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(中譯文僅供參考,如有疑義應以原文版為準)
1
(節譯文)
獨立查核會計師報告
致 NN(L)之股東
3, rue Jean Piret,
L-2350 Luxemburg
意見
我方已查核 NN (L)及其子基金之財務報表(「本基金」),內容包括截至 2019 年
9 月 30 日之淨資產報表、有價證券投資組合及金融衍生性工具,及截至該日止
年度營運報告及淨資產變動報表,以及重大會計政策摘錄暨其他財務報表之附
註。
我方認為,後附之財務報表依據關於財務報表編製及表達之盧森堡法令規範,對
NN (L)及各該子基金截至 2019年 9月 30日之財務狀況及截至該日止年度營運成
果及淨資產之變動提供真實且公允之觀點。
意見基礎
我方依據「盧森堡金融監管委員會」(CSSF)採用之2016年7月23日有關審計專業
之法律(「2016年7月23日法律」)及國際審計準則(ISAs)進行查核。我方在2016年
7月23日法律及ISAs規範下之責任詳載於本報告「獨立會計師查核財務報表之責
任」乙節。我方同時依CSSF所採用之國際會計師道德標準委員會之專業會計師
道德守則(「IESBA Code」)及與我方查核財務報告相關之道德規範之要求獨立於
本基金,並依據該等道德要求實現我方之其他道德責任。我方相信我方取得之查
核證據對於提供我方查核意見之基礎系足夠且適切的。
其他資訊
本基金董事會須負責其他資訊。其他資訊亦構成年報所含之資訊,但不包括財務
報表及其中我方之獨立查核會計師報告。
我方對財務報表之意見不涵蓋其他資訊,且我方不對此表達任何形式之確信結
論。
關於我方對財務報表之查核,我方之責任在於閱讀其他資訊,並藉此考量該其他
資訊是否與財務報表或我方在查核中所得知者有重大不一致或出現其他重大不
(中譯文僅供參考,如有疑義應以原文版為準)
2
實表達。若基於我方所進行之作業,我方認為該其他資訊中有重大不時表達之處,
我方應報告此事實。就此,我方並無須報告之處。
本基金董事會對於財務報表之責任
本基金董事會須依盧森堡法規對於財務報表編製及表達之要求,負責編製並允當
表達該等財務報表,並須負責本基金之董事會認為可避免財務報表之編製發生導
因於舞弊或錯誤之重大不時表達所需之內部控制制度。
編製財務報表時,除非本基金董事會有意清算本基金或停止營運,或現實上已
無其他選項而僅得如此,本基金董事會負責評估本基金及各該子基金繼續經營
能力,適當揭露有關繼續經營之相關事項,並以繼續經營為會計基礎。
獨立查核會計師(réviseur d`enterprises agréé)查核財務報表之責任
我方之目標在於取得財務報表整體是否無導因於舞弊或錯誤之重大不實表達
之合理確信,並出具含有我方意見之獨立查核會計師報告。合理確信是一種高
度的確信,但並非保證依據盧森堡CSSF所採用之2016年7月23日法律及ISAs
所進行的查核總能在重大不實表達存在時將之偵測出來。不實表達可能因舞弊
或錯誤所致,且於個別或彙總可合理預期將影響以此等財務報表基礎之使用者
之經濟決策時,則被認為係屬重大。
做為根據盧森堡CSSF所採用之2016年7月23日法律及ISAs之查核之部分,我方
在查核過程中履行專業判斷並維持專業懷疑,我方同時:
辨識並評估財務報表中,導因於舞弊或錯誤之重大不實表達風險,設計並
執行反映該等風險之查核程序,並取得足夠且適切之查核證據以作為我方查核
意見之基礎。未能偵測因舞弊所生之重大不實表達之風險高於因錯誤所生者,
因為舞弊可能涉及共謀、偽造、故意隱匿、虛假陳述,或未確實執行內部控制。
瞭解與查核相關之內部控制,以設計適用於該情況之查核程序,但並非為
對本基金之內部控制有效性表達意見。
評估所採用之會計原則之妥適性與會計評估及在本基金董事會所為之相
關揭露之合理性。
總結本基金董事會採用之繼續經營會計基礎之適當性,並基於所取得之查
核證據,總結是否存有相關事件或條件可能導致對本基金或任何其子基金之繼
(中譯文僅供參考,如有疑義應以原文版為準)
3
續經營能力產生重大質疑之重大不確定性。如我方歸結認為存有重大不確定性,
我方應於財務報表中我方之獨立查核會計師報告之相關揭露部份註明,或在該
揭露未盡充分時修正我方之意見。我方於財務報告中之結論係基於截至獨立查
核會計師報告所載日期前取得之查核證據。然而,未來發生之事件與條件仍有
可能導致本基金繼續經營之終止。
評價財務報表之整體表述、架構及內容,包括揭露事項以及財務報表是否
公允表達相關交易及事件。
我方與負有治理責任之人員溝通關於查核之預定範圍及時間及重大查核發現等
事項,包括在我方查核過程中發現之任何內部控制之重大缺失。
我方亦提供負有治理責任之人員一份已遵循有關獨立性之道德規範之聲明,並告
知所有可能合理地被認為與獨立性有關之所有關係和其他事項,以及相關之保障
措施(如有適用)。
盧森堡,2019 年 12 月 20 日
KPMG 盧森堡
Société coopérative
Cabinet de révision agréé
合夥人
R.Beegun
(中譯文僅供參考,如有疑義應以原文版為準)
4
合併報表
(以歐元計價)
截至西元 2019 年 9 月 30 日止之合併淨資產報表
備註
證券投資組合總額
股份
集合投資計畫
債券及其他債務工具
貨幣市場工具
貸款
金融衍生性工具總額
商品交換
信用違約交換
利率交換
總報酬交換
遠期外匯合約
選擇權
期貨
權證及權利
銀行存款
保證金存款
其他資產
總資產
銀行透支
流動負債
金融衍生性工具總額
信用違約交換
利率交換
總報酬交換
遠期指數
遠期外匯合約
選擇權
期貨
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
5
截至西元 2019 年 9 月 30 日止年度合併營運及淨資產變動報表
備註
總收入
股息
債券及其他債務工具之利息
銀行利息
交換契約利息
其他收入
總支出
管理費用
績效費用
固定服務費用
分離管理費用
申購稅
銀行利息
交換契約利息
債券及其他債務工具之利息
其他支出
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
轉換差異
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
6
NN (L) 亞洲收益基金(本基金之配息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
保證金存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
選擇權
期貨
金融衍生性工具總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
7
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
其他支出
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動 金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
8
NN (L) 亞洲債券基金(本基金有相當比重投資於非投資等級之高風險債券且配
息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
債券及其他債務工具
銀行存款
保證金存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
期貨
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
9
截至西元 2019 年 9 月 30 日止營運及淨資產變動報表
備註
總收入
債券及其他債務工具之利息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
10
NN (L) 銀行及保險基金
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
11
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
12
NN (L) 歐洲新興市場股票基金
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
流動負債
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
13
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
其他收入
總支出
管理費用
固定服務費用
申購稅
銀行利息
其他支出
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
14
NN (L) 新興市場債券基金(本基金有相當比重投資於非投資等級之高風險債券
且配息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
債券及其他債務工具
金融衍生性工具總額
期貨
銀行存款
保證金存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
15
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
債券及其他債務工具之利息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動 金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
16
NN (L) 新興高股息基金(本基金之配息來源可能為本金)
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
銀行透支
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
17
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
其他支出
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
18
NN (L)能源基金
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
19
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
20
NN (L) 歐元高股息基金(本基金之配息來源可能為本金)
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
遠期外匯合約
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
21
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
22
NN (L) 歐洲股票基金
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
金融衍生性工具總額
遠期外匯合約
