SELLA CAPITAL MANAGEMENT Société d'investissement à Capital Variable with multiple sub-funds Luxembourg

Transcription

1 Annual report including audited financial statements as at 31st December 2014 SELLA CAPITAL MANAGEMENT Société d'investissement à Capital Variable with multiple sub-funds Luxembourg R.C.S. Luxembourg B

2 No subscription can be received on the basis of this financial report. Subscriptions are only valid if made on the basis of the current issued prospectus and the key investor information document ("KIID") accompanied by the subscription form, the latest annual report and the most recent semi-annual report, if published thereafter.

3 SELLA CAPITAL MANAGEMENT Contents Organisation... 2 General information... 4 Report on activities of the Board of Directors... 6 Report of the réviseur d'entreprises agréé Combined statement of net assets Combined statement of operations and other changes in net assets SELLA CAPITAL MANAGEMENT - BOND STRATEGY Statement of net assets Statement of operations and other changes in net assets Statistical information Statement of investments and other net assets Industrial and geographical classification of investments Statement of changes in investments (unaudited) SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY Statement of net assets Statement of operations and other changes in net assets Statistical information Statement of investments and other net assets Industrial and geographical classification of investments Statement of changes in investments (unaudited) SELLA CAPITAL MANAGEMENT - EURO CORPORATE BOND Statement of net assets Statement of operations and other changes in net assets Statistical information Statement of investments and other net assets Industrial and geographical classification of investments Statement of changes in investments (unaudited) SELLA CAPITAL MANAGEMENT - EQUITY USA Statement of net assets Statement of operations and other changes in net assets Statistical information Statement of investments and other net assets Industrial and geographical classification of investments Statement of changes in investments (unaudited) SELLA CAPITAL MANAGEMENT - EQUITY EMERGING MARKETS Statement of net assets Statement of operations and other changes in net assets Statistical information Statement of investments and other net assets Industrial and geographical classification of investments Statement of changes in investments (unaudited) Notes to the financial statements

4 SELLA CAPITAL MANAGEMENT Organisation Registered office 30, boulevard Royal L-2449 LUXEMBOURG Board of Directors Chairman Bruno AGOSTINI Chairman MIRET S.A. 16, avenue de la Porte Neuve L-2227 LUXEMBOURG Members Carmine DA FERMO Francesco PLINI Manager SELLA GESTIONI S.G.R. S.p.A. 13, via Vittor Pisani I MILANO Head of Banking and Investment Services BANCA SELLA HOLDING S.p.A. 1, piazza Gaudenzio Sella I BIELLA Management Company SELLA GESTIONI S.G.R. S.p.A. 13, via Vittor Pisani I MILANO Board of Directors of the Management Company Chairman Deputy Chairman Directors Anna Maria CEPPI Franco SELLA Aldo GALLO Pietro TASCA Davide VANNONI Conducting officers of the Management Company Nicola TRIVELLI Nicoletta DAMIA Lorenzo LAMPERTI Chief Executive Officer Deputy Chief Executive Officer Manager Custodian and paying agent BANQUE DE PATRIMOINES PRIVES 30, boulevard Royal L-2449 LUXEMBOURG 2

5 SELLA CAPITAL MANAGEMENT Organisation (continued) Domiciliary agent BANQUE DE PATRIMOINES PRIVES 30, boulevard Royal L-2449 LUXEMBOURG Administrative agent, registrar and transfer agent EUROPEAN FUND ADMINISTRATION S.A. 2, rue d Alsace L-1122 LUXEMBOURG Investment Manager SELLA GESTIONI S.G.R. S.p.A. 13, via Vittor Pisani I MILANO Correspondent bank, paying agent, nominee, placing agent and centralisation agent BANCA SELLA HOLDING S.p.A. 1, Piazza Gaudenzio Sella I BIELLA Sponsor BANCA SELLA HOLDING S.p.A. 1, Piazza Gaudenzio Sella I BIELLA Cabinet de révision agréé DELOITTE Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 LUXEMBOURG 3

6 SELLA CAPITAL MANAGEMENT General information SELLA CAPITAL MANAGEMENT (the "Company") is an investment company organised as a "société anonyme" under the Luxembourg laws and qualifies as a "société d'investissement à capital variable" in accordance with Part I of the amended Law of 17th December 2010 relating to Undertakings for Collective Investment and to the Council Directive 2009/65/EC, as amended. The Company was incorporated in Luxembourg for an unlimited period on 24th October The Company s Articles of Incorporation were published in the "Mémorial" on 8th November 2003 after having been filed with the "Registre de Commerce et des Sociétés de Luxembourg" where they may be consulted and where copies may be obtained upon payment of the applicable charges. The last modifications of the Articles are available at the "Registre de Commerce et des Sociétés de Luxembourg". At the date of the report, the following Sub-Funds are open for subscription: - SELLA CAPITAL MANAGEMENT - BOND STRATEGY (hereafter "BOND STRATEGY") - SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY (hereafter "EQUITY EURO STRATEGY") - SELLA CAPITAL MANAGEMENT - EURO CORPORATE BOND (hereafter "EURO CORPORATE BOND") - SELLA CAPITAL MANAGEMENT - EQUITY USA (hereafter "EQUITY USA") - SELLA CAPITAL MANAGEMENT - EQUITY EMERGING MARKETS (hereafter "EQUITY EMERGING MARKETS") in EUR in EUR in EUR in USD in EUR Pursuant to the Company s Articles of Incorporation, the Board of Directors of the Company (hereafter the Board of Directors) may decide to issue, within each Sub-Fund, one or several classes and/or categories of shares. For the time being, in each Sub-Fund, the Company may decide to issue shares of the following classes: - Class R ( Retail ): offered to individuals and corporate entities. - Class I ( Institutional ): reserved to corporate entities subscribing for their own account or on behalf of individuals within the framework of a collective savings or any comparable scheme, as well as to Undertakings for Collective Investment in Transferable Securities ( UCITS ). At the date of this report, the following classes are open for each Sub-Fund: - Class Institutional: except for EQUITY USA and EQUITY EMERGING MARKETS Sub- Funds. - Class Retail. For the time being, in each Sub-Fund, the Company may decide to issue shares of the following category: - A-Shares: which are Capitalisation shares thus the holders of A-Shares are not entitled to receive dividends unless otherwise decided by the Board of Directors. - B-Shares: which are Distribution shares thus the holders of B-Shares are entitled to receive dividends. 4

