# Notes to the financial statements - Schedule of derivative instruments
Futures
Candriam Sustainable Bond Euro
| Quantity | Description | Currency | Commitment | Unrealised | Counterparty |
| --- | --- | --- | --- | --- | --- |
| (purchase/(sale)) |  |  | (in EUR) (in absolute value) | (in EUR) |  |
| Futures on bonds 30 | EURO BOBL FUTURE 03/21 | EUR | 3,108,255 | (1,800) | J.P. Morgan AG |
| 1 | EURO BTP FUTURE -EUX 03/21 | EUR | 127,579 | 740 | J.P. Morgan AG |
| (92) | EURO BUND FUTURE 03/21 | EUR | 9,719,708 | (33,017) | J.P. Morgan AG |
| (14) | EURO BUXL FUTURE 03/21 | EUR | 2,413,306 | (24,920) | J.P. Morgan AG |
| 156 | EURO SCHATZ FUTURE 03/21 | EUR | 15,819,024 | (13,260) | J.P. Morgan AG |
| (60) | US 5 YEARS NOTE-CBT 03/21 | USD | 4,893,994 | (10,229) | J.P. Morgan AG |
|  |  |  |  | (82,486) |  |

Candriam Sustainable Bond Euro Corporate
| Quantity | Description | Currency | Commitment | Unrealised | Counterparty |
| --- | --- | --- | --- | --- | --- |
| (purchase/(sale)) |  |  | (in EUR) (in absolute value) | (in EUR) |  |
| Futures on bonds |  |  |  |  |  |
| (43) | EURO BOBL FUTURE 03/21 | EUR | 4,455,166 | 4,730 | J.P. Morgan AG |
| (310) | EURO BUND FUTURE 03/21 | EUR | 32,751,190 | (117,800) | J.P. Morgan AG |
|  |  |  |  | (113,070) |  |

Candriam Sustainable Bond Euro Short Term
| Quantity | Description | Currency | Commitment | Unrealised | Counterparty |
| --- | --- | --- | --- | --- | --- |
| (purchase/(sale)) |  |  | (in EUR) (in absolute value) | (in EUR) |  |
| Futures on bonds |  |  |  |  |  |
| (52) | EURO BOBL FUTURE 03/21 | EUR | 5,387,642 | 3,120 | J.P. Morgan AG |
| 173 | EURO SCHATZ FUTURE 03/21 | EUR | 17,542,892 | (14,705) | J.P. Morgan AG |
| (46) | US 5 YEARS NOTE-CBT 03/21 | USD | 3,752,062 | (11,161) | J.P. Morgan AG |
|  |  |  |  | (22,746) |  |

Candriam Sustainable Bond Global
| Quantity (purchase/(sale)) | Description | Currency | Commitment (in EUR) (in absolute value) | Unrealised (in EUR) | Counterparty |
| --- | --- | --- | --- | --- | --- |
| Futures on bonds 40 | AUSTR 10YR BOND 03/21 | AUD | 2,883,527 | 8,043 | J.P. Morgan AG |
| 35 | CAN 10YR BOND (MSE) 03/21 | CAD | 2,551,634 | 9,206 | J.P. Morgan AG |
| (130) | EURO BOBL FUTURE 03/21 | EUR | 13,469,105 | 7,800 | J.P. Morgan AG |
| 16 | EURO BTP FUTURE -EUX 03/21 | EUR | 2,041,256 | 11,840 | J.P. Morgan AG |
| (119) | EURO BUND FUTURE 03/21 | EUR | 12,572,231 | (32,918) | J.P. Morgan AG |
| 6 | EURO BUXL FUTURE 03/21 | EUR | 1,034,274 | 11,640 | J.P. Morgan AG |
| (37) | EURO-OAT-FUTURES-EUX 03/21 | EUR | 4,728,064 | (17,020) | J.P. Morgan AG |
| 4 | JPN 10 YEARS BOND 03/21 | JPY | 3,208,285 | (4,354) | J.P. Morgan AG |
| 11 | LONG GILT FUTURE-LIF 03/21 | GBP | 1,779,171 | 13,641 | J.P. Morgan AG |
| 28 | US 10 YEARS NOTE 03/21 | USD | 2,540,507 | (153) | J.P. Morgan AG |
| 5 | US 10YR ULTRA (CBOT) 03/21 | USD | 398,335 | (1,532) | J.P. Morgan AG |
| 71 | US 2 YEARS NOTE- CBT 03/21 | USD | 11,945,581 | 11,626 | J.P. Morgan AG |
| 52 | US 5 YEARS NOTE-CBT 03/21 | USD | 4,241,462 | 12,285 | J.P. Morgan AG |
| (5) | US TREASURY BOND 03/21 | USD | 640,043 | 5,704 | J.P. Morgan AG |
| 15 | US ULTRA BD CBT 30YR 03/21 | USD | 1,602,918 | (30,649) | J.P. Morgan AG |
|  |  |  |  | 5,159 |  |

Candriam Sustainable Defensive Asset Allocation
| Quantity (purchase/(sale)) | Description | Currency | Commitment (in EUR) (in absolute value) | Unrealised (in EUR) | Counterparty |
| --- | --- | --- | --- | --- | --- |
| Futures on bonds 62 | EURO BOBL FUTURE 03/21 | EUR | 6,423,727 | 8,680 | J.P. Morgan AG |
| 25 | EURO BUND FUTURE 03/21 | EUR | 2,641,225 | 18,535 | J.P. Morgan AG |
| (46) | EURO BUXL FUTURE 03/21 | EUR | 7,929,434 | (128,710) | J.P. Morgan AG |
| (52) | EURO SCHATZ FUTURE 03/21 | EUR | 5,273,008 | 1,560 | J.P. Morgan AG |
|  |  |  |  | (99,935) |  |

Please refer to Note 9 about Cash at broker related to futures.

Translation (ENFR, 2020-12-31):
# Notes aux états financiers - Etat des instruments dérivés
Options
Au 31 décembre 2020, les positions ouvertes sur options sont les suivantes :
Candriam Sustainable Bond Global
Quantité Description	Devise	Engagement (en EUR)
(en valeur absolue)
Valeur d’évaluation (en EUR)
Non réalisé (en EUR)
Options achetées
Options on futures
300 USD 10Y TREASU MAR 135.50 19.02.21 PUT
Options émises
Options on futures
300 USD 10Y TREASU MAR 134.00 19.02.21 PUT
USD	-	26.817	(39.142)
USD	1.511.340	(11.493)	15.667
15.324	(23.475)
Tous les contrats d’options ont été conclus avec la contrepartie J.P. Morgan AG. Veuillez vous référer à la Note 9 concernant les liquidités auprès du courtier se rapportant aux options cotées et à la Note 10 concernant le collatéral reçu/versé relatif aux options de gré à gré.
L’engagement pour les options achetées n’est pas présenté.