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
23
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
24
NN (L) 旗艦多元資產基金(本基金之配息來源可能為本金)
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
集合投資計畫
債券及其他債務工具
貨幣市場工具
金融衍生性工具總額
信用違約交換
銀行存款
保證金存款
其他資產
總資產
銀行透支
流動負債
金融衍生性工具總額
遠期外匯合約
期貨
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
25
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
債券及其他債務工具之利息
交換契約利息
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
交換契約利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
26
NN (L) 食品飲料基金(本基金之配息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
27
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益 或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
28
NN (L) 邊境市場債券基金(本基金主要係投資於非投資等級之高風險債券且配
息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
債券及其他債務工具股份
貨幣市場工具
金融衍生性工具總額
期貨
銀行存款
保證金存款
其他資產
總資產
銀行透支
流動負債
金融衍生性工具總額
遠期外匯契約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
29
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
債券及其他債務工具之利息
銀行利息
交換契約利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
交換契約利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
30
NN (L) 全球機會股票基金
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
金融衍生性工具總額
遠期外匯合約
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
31
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
32
NN (L) 環球高股息基金(本基金之配息來源可能為本金)
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
金融衍生性工具總額
遠期外匯合約
銀行存款
其他資產
總資產
流動負債
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
33
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
34
NN (L) 環球高收益基金(本基金主要係投資於非投資等級之高風險債券且配息
來源可能為本金)
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
集合投資計畫
債券及其他債務工具
金融衍生性工具總額
期貨
銀行存款
保證金存款
其他資產
總資產
流動負債
金融衍生性工具總額
信用違約交換
利率交換
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
35
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
債券及其他債務工具之利息
交換契約利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
交換契約利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
36
NN (L) 大中華股票基金
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
金融衍生性工具銀行存款
其他資產
總資產
流動負債
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
37
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
總支出
管理費用
固定服務費用
申購稅
其他支出
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
38
NN (L) 科技基金
(2019 年 12 月 1 日後名稱: NN (L) 永續智慧經濟基金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
金融衍生性工具銀行存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
39
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
40
NN (L) 日本股票基金
(以日幣計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
金融衍生性工具總額
遠期外匯合約
銀行存款
其他資產
總資產
流動負債
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
41
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
42
NN (L) 新興市場增強股票基金
(原名稱:拉丁美洲股票基金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
債券及其他債務工具
金融衍生性工具總額
權證及權利
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
43
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
44
NN (L) 原物料基金
(2019 年 12 月 1 日後名稱: NN (L) 氣候與環境永續基金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
銀行透支
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
45
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
銀行利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
46
NN (L) 投資級公司債基金(本基金之配息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
債券及其他債務工具
金融衍生性工具總額
期貨
銀行存款
保證金存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
47
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
債券及其他債務工具之利息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益 或(損失)之變動 金融衍生性工具之淨未實現收益 或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
48
NN (L) 美國高股息基金(本基金之配息來源可能為本金)
(以美元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
股份
銀行存款
其他資產
總資產
流動負債
金融衍生性工具總額
遠期外匯合約
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
49
截至西元 2019 年 9 月 30 日止年度營運及淨資產變動報表
備註
總收入
股息
銀行利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
50
NN (L) 旗艦收益債券基金(本基金有相當比重投資於非投資等級之高風險債券)
(以歐元計價)
財務報表
西元 2019 年 9 月 30 日止之淨資產報表
備註
證券投資組合總額
集合投資計畫
債券及其他債務工具
金融衍生性工具總額
利率交換
銀行存款
保證金存款
其他資產
總資產
流動負債
金融衍生性工具總額
信用違約交換
遠期外匯合約
期貨
總負債
期末淨資產
(中譯文僅供參考,如有疑義應以原文版為準)
51
截至西元 2019 年 9 月 30 日止營運及淨資產變動報表
備註
總收入
債券及其他債務工具之利息
銀行利息
利率交換之利息
其他收入
總支出
管理費用
固定服務費用
分離管理費用
申購稅
利率交換之利息
淨投資收入
證券投資組合之已實現收益
證券投資組合之已實現損失
金融衍生性工具之已實現收益
金融衍生性工具之已實現損失
貨幣之已實現收益
貨幣之已實現損失
證券投資組合之淨未實現收益
或(損失)之變動
金融衍生性工具之淨未實現收益
或(損失)之變動
營運結果
申購
買回
分派
期初淨資產
期末淨資產
for the year ended September 30, 2019LUXEMBOURG
Annual report and audited financial statements
Société d'Investissement à Capital Variable
NN (L)R.C.S. Luxembourg N° B 44 873
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
For additional information please contact:
NN Investment Partners B.V.P.O. Box 90470Schenkkade 652509 LL The HagueThe Netherlandse-mail: [email protected] www.nnip.com
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
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.