7 SELLA CAPITAL MANAGEMENT General information (continued) At the date of this report, A-Shares are active for each Sub-Fund and B-Shares only for EQUITY EURO STRATEGY Sub-Fund. B-Shares for EQUITY EURO STRATEGY Sub-Fund were launched on 31st January Should it become apparent that shares of the "Institutional" class are held by individuals other than those authorised above, the Board of Directors will have the said shares converted, free of charge, into shares of the "Retail" class. The Company s financial year begins on 1st January and ends on 31st December of the same year. The Articles of Incorporation of the Company, the current Prospectus, the KIID and the latest financial reports may be obtained free of charge during normal office hours at the registered office of the Company in Luxembourg and at the Correspondent Bank in Italy BANCA SELLA HOLDING S.p.A., BIELLA. The Net Asset Value per share of each Sub-Fund, issue and redemption prices are made public at the Company s registered office and at the office of the Administrative agent. 5

8 Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors SELLA CAPITAL MANAGEMENT - BOND STRATEGY The Total Net Asset at 31st December 2014 is 27,225 millions of euros from 15,519 millions at the end of During this period, the Sub-Fund has been managed prudently, in accordance with our overall investment approach and policy. We kept a conservative profile regarding both the interest duration and the credit duration. As for the asset allocation, we underweighted the exposure to Government bonds of Core countries, given our views on a poor risk/reward profile of these investments; on the other hand, we overweighted the Government bonds of Peripheral countries during the first part of the year 2014 and after reduced noticeably approaching tight spreads, also increased the exposure to corporate bonds. We preferred to be rewarded by the credit spreads instead of the bond duration and we exploited the steepness of the yield curves which allowed us to maintain a conservative risk profile combined with a decent yield. We increased also the exposure to the floater corporate bonds and also to European Emerging Markets debt in a more opportunistic approach. Aiming at calibrating the exposures, we moderately utilized listed financial futures: in general we utilized the OAT future to hedge the allocation to corporate bonds, while the BTP future was utilized to cover our peripheral government bond holdings. For our tactical views on the general interest rate level we often utilized long positions on German Bunds put options SCM Bond Strategy (i) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE 6

9 Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SCM Bond Strategy (r) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE SELLA CAPITAL MANAGEMENT - EQUITY EURO STRATEGY The Total Net Asset at 31st December 2014 is 53,229 millions of euros from 23,149 millions at the end of During this period, the Sub-Fund primarily invested in equity securities of companies listed in Euro- Zone Stock Exchanges. The aim of the Sub-Fund is to beat 50% of DJ Euro Stoxx 50. The Investment policy is focused on stock picking, while the risk is hedged with derivatives instruments such as futures and options. During the period, the Sub-Fund was actively managed. We started the year 2014 with an overweight of the Eurozone but very soon, with the bad news from Russia and Ukraine, we decided to reduce the total exposure of the Sub-Fund: at that time we sold especially Dax, the index more impacted by a reduction in exports to eastern Europe. From May 2014 we increased gradually our investment: the good result of the European election made us more confident about this area and we increased the exposure mainly to the banking sector, while the main investment of the portfolio remain on cyclical and consumer-related stocks. However, during the summer, some macroeconomic data in Europe and the situation in Eastern Europe and Middle East have been deteriorated, so we reduced again the total exposure to the market: we sold futures and we bought index options. Only the ECB tried to preserve the market, announcing a series of monetary maneuvers to support a weaker economy and decrease the value of the Euro, to encourage exports. We concluded the year 2014 with an underweight of the total exposure to the market: we neutralized the exposition to Italy and we reduced the investment in Germany and France. We preferred companies with a very important part of the business linked to the export and to the US economic growth. In 2014, we used derivative instruments, in order to reduce risk and manage in a more efficient way the assets of the Sub-Fund. 7

10 Net Asset Number Of Share Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SCM Equity Euro Strategy A (i) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE SCM Equity Euro Strategy A (r) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE 8

11 Net Asset Number Of Share Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SCM Equity Euro Strategy B (i) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE SCM Equity Euro Strategy B (r) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE 9

