ECM Credit Fund SICAV

Transcription

1 Annual report, including Audited Financial Statements as of 31 March 2015 RCS Luxembourg N B Database Publishing System: CO-Reporter by CO-Link, Belgium.

2 Table of Contents GENERAL INFORMATION Management and Administration 3 Board of Directors of the Company 4 MANAGEMENT REPORT 5 REPORT OF THE REVISEUR D ENTREPRISES AGRÉÉ 7 FINANCIAL STATEMENTS ECM Credit Fund SICAV - COMBINED 9 ECM Credit Fund SICAV - ECM Financials Fund 12 ECM Credit Fund SICAV - ECM High Yield Fund (liquidated on 6 February 2015) 17 ECM Credit Fund SICAV - ECM Short Duration Credit Fund 21 ECM Credit Fund SICAV - ECM Absolute Return Credit Fund 28 ECM Credit Fund SICAV - ECM Dynamic Credit Fund 35 NOTES TO THE FINANCIAL STATEMENTS 43 ADDITIONAL INFORMATION (unaudited) 55 ADDITIONAL INFORMATION FOR SWISS INVESTORS (unaudited) 56 Subscriptions are only valid if made on the basis of the current offering prospectus and the Key Investor Information Document together with the last annual report or the last semi-annual report if it is more recent. Page 2

3 Management and Administration REGISTERED OFFICE MANAGEMENT COMPANY INVESTMENT MANAGER CUSTODIAN, ADMINISTRATIVE, REGISTRAR AND TRANSFER AND PAYING AGENT 2-8, avenue Charles De Gaulle L-1653 Luxembourg Grand Duchy of Luxembourg Wells Fargo Asset Management Luxembourg S.A. 19, rue de Bitbourg L-1273 Luxembourg Grand Duchy of Luxembourg (from 28 February 2015) ECM Asset Management Limited 34 Grosvenor Street London W1K 4QU United Kingdom CACEIS Bank Luxembourg 5, Allée Scheffer L-2520 Luxembourg Grand Duchy of Luxembourg (until 27 February 2015) Brown Brothers Harriman (Luxembourg) S.C.A. 2-8, avenue Charles De Gaulle L-1653 Luxembourg Grand Duchy of Luxembourg (from 28 February 2015) LEGAL ADVISORS In Luxembourg Elvinger, Hoss & Prussen 2, Place Winston Churchill BP 425 L-1340 Luxembourg Grand Duchy of Luxembourg In United Kingdom Paul Hastings (Europe) LLP 10, Bishops Square 8 th floor, London E1 6EG United Kingdom CABINET DE REVISION AGRÉÉ INFRASTRUCTURE SUPPORT Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg Grand Duchy of Luxembourg MDO Services S.A. 19, rue de Bitbourg L-1273 Luxembourg Grand Duchy of Luxembourg (until 27 February 2015) Page 3

4 Board of Directors of the Company CHAIRPERSON Karla M. Rabusch (from 21 February 2015) President, Wells Fargo Funds Management, LLC James Pope (until 20 February 2015) Chairman, Carningli Corporation, U.S.A. BOARD MEMBERS Michael Niedermeyer (from 21 February 2015) Executive Vice President, Head of Wells Fargo Asset Management, Wells Fargo & Company Michael Hogan (from 21 February 2015) Senior Vice President, Head of International Strategy and Business Development, Wells Fargo Funds Management, LLC Richard Goddard (from 21 February 2015) Independent Director Jürgen Meisch (from 21 February 2015) Independent Director Roland Frey (until 20 February 2015) Owner, Frey Investment & Management Advisory, Bremgarten, Bern Robert Galione (until 20 February 2015) Chief Operating Officer, ECM Asset Management Ltd, London Frances Hutchinson (until 31 December 2014) Head of Corporate Strategy & Business Development, ECM Asset Management Limited, London Yves Wagner (until 20 February 2015) Director, MDO Services, Luxembourg Patrick Zurstrassen (until 20 February 2015) Independent Director Luxembourg CONDUCTING OFFICERS Robert Galione (until 27 February 2015) Chief Operating Officer, ECM Asset Management Ltd, London Patrick Zurstrassen (until 27 February 2015) Independent Director Luxembourg Page 4