The prospectus, the statutes, the annual and semi-annual reports are made available to the shareholders at the depositary bank and at the Company'sregistered office as well as at the local sales offices or main client servicing contacts identified in this report. They will also be sent free of charge to anyonewho so requests.
The information given in this report is for reference purposes only. It is not a guide to future results.
Only the English version of the present Annual Report has been audited by the Réviseur d Entreprises agréé. Consequently, the Audit Report only refers to theEnglish version of the report; other versions result from a conscientious translation. In case of differences between the English version and the translation,the English version shall be the authentic text.
Warning
1
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Organisation 18
Management's report 24
Report of the Réviseur d'Entreprises agréé 29
Combined statements
Combined statement of net assets as at 30/09/2019 32
Combined statement of operations and changes in net assets for the year ended 30/09/2019 32
NN (L) AAA ABS
Statistics 33
Financial statements 34
Statement of net assets as at 30/09/2019 34
Statement of operations and changes in net assets for the year ended 30/09/2019 34
Securities portfolio as at 30/09/2019 35
Financial derivative instruments as at 30/09/2019 36
Summary of net assets as at 30/09/2019 36
NN (L) Absolute Return Bond
Statistics 37
Financial statements 39
Statement of net assets as at 30/09/2019 39
Statement of operations and changes in net assets for the year ended 30/09/2019 39
Securities portfolio as at 30/09/2019 40
Financial derivative instruments as at 30/09/2019 42
Summary of net assets as at 30/09/2019 43
NN (L) Alternative Beta
Statistics 44
Financial statements 46
Statement of net assets as at 30/09/2019 46
Statement of operations and changes in net assets for the year ended 30/09/2019 46
Securities portfolio as at 30/09/2019 47
Financial derivative instruments as at 30/09/2019 47
Summary of net assets as at 30/09/2019 47
NN (L) Asia Income
Statistics 48
Financial statements 50
Statement of net assets as at 30/09/2019 50
Statement of operations and changes in net assets for the year ended 30/09/2019 50
Securities portfolio as at 30/09/2019 51
Table of contents
2
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Financial derivative instruments as at 30/09/2019 51
Summary of net assets as at 30/09/2019 52
NN (L) Asian Debt (Hard Currency)
Statistics 53
Financial statements 57
Statement of net assets as at 30/09/2019 57
Statement of operations and changes in net assets for the year ended 30/09/2019 57
Securities portfolio as at 30/09/2019 58
Financial derivative instruments as at 30/09/2019 61
Summary of net assets as at 30/09/2019 61
NN (L) Asian High Yield
Statistics 62
Financial statements 64
Statement of net assets as at 30/09/2019 64
Statement of operations and changes in net assets for the year ended 30/09/2019 64
Securities portfolio as at 30/09/2019 65
Financial derivative instruments as at 30/09/2019 66
Summary of net assets as at 30/09/2019 67
NN (L) Banking & Insurance
Statistics 68
Financial statements 70
Statement of net assets as at 30/09/2019 70
Statement of operations and changes in net assets for the year ended 30/09/2019 70
Securities portfolio as at 30/09/2019 71
Financial derivative instruments as at 30/09/2019 72
Summary of net assets as at 30/09/2019 72
NN (L) Belgian Government Bond
Statistics 73
Financial statements 74
Statement of net assets as at 30/09/2019 74
Statement of operations and changes in net assets for the year ended 30/09/2019 74
Securities portfolio as at 30/09/2019 75
Financial derivative instruments as at 30/09/2019 75
Summary of net assets as at 30/09/2019 75
NN (L) Commodity Enhanced
Statistics 76
Table of contents (continued)
3
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Financial statements 77
Statement of net assets as at 30/09/2019 77
Statement of operations and changes in net assets for the year ended 30/09/2019 77
Securities portfolio as at 30/09/2019 78
Financial derivative instruments as at 30/09/2019 78
Summary of net assets as at 30/09/2019 78
NN (L) Communication Services
Statistics 79
Financial statements 81
Statement of net assets as at 30/09/2019 81
Statement of operations and changes in net assets for the year ended 30/09/2019 81
Securities portfolio as at 30/09/2019 82
Financial derivative instruments as at 30/09/2019 82
Summary of net assets as at 30/09/2019 83
NN (L) Consumer Goods
Statistics 84
Financial statements 86
Statement of net assets as at 30/09/2019 86
Statement of operations and changes in net assets for the year ended 30/09/2019 86
Securities portfolio as at 30/09/2019 87
Summary of net assets as at 30/09/2019 87
NN (L) Emerging Europe Equity
Statistics 88
Financial statements 89
Statement of net assets as at 30/09/2019 89
Statement of operations and changes in net assets for the year ended 30/09/2019 89
Securities portfolio as at 30/09/2019 90
Summary of net assets as at 30/09/2019 90
NN (L) Emerging Markets Corporate Debt
Statistics 91
Financial statements 92
Statement of net assets as at 30/09/2019 92
Statement of operations and changes in net assets for the year ended 30/09/2019 92
Securities portfolio as at 30/09/2019 93
Financial derivative instruments as at 30/09/2019 96
Summary of net assets as at 30/09/2019 96
Table of contents (continued)
4
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
NN (L) Emerging Markets Debt (Hard Currency)
Statistics 97
Financial statements 104
Statement of net assets as at 30/09/2019 104
Statement of operations and changes in net assets for the year ended 30/09/2019 104
Securities portfolio as at 30/09/2019 105
Financial derivative instruments as at 30/09/2019 110
Summary of net assets as at 30/09/2019 111
NN (L) Emerging Markets Debt (Local Bond)
Statistics 112
Financial statements 114
Statement of net assets as at 30/09/2019 114
Statement of operations and changes in net assets for the year ended 30/09/2019 114
Securities portfolio as at 30/09/2019 115
Financial derivative instruments as at 30/09/2019 117
Summary of net assets as at 30/09/2019 118
NN (L) Emerging Markets Debt (Local Currency)
Statistics 119
Financial statements 122
Statement of net assets as at 30/09/2019 122
Statement of operations and changes in net assets for the year ended 30/09/2019 122
Securities portfolio as at 30/09/2019 123
Financial derivative instruments as at 30/09/2019 124
Summary of net assets as at 30/09/2019 125
NN (L) Emerging Markets Debt Opportunities
Statistics 126
Financial statements 127
Statement of net assets as at 30/09/2019 127
