum)
The management fee is calculated daily and deducted monthly from the average net assets of a sub-fund, share category, or share class, paid to the Management Company and serves to cover remuneration of the asset managers and also distributors in connection with the marketing of the Company's shares.
A sub-fund may not invest in a UCITS, or other UCI (underlying), with a management fee exceeding 3.00% per annum.
No management fee is applied to the “X” class.
Sub-fund Classic Privilege I Easy Future 2018 0.75% 0.40% N/A Easy Future 2021 to 2023 1.25%(1) 0.65%(2) N/A Easy Future 2026 to 2043 1.60%(3) 0.80%(4) N/A International Derivatives Fund 4.00% N/A 1.00% Pension Bond 2015 to 2040 1.50% 0.75% 0.60% Pension Return Fund 1.50% 0.75% 0.60% Target Click Fund 2015 to 2017 1.00% N/A N/A Target Click Fund 2018 to 2025 1.25%(5) N/A N/A Target Click Fund 2030/2035/2040/2042 1.50%(6) N/A N/A
1 Decreased to 0.75% when the remaining time to the Maturity Date is less than 5 years. 2 Decreased to 0.40% when the remaining time to the Maturity Date is less than 5 years. 3 Decreased to 1.25% when the remaining time to the Maturity Date is less than 10 years and 0.75% when the remaining time to the
Maturity Date is less than 5 years. 4 Decreased to 0.65% when the remaining time to the Maturity Date is less than 10 years and 0.40% when the remaining time to the
Maturity Date is less than 5 years. 5 Decreased to 1.00% when the remaining time to the Maturity Date is less than 3 years. 6 Decreased to 1.25% when the remaining time to the Maturity Date is less than 14 years and 1.00% when the remaining
time to the Maturity Date is less than 3 years.
Note 4 - Other fees
The other fees are calculated and deducted monthly from the average net assets of a sub-fund, share category, or share class and serve to cover general custody assets expenses (remuneration of the Depositary) and daily administration expenses (NAV calculation, record and book keeping, notices to the shareholders, providing and printing the documents legally required for the shareholders, domiciliation, auditors cost and fees...), except for brokerage fees, commissions for transactions not related to the deposit, director fees, interest and bank fees, extraordinary expenses, reporting cost in relation with regulation requirements including the European Market Infrastructure Regulation (EMIR), and the “taxe d’abonnement” in force in Luxembourg, as well as any other specific foreign tax and other regulators levy.
Note 5 - Taxes
The SICAV is subject in the Grand Duchy of Luxembourg to an annual subscription tax “taxe d’abonnement” representing 0.05% of the value of the net assets. This rate is reduced to 0.01% for the following:
a) sub-funds with the exclusive objective of collective investments in money market instruments and deposits with credit institutions;
b) sub-funds with the exclusive objective of collective investments in deposits with credit institutions; c) sub-funds, categories or classes reserved for Institutional Investors, Managers and UCIs.
BNP Paribas Plan
Page 53
The following are exempt from this “taxe d’abonnement”:
a) the value of assets represented by units or shares in other UCIs, provided that these units, or shares have already been subject to the “taxe d’abonnement”;
b) sub-funds, share categories and/or classes: (i) whose securities are reserved to Institutional Investors, Managers, or UCIs and (ii) whose sole object is the collective investment in money market instruments and the placing of deposits with
credit institutions, and (iii) whose weighted residual portfolio maturity does not exceed 90 days, and (iv) that have obtained the highest possible rating from a recognised rating agency;
c) sub-funds, share categories and/or classes reserved to: (i) institutions for occupational retirement pension or similar investment vehicles, set up at the initiative of one or
more employers for the benefit of their employees, and (ii) companies having one or more employers investing funds to provide pension benefits to their employees;
d) sub-funds whose main objective is investment in microfinance institutions; e) sub-funds, shares categories and/or classes:
(i) whose securities are listed or traded on at least one stock exchange or another regulated market operating regularly that is recognized and open to the public, and
(ii) whose exclusive object is to replicate the performance of one or several indices.
For the period ended 30 April 2015, the following rates have been applied:
Sub-fund Rate Easy Future 2018 to 2043 - Classic and Privilege 0.05% International Derivatives Fund - Classic 0.05% International Derivatives Fund - I 0.01% Pension Bond 2015 to 2040 and Pension Return Fund - Classic and Privilege 0.05%
Pension Bond 2015 to 2040 and Pension Return Fund - I and X 0.01%
Target Click Fund 2015 to 2042 - Classic 0.05%
When due, the “taxe d’abonnement” is payable quarterly based on the relevant net assets and calculated at the end of the quarter for which it is applicable.
In addition, the Company may be subject to foreign UCI’s tax, and/or other regulators’ levy, in the country where the sub-fund is registered for distribution.
Note 6 - Exchange rates
As at 30 April 2015, all sub-funds and share classes were denominated in EUR.