12 SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) Note that with effect from 31st January 2014, started the new Category B-Shares both Institutional and Retail which are distribution shares. In December 2014, the following dividends were paied to the shareholders. Name of the Sub- Fund Share Class Share Category Record Date Ex Date Distributed Amount Per share Equity Euro Strategy Institutional B 05/12/ /12/ ,37 Equity Euro Strategy Retail B 05/12/ /12/2014 2,00 SELLA CAPITAL MANAGEMENT - EURO CORPORATE BOND The Total Net Asset at 31st December 2014 is 34,944 millions of euros from 17,368 millions at the end of The Sub-Fund has been managed prudently in terms of duration of the overall portfolio, consistently lower than the benchmark in an interest rates environment at lowest absolute level. During the year 2014 the Sub-Fund was dynamically investing in the euro corporate bonds market, increasing and reducing the allocation adjusting to macroeconomic and geopolitical events, often keeping exposure in euro cash. In term of countries allocation, we increased the exposure of Peripheral Countries credit s with an interesting risk/reward profile, took profit from the good performance in terms of total return approach, and reduced it noticeably approaching tight spreads, we underweighted the exposure to corporate bonds of Core countries, given our views on a poor risk/reward profile of these investments also synthetically by futures and options on German Bund. In terms of sector allocation, the Sub-Fund was well diversified, with an overweight in the financial sector, dynamically increasing post good results on the Asset Quality Review on European financial markets and an underweight on cyclical given the uncertainty on global growth and energy sectors negatively affected by the oil prices decrease. As per the rating bucket, the Sub-Fund was allocated with an overweight on the BBB and an underweight on the higher ratings with a very specialized analysis on the bond picking; also a residual percentage was allocated in lower investment grade and not rated name with an accurate analysis of the cash flow and the economic prospects. 10

13 Net Asset Number Of Share Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SCM Euro Corporate Bond (r) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE SCM Euro Corporate Bond (i) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE 11

14 Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SELLA CAPITAL MANAGEMENT - EQUITY USA The Total Net Asset at 31st December 2014 is 11,335 millions of US Dollars from 11,903 millions at the end of Last year US equities delivered a positive double-digit return around 10% thanks to Fed s expansive monetary policy leading to a spike in US GDP growth. A substantial improvement in labour and real estate markets in addition to an easing monetary policy by the Fed supported US stocks despite geopolitical concerns in Easter Europe and Middle East, collapsing energy and commodities prices and global economic slowdown. The year 2014 started on a negative note due to a disappointing start to the earning season and Fed tapering but US equities rose in the second quarter thanks to frenzy M&A activity, both domestic and cross-boarder, and investor confidence in Central Banks dovish statements. Performance was mixed in July 2014 as escalating tension between Israel and Hamas, clashes in Libya, stalling Iran nuclear talks, shooting down of a Malaysian Airlines plane over Ukraine and following US sanctions against Russia contrasted with a strong earning season but gained momentum over the summer; USD appreciation and a plunge in energy prices over the fourth quarter were the main market drivers since Fed and ECB diverged monetary policies and OPEC denied to cut production instead of market share. On the market side, US large caps outperformed small-mid caps and growth stocks outperformed value stocks; utilities and healthcare were the best market sector contributors while energy and materials were on the opposite side. EUR/USD depreciated from 1.38 to The Sub-Fund underperformed the benchmark (S&P Sea) with a performance of 10.23% and 13% respectively. The Sub-Fund overweighted financial and consumer discretionary stocks while underweighted utilities, telecom and consumer staples. In addition to direct investment, the Sub-Fund was managed through US equities index derivatives. Large and mid caps were preferred to outperforming mid and small caps. Stock picking was done on a multiple basis looking at: Price/Sales (P/S), Enterprise Value/Ebitda (EV/EBITDA), Price/Tangible Book Value (P/TBV) and Price/Cash Flow (P/CF) SCM Equity USA (r) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE 12

15 SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SELLA CAPITAL MANAGEMENT - EQUITY EMERGING MARKETS The Total Net Asset at 31st December 2014 is 2,933 millions of euros from 3,791 millions at the end of The year 2014 has been characterized by big differences among the performances of different Emerging markets. Asian Emerging Markets totally considered decisively outperformed Latin America and East Europe. Good performance also for Turkey and some African and Middle East countries. Obviously, in East Europe, Russia was the big loser due to disappointing local market and currency; Russian economy particularly hit by sanctions imposed by Europe and US originated from conflict with Ukraine. Despite China continued to be focused on shadow banking, corruption and spare capacity problems, macro data published starting from second quarter 2014 gave indication about economy stabilization. Additionally, in the last quarter of the year 2014, Central bank decided to cut rates to help the economy; that improved a lot investor sentiment. Among other country specific reasons, in the second half of the year 2014 the outperformance of Asia Pacific Area on the other areas was principally justified by the oil and basic materials big drop. The Sub-Fund is managed on the basis of Top-down approach (with priority to cross country-sector allocation) and for most of the period it was fully invested (with equity exposure over 100). The Sub- Fund started the year 2014 quite neutral on different macro areas but with small overweight especially on South Korea, China, South Africa and Indonesia. Progressively during first months of the year position on South Korea had been reduced. In the second quarter we increased India to an overweight position justified by the election result, Narendra Modi became the new Prime Minister and Institutional Investors increased a lot positive expectations about country potential growth. During the second half of the year 2014, we reduced a lot of position in Russian Market (in December 2014 we closed that position), Brasil and Mexico and at the same time we increased positions in India and China. The Sub-Fund closed the year with big overweight on China, India, Indonesia and Philippine. The Sub-Fund maintained during the year 2014 an overweight position on technology, Telecom and staples. The oil and basic materials price level will continue to dominate the Emerging Market asset allocation. So the Sub-Fund will begin the year 2015 with a big over-weight on Asia, most beneficiary of this price level. The zero weight on Russia will be maintained until the geopolitical situation will not be clearer. 13