Statement of operations and changes in net assets for the year ended 30/09/2019 127
Securities portfolio as at 30/09/2019 128
Financial derivative instruments as at 30/09/2019 135
Summary of net assets as at 30/09/2019 138
NN (L) Emerging Markets Debt Short Duration (Hard Currency)
Statistics 139
Financial statements 140
Statement of net assets as at 30/09/2019 140
Table of contents (continued)
5
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Statement of operations and changes in net assets for the year ended 30/09/2019 140
Securities portfolio as at 30/09/2019 141
Financial derivative instruments as at 30/09/2019 144
Summary of net assets as at 30/09/2019 144
NN (L) Emerging Markets Enhanced Index Sustainable Equity
Statistics 145
Financial statements 147
Statement of net assets as at 30/09/2019 147
Statement of operations and changes in net assets for the year ended 30/09/2019 147
Securities portfolio as at 30/09/2019 148
Financial derivative instruments as at 30/09/2019 153
Summary of net assets as at 30/09/2019 153
NN (L) Emerging Markets Equity Opportunities
Statistics 154
Financial statements 155
Statement of operations and changes in net assets for the period from 01/10/2018 to 15/02/2019 155
NN (L) Emerging Markets High Dividend
Statistics 156
Financial statements 159
Statement of net assets as at 30/09/2019 159
Statement of operations and changes in net assets for the year ended 30/09/2019 159
Securities portfolio as at 30/09/2019 160
Financial derivative instruments as at 30/09/2019 161
Summary of net assets as at 30/09/2019 161
NN (L) Energy
Statistics 162
Financial statements 164
Statement of net assets as at 30/09/2019 164
Statement of operations and changes in net assets for the year ended 30/09/2019 164
Securities portfolio as at 30/09/2019 165
Financial derivative instruments as at 30/09/2019 165
Summary of net assets as at 30/09/2019 165
NN (L) Euro Covered Bond
Statistics 166
Financial statements 167
Statement of net assets as at 30/09/2019 167
Table of contents (continued)
6
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Statement of operations and changes in net assets for the year ended 30/09/2019 167
Securities portfolio as at 30/09/2019 168
Financial derivative instruments as at 30/09/2019 169
Summary of net assets as at 30/09/2019 170
NN (L) Euro Credit
Statistics 171
Financial statements 172
Statement of net assets as at 30/09/2019 172
Statement of operations and changes in net assets for the year ended 30/09/2019 172
Securities portfolio as at 30/09/2019 173
Financial derivative instruments as at 30/09/2019 177
Summary of net assets as at 30/09/2019 178
NN (L) EURO Equity
Statistics 179
Financial statements 180
Statement of net assets as at 30/09/2019 180
Statement of operations and changes in net assets for the year ended 30/09/2019 180
Securities portfolio as at 30/09/2019 181
Financial derivative instruments as at 30/09/2019 181
Summary of net assets as at 30/09/2019 182
NN (L) Euro Fixed Income
Statistics 183
Financial statements 185
Statement of net assets as at 30/09/2019 185
Statement of operations and changes in net assets for the year ended 30/09/2019 185
Securities portfolio as at 30/09/2019 186
Financial derivative instruments as at 30/09/2019 194
Summary of net assets as at 30/09/2019 194
NN (L) Euro High Dividend
Statistics 195
Financial statements 199
Statement of net assets as at 30/09/2019 199
Statement of operations and changes in net assets for the year ended 30/09/2019 199
Securities portfolio as at 30/09/2019 200
Financial derivative instruments as at 30/09/2019 200
Summary of net assets as at 30/09/2019 200
Table of contents (continued)
7
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
NN (L) Euro Income
Statistics 201
Financial statements 202
Statement of net assets as at 30/09/2019 202
Statement of operations and changes in net assets for the year ended 30/09/2019 202
Securities portfolio as at 30/09/2019 203
Financial derivative instruments as at 30/09/2019 203
Summary of net assets as at 30/09/2019 204
NN (L) Euro Liquidity
Statistics 205
Financial statements 207
Statement of net assets as at 30/09/2019 207
Statement of operations and changes in net assets for the year ended 30/09/2019 207
Securities portfolio as at 30/09/2019 208
Summary of net assets as at 30/09/2019 208
NN (L) Euro Long Duration Bond
Statistics 209
Statement of net assets as at 30/09/2019 210
Statement of operations and changes in net assets for the year ended 30/09/2019 210
Securities portfolio as at 30/09/2019 211
Financial derivative instruments as at 30/09/2019 214
Summary of net assets as at 30/09/2019 214
NN (L) Euro Short Duration
Statistics 215
Financial statements 216
Statement of net assets as at 30/09/2019 216
Statement of operations and changes in net assets for the year ended 30/09/2019 216
Securities portfolio as at 30/09/2019 217
Financial derivative instruments as at 30/09/2019 218
Summary of net assets as at 30/09/2019 218
NN (L) Euro Sustainable Credit
Statistics 219
Financial statements 220
Statement of net assets as at 30/09/2019 220
Statement of operations and changes in net assets for the year ended 30/09/2019 220
Securities portfolio as at 30/09/2019 221
Table of contents (continued)
8
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Financial derivative instruments as at 30/09/2019 225
Summary of net assets as at 30/09/2019 226
NN (L) Euro Sustainable Credit (excluding Financials)
Statistics 227
Financial statements 229
Statement of net assets as at 30/09/2019 229
Statement of operations and changes in net assets for the year ended 30/09/2019 229
Securities portfolio as at 30/09/2019 230
Financial derivative instruments as at 30/09/2019 232
Summary of net assets as at 30/09/2019 233
NN (L) Euromix Bond
Statistics 234
Financial statements 235
Statement of net assets as at 30/09/2019 235
Statement of operations and changes in net assets for the year ended 30/09/2019 235
Securities portfolio as at 30/09/2019 236
Financial derivative instruments as at 30/09/2019 236
Summary of net assets as at 30/09/2019 236
NN (L) European ABS
Statistics 237
Financial statements 238
Statement of net assets as at 30/09/2019 238
Statement of operations and changes in net assets for the period from 10/12/2018 to 30/09/2019 238
Securities portfolio as at 30/09/2019 239
Financial derivative instruments as at 30/09/2019 240
Summary of net assets as at 30/09/2019 240
NN (L) European Equity
Statistics 241
Financial statements 242
Statement of net assets as at 30/09/2019 242
Statement of operations and changes in net assets for the year ended 30/09/2019 242
Securities portfolio as at 30/09/2019 243
