AMUNDI DYNARBITRAGE INTERNATIONALmicrosite.bancosantander.es/IICsextranjeras/Ficheros/4236_10.pdf · AMUNDI DYNARBITRAGE INTERNATIONAL CONTRACTUAL-TYPE MUTUAL FUND STATUTORY AUDITOR'S

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.

mailto:[email protected]

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.


Our work and surveys deal specifically with the respect of principles scheduled by the UCITS accounting plan.

With this in mind, we verified the existence and the assessment of the financial instruments in the portfolio.

Said evaluations as given are a part of our audit procedure for annual accounts, taken as a whole, and thus

contributed to forming the opinion we expressed in the first part of this report.

III. - SPECIFIC CHECKS AND INFORMATION

In accordance with the applicable professional standards in France, we also performed, the specific checks laid

down by law.

We have no qualifications to make as to the accuracy or consistency with the annual accounts of the information

given in the management report of the management company or the documents sent to holders regarding the

financial situation and annual accounts.

Paris, date of electronic signature

Statutory Auditor

PwC Sellam - Statutory auditing firm

Document authenticated by electronic signature

Patrick Sellam

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.


AMUNDI DYNARBITRAGE INTERNATIONAL

General Mutual Fund

ANNUAL ACCOUNTS

31/05/2012

AMUNDI DYNARBITRAGE INTERNATIONAL: ANNUAL ACCOUNTS 31/05/2012

ASSETS AT 31/05/2012 IN EUR

31/05/2012 31/05/2011

Net fixed assets 0,00 0,00

Deposits 3 500 000,00 9 500 000,00

Financial instruments 77 603 929,31 111 479 §19,42

Equities and similar securities 17 344 520,85 27 §33 519,89

Traded on a regulated market or related market 17 344 520,65 27 933 519,89

Not traded on a regulated market or related market 0,00 0,00

Bonds and related securities 26 243 613,49 56 106 944,80



Debt securities 18 993 320,40 5 484 843,42


Transferable debt securities 18 993 320,40 5 484 843,42

Other debt securities 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

Debts representing lent securities 1 166 830,91 2 574 086,96

Borrowed securities 134 463,80 1 128 328,30

Securities delivered under repurchase agreements 0,00 0,00

Other temporary transactions 0,00 0,00

Futures 5 926 199,23 7 831 034.33

Transactions on a regulated market or related market 2 592 453,27 2 255 233,09

Other transactions 3 333 745,96 5 575 801,24

Other financial instruments 0,00 0,00

Debts 209 240 869,09 154 096 486,87

Forward-based currency transactions 170 610 211,99 145 608 232,82

Others 38 630 657,10 8 488 254,05

Financial accounts 1 135 223.71 1 795 601,65

Cash 1 135 223.71 1 795 601,65

Total Assets 297 480 022.11 276 871 607,94


LIABILITIES AT 31/05/2012 IN EUR

31/05/2012 31/05/2011

Shareholders' funds

Capital 80 078 903,80 108 245 622,62

Balance carried forward 0,00 0,00

Income 3 847 798,83 4 449 375,94

Total shareholders funds (= Sum representing net assets) 83 723 702,33 112 694 998,56