16 Net Asset Number Of Share SELLA CAPITAL MANAGEMENT Report on activities of the Board of Directors (continued) SCM Equity Emerging Markets (r) / / / / / / / / / / / /2014 NET_ASSET NUMBER_OF_SHARE Luxembourg, 5th March 2015 The Board of Directors Note: The information in this report represents historical data and is not an indication of future results. 14

17 Report of the réviseur d'entreprises agréé Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg B.P L-1011 Luxembourg Tel: Fax: To the Shareholders of SELLA CAPITAL MANAGEMENT Following our appointment by the annual general meeting of the shareholders dated 12 th June 2014, we have audited the accompanying financial statements of SELLA CAPITAL MANAGEMENT (the Company ) and of each of its sub-funds, which comprise the statement of net assets and the statement of investments and other net assets as at 31st December 2014 and the statement of operations and other changes in net assets for the year then ended, and a summary of significant accounting policies and other explanatory notes to the financial statements. Responsibility of the Board of Directors of the Company for the financial statements The Board of Directors of the Company is responsible for the preparation and fair presentation of these financial statements in accordance with Luxembourg legal and regulatory requirements relating to the preparation of the financial statements and for such internal control as the Board of Directors of the Company determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Responsibility of the réviseur d entreprises agréé Our responsibility is to express an opinion on these financial statements based on our audit. We conducted our audit in accordance with International Standards on Auditing as adopted for Luxembourg by the Commission de Surveillance du Secteur Financier. Those standards require that we comply with ethical requirements and plan and perform the audit to obtain reasonable assurance whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on the réviseur d entreprises agréé s judgement, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, the réviseur d entreprises agréé considers internal control relevant to the entity s preparation and fair presentation of the financial statements 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 entity s internal control. Société à responsabilité limitée au capital de EUR RCS Luxembourg B

18 Report of the réviseur d'entreprises agréé (continued) An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of accounting estimates made by the Board of Directors of the Company, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements give a true and fair view of the financial position of SELLA CAPITAL MANAGEMENT and of each of its sub-funds as of 31st December 2014, and of the results of their operations and changes in their net assets for the year then ended in accordance with the Luxembourg legal and regulatory requirements relating to the preparation of the financial statements. Other matter Supplementary information included in the annual report has been reviewed in the context of our mandate but has not been subject to specific audit procedures carried out in accordance with the standards described above. Consequently, we express no opinion on such information. However, we have no observation to make concerning such information in the context of the financial statements taken as a whole. For Deloitte Audit Cabinet de révision agréé Justin Griffiths, Réviseur d entreprises agréé Partner 21st April , rue de Neudorf L-2220 LUXEMBOURG 16

19 SELLA CAPITAL MANAGEMENT Combined statement of net assets (in EUR) as at 31st December 2014 Assets Securities portfolio at market value 109,555, Option contracts at market value 33, Cash at banks 14,040, Other liquid assets 3,833, Receivable on issues of shares 22, Income receivable on portfolio 508, Unrealised gain on futures contracts 23, Other receivables 10, Prepaid expenses 6, Total assets 128,034, Liabilities Payable on redemptions of shares 56, Expenses payable 283, Total liabilities 340, Net assets at the end of the year 127,693, The accompanying notes are an integral part of these financial statements. 17

20 SELLA CAPITAL MANAGEMENT Combined statement of operations and other changes in net assets (in EUR) from 1st January 2014 to 31st December 2014 Income Dividends, net 1,323, Interest on bonds and other debt securities, net 1,066, Interest on bank accounts 3, Total income 2,393, Expenses Management fees 1,199, Performance fees 208, Custodian fees 53, Banking charges and other fees 36, Transaction fees 229, Central administration costs 284, Professional fees 50, Other administration costs 131, Subscription duty ("taxe d'abonnement") 33, Interest paid on bank overdrafts 14, Other expenses 53, Total expenses 2,297, Net investment income 96, Net realised gain/(loss) - on securities portfolio 4,160, on option contracts -428, on futures contracts -1,484, on foreign exchange 38, Realised result 2,382, Net variation of the unrealised gain/(loss) - on securities portfolio -71, on option contracts -45, on futures contracts -253, Result of operations 2,012, Dividends paid -1,076, Subscriptions 111,852, Redemptions -54,754, Total changes in net assets 58,034, Total net assets at the beginning of the year 68,466, Revaluation difference 1,192, Total net assets at the end of the year 127,693, The accompanying notes are an integral part of these financial statements. 18

21 BOND STRATEGY Statement of net assets (in EUR) as at 31st December 2014 Assets Securities portfolio at market value 22,505, Cash at banks 4,424, Other liquid assets 186, Receivable on issues of shares 1, Income receivable on portfolio 164, Prepaid expenses 2, Total assets 27,285, Liabilities Payable on redemptions of shares 6, Expenses payable 54, Total liabilities 60, Net assets at the end of the year 27,224, Number of Institutional A-Shares outstanding 1, Net asset value per Institutional A-Share 12, Number of Retail A-Shares outstanding 157, Net asset value per Retail A-Share The accompanying notes are an integral part of these financial statements. 19