Financial derivative instruments as at 30/09/2019 244
Summary of net assets as at 30/09/2019 244
NN (L) European High Dividend
Statistics 245
Table of contents (continued)
9
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Financial statements 247
Statement of net assets as at 30/09/2019 247
Statement of operations and changes in net assets for the year ended 30/09/2019 247
Securities portfolio as at 30/09/2019 248
Financial derivative instruments as at 30/09/2019 248
Summary of net assets as at 30/09/2019 248
NN (L) European High Yield
Statistics 249
Financial statements 252
Statement of net assets as at 30/09/2019 252
Statement of operations and changes in net assets for the year ended 30/09/2019 252
Securities portfolio as at 30/09/2019 253
Financial derivative instruments as at 30/09/2019 254
Summary of net assets as at 30/09/2019 255
NN (L) European Participation Equity
Statistics 256
Financial statements 257
Statement of net assets as at 30/09/2019 257
Statement of operations and changes in net assets for the year ended 30/09/2019 257
Securities portfolio as at 30/09/2019 258
Summary of net assets as at 30/09/2019 258
NN (L) European Real Estate
Statistics 259
Financial statements 261
Statement of net assets as at 30/09/2019 261
Statement of operations and changes in net assets for the year ended 30/09/2019 261
Securities portfolio as at 30/09/2019 262
Financial derivative instruments as at 30/09/2019 262
Summary of net assets as at 30/09/2019 262
NN (L) European Sustainable Equity
Statistics 263
Financial statements 265
Statement of net assets as at 30/09/2019 265
Statement of operations and changes in net assets for the year ended 30/09/2019 265
Securities portfolio as at 30/09/2019 266
Financial derivative instruments as at 30/09/2019 266
Table of contents (continued)
10
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Summary of net assets as at 30/09/2019 267
NN (L) First Class Multi Asset
Statistics 268
Financial statements 272
Statement of net assets as at 30/09/2019 272
Statement of operations and changes in net assets for the year ended 30/09/2019 272
Securities portfolio as at 30/09/2019 273
Financial derivative instruments as at 30/09/2019 278
Summary of net assets as at 30/09/2019 279
NN (L) First Class Multi Asset Premium
Statistics 280
Financial statements 281
Statement of net assets as at 30/09/2019 281
Statement of operations and changes in net assets for the year ended 30/09/2019 281
Securities portfolio as at 30/09/2019 282
Financial derivative instruments as at 30/09/2019 286
Summary of net assets as at 30/09/2019 286
NN (L) First Class Protection
Statistics 287
Financial statements 288
Statement of net assets as at 30/09/2019 288
Statement of operations and changes in net assets for the year ended 30/09/2019 288
Securities portfolio as at 30/09/2019 289
Financial derivative instruments as at 30/09/2019 289
Summary of net assets as at 30/09/2019 289
NN (L) First Class Yield Opportunities
Statistics 290
Financial statements 292
Statement of net assets as at 30/09/2019 292
Statement of operations and changes in net assets for the year ended 30/09/2019 292
Securities portfolio as at 30/09/2019 293
Financial derivative instruments as at 30/09/2019 301
Summary of net assets as at 30/09/2019 303
NN (L) Food & Beverages
Statistics 304
Financial statements 307
Table of contents (continued)
11
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Statement of net assets as at 30/09/2019 307
Statement of operations and changes in net assets for the year ended 30/09/2019 307
Securities portfolio as at 30/09/2019 308
Financial derivative instruments as at 30/09/2019 308
Summary of net assets as at 30/09/2019 309
NN (L) Frontier Markets Debt (Hard Currency)
Statistics 310
Financial statements 314
Statement of net assets as at 30/09/2019 314
Statement of operations and changes in net assets for the year ended 30/09/2019 314
Securities portfolio as at 30/09/2019 315
Financial derivative instruments as at 30/09/2019 317
Summary of net assets as at 30/09/2019 318
NN (L) Global Bond Opportunities
Statistics 319
Financial statements 322
Statement of net assets as at 30/09/2019 322
Statement of operations and changes in net assets for the year ended 30/09/2019 322
Securities portfolio as at 30/09/2019 323
Financial derivative instruments as at 30/09/2019 324
Summary of net assets as at 30/09/2019 326
NN (L) Global Convertible Bond
Statistics 327
Financial statements 328
Statement of net assets as at 30/09/2019 328
Statement of operations and changes in net assets for the year ended 30/09/2019 328
Securities portfolio as at 30/09/2019 329
Financial derivative instruments as at 30/09/2019 330
Summary of net assets as at 30/09/2019 330
NN (L) Global Convertible Opportunities
Statistics 331
Financial statements 333
Statement of net assets as at 30/09/2019 333
Statement of operations and changes in net assets for the year ended 30/09/2019 333
Securities portfolio as at 30/09/2019 334
Financial derivative instruments as at 30/09/2019 334
Table of contents (continued)
12
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Summary of net assets as at 30/09/2019 335
NN (L) Global Equity Impact Opportunities
Statistics 336
Financial statements 338
Statement of net assets as at 30/09/2019 338
Statement of operations and changes in net assets for the year ended 30/09/2019 338
Securities portfolio as at 30/09/2019 339
Financial derivative instruments as at 30/09/2019 339
Summary of net assets as at 30/09/2019 340
NN (L) Global High Dividend
Statistics 341
Financial statements 345
Statement of net assets as at 30/09/2019 345
Statement of operations and changes in net assets for the year ended 30/09/2019 345
Securities portfolio as at 30/09/2019 346
Financial derivative instruments as at 30/09/2019 347
Summary of net assets as at 30/09/2019 347
NN (L) Global High Yield
Statistics 348
Statement of net assets as at 30/09/2019 354
Statement of operations and changes in net assets for the year ended 30/09/2019 354
Securities portfolio as at 30/09/2019 355
Financial derivative instruments as at 30/09/2019 359
Summary of net assets as at 30/09/2019 360
NN (L) Global Inflation Linked Bond
Statistics 361
Financial statements 362
Statement of net assets as at 30/09/2019 362
Statement of operations and changes in net assets for the year ended 30/09/2019 362
Securities portfolio as at 30/09/2019 363
Financial derivative instruments as at 30/09/2019 364
Summary of net assets as at 30/09/2019 365
NN (L) Global Investment Grade Credit
Statistics 366
Financial statements 367
Statement of net assets as at 30/09/2019 367
Table of contents (continued)
13