Note 7 - Futures contracts
As at 30 April 2015, the following positions were outstanding:
International Derivatives Fund
(in EUR)
Net unrealised gain/(loss) (in EUR)
AUD 153 P S&P/ASX 200 INDEX (AS51) 18/06/2015 15 500 317 (176 064)
CHF 124 P SMI SWISS MARKET INDEX - FUTURE 19/06/2015 10 652 531 (80 421)
EUR 148 P CAC40 EURO FUT 15/05/2015 7 418 500 (217 680) EUR 29 P DAX INDEX - FUTURE 19/06/2015 8 329 888 (410 475)
EUR 258 P DOW JONES EURO STOXX 50 - FUTURE 19/06/2015 9 205 440 (80 650)
GBP 112 P FTSE 100 INDEX 19/06/2015 10 642 457 251 282
BNP Paribas Plan
Page 54
(in EUR) Net unrealised
gain/(loss) (in EUR)
HKD 96 P HANG SENG INDEX 28/05/2015 15 532 004 40 798 JPY 103 P NIKKEI 225 (OSE) 11/06/2015 14 985 729 652 770 USD 99 P S&P 500 FUTURE 18/06/2015 45 917 429 771 909
Total: 751 469
As at 30 April 2015, the cash margin balance in relation to futures amounted to 6 125 462 EUR.
(in EUR)
Net unrealised gain/(loss) (in EUR)
EUR 7 S EURO-BOBL FUTURE 08/06/2015 901 600 3 640 Total: 3 640
As at 30 April 2015, the cash margin balance in relation to futures amounted to 3 780 EUR.
Broker for Futures contracts:
BNP Paribas Securities Services
Note 8 - Swaps contracts
As at 30 April 2015, the Company was engaged in the following swaps contracts:
Interest Rate Swaps (IRS)
The Company entered into swap contracts whereby it exchanges fixed income (product of the total amount and the fixed rate) for variable income (product of the total amount and the variable rate) or vice versa. These amounts are calculated and recognised when the net asset value is calculated. The amount of the net unrealised gain/(loss) is included under the “Net unrealised gain on financial instruments” or “Net unrealised loss on financial instruments” captions in the Statement of net assets.
Target Click Fund 2015 Nominal Currency Maturity Sub-fund paid Sub-fund received 29 500 000 EUR 26/10/2015 EURIBOR 3 M 0.308%
Net unrealised gain (in EUR) 150 964
BNP Paribas Plan
Page 55
Target Click Fund 2030 Nominal Currency Maturity Sub-fund paid Sub-fund received 64 500 000 EUR 07/03/2016 EURIBOR 3 M - 0.0035%
Target Click Fund 2040 Nominal Currency Maturity Sub-fund paid Sub-fund received
8 000 000 EUR 07/03/2016 EURIBOR 3 M - 0.0065% Net unrealised gain (in EUR) 252
Net unrealised gain (in EUR) 850
Total Return Swaps (TRS)
The Company entered into swaps contracts whereby it exchanges the performance of funding funds (as described below) against the total performance of a basket of funds (the “underlying basket”) (as described below). The total performance includes the gain or loss generated by the underlying basket. These amounts are calculated and recognised when the net asset value is calculated.
BNP Paribas Plan
Page 56
The swaps contracts embedded a dynamic asset allocation strategy (Constant Proportion Portfolio Insurance or “CPPI”) which actively allocates between 2 assets classes (riskless assets and risky assets) aiming to protect capital at maturity.
The amount of the net unrealised gain/(loss) is included under the “Net unrealised gain on financial instruments” or “Net unrealised loss on financial instruments” captions in the Statement of net assets.