22 BOND STRATEGY Statement of operations and other changes in net assets (in EUR) from 1st January 2014 to 31st December 2014 Income Interest on bonds and other debt securities, net 455, Total income 455, Expenses Management fees 121, Performance fees 208, Custodian fees 10, Banking charges and other fees 7, Transaction fees 31, Central administration costs 52, Professional fees 8, Other administration costs 24, Subscription duty ("taxe d'abonnement") 4, Interest paid on bank overdrafts 2, Other expenses 13, Total expenses 484, Net investment loss -29, Net realised gain/(loss) - on securities portfolio 596, on option contracts -250, on futures contracts -126, on foreign exchange 11, Realised result 201, Net variation of the unrealised gain/(loss) - on securities portfolio 603, on futures contracts -30, Result of operations 774, Dividends paid - Subscriptions 18,116, Redemptions -7,185, Total changes in net assets 11,705, Total net assets at the beginning of the year 15,519, Total net assets at the end of the year 27,224, The accompanying notes are an integral part of these financial statements. 20

23 BOND STRATEGY Statistical information (in EUR) as at 31st December 2014 Total net assets - as at ,224, as at ,519, as at ,689, Number of Institutional A-Shares - outstanding at the beginning of the year 1, issued 1, redeemed outstanding at the end of the year 1, Net asset value per Institutional A-Share - as at , as at , as at , Number of Retail A-Shares - outstanding at the beginning of the year 61, issued 110, redeemed -13, outstanding at the end of the year 157, Net asset value per Retail A-Share - as at as at as at The accompanying notes are an integral part of these financial statements. 21

24 BOND STRATEGY Statement of investments and other net assets (in EUR) as at 31st December 2014 Currency Number / nominal value Description Cost Market value % of total net assets Investments in securities Transferable securities admitted to an official stock exchange listing Bonds EUR 100,000 A2A SpA 3.625% EMTN Sen 13/ , , EUR 100,000 A2A SpA 4.5% EMTN 12/ , , EUR 300,000 Abbey Natl T Serv Plc FRN EMTN Reg S Sen 14/ , , EUR 200,000 Abertis Infraestructuras SA 2.25% Sen 14/ , , EUR 200,000 Accor SA 2.625% Sen 14/ , , EUR 100,000 Accor SA VAR 14/30.06.Perpetual 99, , EUR 200,000 ALD Intl FRN EMTN 14/ , , EUR 200,000 Anglo American Capital Plc 3.25% EMTN Reg S Sen 199, , / EUR 200,000 ANZ Banking Group Ltd FRN EMTN Reg S 14/ , , EUR 100,000 Aquarius + Invs Plc FRN EMTN Sen 14/ , , EUR 100,000 Areva 3.125% EMTN 14/ , , EUR 100,000 Areva 3.25% EMTN Sen 13/ , , EUR 300,000 AT&T Inc FRN Sen 14/ , , EUR 100,000 Aviva Plc VAR Sub 14/ , , EUR 100,000 Axa SA VAR EMTN Reg S Sub 14/08.10.Perpetual 99, , EUR 100,000 Banca Popolare di Vicenza SCRL 3.5% EMTN Sen 14/ , , EUR 100,000 Banco Santander SA VAR Sub 14/12.03.Perpetual 100, , EUR 600,000 Bank of America Corp FRN EMTN Reg S Sen 14/ , , EUR 200,000 Bharti Airtel Intl Netherld BV 3.375% 14/ , , EUR 200,000 BNP Paribas SA FRN EMTN 14/ , , EUR 200,000 Bq Fédérative du Crédit Mutuel FRN EMTN Ser , , / EUR 100,000 Bulgaria 2.95% 14/ , , EUR 300,000 Caisse Fed Credit Mutuel Nord FRN EMTN Sen 14/ , , EUR 300,000 Carrefour Banque FRN Sen 14/ , , EUR 200,000 Casino Guichard Perrachon 2.798% EMTN 14/ , , EUR 100,000 Casino Guichard Perrachon 3.248% EMTN 14/ , , EUR 100,000 Citigroup Inc FRN EMTN Sen 14/ , , EUR 200,000 CNOOC Curtis Fding No1 Pty Ltd 2.75% Reg S Sen 200, , / EUR 100,000 CNP Assurances VAR Sub 14/ , , EUR 100,000 Credit Suisse VAR Regd Ser 1 Sub 13/ , , EUR 100,000 Croatia 3.875% Sen 14/ , , EUR 200,000 CS AG London FRN EMTN Sen 14/ , , EUR 200,000 CS AG London FRN EMTN Sen 14/ , , EUR 200,000 Deutsche Annington Finance BV 3.625% Reg S Sen 203, , / EUR 400,000 Deutsche Bank AG FRN EMTN Sen 14/ , , EUR 100,000 Electricité de France VAR EMTN Sub 14/22.01.Perpetual 108, , EUR 200,000 Elenia Finance Oyj 2.875% EMTN Reg S Sen 13/ , , EUR 100,000 Enagas Financiaciones SAU 2.5% EMTN Sen 14/ , , EUR 100,000 Eramet SA 4.5% 13/ , , EUR 100,000 ESB Finance Limited VAR EMTN Reg S Lk Ratings 13/ , , EUR 150,000 Espana ILB Sen 14/ , , EUR 350,000 Espana ILB Sen 14/ , , EUR 100,000 Ferrovial Emisiones SA 3.375% EMTN 13/ , , EUR 100,000 Gecina 2.875% EMTN 13/ , , EUR 200,000 General Motors Fin Intl BV 1.875% EMTN Reg S Sen 201, , / EUR 300,000 Generali Finance BV VAR EMTN Reg S 14/21.11.Perpetual 300, , EUR 100,000 Glencore Finance SA 1.165% EMTN Sen 14/ , , EUR 150,000 Goldman Sachs Group Inc 2.875% EMTN Reg S Sen 148, , / EUR 200,000 Goldman Sachs Group Inc FRN EMTN Sen 14/ , , EUR 100,000 Groupama SA VAR 07/22.10.Perpetual 102, , EUR 100,000 Groupama SA VAR 14/28.05.Perpet 104, , EUR 100,000 Hera SpA 3.25% EMTN Reg S Sen 13/ , , EUR 200,000 HSBC Holdings Plc VAR 14/16.03.Perpetual 202, , The accompanying notes are an integral part of these financial statements. 22