5 ECM Credit Fund SICAV Management Report for the year ended 31 March 2015 ECM Credit Fund SICAV - ECM Financials Fund The ECM Credit Fund SICAV - ECM Financials Fund ( EFF ) returned 4.14% net of fees over the year ended 31 March Over the reporting period credit markets were influenced by macroeconomic themes such as introduction of quantitative easing from the European Central Bank, the beginning of discussions of interest rate increases by the United States Federal Reserve, uncertainty around United Kingdom elections and instability and possible exit of Greece from the European Union. Despite the volatile environment the strategy proved to be a resilient one throughout the periods of volatility and reported a satisfactory return for the reporting period. The very low interest environment across international markets has intensified the hunt for yield with a focus on high yield assets. Q new issuance was encouraging with contingent convertible issuance of USD 17 billion, continuing the trend of solid issuance levels experienced over the latest two reporting periods. The European contingent convertibles market continues to grow and establish a prominent position in the European high yield market. The sub-fund strategy has the ability to invest in both bank and insurance sector bonds, and in the senior and subordinated levels of the capital structure. In Q1 2015, upon ECM request, investors approved increased limits for additional tier 1 contingent convertibles (up to 50%), and sub-investment grade (up to 75%). Over the reporting period, the ECM Financials Fund AUM increased from EUR 69.9 million to EUR million. ECM Credit Fund SICAV - ECM High Yield Fund (liquidated) The Investment Manager made the decision to liquidate the ECM Credit Fund SICAV - ECM High Yield Fund. All asset have been sold and residual value distributed to the investor 6 February ECM Credit Fund SICAV - ECM Short Duration Credit Fund The ECM Credit Fund SICAV - ECM Short Duration Credit Fund ( EDC ) performed well during the year finishing 31 March 2015, generating 3.64% compared to its reference, the Iboxx Euro investment grade corporate 1-5 year bonds index that returned 3.05%. During the year, EDC benefited from asset backed securities performance as well as non-financial corporates and financials. The themes of the portfolio for the year were: continued recovery of the asset backed securities market supported by strong technicals as the asset class continues to shrink, exposure to select cyclical sectors in recovery and corporate sectors with good visibility of cash flow and corporate strategy. In financials, EDC selectively played the recovery of peripheral spreads focusing on senior banks and select lower tier 2 positions. What worked less well than expected this year was exposure to sterling credit. A mitigating factor was that EDC s exposure remained in the short to medium part of the curve that performed more in line with Euro denominated credit. Another slight disappointment was performance in additional tier 1 contingent capital during the year as the asset class traded with the vagaries of the equity markets. Performance was more stable in tier 2 contingent capital, our preferred sector. Over the next 12 months, we expect a continuation of subdued growth and inflation pressures. The recent drop in oil prices may produce a boost to consumer spending particularly in the US. Balance sheet repair is likely to continue across private and public sectors in Europe with the United States and the United Kingdom looking to raise interest rates in the second half of 2015/2016. The various election cycles have the potential to generate pockets of volatility during the year that we will look to exploit. We expect European credit to benefit from central bank support, particularly in high grade and we will be on the lookout for the impact of lackluster growth in sub-investment grade. EDC finished the year with an AUM of EUR 202 million flat from the end of March ECM Credit Fund SICAV - ECM Absolute Return Credit Fund The ECM Credit Fund SICAV - ECM Absolute Return Credit Fund ( ARC ) is an investment grade focused fund managed on an absolute return basis with a target return of Euribor+3%. The portfolio consists of directional (long/short) credit strategies with an emphasis on high conviction ideas, with greatest potential to outperform in an environment of high or rising credit dispersion. The NAV of the sub-fund stood at EUR 143 million at the end of the year. The investment manager s outlook for the period under consideration was similar to that for the previous year: we anticipated continuing performance potential for European credit based on 4 positive catalysts: the gradually strengthening economic outlook for Europe, the prolonged benign credit cycle where central banks zero interest policies rates translates into low default rates, supportive market technicals and the continuing reduction in Euro zone systemic risks. Page 5