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Statement of operations and changes in net assets for the year ended 30/09/2019 367
Securities portfolio as at 30/09/2019 368
Financial derivative instruments as at 30/09/2019 369
Summary of net assets as at 30/09/2019 370
NN (L) Global Real Estate
Statistics 371
Financial statements 373
Statement of net assets as at 30/09/2019 373
Statement of operations and changes in net assets for the year ended 30/09/2019 373
Securities portfolio as at 30/09/2019 374
Summary of net assets as at 30/09/2019 375
NN (L) Global Sustainable Equity
Statistics 376
Financial statements 378
Statement of net assets as at 30/09/2019 378
Statement of operations and changes in net assets for the year ended 30/09/2019 378
Securities portfolio as at 30/09/2019 379
Financial derivative instruments as at 30/09/2019 379
Summary of net assets as at 30/09/2019 380
NN (L) Greater China Equity
Statistics 381
Financial statements 383
Statement of net assets as at 30/09/2019 383
Statement of operations and changes in net assets for the year ended 30/09/2019 383
Securities portfolio as at 30/09/2019 384
Summary of net assets as at 30/09/2019 384
NN (L) Green Bond
Statistics 385
Financial statements 387
Statement of net assets as at 30/09/2019 387
Statement of operations and changes in net assets for the year ended 30/09/2019 387
Securities portfolio as at 30/09/2019 388
Financial derivative instruments as at 30/09/2019 390
Summary of net assets as at 30/09/2019 390
NN (L) Green Bond Short Duration
Statistics 391
Table of contents (continued)
14
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Financial statements 392
Statement of net assets as at 30/09/2019 392
Statement of operations and changes in net assets for the period from 01/04/2019 to 30/09/2019 392
Securities portfolio as at 30/09/2019 393
Financial derivative instruments as at 30/09/2019 395
Summary of net assets as at 30/09/2019 395
NN (L) Health Care
Statistics 396
Financial statements 398
Statement of net assets as at 30/09/2019 398
Statement of operations and changes in net assets for the year ended 30/09/2019 398
Securities portfolio as at 30/09/2019 399
Financial derivative instruments as at 30/09/2019 400
Summary of net assets as at 30/09/2019 400
NN (L) Industrials
Statistics 401
Financial statements 402
Statement of net assets as at 30/09/2019 402
Statement of operations and changes in net assets for the year ended 30/09/2019 402
Securities portfolio as at 30/09/2019 403
Summary of net assets as at 30/09/2019 404
NN (L) Information Technology
Statistics 405
Financial statements 407
Statement of net assets as at 30/09/2019 407
Statement of operations and changes in net assets for the year ended 30/09/2019 407
Securities portfolio as at 30/09/2019 408
Financial derivative instruments as at 30/09/2019 409
Summary of net assets as at 30/09/2019 409
NN (L) Japan Equity
Statistics 410
Financial statements 412
Statement of net assets as at 30/09/2019 412
Statement of operations and changes in net assets for the year ended 30/09/2019 412
Securities portfolio as at 30/09/2019 413
Financial derivative instruments as at 30/09/2019 414
Table of contents (continued)
15
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Summary of net assets as at 30/09/2019 414
NN (L) Materials
Statistics 415
Financial statements 417
Statement of net assets as at 30/09/2019 417
Statement of operations and changes in net assets for the year ended 30/09/2019 417
Securities portfolio as at 30/09/2019 418
Financial derivative instruments as at 30/09/2019 419
Summary of net assets as at 30/09/2019 419
NN (L) Multi Asset Factor Opportunities
Statistics 420
Financial statements 421
Statement of net assets as at 30/09/2019 421
Statement of operations and changes in net assets for the year ended 30/09/2019 421
Securities portfolio as at 30/09/2019 422
Financial derivative instruments as at 30/09/2019 422
Summary of net assets as at 30/09/2019 423
NN (L) Multi Asset High Income
Statistics 424
Financial statements 425
Statement of net assets as at 30/09/2019 425
Statement of operations and changes in net assets for the year ended 30/09/2019 425
Securities portfolio as at 30/09/2019 426
Financial derivative instruments as at 30/09/2019 426
Summary of net assets as at 30/09/2019 426
NN (L) Prestige & Luxe
Statistics 427
Financial statements 428
Statement of net assets as at 30/09/2019 428
Statement of operations and changes in net assets for the year ended 30/09/2019 428
Securities portfolio as at 30/09/2019 429
Summary of net assets as at 30/09/2019 429
NN (L) US Credit
Statistics 430
Financial statements 434
Statement of net assets as at 30/09/2019 434
Table of contents (continued)
16
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
Page
Statement of operations and changes in net assets for the year ended 30/09/2019 434
Securities portfolio as at 30/09/2019 435
Financial derivative instruments as at 30/09/2019 438
Summary of net assets as at 30/09/2019 439
NN (L) US Enhanced Core Concentrated Equity
Statistics 440
Financial statements 442
Statement of net assets as at 30/09/2019 442
Statement of operations and changes in net assets for the year ended 30/09/2019 442
Securities portfolio as at 30/09/2019 443
Financial derivative instruments as at 30/09/2019 444
Summary of net assets as at 30/09/2019 444
NN (L) US Factor Credit
Statistics 445
Financial statements 446
Statement of net assets as at 30/09/2019 446
Statement of operations and changes in net assets for the year ended 30/09/2019 446
Securities portfolio as at 30/09/2019 447
Financial derivative instruments as at 30/09/2019 449
Summary of net assets as at 30/09/2019 449
NN (L) US Growth Equity
Statistics 450
Financial statements 451
Statement of net assets as at 30/09/2019 451
Statement of operations and changes in net assets for the year ended 30/09/2019 451
Securities portfolio as at 30/09/2019 452
Financial derivative instruments as at 30/09/2019 452
Summary of net assets as at 30/09/2019 452
NN (L) US High Dividend
Statistics 453
Financial statements 458
Statement of net assets as at 30/09/2019 458
Statement of operations and changes in net assets for the year ended 30/09/2019 458
Securities portfolio as at 30/09/2019 459
Financial derivative instruments as at 30/09/2019 459
Summary of net assets as at 30/09/2019 460
Table of contents (continued)
17
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
Page
NN (L) US High Yield
Statistics 461
Financial statements 462
Statement of net assets as at 30/09/2019 462
Statement of operations and changes in net assets for the year ended 30/09/2019 462
Securities portfolio as at 30/09/2019 463
Financial derivative instruments as at 30/09/2019 465