Financial instruments 6 318 122,67 13 280 807,54

Sale transactions of financial instruments 0,00 0,00

Temporary transactions on securities 1 213 847,60 4 202 399,61

Debts representing securities given under repurchase agreement 0,00 0,00

Debts representing securities borrowed 134 485,44 1 128 511,20

Other temporary transactions 1 079 362,16 3 073 888,41

Futures 5 104 275,07 9 058 407,93

Transactions on a regulated market or related market 2 525 159,09 2 216 436,61

Other transactions 2 579 115,98 6 841 971,32

Debts 207 396 275,00 150 856 384,68

Forward-based currency transactions 171 617 922.89 145 423 600,64

Others 35 778 352,11 5 432 784,04

Financial accounts 41 922.11 59 417,16

Current bank lending 41 922,11 59 417.16

Loans 0.00 0.00

Total Liabilities 297 480 022,11 276 871 607.94


OFF-BALANCE SHEET ENTRIES AT 31/05/2012 IN EUR

31/05/2012 31/05/2011

Hedging transactions

Liabilities on regulated markets or related markets

Futures agreements

CBO CBQT UST 10 0911 0,00 36 986 492,24

CBO CBOT UST 5A 0911 0,00 93 083 938,03

EUR EUREX BOBL 0611 0,00 17 997 980,00

EUR EUREX EUROS 0611 0,00 6 561 900,00

EUR EUREX EUROS 0612 9 482 960,00 0,00

EUR EUX ST.E.M2 0612. 71 460,00 0,00

EUR EUX SIX LG2 0612 62 450,00 0,00

EUR GR SCHATZ 0611 0,00 31 474 680,00

EUR SOFFEX SMI 0612 1 943 570,54 0,00

LIF LIFF FTSE 1 0612 262 426,09 0,00

LIF LIFFE LG Gi 0911 0,00 14 430 362,36

LIFF FTSE 100 0611 0,00 3 342 120,33

MSE S&PTSE60 0611 0,00 4 535 736,08

SOF SOFFEX SMI 0611 0,00 7 467 275,62

TSETSE JAPAN G 0611 0,00 13 270 759,80

Over-the-counter liabilities

Other liabilities

Other transactions

Liabilities on regulated markets or related markets

Futures agreements

CBO CBOT UST 10 0912 35 580 088,16 0,00

CBO CBOT UST 5A 0912 60 521 187,42 0,00

CBO CBOT USTB 3 0911 0,00 34 103 192,82

CBO CBOT USTB 3 0912 27 137 798,74 0,00

CME S&P500 MINI 0612 5 574 548,10 0,00

EUREX BOBL 0612 16 498 300,00 0,00

EUREXEUROBND 0611 0,00 12 658 330,00

EUREX EUROBND0612 7 585 240,00 0,00

EUREX OAT FUT 0612 8 884 200,00 0,00

GR SCHATZ 0612 30 690 215,00 0,00

LIF LIFFE LG GI 0912 6 299 869,30 0,00

MSE S&P TSE 60 0612 3 033 965,80 0,00

SIM SGX NIK 225 0611 0,00 244 283,36

SIM SGX NIK 225 0612 1 177 954,58 0,00

S&P500 MINI 0611 0,00 790 371,10

TSE TOPIXIND 0612 2 796 417,36 0,00



31/05/2012 31/05/2011

TSE TSE TOPIX 10611 0,00 2 685 918,22

Options

S&P 500 INDEX 06/2012 CALL 1500 127 170,21 0,00

S&P 500 INDEX 06/2012 PUT 1300 1 803 908,00 0,00

Over-the-counter liabilities

Options

OTC AUD/NZD 06/2012 PUT 1.29 252 990,78 0,00

OTC CHF/TRY 06/2012 PUT 1.7 35 353,03 0,00

OTC EUR/CHF 08/2012 PUT 1.13 271 200,00 0,00

OTC EUR/CHF 08/2012 PUT 1.18 283 200,00 0,00

OTC EUR/PLN 06/2012 PUT 4.2 840 000,00 0,00

OTC EUR/USD 05/2013 CALL 1.295 207 200,00 0,00

OTC EUR/USD 05/2013 PUT 1.295 207 200,00 0,00

OTC EUR/USD 06/2012 PUT 1.254 342 342,00 0,00

OTC EUR/USD 07/2012 CALL 1.4 168 000,00 0,00

OTC EUR/USD 07/2012 PUT 1.1 8 470,00 0,00

OTC EUR/USD 07/2012 PUT 1.1 165 000,00 0,00

OTC EUR/USD 07/2012 PUT 1.2 144 000,00 0,00

OTC EUR/USD 07/2012 PUT 1.2 180 000,00 0,00

OTC EUR/USD 07/2012 PUT 1.23 179 580,00 0,00

OTC EUR/USD 07/2012 PUT 1.23 671 580,00 0,00

OTC EUR/USD 07/2012 PUT 1.31 357 630,00 0,00

OTC EUR/USD/0712/PUT /1.1 275 000,00 70 322,74

OTC EUR/USD/0712/PUT /1.2 300 000,00 149 883,50

OTC GBP/USD 08/2012 CALL 1.61 300 616,17 0,00

OTC MXN/JPY 08/2012 CALL 7. 18 770,73 0,00

OTC USD/INR 11/2012 PUT 50. 7 278 903,31 0,00

OTC USD/JPY 06/2012 CALL 84. 8 492 053,86 0,00

OTC USD/JPY 06/2012 CALL 87. 17 590 683,00 0,00

OTC USD/JPY 07/2012 CALL 79.5 9 001 577,10 0,00

OTC USD/JPY 07/2012 CALL 85. 9 624 327,71 0,00

OTC USD/JPY 11/2012 CALL 85. 15 673 905,13 0,00

OTC USD/JPY 11/2012 CALL 90. 33 191 799,10 0,00

OTC USD/MXN 07/2012 PUT 13.1 53 821,83 0,00

OTC USD/SGD 06/2012 PUT 1.26 305 713,94 0,00

Currency swaps

CALYON 270213 0,00 69 560 378,41

CALYON 280213 0,00 69 560 378,41

OIS/O.O/FIX/O.317 2 995 712,00 0,00



31/05/2012 31/05/2011

Other liabilities


STATEMENT OF OPERATIONS AT 31/05/2012 IN EUR

31/05/2012 31/05/2011

Income from financial transactions

Income from deposits and on financial accounts 45 445,15 43 016,68

Income from equities and related securities 557 562,38 758 833,80

Income from bonds and related securities 2 848 204,68 6 895 688,71

Income from debt securities 75 427,80 141 039,46

Income from temporary acquisitions and disposals of securities 33 040,21 240 568,30

Income from futures 1 362 809,56 3 008 105,89

Other financial income 0,00 0,00

Total (1) 4 922 489,78 11 087 252,84

Charges for financial transactions

Charges for temporary acquisitions and disposals of securities 13 352,96 198 255,64

Charges for futures 0,00 3 827 533,55

Charges for financial debts 3 901,31 9 315,56

Other financial debts 0,00 0,00

Total (2) 17 254,27 4 035 104,75

Income from financial transactions (1 - 2) 4 905 235.51 7 052 148,09

Other income (3) 0,00 0,00

Management fees and provisions for depreciation (4) 755 114,43 1 118 092,08

Net profit for the period (1 - 2 + 3 - 4) 4 150 121,08 5 934 056.01

Income equalisation for the financial year (5) -502 322,25 -1 484 680,07

Advance payments made in respect of the financial year (6) 0,00 0,00

Profit (1 - 2 + 3 - 4 + 5 + 6) 3 647 798.83 4 449 375,94


NOTES TO ANNUAL ACCOUNTS

1. ACCOUNTING METHODS AND RULES

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.