25 BOND STRATEGY Statement of investments and other net assets (in EUR) (continued) as at 31st December 2014 Currency Number / nominal value Description Cost Market value % of total net assets EUR 100,000 Hutchison Whampoa Intl % Sen 14/ , , EUR 100,000 Imperial Tobacco Finance Plc 3.375% EMTN Sen 14/ , , EUR 200,000 Intesa Sanpaolo SpA 2% EMTN Sen 14/ , , EUR 100,000 Intesa Sanpaolo SpA 3.928% EMTN Sen 14/ , , EUR 100,000 Intesa Sanpaolo SpA 5% EMTN 09/ , , EUR 500,000 Intesa Sanpaolo SpA FRN EMTN Sen 14/ , , EUR 100,000 Intesa Sanpaolo Vita SpA VAR Sub 14/17.12.Perpetual 100, , EUR 630,000 Italia ILB Ser ICPI 14/ , , EUR 300,000 John Deere Bank SA FRN EMTN Sen 14/ , , EUR 300,000 JPMorgan Chase & Co FRN EMTN 14/ , , EUR 200,000 JPMorgan Chase & Co FRN EMTN Reg-S Ser 77 14/ , , EUR 200,000 Jyske Bank AS FRN EMTN Sen 14/ , , EUR 200,000 Leeds Building Society 2.625% EMTN Sen 14/ , , EUR 250,000 Macedonia 3.975% Reg S 14/ , , EUR 300,000 Macquarie Bank Ltd FRN EMTN Sen 14/ , , EUR 250,000 Mediobanca SpA 0.875% EMTN Sen 14/ , , EUR 100,000 Montenegro 5.375% Reg S 14/ , , EUR 200,000 Morgan Stanley 1.875% Sen 14/ , , EUR 400,000 Morgan Stanley FRN Sen 14/ , , EUR 250,000 Morocco 3.5% Reg S 14/ , , EUR 400,000 Natl Australia Bank Ltd FRN EMTN Sen 14/ , , EUR 100,000 Orange VAR Sub Sen 14/07.02.Perpetual 107, , EUR 200,000 Paccar Financial Europe BV FRN EMTN 14/ , , EUR 100,000 Pernod-Ricard 2.125% Sen 14/ , , EUR 100,000 ProLogis LP 1.375% Sen 14/ , , EUR 200,000 ProLogis LP 3.375% Sen 14/ , , EUR 300,000 Rabobank Nederland NV FRN EMTN Ser / , , EUR 300,000 RCI Banque FRN EMTN Reg S Sen 14/ , , EUR 150,000 RCI Banque FRN EMTN Sen 14/ , , EUR 100,000 Repsol Intl Finance BV 3.625% EMTN Sen 13/ , , EUR 200,000 Romania 2.875% EMTN 14/ , , EUR 150,000 Ryanair Ltd 1.875% EMTN Sen 14/ , , EUR 100,000 Sanofi SA FRN EMTN Reg S Sen 14/ , , EUR 100,000 SAP SE FRN EMTN 14/ , , EUR 200,000 SIAS SpA 3.375% EMTN 14/ , , EUR 200,000 Slovenia 2.25% 14/ , , EUR 100,000 Société Générale VAR Reg S Sub Perpetual 103, , EUR 200,000 Standard Chartered Plc FRN EMTN 14/ , , EUR 100,000 Ste Autoroute Paris-Rhin-Rhone 1.125% EMTN Sen 99, , / EUR 300,000 Ste Autoroute Paris-Rhin-Rhone FRN EMTN 14/ , , EUR 100,000 Telefonica Emisiones SA 2.242% EMTN Sen 14/ , , EUR 100,000 Telefonica Europe BV VAR 14/31.03.Perpetual 100, , EUR 100,000 Telekom Finanzmanagement GmbH 3.125% EMTN Sen 99, , / EUR 200,000 Telekom Finanzmanagement GmbH 3.5% EMTN Ser 1/13 202, , / EUR 100,000 Tesco Corp Treasury Serv plc 2.5% EMTN Reg S Sen 99, , / EUR 100,000 Total Capital International SA FRN EMTN Reg S 14/ , , EUR 200,000 TVO Power Co 2.5% EMTN Sen 14/ , , EUR 100,000 UBS AG London FRN EMTN 14/ , , EUR 100,000 Unicredit SpA 3.25% EMTN Sen 14/ , , EUR 100,000 UnipolSai SpA VAR EMTN Sub 14/18.06.Perpetual 99, , EUR 100,000 Vallourec Usines Tubes 2.25% 14/ , , EUR 100,000 Volvo Treasury AB FRN EMTN Sen 14/ , , EUR 300,000 Wells Fargo & Co FRN EMTN Reg S Sen 14/ , , EUR 100,000 WPP Finance Holding SAS 2.25% EMTN Reg S Sen 14/ , , ,386, ,000, The accompanying notes are an integral part of these financial statements. 23