Easy Future 2018 Nominal Currency Maturity Sub-fund paid Sub-fund received
3 577 867 EUR 31/10/2018 Performance of the funding funds* Performance of the basket fund**
Net unrealised gain (in EUR) 1 116 037
(*) The funding funds consist of the following BNP Paribas Group funds:
THEAM F AGE 1 THEAM I Klé Gestion Euribor 2 THEAM I Klé Gestion Euribor 4 THEAM F AGE 2 THEAM I Klé Gestion Euribor 3 THEAM I Klé Gestion Euribor 5
BNP Paribas Plan
Page 57
(**) The basket fund consists of the following BNP Paribas Group funds:
THEAM F AGE 1 THEAM I Klé Gestion Euribor 3 Parworld Multi-Asset Booster
THEAM F AGE 2 THEAM I Klé Gestion Euribor 4 Parworld Multi-Strategy High Vol Fund
THEAM I Klé Gestion Euribor 2 THEAM I Klé Gestion Euribor 5
Counterparties to Swaps contracts:
Note 9 - Options positions
As at 30 April 2015, the following positions on options were outstanding:
International Derivatives Fund
Currency Quantity Purchase/
15/05/2015 5 400.00 8 516 182.12 0.00
EUR 260 P PUT DJ EURO STOXX 50 - OPT 15/05/15 2800
15/05/2015 2 800.00 7 280 000.00 520.00
EUR 140 P PUT DAX INDEX - OPTION 15/05/2015 8900
15/05/2015 8 900.00 6 230 000.00 280.00
EUR 150 P PUT CAC 40 INDEX 15/05/2015 4000
15/05/2015 4 000.00 6 000 000.00 60.00
USD 248 P PUT S&P 500 INDEX - SPX 15/05/2015 1620
15/05/2015 1 620.00 35 853 821.78 2 211.00
HKD 96 P PUT HANG SENG INDEX 28/05/2015 21400
28/05/2015 21 400.00 11 826 539.51 556.00
JPY 102 P PUT NIKKEI 225 (OSE) 08/05/2015 15250
08/05/2015 15 250.00 11 599 876.96 761.00
AUD 350 P PUT S&P/ASX 200 INDEX (AS5 21/05/15 4900
21/05/2015 4 900.00 12 071 938.90 5 418.00
CHF 124 P PUT SMI OPTIONS 15/05/2015 7000
15/05/2015 7 000.00 8 267 847.78 709.00
Total: 10 515.00
Counterparties to Options:
Note 10 - Changes in the composition of the securities portfolio
The list of changes in the composition of the securities portfolios during the financial period is available free of charge at the SICAV’s register office and from the paying and information agent.
Note 11 - Transaction fees
Transaction fees incurred by the Company 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 (Reception and Transmission of Orders) fees.
BNP Paribas Plan
Page 58
Note 12 - Global overview of collateral held per sub-fund
As at 30 April 2015, the counterparties to the swap contracts immobilised the following collateral (cash and/or securities) in favour of the Company:
Sub-fund Currency OTC collateral Type of collateral Easy Future 2018 EUR 320 000 Cash Easy Future 2021 EUR 1 190 000 Cash Easy Future 2023 EUR 1 120 000 Cash Easy Future 2026 EUR 825 000 Cash & FR0122775382 -
FRENCH BTF 0,000% 15- 20/05/2015
Easy Future 2028 EUR 1 101 000 Cash, DE0001135457 - DEUTSCHLAND REP 2,250%
11-04/09/2021 & NL0009712470 -
NETHERLANDS GOVT 3,250% 11-15/07/2021
Easy Future 2033 EUR 1 708 000 Cash, DE0001135457 - DEUTSCHLAND REP 2,250% 11-04/09/2021, NL0006227316
- NETHERLANDS GOVT 4,000% 08-15/07/2018 &
NL0009086115 - NETHERLANDS GOVT
4,000% 09-15/07/2019 Easy Future 2038 EUR 2 153 420 Cash, DE0001135457 -
DEUTSCHLAND REP 2,250% 11-04/09/2021, NL0006227316
- NETHERLANDS GOVT 4,000% 08-15/07/2018,
NL0009086115 - NETHERLANDS GOVT 4,000% 09-15/07/2019 &
FR0011059088 - FRANCE O.A.T. 3,250% 11-25/10/2021
Easy Future 2043 EUR 2 266 728 Cash, DE0001135457 - DEUTSCHLAND REP 2,250% 11-04/09/2021, NL0006007239
- NETHERLANDS GOVT 4,500% 07-15/07/2017 &
Target Click Fund 2015 EUR 110 000 Cash
Cash collateral received by the sub-funds Easy Future 2018 to 2043 is included in “Cash at banks and time deposits” and related liabilities under “Other liabilities” in the statement of net assets.
BNP Paribas Plan
Page 59
Note 13 - List of Fund managers as at 30 April 2015
• BNP Paribas Investment Partners Belgium, abbreviated to BNPP IP BE • BNP Paribas Investment Partners Netherlands N.V., abbreviated to BNPP IP NL • BNP Paribas Investment Partners UK Limited, abbreviated to BNPP IP UK • THEAM S.A.S., abbreviated to THEAM
Sub-fund Fund managers Easy Future 2018 to 2043 Target Click Fund 2015 to 2042 THEAM
Pension Bond 2015 to 2040 BNPP IP NL Pension Return Fund BNPP IP BE
International Derivatives Fund THEAM Subdelegating to BNPP IP UK for the FX Management (since 15 December 2014)
De ce
m be
r 20
www.bnpparibas-ip.com
Europe Austria Belgium France Germany Greece Italy Luxembourg Portugal Spain Switzerland The Netherlands UK
North america Canada USA
Latin america Argentina Brazil Chile Colombia Mexico Uruguay
asia Pacific Australia Brunei China Hong Kong India Indonesia Japan Malaysia Singapore South Korea Taiwan
Nordics Denmark Finland Norway Sweden
EEMEa Bahrain Czech Republic Kuwait Morocco Russia Turkey

BNP Paribas Plan SICAV - FONDS professionell

Documents

Transcript of BNP Paribas Plan SICAV - FONDS professionell