2. CHANGE IN NET ASSETS AT 31/05/2012 IN EUR

31/05/2012 31/05/2011

Net assets at the beginning of the financial year 112 694 998,56 168 086 874,42

Subscriptions (including subscription commissions payable to the Fund) 725 429,24 17 231 017,83

Redemptions (after deduction of redemption commissions payable to the Fund) -21 624 595,86 -72 781 410,28

Capital gains made on deposits and financial instruments 4 032 630,16 13 483 931,05

Capital losses made on deposits and financial instruments -13 621 588,71 -30 264 202,86

Capital gains made on futures 27 259 751,28 25 942 026,11

Capital losses made on futures -34 667 369,35 -30 692 867,01

Transaction fees -259 866,67 -452 988,30

Exchange differences 1 337 927,48 -2 301 561,14

Variations in valuation differential for deposits and financial instruments 1 466 844,38 18 373 876,21

Valuation differential for financial year N -1 737 762,89 -3 204 607,27

Valuation differential for financial year N-1 3 204 607,27 21 578 483,48

Variations in valuation differential for futures 2 226 031,41 130 137,52

Valuation differential for financial year N -1 865 635,78 -4 091 667,19

Valuation differential for financial year N-1 4 091 667,19 4 221 804,71

Distribution for previous year 0,00 0,00

Net profit for the financial year before equalisation account 4 150 121,08 5 934 056,01

Advance payments made over the financial year 0,00 0,00

Other items * 3 389,33 6 109,00

Net assets at the end of the financial year 83 723 702,33 112 694 998.56

Other items N-1: Lehman debt (account 10810): -€1,268,747.31 Lehman loss (account 107229): -1 070 148€


3. ADDITIONAL INFORMATION

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

Off-balance sheet

Hedging transactions

Shares 11 822 866,63 14,12 TOTAL Hedging transactions 11 822 866,63 14,12

Other transactions

Shares 14 513 964,05 17,34 Exchange 106 420 917,69 127,11 Rate 196 192 610,62 234,33

TOTAL Other transactions 317 127 492,36 378,78


3.2. BREAKDOWN BY INTEREST-RATE TYPE FOR ASSET, LIABILITY AND

OFF-BALANCE SHEET ENTRIES

Fixed rate % Variable rate % Floating rate % Others %

Assets

Deposits 0,00 0,00 0,00 0,00 0,00 0,00 9 500 000,00 11,35

Bonds and related securities 23 509 001,68 28,08 0,00 0,00 2 734 611,81 3,27 0,00 0,00

Debt securities 18 993 320,40 22,69 0,00 0,00 0,00 0,00 0,00 0,00

Temporary transactions on securities 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00

Financial accounts 0,00 0,00 0,00 0,00 0,00 0,00 1 135 223,71 1,36

Liabilities

Temporary transactions on securities 0,00 0,00 0,00 0,00 0,00 0,00 164 728,10 0,20

Financial accounts 0,00 0,00 0,00 0,00 0,00 0,00 41 922,11 0,05

Off-balance sheet

Hedging transactions 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00

Other transactions 196 192 610,62 234,33 0,00 0,00 0,00 0,00 0,00 0,00

3.3. BREAKDOWN BY RESIDUAL MATURITY OF ASSET, LIABILITY AND OFF-BALANCE SHEET ENTRIES

< 3 months % ]3 months - 1 year] % ]1 - 3 years] % ]3 - 5 years] % > 5 years %

Deposits 9 500 000,00 11,35 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Bonds and related securities 0,00 0,00 13 396 868,06 16,00 2 291 834,62 2,74 1 219 634,69 1,46 9 335 276,12 11,15 Debt securities 18 993 320,40 22,69 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Temporary transactions on securities 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Financial accounts 1 135 223,71 1,36 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Temporary transactions on securities 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Financial accounts 41 922,11 0,05 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Hedging transactions 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Other transactions 11 879 912,00 14,19 0,00 0,00 30 690 215,00 36,66 77 019 487,42 91,99 76 602 996,20 91,49

Forward-based bond positions are presented based on the underlying's maturity.