26 BOND STRATEGY Statement of investments and other net assets (in EUR) (continued) as at 31st December 2014 Currency Number / nominal value Description Cost Market value % of total net assets USD 200,000 Iceland 4.875% Ser 144A Reg s 11/ , , USD 200,000 Macquarie Group Ltd 3% Reg S Sen Tr 5 13/ , , USD 200,000 Unicredit SpA VAR Reg S Sub 14/03.06.Perpetual 159, , , , Total bonds 19,851, ,501, Asset backed securities EUR 300,000 Mars 2600 Srl FRN A1 Ser / , , Total asset backed securities 278, , Transferable securities dealt in on another regulated market Bonds EUR 100,000 Discovery Communications LLC 2.375% Sen 14/ , , EUR 200,000 Piaggio & C. SpA 4.625% EMTN 14/ , , EUR 525,000 Unicredit SpA FRN Sen 11/ , , , , USD 250,000 Crédit Agricole SA FRN EMTN Reg S Sen 14/ , , USD 200,000 Goldman Sachs Group Inc FRN MTN Ser D Tr / , , , , Total bonds 1,181, ,223, Money market instruments EUR 200,000 Espana 0% T-Bills 14/ , , EUR 200,000 Italia 0% BOT 14/ , , Total money market instruments 398, , Open-ended investment funds Tracker funds (UCITS) EUR 1,000 db x-trackers II itraxx Europe Short Daily UCITS ETF 1C Cap 97, , Total tracker funds (UCITS) 97, , Total investments in securities 21,807, ,505, Cash at banks 4,424, Other net assets/(liabilities) 294, Total 27,224, The accompanying notes are an integral part of these financial statements. 24

27 BOND STRATEGY Industrial and geographical classification of investments as at 31st December 2014 Industrial classification (in percentage of net assets) Banks % Diversified financial services % Countries and governments % Utilities 3.56 % Transportation 3.26 % Insurance 2.62 % Telecommunication services 2.28 % Materials 1.56 % Real estate 1.21 % Food retailing, drugstores and pharmacies 1.18 % Hotels, restaurants and leisure 1.15 % Investment companies 0.83 % Energy 0.80 % Investment funds 0.77 % Automobiles and components 0.76 % Special Purpose Vehicle (SPV) 0.74 % Media 0.39 % Food, beverage and tobacco 0.38 % Software and services 0.37 % Pharmaceuticals and biotechnology 0.37 % Total % 25

28 BOND STRATEGY Industrial and geographical classification of investments (continued) as at 31st December 2014 Geographical classification (by domicile of the issuer) (in percentage of net assets) France % Italy % United States of America % United Kingdom 7.15 % The Netherlands 6.17 % Spain 5.08 % Australia 4.73 % Luxembourg 1.84 % Germany 1.84 % Finland 1.57 % Ireland 1.37 % Austria 1.28 % Morocco 0.94 % Mazedonia 0.93 % Slovenia 0.76 % Romania 0.76 % Denmark 0.74 % Iceland 0.63 % Switzerland 0.42 % Montenegro 0.39 % Croatia 0.38 % Sweden 0.37 % Cayman Islands 0.37 % Bulgaria 0.37 % Total % 26

29 BOND STRATEGY Statement of changes in investments (unaudited) from 1st January 2014 to 31st December 2014 Currency Description Purchases Sales Other Bonds EUR Abbey Natl T Serv Plc FRN EMTN Reg S Sen 300, / EUR Abertis Infraestructuras SA 2.25% Sen 14/ , EUR Abertis Infraestructuras SA 3.75% Sen 13/ ,000 0 EUR Accor SA 2.625% Sen 14/ , EUR Accor SA VAR 14/30.06.Perpetual 100, EUR Achmea BV 2.5% EMTN Sen 13/ , ,000 0 EUR ALD Intl FRN EMTN 14/ , EUR Alstom 4.5% EMTN 10/ , ,000 0 EUR America Movil SAB de CV VAR Sub Ser B 200, , / EUR Amplifon SpA 4.875% Sen 13/ ,000 0 EUR Anglo American Capital Plc 1.75% EMTN Reg S Sen 500, , / EUR Anglo American Capital Plc 3.25% EMTN Reg S Sen 300, , / EUR ANZ Banking Group Ltd FRN EMTN Reg S 200, / EUR Aquarius + Invs Plc FRN EMTN Sen 14/ , EUR Areva 3.125% EMTN 14/ , ,000 0 EUR Assicurazioni Generali SpA 4.125% EMTN Sen Sub 300, , / EUR Astaldi SpA 7.125% Reg S Sen 13/ , ,000 0 EUR AT&T Inc FRN Sen 14/ , EUR Aviva Plc VAR Sub 14/ , EUR Axa SA VAR EMTN Reg S Sub 14/08.10.Perpetual 100, EUR Banca Pop dell Emilia Roma SC 3.375% EMTN 0 200, / EUR Banca Popolare di Vicenza SCRL 3.5% EMTN Sen 100, / EUR Banco Pop Societa Cooperativa 3.5% EMTN Sen 300, , / EUR Banco Pop Societa Cooperativa 3.875% 11/ ,000 0 EUR Banco Santander SA VAR Sub 14/12.03.Perpetual 300, ,000 0 EUR Banco Santander Totta SA 1.625% EMTN 400, , / EUR Bank of America Corp FRN EMTN Reg S Sen 600, / EUR BBVA Senior Finance SA 2.375% EMTN Sen 100, , / EUR BBVA Subordinated Capital SA VAR Reg S Sub 100, , / EUR Bharti Airtel Intl Netherld BV 3.375% 14/ , EUR BNP Paribas SA FRN EMTN 14/ , EUR Bouygues SA 3.625% Sen 12/ , ,000 0 EUR Bq Fédérative du Crédit Mutuel FRN EMTN Ser , / EUR Brazil 2.875% Sen 14/ , ,000 0 EUR Brisa Concessao Rodoviaria SA 3.875% EMTN 200, , / EUR Bulgaria 2.95% 14/ , EUR Caisse Fed Credit Mutuel Nord FRN EMTN Sen 300, / EUR Carlsberg Breweries A/S 2.5% EMTN Reg S Sen 150, , / EUR Carrefour Banque FRN Sen 14/ , EUR Casino Guichard Perrachon 2.798% EMTN 200, / EUR Casino Guichard Perrachon 3.248% EMTN 100, / EUR Cassa Depositi e Prestiti SpA 2.375% EMTN Reg S 14/ , ,