6 ECM Credit Fund SICA V ECM Credit Fund SICAV Management Report for the year ended 31 March 2015 (continued) Central bank support for asset markets has been a dominant theme that has continued to drive yields globally since the US kicked offqel in November The European Central Bank joined the party in January this year with its EUR 1.1 trillion programme. A relative scarcity of government bonds in the Eurozone area led the loyr German government bond yield to halve from around 40bps in January at the time of announcement to 20bps at the end of March. Corporate treasurers took the opportunity to lock in all time low yields with Investment Grade supply averaging EUR 22 billion per week over the last week of February and first two weeks of March, the highest over a 3 week period since May 2008 according to Citibank data. The volume of supply together with the longer duration (EUR 34 billion of IG issuance in March had a maturity of 10 years or above) led to a bout of market indigestion as both investors and the street struggled to recycle the new issuance. Lower government yields however kept bond prices high which in tum attracted profit takers. The profit taking harmed the sectors that had performed strongest year to date including long dated low beta corporates, corporate hybrid paper and subordinated insurance. Much of the spread widening has been optical with bank desks, under pressure to keep inventories low into quarter-end, bidding to miss and investors with inflows sitting on the side-lines. Going forward, for credit spreads to reverse the recent widening, the market will be looking for European risk-free rates to bottom out and for a reduction in the amount of new issuance so that investors crowded out of government bonds will renew the hunt for yield in corporate credit. ARC generated a net return of 1.164% for the year to March 2015 bringing annualized net returns since inception to 2.87%. ARC's net exposure stood at 65.24% at the end of March as we continue to be positioned with a modest overall net long position to allow the fund to benefit from the slightly wider credit spreads caused by decreasing government bond yields. We remain vigilant for excess volatility in the sub-fund performance and continue to believe that this environment remains conducive for good risk-adjusted returns. ECM Credit Fund SICA V - ECM Dynamic Credit Fund The ECM Credit Fund SICA V - ECM Dynamic Credit Fund ("DCF") is a European focused Multi Asset Credit strategy aiming to outperform the BofA Merrill Lynch EMU Corporate Index, Interest Rate Duration Hedged ("EROO"). The NA V of the sub-fund stood at EUR 185 million at the end of the period. The investment manager's outlook for the period under consideration was similar to that for the previous year: we anticipated continuing performance potential for European credit based on 4 positive catalysts: the gradually strengthening economic outlook for Europe, the prolonged benign credit cycle where central banks' zero interest policies rates translates into low default rates, supportive market technicals and the continuing reduction in Euro zone systemic risks. Demand led weakness in commodity prices (the steep oil price drop specifically) exacerbated latent concerns about deflation in the second half of This development led to increased demand for investment grade corporate credit and in combination with investors' pre-empting the introduction of quantitative easing by the European Central Bank, pushed government bond yields to fresh historic lows: the 10 year German government bond yield for instance dropped from 1.2% to just l 8bps over the period. The European Cental Bank's EUR 1.1 trillion quantitative easing programme was announced in January 2015 and credit performed strongly during the first quarter of2015 across asset classes. Over the reporting period, the Government OAS (credit) spread for the EROO index tightened from 111 bps to 98bps, a total of 13bp. This equated to an excess return over swaps of+ 1.62% bps for the index. DCF generated a total return of 2.34%, comfortably outperforming the reference index. DCF is actively managed and continues to participate in the new issue and secondary markets. Over the period, the subfund continued to maintain a decent allocation to asset backed securities which remained relatively constant at 10-15% of net asset value. The asset class continued to benefit from strong technicals driven by the lack of issuance as well as planned support from the European Central Bank and was a large contributor to outperformance. BBB rated exposures also added to outperformance, as did the fund's modest allocation to bank loans. Areas of the portfolio that underperformed over the period were its allocation to USD denominated paper and its allocation to high yield bonds. Our focus on producing strong risk adjusted returns is reflected in the 2014 calendar year annualised monthly volatility which at 1.25% was lower than that of the German 1-10 year government bond index (2%). This focus on managing downside risk was also reflected in the returns produced by the sub-fund in January 2014 and December 2014, 2 months were it outperformed its reference index despite returns on the reference index being negative (Jan: -4bps vs -lobps and Dec :-1 lbps vs. -12 bps for DCF and the bund index respectively). t{~~~ Past performance is not a measure of future results of the Company. Page 6