3.4. BREAKDOWN BY LISTING OR ASSESSMENT CURRENCY OF ASSET,

LIABILITY AND OFF-BALANCE SHEET ENTRIES

USD JPY GBP Other currencies Amount % Amount % Amount % Amount %

Assets

Deposits 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Equities and similar securities 3 303 553,13 3,95 0,00 0,00 7 325 742,24 8,75 811 292,64 0,97 Bonds and related securities 2 870 904,49 3,43 0,00 0,00 9 913 450,52 11,84 0,00 0,00 Debt securities 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 UCI 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Temporary transactions on securities 413 189,56 0,49 0,00 0,00 123 582,77 0,15 130 311,99 0,16 Debts 51 118 137,88 61,06 15 870 810,33 18,96 215 733,16 0,26 59 879 233,60 71,52 Financial accounts 353 699,67 0,42 0,00 0,00 0,00 0,00 439 240,86 0,52 Liabilities

Sale transactions of financial instruments 0,00 0,00 0,00 0,00 0,00 0,00 0,00 0,00 Temporary transactions on securities 1 519,97 0,00 0,00 0,00 3 861,19 0,00 258 462,40 0,31

Debts 58 924 894,08 70,38 11 400 146,15 13,62 18 167 610,61 21,70 56 993 206,19 68,07

Financial accounts 0,00 0,00 7 022,88 0,01 34 899,23 0,04 0,00 0,00 Off-balance sheet

Hedging transactions 0,00 0,00 0,00 0,00 262 426,09 0,31 1 943 570,54 2,32

Other transactions 231 957 485,61 277,05 3 974 371,94 4,75 6 600 485,47 7,88 3 341 080,34 3,99

3.5 DEBTS AND ACCOUNTS RECEIVABLE: BREAKDOWN BY TYPE

31/05/2012

Debts

Forward purchase of foreign currency 80 414 755,00 Funds receivable from forward currency sales 90 195 456,99 Deferred payment sales 35 139 933,66 Cash collateral deposits 3 065 084,03 Cash dividends and coupons 102 144,85 Collateral 315 198,52 Other debtors 8 296,04

Total accounts receivable 209 240 869,09

Debts

Forward currency sales 90 312 929,30 Funds to be paid on forward-based purchase of foreign currencies 81 304 993,59 Deferred payment purchases 35 039 119,86 Management fees 75 748,90 Variable management fees 398,64 Collateral 191 802,68 Debts related to the financial crisis 465 727,86 Other debts 5 554,17

Total debts 207 396 275,00


3.6 SHAREHOLDERS' FUNDS

3.6.1. Number of securities issued or redeemed

In units By amount

Units Subscribed during the financial year

Units Redeemed during the financial year

Net balance of subscriptions/redemptions

113,638

-3 406,163

-3 292,525

725 429,24

-21 624 595,86

-20 899 166,62

3.6.2. Subscription and/or redemption fees

By amount

Total fees received

Subscription fees received

Redemption fees received

0,00

0,00

0,00

3.7. MANAGEMENT FEES

31/05/2012

Guarantee commissions

Fixed management fees

Percentage of fixed management fees

Variable management fees

Management fee retrocessions

0,00

754 715,79

0,80

398,64

0,00


3.8. COMMITMENTS MADE AND RECEIVED

3.8.1. Guarantees received by the Fund: Nil

3.8.2. Other commitments received and/or made: Nil


3.9. OTHER INFORMATION

3.9.1. Current value of securities subject to temporary purchase

31/05/2012

Securities taken under repurchase agreement

Borrowed securities 0,00

113 093,95

3.9.2. Current values of securities used as pledges

31/05/2012

Financial instruments pledged and held in their original entry

Financial instruments received as a pledge and not entered on the balance sheet 0,00

0,00

3.9.3. Group financial instruments held in the portfolio

ISIN Code Denomination 31/05/2012

Shares 0,00

Bonds 0,00

Transferable debt securities 0,00

UCITS 7 794 980,83

FR0011062645 AMUNDI ACTIONS THEMATIQUES MONDE R-C 4 209 088,75

FR0010987826 PORTFOLIO GLOBAL VOLATILITY 3 585 892,08

Futures 0,00


3.10. PROFIT APPROPRIATION TABLE

Profit allocation table for profit from the financial year

31/05/2012 31/05/2011

Sums still to allocate

Balance carried forward 0,00 0,00 Income 3 647 798,83 4 449 375,94

Total 3 647 798,83 4 449 375,94

Allocation

Distribution 0,00 0,00 Balance carried forward for the financial year 0,00 0,00

Accumulation 3 647 798,83 4 449 375,94

Total 3 647 798,83 4 449 375,94


3.11. INCOME TABLE AND OTHER CHARACTERISTIC FEATURES OF THE

ENTITY OVER THE PAST FIVE FINANCIAL YEARS

30/05/2008 29/05/2009 31/05/2010 31/05/2011 31/05/2012

Net assets 689 455 673,58 172 280 966,30 168 086 874,42 112 694 998,56 83 723 702,33