30 BOND STRATEGY Statement of changes in investments (continued) (unaudited) from 1st January 2014 to 31st December 2014 Currency Description Purchases Sales Other EUR Caterpillar Intl Fin Ltd FRN EMTN Sen 14/ , ,000 0 EUR Citigroup Inc FRN EMTN Sen 14/ , EUR CNOOC Curtis Fding No1 Pty Ltd 2.75% Reg S Sen 100, / EUR CNP Assurances VAR Sub 14/ , EUR Credit Suisse VAR Regd Ser 1 Sub 13/ , ,000 0 EUR Croatia 3.875% Sen 14/ , EUR CS AG London FRN EMTN Sen 14/ , EUR CS AG London FRN EMTN Sen 14/ , EUR Danske Bank A/S VAR Sub 06.10/Perpetual 200, ,000 0 EUR Deutsche Annington Finance BV 3.625% Reg S Sen 100, / EUR Deutsche Bank AG 6% 14/31.12.Perpetual 100, ,000 0 EUR Deutsche Bank AG FRN EMTN 14/ , ,000 EUR Deutsche Bank AG FRN EMTN Sen 14/ ,000 EUR Deutsche Bank AG FRN EMTN Ser JUN 200, ,000 14/ EUR Deutsche Telekom Intl Fin BV 4.25% EMTN 0 100, / EUR Discovery Communications LLC 2.375% Sen 100, / EUR EDP Finance BV % EMTN Sen 13/ , ,000 0 EUR EIB FRN EMTN 10/ ,000 0 EUR EIB VAR Infl Cp 06/ ,000 0 EUR Electricité de France VAR EMTN Sub 100, /22.01.Perpetual EUR Electricité de France VAR EMTN Sub 300, , /22.01.Perpetual EUR Elenia Finance Oyj 2.875% EMTN Reg S Sen 100, / EUR Emirates Telecommmunicat Corp 1.75% EMTN Sen 100, , / EUR Enagas Financiaciones SAU 2.5% EMTN Sen 100, / EUR Enel Finance Intl SA 4.875% EMTN 12/ ,000 0 EUR ENEL SpA FRN EMTN Reg-S Ser 34 07/ ,000 0 EUR ENEL SpA VAR Reg S Sub 14/ , ,000 0 EUR Eramet SA 4.5% 13/ , ,000 0 EUR Esercizi Aeroportuali SpA 3.125% Sen 14/ , ,000 0 EUR Espana 0% T-Bills Sen 12/ ,000 0 EUR Espana 3.75% 13/ ,000 0 EUR Espana 4.3% Sen 09/ ,000 0 EUR Espana 4.4% T-Bonds 13/ ,000 0 EUR Espana ILB Sen 14/ , EUR Espana ILB Sen 14/ , ,000 0 EUR FCE Bank Plc 1.875% EMTN Reg S 14/ , ,000 0 EUR Galp Energia SGPS SA 3% EMTN Sen 14/ , ,000 0 EUR GDF Suez SA VAR Ser NC10 14/02.06.Perpetual 100, ,000 0 EUR Gecina 4.75% EMTN Sen 12/ ,000 0 EUR General Motors Fin Intl BV 1.875% EMTN Reg S 200, Sen 14/ EUR Generali Finance BV VAR EMTN Reg S 300, /21.11.Perpetual EUR Glencore Finance SA 1.165% EMTN Sen 100, / EUR Goldman Sachs Group Inc 2.5% EMTN Sen 250, , / EUR Goldman Sachs Group Inc 2.875% EMTN Reg S 150, Sen 14/ EUR Goldman Sachs Group Inc FRN EMTN Sen 200, / EUR GPB Eurobond Finance Plc 3.984% LPN Reg S Sen 0 200, / EUR Groupama SA VAR 07/22.10.Perpetual 100, EUR Groupama SA VAR 14/28.05.Perpet 100, EUR HSBC Holdings Plc VAR 14/16.03.Perpetual 200, EUR Hungary 5.75% Reg S Sen 08/ , ,