7 Deloitte Audit Société à responsabilité limitée 560, rue de Neudorf L-2220 Luxembourg B.P.1173 L-1011 Luxembourg Tel: Fax: REPORT OF THE REVISEUR D ENTREPRISES AGRÉÉ To the Shareholders of ECM Credit Fund SICAV 2-8, avenue Charles De Gaulle L-1653 Luxembourg Following our appointment by the annual general meeting of the Shareholders dated 15 September 2014, we have audited the accompanying financial statements of ECM Credit Fund SICAV (the Company ) and of each of its Sub-Funds, which comprise the Statement of Net Assets and the Securities Portfolio of its Sub-Funds as at March 31, 2015 and the Statement of Operations and Changes in Net Assets for the year then ended, and a summary of significant accounting policies and other 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 the 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. 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. Société à responsabilité limitée au capital de EUR RCS Luxembourg B Page 7

8 Deloitte Opinion In our opinion, the financial statements give a true and fair view of the financial position of ECM Credit Fund SICA V and of each of its Sub-Funds as at March 31, 2015 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 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 Societe a responsabilite limitee Cabi e revision agree eviseur d'entreprises agree 15 July 2015 Societe a responsabilite limitee au capital de EUR RCS Luxembourg B Page8

9 Combined Page 9

10 Combined Financial Statements as of 31 March 2015 Statement of net assets as of 31 March 2015 Expressed in EUR Assets 759,378, Securities portfolio at fair value 666,810, Cost price 626,162, Unrealised profit on the securities portfolio 40,648, Cash at bank and liquidities 65,173, Interest receivable 8,255, Receivables for securities sold 13,053, Formation expenses 38, Brokers receivable 3,317, Receivable for shares sold 52, Unrealised appreciation on forward foreign exchange contracts 788, Unrealised appreciation on interest rate and credit default swaps 63, Other assets 1,824, Liabilities 65,150, Bank overdrafts 57, Interest payable 704, Payable for securities purchased 24,113, Redemptions payable 14,487, Investment management payable 587, Brokers payable 3,496, Taxe d'abonnement payable 22, Unrealised loss on forward foreign exchange contracts 484, Unrealised depreciation on financial futures 1,832, Unrealised depreciation on interest rate and credit default swaps 5,515, Other liabilities 13,847, Net assets 694,227, The accompanying notes form an integral part of these financial statements Page 10

11 Combined Statement of operations and changes in net assets for the year ended 31 March 2015 Expressed in EUR Income 24,671, Net interest on bonds 21,265, Bank interest on cash account 7, Bank interest on time deposits 2, Income on reverse repurchase agreements 7, Interest received on interest rate and credit default swaps 3,241, Other income 147, Expenses 10,102, Amortisation of formation expenses 38, Investment management fees 3,548, Custodian fees 178, Taxe d'abonnement 89, Audit fees 21, Administrative expenses 412, Transfer agent fees Performance fees 326, Directors fees 35, Professional fees 1, Bank interest on overdrafts 5, Legal fees 158, Transaction fees 150, Interest on repurchase agreements and reverse repurchase agreements 2, Interest paid on interest rate and credit default swaps 4,856, Other expenses 275, Net income from operations 14,568, Net realised profit on: - sale of investment securities 13,913, forward foreign exchange contracts 5,877, financial futures -10,522, interest rate and credit default swaps -290, foreign exchange -1,762, Net realised profit 21,783, Movement in net unrealised appreciation / (depreciation) on: - investment securities 30,479, forward foreign exchange contracts 1,901, financial futures -1,841, interest rate and credit default swaps -5,698, Increase in net asset as a result of operations 46,623, Dividends payments -431, Subscription capitalisation shares 192,683, Subscription distribution shares 24,579, Redemption capitalisation shares -75,552, Redemption distribution shares -8,669, Increase in net assets 179,233, Net assets at the beginning of the year 514,994, Net assets at the end of the year 694,227, The accompanying notes form an integral part of these financial statements Page 11