Number of securities 112 518,005 33 405,291 24 738,196 16 600,659 13 308,134

Unit net asset value 6 127,51 5 157,29 6 794,62 6 788,58 6 291,16

Unit accumulation 254,81 333,12 292,11 268,02 274,10


3.12. ASSET INVENTORY

Name of security Currency No. or nominal qty Current value % Net Assets

Deposits EUR 9 500 000 9 500 000,00 11,35

D0047267

TOTAL deposits 9 500 000,00 11,35

Equities and similar securities

Equities and related securities traded on a regulated market or related market

GERMANY

ALLIANZ HOLDING EUR 2 100 153 531,00 0,18

BAYER EUR 2 600 132 964,00 0,16

DEUTSCHE TELEKOM AG EUR 15 400 122 799,60 0,15

E.ON AG NOM. EUR 13 000 192 140,00 0,23

MUENCHENER RUECKVERSICHERUNG AG EUR 700 70 175,00 0,08

RWE AG EUR 2 421 71 504,24 0,09

SIEMENS AG NAMEN EUR 1 800 119 718,00 0,14

SMA SOLAR TECHNOLOGY EUR 1 200 29 448,00 0,04

VOLKSWAGEN AG PRIVILIGIEE NON VTG PRF EUR 744 96 050,40 0,11

GERMANY TOTAL 988 330.24 1,18

BELGIUM

UMICORE EUR 1 400 53 732,00 0,06

BELGIUM TOTAL 53 732,00 0.06

CANADA

RESEARCH IN MOTION USD 10 600 88 558,37 0,11

CANADA TOTAL 88 558,37 0.11

SPAIN

IBERDROLA S.A. EUR 11 700 35 977,50 0,04

INDUSTRIA DE DISENO TEXTIL INDITEX EUR 4 800 320 736,00 0,39

SPAIN TOTAL 356 713,50 0,43

UNITED STATES OF AMERICA

AKAMAI TECHNOLOGIES USD 4 300 102 035,67 0,12

APPLE INC / EX - APPLE SHS USD 260 121 484,73 0,15

CITIGROUP INC USD 3 910 83 832,02 0,10

HALLIBURTON CO USD 8 200 199 354,60 0,24

HEXCELCORP USD 22 300 439 705,61 0,53

KKR FINANCIAL HOLDINGS LLC USD 9 400 63 784,22 0,08

LAS VEGAS SANDS USD 5 600 209 153,63 0,25

MORGAN STANLEY USD 13 900 150 191,27 0,18

PATRIOT COAL USD 4 200 8 050,47 0,01

PEABODY ENERGY GROUP USD 1 900 35 896,32 0,04

PFIZER INC USD 40 200 711 046,95 0,84

TESLA MOTORS USD 50 1 192,93 0,00



VALUECLICK INC USD 15 400 218 460,92 0,26

VERISIGN INC USD 7 000 216 434,15 0,26

VISA INC CLASS A USD 1 800 167 705,93 0,20

VMWARE INC CLASS A USD 1 100 82 745,76 0,10

UNITED STATES OF AMERICA TOTAL 2 811 075,18 3,36

FRANCE

ALSTOM EUR 5 800 136 271,00 0,16

AREVA EUR 7 583 71 143,71 0,08

AXA EUR 18 300 166 182,30 0,20

CASINO GUICHARD PERRACHON EUR 2 300 155 917,00 0,19

CIE GENERALE DE GEOPHYSIQUE VERITAS / EX-GEOPHYSIQUE EUR 5 500 96 415,00 0,12

EDF EUR 4 900 76 268,50 0,09

FRANCE TELECOM EUR 23 100 234 696,00 0,28

GDFSUEZ EUR 4 300 68 692,50 0,08

ORPEA EUR 1 600 40 424,00 0,05

PUBLICIS GROUPE SA EUR 4 800 179 568,00 0,21

SANOFI EUR 2 500 137 500,00 0,16

SCHNEIDER ELECTRIC SA EUR 800 34 456,00 0,04

SUEZ ENVIRONNEMENT COMPANY EUR 16 800 147 571,20 0,18

TECHNIP EUR 1 600 117 936,00 0,14

TOTAL EUR 21 500 747 447,50 0,90

VALLOUREC EUR 1 200 36 240,00 0,04

VEOLIA ENVIRONNEMENT EUR 14 600 134 845,60 0,16

VIVENDI EUR 20 976 273 946,56 0,33

VIVENDI DA 2012 EUR 20 8,22 0,00