Summary of net assets as at 30/09/2019 466
NN (L) Utilities
Statistics 467
Financial statements 468
Statement of net assets as at 30/09/2019 468
Statement of operations and changes in net assets for the year ended 30/09/2019 468
Securities portfolio as at 30/09/2019 469
Summary of net assets as at 30/09/2019 469
Notes to the financial statements 470
Other information to shareholders (unaudited) 519
Table of contents (continued)
Annual report and audited financial statements NN (L) for the year ended September 30, 2019
29
To the Shareholders of NN (L) 3, rue Jean Piret L-2350 Luxembourg
REPORT OF THE REVISEUR D’ENTREPRISES AGREE
Opinion We have audited the accompanying financial statements of NN (L) and each of its sub-funds (“the Fund”), which comprise the statement of net assets, the securities portfolio and the financial derivative instruments as at September 30, 2019 and the statement of operations and changes in net assets for the year then ended, and notes to the financial statements, including a summary of significant accounting policies. In our opinion, the accompanying financial statements give a true and fair view of the financial position of NN (L) and each of its sub-funds as at September 30, 2019, and of the results of their operations and changes in their net assets for the year then ended in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements. Basis for opinion We conducted our audit in accordance with the Law of 23 July 2016 on the audit profession (“Law of 23 July 2016”) and with International Standards on Auditing (“ISAs”) as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier (“CSSF”). Our responsibilities under the Law of 23 July 2016 and ISAs are further described in the « Responsibilities of “Réviseur d’Entreprises agréé” for the Audit of the Financial Statements » section of our report. We are also independent of the Fund in accordance with the International Ethics Standards Board for Accountants’ Code of Ethics for Professional Accountants (“IESBA Code”) as adopted for Luxembourg by the CSSF together with the ethical requirements that are relevant to our audit of the financial statements, and have fulfilled our other ethical responsibilities under those ethical requirements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion. Other information The Board of Directors of the Fund is responsible for the other information. The other information comprises the information stated in the annual report but does not include the financial statements and our report of “Réviseur d’Entreprises agréé” thereon. Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusion thereon. In connection with our audit of the financial statements, our responsibility is to read the other information and, in doing so, consider whether the other information is materially inconsistent with the financial statements or our knowledge obtained in the audit or otherwise appears to be materially misstated. If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required to report this fact. We have nothing to report in this regard.
Tel.: +352 22 51 51 1 Fax: +352 22 51 71 E-mail: [email protected] Internet: www.kpmg.lu
KPMG Luxembourg, Société coopérative 39, Avenue John F. Kennedy L-1855 Luxembourg
KPMG Luxembourg, Société coopérative, a Luxembourg entity and amember firm of the KPMG network of independent member firmsaffiliated with KPMG International Cooperative (“KPMG International”),a Swiss entity.
T.V.A. LU 27351518 R.C.S. Luxembourg B 149133
NN (L) Annual report and audited financial statements for the year ended September 30, 2019
30
REPORT OF THE REVISEUR D’ENTREPRISES AGREE (continued)
Responsibilities of the Board of Directors of the Fund for the financial statements The Board of Directors of the Fund is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation and presentation of the financial statements, and for such internal control as the Board of Directors of the Fund determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. In preparing the financial statements, the Board of Directors of the Fund is responsible for assessing the Fund’s and each of its sub-funds’ ability to continue as a going concern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless the Board of Directors of the Fund either intends to liquidate the Fund or any of its sub-funds or to cease operations, or has no realistic alternative but to do so. Responsibilities of the “Réviseur d’Entreprises agréé” for the audit of the financial statements The objectives of our audit are to obtain reasonable assurance about whether the financial statements as a whole are free from material misstatement, whether due to fraud or error, and to issue a report of “Réviseur d’Entreprises agréé” that includes our opinion. Reasonable assurance is a high level of assurance, but is not a guarantee that an audit conducted in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF will always detect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or in the aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of these financial statements. As part of an audit in accordance with the Law of 23 July 2016 and with ISAs as adopted for Luxembourg by the CSSF, we exercise professional judgment and maintain professional skepticism throughout the audit. We also:
Identify and assess the risks of material misstatement of the financial statements, whether due to fraud or error, design and perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis for our opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud may involve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control. Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund’s internal control. Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made by the Board of Directors of the Fund. Conclude on the appropriateness of the Board of Directors of the Fund’s use of the going concern basis of accounting and, based on the audit evidence obtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the Fund’s or any of its sub-funds’ ability to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our report of the “Réviseur d’Entreprises agréé” to the related disclosures in the financial statements or, if such disclosures are inadequate, to modify our opinion. Our conclusions are based on the audit evidence obtained up to the date of our report of the “Réviseur d’Entreprises agréé”. However, future events or conditions may cause the Fund or any of its sub-funds to cease to continue as a going concern. Evaluate the overall presentation, structure and content of the financial statements, including the disclosures, and whether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.