12 - ECM Financials Fund Page 12

13 - ECM Financials Fund Financial Statements as of 31 March 2015 Statement of net assets as of 31 March 2015 Expressed in EUR Assets 196,264, Securities portfolio at fair value 157,408, Cost price 150,235, Unrealised profit on the securities portfolio 7,172, Cash at bank and liquidities 23,023, Interest receivable 2,770, Receivables for securities sold 10,169, Brokers receivable 1,758, Unrealised net appreciation on forward foreign exchange contracts 541, Other assets 592, Liabilities 31,803, Interest payable 569, Payable for securities purchased 17,554, Investment management payable 150, Brokers payable 1,365, Taxe d'abonnement payable 4, Unrealised net depreciation on financial futures 31, Unrealised net depreciation on interest rate and credit default swaps 5,407, Other liabilities 6,720, Net assets 164,461, Changes in number of shares outstanding from 01/04/14 to 31/03/15 Shares outstanding as of 01/04/14 Shares issued Shares redeemed Shares outstanding as of 31/03/15 Class B Div GBP Hedged Distribution shares (1) Class D Div USD Distribution shares 4, , , Class I Acc EUR Capitalisation shares 27, , , , Class I Acc GBP Hedged Capitalisation shares Class I Acc USD Hedged Capitalisation shares 39, , , , Class I CHF Hedged Capitalisation shares (2) , , , Distribution shares (3) , , (1) Class launched on 16 April 2014 (2) Class launched on 27 August 2014 (3) Class launched on10 September 2014 The accompanying notes form an integral part of these financial statements Page 13

14 - ECM Financials Fund Key figures Year ended: 31/03/15 31/03/14 31/03/13 Total Net Assets EUR 164,461, ,853, ,480, Class B Div GBP Hedged (1) GBP GBP GBP Distribution shares Number of shares Net asset value per share 1, Dividend per share Class D Div USD USD USD USD Distribution shares Number of shares 3, , , Net asset value per share 1, , , Dividend per share Class I Acc EUR EUR EUR EUR Capitalisation shares Number of shares 75, , , Net asset value per share 1, , , Class I Acc GBP Hedged GBP GBP GBP Capitalisation shares Number of shares Net asset value per share 1, , , Class I Acc USD Hedged USD USD USD Capitalisation shares Number of shares 42, , , Net asset value per share 1, , , Class I CHF Hedged CHF CHF CHF Capitalisation shares (2) Number of shares 17, Net asset value per share 1, Distribution shares (3) Number of shares 2, Net asset value per share 1, Dividend per share (1) Class launched on 16 April 2014 (2) Class launched on 27 August 2014 (3) Class launched on10 September 2014 The accompanying notes form an integral part of these financial statements Page 14