WENDEL EUR 1 500 79 560,00 0,10

TOTAL FRANCE 2 935 089,09 3,51

CAYMAN ISLANDS TOTAL

HERBALIFE LTD USD 2 300 83 316,75 0,10

CAYMAN ISLANDS TOTAL 83 316,75 0,10

IRELAND

WPP GBP 12 500 120 433,19 0,14

IRELAND TOTAL 120 433,19 0,14

ITALY

FIAT INDUSTRIAL EUR 7 000 56 910,00 0,07

SAIPEM SPA EUR 2 900 91 060,00 0,10

TELECOM ITALIA ORD SPA EUR 20 700 13 817,25 0,02

ITALY TOTAL 161 787,25 0,19


Name of security Currency No. or nominal

qty Current value % Net Assets

JERSEY

GLENCORE INTERNATIONAL GBP 983 4 166,45 0,00

JERSEY TOTAL 4 166,45 0,00

NETHERLANDS

AEGON NEW EUR 43 800 149 182,80 0,18

AKZO NOBEL EUR 100 3 694,00 0,00

AKZO NOBEL EUR 54 1 994,76 0,00

CORE LABORATORIES USD 1 700 175 850,22 0,21

FUGRO EUR 50 2 325,00 0,00

ING GROEP EUR 10 500 49 045,50 0,06

SBM OFFSHORE EUR 2 900 30 624,00 0,04

NETHERLANDS TOTAL 412 716,28 0,49

UNITED KINGDOM

AMEC PLC GBP 5 600 67 338,02 0,08

ANGLO AMERICAN PLC GBP 9 100 223 266,32 0,27

ASOS PLC GBP 5 200 113 016,74 0,13

ASTRAZENECA PLC GBP 21 600 703 912,37 0,85

AVIVA PLC GBP 142 600 464 180,00 0,55

BARCLAYS PLC GBP 46 700 102 485,97 0,12

BG GROUP PLC GBP 41 600 643 405,74 0,78

BHP BILLITON GBP 11 000 232 022,16 0,28

BP PLC GBP 51 100 251 190,51 0,30

BRITISH LAND CO ORD GBP 60 100 361 340,64 0,43

BURBERRY GROUP PLC GBP 15 700 267 155,04 0,32

CAIRN ENERGY GBP 6 579 23 380,90 0,03

CENTRICA PLC GBP 35 900 138 264,27 0,17

GKNPLC GBP 109 600 249 664,53 0,30

G4S SHS GBP 21 600 74 263,02 0,09

HAMMERSON PLC 25P GBP 30 600 158 761,19 0,19

IMPERIAL TOBACCO GROUP GBP 11 000 320 682,14 0,38

INCHCAPE GBP 57 520 224 681,35 0,27

INTERNATIONAL POWER ORD GBP 31 800 163 878,76 0,20

INVENSYS PLC GBP 30 100 82 167,55 0,10

LAND SECURITIES PLC GBP 29 800 263 001,18 0,31

LLOYDS BANKING GROUP PLC GBP 100 600 31 782,26 0,04

NATIONAL EXPRESS GROUP PLC GBP 58 600 137 281,63 0,16

NATIONAL GRID TRANSCO PLC NEW GBP 13 900 112 466,55 0,13

PRUDENTIAL PLC GBP 10 200 86 084,52 0,10

RIO TINTO PLC GBP 5 500 190 328,00 0,23

ROYAL BK SCOT GRP ORD 25P GBP 168 300 41 857,65 0,05



ROYAL DUTCH SHELL A EUR 20 800 520 624,00 0,62

SMITH & NEPHEW PLC GBP 18 000 135 781,42 0,16

TATE LYLE GBP 38 400 321 214,91 0,38

UK COAL GBP 179 490 19 549,86 0,02

VODAFONE GROUP PLC GBP 253 000 544 831,02 0,65

WEIR GROUP (THE) GBP 10 600 203 726,89 0,24

XSTRATA PLC GBP 18 000 206 696,96 0,25

31 GROUP PLC GBP 17 300 37 621,34 0,04

UNITED KINGDOM TOTAL 7 717 305,41 9,22

SWEDEN

ATLAS COPCO CAT A SEK 10 162,74 0,00

SWEDEN TOTAL 162,74 0,00

SWITZERLAND

NOVARTIS AG NOMINATIF CHF 5 800 243 537,25 0,29

ROCHE HOLDING GENUSS CHF 2 450 309 130,25 0,37

SWITZERLAND TOTAL 552 667,S0 0,66

SCHLUMBERGER LTD CURACAO USD 2 800 143 232,64 0,17

TOTAL 143 232.64 0.17 TOTAL equities and related securities traded on regulated or related markets.