The accompanying notes form an integral part of these financial statements.
Combined statements(Denominated in EUR)
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
32
Total securities portfolio 30,516,116,302.852Shares 9,003,913,696.40Undertakings for collective investment 1,004,004,517.28Bonds and other debt instruments 19,949,781,209.66Money market instruments 551,481,336.42Loans 6,935,543.09
Total financial derivative instruments 56,765,291.752Commodity swaps 2,844,068.40Credit default swaps 31,477,648.49Interest rate swaps 8,837,726.43Total return swaps 2,725,446.46Forward foreign exchange contracts 2,479,429.20Options 340,602.46Futures 8,060,051.78Warrants and rights 318.53
Cash at bank 1,027,719,745.59Margin deposits 122,342,907.45Other assets 1,335,612,524.284,14Total assets 33,058,556,771.92Bank overdrafts (4,696,080.60)Current liabilities (1,217,926,307.18)4,14Total financial derivative instruments (74,330,626.86)2
Credit default swaps (13,896,663.18)Interest rate swaps (2,822,431.07)Total return swaps (1,962,950.03)Index Forwards (467,536.79)Forward foreign exchange contracts (47,967,185.37)Options (966,428.87)Futures (6,247,431.55)
Total liabilities (1,296,953,014.64)
Notes
Combined statement of net assets as at 30/09/2019
Net assets at the end of the year 31,761,603,757.28
Total income 929,050,241.25Dividends 214,233,421.89Interest on bonds and other debt instruments 656,119,145.77Bank interest 21,214,733.61Interest on swaps 31,528,311.84Other income 5,954,628.1411
Total expenses (300,134,083.78)Management fees (192,280,630.50)5Performance fees (433.61)8Fixed service fees (59,078,225.36)6Overlay fees (1,503,066.37)7Subscription tax (6,429,877.01)10Bank interest (1,496,308.11)Interest on swaps (18,962,562.93)Interest on bonds and other debt instruments (19,525,661.21)Other expenses (857,318.68)12
Net investment income 628,916,157.47Realised gains on securities portfolio 1,246,555,706.31Realised losses on securities portfolio (1,073,055,947.07)
Notes
Combined statement of operations and changes in net assetsfor the year ended 30/09/2019
Realised gains on financial derivative instruments 1,056,036,090.84Realised losses on financial derivative instruments (1,744,532,935.40)Realised gains on currency 144,537,591.40Realised losses on currency (158,029,940.69)Changes in net unrealised gains or (losses) on securitiesportfolio
1,271,900,745.78
Changes in net unrealised gains or (losses) on financialderivative instruments
(128,253,967.78)
Result of operations 1,244,073,500.86Subscriptions 12,119,668,804.82
Redemptions (10,829,183,995.93)
Distribution (364,789,463.28)
Net assets at the beginning of the year 28,780,854,210.95
Conversion difference 810,980,699.86
Net assets at the end of the year 31,761,603,757.28
Notes
NN (L) AAA ABS(Denominated in EUR)
NN (L)Annual report and audited financial statementsfor the year ended September 30, 2019
33
* The portfolio turnover data has been calculated by the Administrative Agent (see note 18).The ongoing charges figure corresponds to the ongoing charges figure as mentioned in the latest available Key Investor Information Document ("KIID") as at the date of this report.Transaction costs are included in the purchase/sale price of the securities (if any). These costs, which are not treated as operating expenses, are not included in the calculation of theongoing charges.The ongoing charges and the portfolio turnover rate are calculated for the last twelve months.The ongoing charges are annualised for periods less than one year. The portfolio turnover rate is not annualised for periods less than one year.
** Official net asset value per share including a swing pricing adjustment, if any.
Statistics
30/09/2019Net assets 389,470,421.56EUR30/09/2018 439,174,433.95EUR30/09/2017 604,439,476.29EUR
Capitalisation I (EUR) 5,053.6830/09/2019 EUR5,034.5130/09/2018 EUR5,063.3230/09/2017 EUR
Capitalisation Z (EUR) 5,142.9430/09/2019 EUR5,113.7030/09/2018 EUR5,133.1330/09/2017 EUR
Capitalisation Zz (EUR) 250,657.7530/09/2019 EUR249,108.3330/09/2018 EUR
-30/09/2017 EUR
Net asset value per share**
Capitalisation I (EUR) 2,76630/09/20192,92330/09/20186,38330/09/2017
Capitalisation Z (EUR) 19,87930/09/201923,12730/09/2018
111,45630/09/2017
Capitalisation Zz (EUR) 1,09030/09/20191,22930/09/2018
-30/09/2017
Number of shares
Capitalisation I (EUR) 0.25%30/09/2019
Capitalisation Z (EUR) 0.06%30/09/2019
Capitalisation Zz (EUR) 0.01%30/09/2019
Ongoing charges in %*
Portfolio turnover in %* 30/09/2019 154.05%
NN (L) AAA ABS
The accompanying notes form an integral part of these financial statements.
(Denominated in EUR)
NN (L) Annual report and audited financial statementsfor the year ended September 30, 2019
34
Financial statements
Total securities portfolio 384,951,115.702Undertakings for collective investment 22,869,920.88Bonds and other debt instruments 362,081,194.82
Cash at bank 6,459,348.28Other assets 2,941,642.544,14Total assets 394,352,106.52Current liabilities (4,696,720.46)4Total financial derivative instruments (184,964.50)2
Forward foreign exchange contracts (184,964.50)
Total liabilities (4,881,684.96)Net assets at the end of the year 389,470,421.56
Notes
Statement of net assets as at 30/09/2019
Total income 2,358,157.33Interest on bonds and other debt instruments 2,358,157.33
Total expenses (133,011.14)Management fees (16,998.00)5Fixed service fees (71,310.73)6Subscription tax (37,917.86)10Bank interest (6,784.55)
Net investment income 2,225,146.19Realised gains on securitie