15 - ECM Financials Fund Securities portfolio as of 31 March 2015 Expressed in EUR Quantity Quotation currency Fair value % of net assets Transferable securities admitted to an official stock exchange listing and/or 157,408, % dealt in on another regulated market Bonds 21,885, % 2,300,000 ABBEY NATIONAL TREASURY SERVICES PLC EMTN REGS /03A EUR 2,286, % 5,000,000 BNP PARIBAS SA EMTN REGS /02A EUR 5,108, % 3,250,000 BUPA FINANCE PLC REGS /04S GBP 4,841, % 2,100,000 CREDIT AGRICOLE SA REGS /03A EUR 2,158, % 5,050,000 NN GROUP NV EMTN REGS /03A EUR 5,032, % 2,400,000 SANTANDER ISSUANCES SAU EMTN REGS /03A EUR 2,458, % Floating rate bonds 134,755, % 4,000,000 ACHMEA BV EMTN REGS FL.R /04A EUR 4,824, % 5,000,000 AG INSURANCE SA REGS FL.R /06A EUR 4,984, % 1,500,000 ALLIANZ SE EMTN REGS FL.R 13-XX 29/10A EUR 1,755, % 4,000,000 BANCO BILBAO VIZCAYA ARGENTARIA SA REGS FL.R 15-XX 29/12Q EUR 4,101, % 3,500,000 BANKIA SA MTN REGS FL.R /05A EUR 3,573, % 5,100,000 BNP PARIBAS CARDIF SA REGS FL.R 14-XX 29/11A EUR 5,432, % 3,000,000 BNP PARIBAS SA EMTN REGS FL.R 08-XX 29/06A EUR 3,506, % 4,300,000 BPCE SA REGS FL.R /07A EUR 4,492, % 5,000,000 CAIXABANK SA EMTN REGS FL.R /11A EUR 5,434, % 3,000,000 COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK BA EMTN REGS FL.R 11-XX 29/11S USD 3,101, % 3,650,000 COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK BA REGS FL.R 15-XX 22/01S EUR 3,836, % 3,000,000 COVENTRY BUILDING SOCIETY REGS FL.R 14-XX 29/12S GBP 4,082, % 4,050,000 CREDIT LOGEMENT SA REGS FL.R 06-XX 29/03Q EUR 3,488, % 5,000,000 DEUTSCHE BANK AG FL.R 14-XX 29/12A USD 4,736, % 3,000,000 DIRECT LINE INSURANCE GROUP PLC REGS FL.R /04S GBP 5,403, % 5,000,000 INTESA SANPAOLO VITA SPA REGS FL.R 14-XX 29/12A EUR 5,426, % 6,000,000 LA MONDIALE SAM REGS FL.R 14-XX 29/12A EUR 6,722, % 5,000,000 LBBW EMTN REGS FL.R /05A EUR 5,176, % 2,750,000 LLOYDS BANK PLC EMTN FL.R 09-XX 29/01S GBP 6,754, % 3,000,000 NATIONWIDE BUILDING SOCIETY EMTN REGS FL.R 14-XX 11/03S GBP 4,211, % 5,871,000 NN GROUP NV REGS FL.R /04A EUR 6,619, % 4,900,000 NORDEA BANK AB EMTN REGS FL.R 15-XX 29/12A USD 4,489, % 5,400,000 SKANDINAVISKA ENSKILDA BANKEN AB EMTN REGS FL.R 14-XX 29/11S USD 5,080, % 5,300,000 STANDARD CHARTERED PLC 144A FL.R 15-XX 29/12S USD 4,983, % 6,000,000 SVENSKA HANDELSBANKEN AB REGS FL.R 15-XX 29/12A USD 5,618, % 5,000,000 SWEDBANK AB REGS FL.R 15-XX 29/12S USD 4,698, % 4,400,000 TALANX FINANZ LUXEMBOURG SA EMTN REGS FL.R /06A EUR 5,922, % 6,000,000 UBS GROUP AG REGS FL.R 15-XX 29/12A EUR 6,297, % Preferred Stock 767, % 200,000 FEDERAL NATIONAL MORTGAGE ASSOCIATION FL.R Q USD 767, % Total securities portfolio 157,408, % XX: Perpetual bonds The accompanying notes form an integral part of these financial statements Page 15