16 429 886,59 19.62

TOTAL Equities and related securities 16 429 886,59 19,62

Bonds and related securities

Bonds and similar securities traded on a regulated market or related market

SPAIN

BBVA SENIOR FINANCE 3% 22/08/2013 EUR 500 000 495 322,38 0,59

IBERDROLA FINANZAS 4.75% 25/01/2016 EUR 1 200 000 1 219 634,69 1,46

SPAIN TOTAL 1 714 957,07 2,05

UNITED STATES OF AMERICA

CITIGROUP 5.3% 17/10/12 "USD USD 2 500 000 2 063 018,67 2,46

UNITED STATES OF AMERICA TOTAL 2 063 018,67 2,46

FRANCE

BPCE LIBORGBP 29/10/2012 GBP 1 000 000 1 244 443,94 1,49

BPCE 2.375% 04/10/2013 USD 1 000 000 807 885,82 0,96

TOTAL FRANCE 2 052 329.76 2,45

ITALY

BUONI POLIENNAL.I 4 1/4 20113 EUR 5 000 000 5 056 807,65 6,04

ITALIE 4,75%02-010213 EUR 3 900 000 4 002 216,43 4,78

ITALY TOTAL 9 059 024.08 10,82



qty Current value % Net assets

UNITED KINGDOM EUR 1 000 000 988 626,42 1,18

ABBEY NATL TREASURY SERV E3R 28/08/2013

ANGLETERRE 4.25% 07/09/2039 GBP 4 000 000 6 277 545,65 7,50

ANGLETERRE 4,75%04-38 GBP 1 400 000 2 391 460,93 2,86

HIGHWAY BV SERIE 2012-1 CLASSE A 26/03/2024 EUR 5 501 541,45 0,60

ROYAL BK SCOTLAND 5.25% 2013 EUR 1 000 000 1 030 381,37 1,23

UNITED KINGDOM TOTAL 11 189 555,82 13,37

TOTAL Bonds and rel. secs traded on a regul. or rel. mkt 26 078 885,40 31,15

TOTAL Bonds and related securities 26 078 886,40 31,15

Debt securities

Debt securities traded on a regulated market or related market BELGIUM

BELGIQUE 0% 19/07/2012 EUR 7 000 000 6 997 761,36 8,36

BELGIQUE 14/06/2012 EUR 4 000 000 3 999 724,24 4,78

BELGIUM TOTAL 10 997 485,60 13,14

FRANCE

FRANCE 0% 16/08/12 EUR 5 000 000 4 999 050,20 5,97

TOTAL FRANCE 4 999 050,20 5,97

UNITED KINGDOM

UBS AG LONDON BRANCH 0% 090812 EUR 3 000 000 2 996 784,60 3,58

UNITED KINGDOM TOTAL 2 996 784.60 3,58

TOTAL Debt secs traded on regul. or rel. mkts. 18 993 320,40 22,69

TOTAL Debt securities 18 993 320.40 22,69

Undertakings for collective investment

French general UCITS

ANGE

AMUNDI ACTIONS THEMATIQUES MONDE R-C EUR 4 825 4 209 088,75 5,03

PORTFOLIO GLOBAL VOLATILITY EUR 14,686 3 585 892,08 4,28

TOTAL FRANCE 7 794 980,83 9.31

TOTAL French general UCITS 7 794 980,83 9,31

TOTAL Undertakings for Collective Investment 7 794 980,83 9,31

Securities pledged

Equities and related securities traded on a regulated market or related market

ABB LTD CHF 20 417 258 462,40 0,31

ADIDAS NOM. EUR 4 251 255 867,69 0,31

ANHEUSER-BUSCH INBEV EUR 752 41 172,00 0,05

BASF SE EUR 6 052 341 211,76 0,41

DAIMLERCHRYSLER EUR 335 12 539,05 0,01

ORACLE CORP COM USD 71 1 519,97 0,00



qty Current value % Net assets

VODAFONE GROUP PLC GBP 1 793 3 861,19 0,00

TOTAL Equities & rel. secs. traded on regul. or rel. mkts. 914 634,06 1,09

Bonds and similar securities traded on a regulated market or related market

ALLEMAGNE 5.50%00-31 EUR 102 944,09 164 728,09 0,20

TOTAL Bonds and rel. secs traded on a regul. or rel. mkt 164 728,09 0,20

TOTAL Securities pledged 1 079 362,15 1,29

Debts representing lent securities

UNITED STATES OF AMERICA USD 10 000 19 167,78 0,02

PATRIOT COAL

TES LA MOTORS USD 3 550 84 698,13 0,10

VERISIGN INC USD 10 000 309 191,64 0,37

UNITED STATES OF AMERICA TOTAL 413 057,55 0,49

ITALY

TELECOM ITALIA ORD SPA EUR 181 000 120 817,50 0,14

ITALY TOTAL 120 817,50 0,14

JERSEY

GLENCORE INTERNATIONAL GBP 20 000 84 770,03 0,10

JERSEY TOTAL 84 770,03 0,10

NETHERLANDS

AKZO NOBEL EUR 1 700 62 798,00 0,08

FUGRO EUR 1 750 81 375,00 0,10

ING GROEP EUR 50 000 233 550,00 0,27

NETHERLANDS TOTAL 377 723,00 0,45

UNITED KINGDOM GBP 16 500 38 654,38 0,05

NATIONAL EXPRESS GROUP PLC

UNITED KINGDOM TOTAL 38 654,38 0,05

SWEDEN

ATLAS COPCO CAT A SEK 7 990 130 026,36 0,16

SWEDEN TOTAL 130 026.36 0,16

TOTAL Debts representing lent securities 1 165 048,82 1,39

Proceeds from lent securities 1 782,09 0,00

Borrowed securities EUR 8 110 134 463,80 0,16

FRANCE

CARREFOUR

TOTAL FRANCE 134 463,80 0,16

TOTAL borrowed securities 134 463,80 0.16

Debts representing securities borrowed -134 463,80 -0,16

