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,


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,


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

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


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


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


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


one year FRANCE

(GOVT OF)

BNP PARIBAS

SECURITIES

SERVICES

N/A No

BNP PARIBAS

SECURITIES

SERVICES,

FRANCE

Other

Collateral

than cash

Aa2


one year FRANCE

(GOVT OF)

BNP PARIBAS

SECURITIES

SERVICES

N/A No

BNP PARIBAS

SECURITIES

SERVICES,

FRANCE

Other

Collateral

than cash

Aa2


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


one year FRANCE

(GOVT OF)

BNP PARIBAS

SECURITIES

SERVICES

N/A No

BNP PARIBAS

SECURITIES

SERVICES,

FRANCE

Other

Collateral

than cash

Aa2


months to

one year

FRANCE

(GOVT OF)

BNP PARIBAS

SECURITIES

SERVICES

N/A No

MILLENIUM GARANT 80


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


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