Payments on securities borrowed -21.64 0.00



amount Current value % Net Assets

Debts representing securities pledged -1 079 362,16 -1,29

Futures

Futures liabilities

Futures liabilities on regulated markets or related markets

CBO CBOT UST 10 0912 USD -328 -314 205,99 -0,38

CBO CBOT UST 5A 0912 USD -602 -240 772,72 -0,29

CBO CBOT USTB 3 0912 USD 223 576 524,53 0,70

CME S&P500 MINI 0612 USD -106 69 998,79 0,08

EUR EUREX EUROS 0612 EUR -452 195 800,00 0,23

EUR EUX ST.E.M2 0612 EUR -6 7 500,00 0,01

EUR EUX STX LG2 0612 EUR 5 -6 475,00 -0,01

EUR SOFFEX SMI 0612 CHF -40 125 176,86 0,15

EUREX BOBL. 0612 EUR -130 -420 220,00 -0,50

EUREX EUROBND0612 EUR 52 104 190,00 0,12

EUREX OAT FUT 0612 EUR -67 -461 930,00 -0,55

GR SCHATZ 0612 EUR -277 -119 110,00 -0,14

LIF LIFF FTSE 1 0612 GBP -4 31 567,81 0,04

LIF LIFFE LG Gl 0912 GBP -42 -94 105,93 -0,11

MSE S&P TSE 60 0612 CAD -30 283 438,74 0,34

SIM SGX NIK 225 0612 JPY -27 218 939,07 0,26

TSE TOPIX IND 0612 JPY 38 -399 376,21 -0,48

TOTAL Futures liabilities on regulated markets -443 060.05 -0,53

TOTAL Futures liabilities -443 060,05 -0,53

Conditional futures

Over-the-counter option commitments

OTC AUD/NZD 06/2012 PUT 1.29 AUD 25 000 000 97 573,33 0,12

OTC CHF/TRY 06/2012 PUT 1.7 CHF 2 000 000 0,01 0,00

OTC EUR/CHF 08/2012 PUT 1.13 EUR -24 000 000 -95 847,84 -0,11

OTC EUR/CHF 08/2012 PUT 1.18 EUR 24 000 000 181 545,73 0,22

OTC EUR/PLN 06/2012 PUT 4.2 EUR 20 000 000 8 164,07 0,01

OTC EUR/USD 05/2013 CALL 1.295 EUR 16 000 000 499 940,17 0,60

OTC EUR/USD 05/2013 PUT 1.295 EUR 16 000 000 1 249 879,93 1,49

OTC EUR/USD 06/2012 PUT 1.254 EUR -27 300 000 -476 314,84 -0,57

OTC EUR/USD 07/2012 CALL 1.4 EUR -12 000 000 -1 754,38 0,00

OTC EUR/USD 07/2012 PUT 1.1 EUR 770 000 41 195,00 0,05

OTC EUR/USD 07/2012 PUT 1.1 EUR 15 000 000 6 307,48 0,01








OTC EUR/USD 07/2012. PUT 1.31 EUR -27 300 000 -1 648 905,96 -1,98

QTC EUR/USD/0712/PUT /1.1 EUR -25 000 000 -10 512,47 -0,01

OTC EUR/USD/0712/PUT /1.2 EUR 25 000 000 150 251,06 0,18

OTC G BP/USD 08/2012 CALL 1.61 GBP 15 000 000 25 182,50 0,03

OTC MXN/JPY 08/2012 CALL. 7. MXN 4 750 000 6,29 0,00

OTC USD/INR 11/2012 PUT 50. USD 18 000 000 14 399,36 0,02

OTC USD/JPY 06/2012 CALL 84. USD 12 500 000 0,01 0,00

OTC USD/JPY 06/2012 CALL 87. USD -25 000 000 -0,02 0,00

OTC USD/JPY 07/2012 CALL 79.5 USD 14 000 000 92 226,64 0,11

OTC USD/JPY 07/2012 CALL 85. USD -14 000 000 -7 198,19 -0,01

OTC USD/JPY 11/2012 CALL 85. USD 22 800 000 98 598,80 0,12

OTC USD/JPY 11/2012 CALL 90. USD -45 600 000 -56 524,85 -0,07

OTC USD/MXN 07/2012 PUT 13.1 USD 508 000 20 402,76 0,02

OTC USD/SGD 06/2012 PUT 1.26 USD 30 000 000 11 533,24 0,01

TOTAL Over-the-counter option commitments 754 596,46 0.90

Option liabilities on regulated or related markets

S&P 500 INDEX 06/2012 CALL 1500 USD 400 1 617,53 0,00

S&P 500 INDEX 06/2012 PUT 1300 USD -40 -71 042,10 -0,08

TOTAL option liabilities on markets -69 424.57 -0,08

TOTAL Option liabilities 685 171,89 0,82

Other forward-based financial instruments

Currency swaps

OIS/O.O/FIX/O.317 EUR 2 995 712 33,52 0,00

TOTAL interest-rate swaps 33,52 0,00

TOTAL Other futures 33,52 0.00

TOTAL futures 242 145,36 0.29

Margin call

Indo margin calls in USD C.A. USD -31 883,47 -25 786,29 -0,03

Indo margin calls in EUR C.A. EUR 731 875 731 875,00 0,87

Indo margin calls in Yen C.A. JPY 17 177 000 177 162,47 0,21

C.A.I. margin calls GBP 55 160 68 662,47 0,08

C.A.I. margin calls CHF -151 600 -126 175,61 -0,15

C.A.I. margin calls CAD -315 000 -245 959,24 -0,29

TOTAL margin calls 579 778,80 0,69

Debts 209 240 869.09 249,92

Debts -207 396 275.00 -247,72

Financial accounts 1 093 301,60 1,31

Net assets 83 723 702,33 100.00




AMUNDI DYNARBITRAGE INTERNATIONAL EUR 13 308,134 6 291,16

Documents

AMUNDI DYNARBITRAGE INTERNATIONALmicrosite.bancosantander.es/IICsextranjeras/Ficheros/4236_10.pdf · AMUNDI DYNARBITRAGE INTERNATIONAL CONTRACTUAL-TYPE MUTUAL FUND STATUTORY AUDITOR'S