16 - ECM Financials Fund Statement of operations and changes in net assets for the year ended 31 March 2015 Expressed in EUR Income 7,120, Net interest on bonds 5,122, Bank interest on cash account 1, Bank interest on time deposit Income on reverse repurchase agreements 2, Interest received on interest rate and credit default swaps 1,974, Other income 18, Expenses 4,477, Amortisation of formation expenses 2, Investment management fees 740, Custodian fees 35, Taxe d'abonnement 16, Audit fees 9, Administrative expenses 116, Transfer agent fees Performance fees 240, Directors fees 12, Professional fees Legal fees 39, Transaction fees 39, Bank interest on overdrafts 2, Interest on repurchase agreements and reverse repurchase agreements Interest paid on interest rate and credit default swaps 3,095, Other expenses 124, Net income from operations 2,642, Net realised profit on: - sale of investment securities 7,137, forward foreign exchange contracts 8,877, financial futures 538, interest rate and credit default swaps -305, foreign exchange -1,049, Net realised profit 17,840, Movement in net unrealised appreciation / (depreciation) on: - investment securities 5,217, forward foreign exchange contracts 938, financial futures -31, interest rate and credit default swaps -4,947, Increase in net asset as a result of operations 19,018, Dividends payments during the year -54, Subscription capitalisation shares 87,270, Subscription distribution shares 2,175, Redemption capitalisation shares -12,460, Redemption distribution shares -1,342, Increase in net assets 94,607, Net assets at the beginning of the year 69,853, Net assets at the end of the year 164,461, The accompanying notes form an integral part of these financial statements Page 16

17 - ECM High Yield Fund (liquidated on 6 February 2015) Page 17

18 - ECM High Yield Fund (liquidated on 6 February 2015) Financial Statements as of 6 February 2015 Statement of net assets as of 6 February 2015 Expressed in EUR Assets 13,838, Cash at bank and liquidities 13,651, Other assets 187, Liabilities 13,838, Bank overdrafts 57, Redemptions payable 13,195, Other liabilities 585, Net assets 0.00 Changes in number of shares outstanding from 01/04/14 to 06/02/15 Shares outstanding as of 01/04/14 Shares issued Shares redeemed Shares outstanding as of 06/02/15 Class A Acc EUR Capitalisation shares , , Class A Acc GBP Hedged Capitalisation shares Class A Acc USD Hedged Capitalisation shares 23, , The accompanying notes form an integral part of these financial statements Page 18

19 - ECM High Yield Fund (liquidated on 6 February 2015) Key figures Period/Year ended: 06/02/15 31/03/14 31/03/13 Total Net Assets EUR ,913, ,448, Class A Acc EUR EUR EUR EUR Capitalisation shares Number of shares Net asset value per share , , Class A Acc GBP Hedged GBP GBP GBP Capitalisation shares Number of shares Net asset value per share , , Class A Acc USD Hedged USD USD USD Capitalisation shares Number of shares , , Net asset value per share , , The accompanying notes form an integral part of these financial statements Page 19

20 - ECM High Yield Fund (liquidated on 6 February 2015) Statement of operations and changes in net assets for the period ended 6 February 2015 Expressed in EUR Income 1,420, Net interest on bonds 1,392, Bank interest on cash account Bank interest on time deposits Interest received on interest rate and credit default swaps 27, Expenses 328, Amortisation of formation expenses 2, Investment management fees 204, Custodian fees 7, Taxe d'abonnement 2, Administrative expenses 10, Bank interest on overdrafts Legal fees 35, Transaction fees 12, Interest on repurchase agreements Interest paid on interest rate and credit default swaps 52, Other expenses Net income from operations 1,091, Net realised profit on: - sale of investment securities -1,183, forward foreign exchange contracts 4,692, financial futures -95, interest rate and credit default swaps -51, foreign exchange -45, Net realised profit 4,408, Movement in net unrealised appreciation / (depreciation) on: - investment securities -1,147, forward foreign exchange contracts 171, financial futures interest rate and credit default swaps 19, Increase in net asset as a result of operations 3,450, Subscription capitalisation shares 9,990, Redemption capitalisation shares -36,353, Decrease in net assets -22,913, Net assets at the beginning of the period 22,913, Net assets at the end of the period 0.00 The accompanying notes form an integral part of these financial statements Page 20

21 - ECM Short Duration Credit Fund Page 21

22 - ECM Short Duration Credit Fund Financial Statements as of 31 March 2015 Statement of net assets as of 31 March 2015 Expressed in EUR Assets 205,665, Securities portfolio at fair value 193,908, Cost price 182,289, Unrealised profit on the securities portfolio 11,618, Cash at bank and liquidities 6,324, Interest receivable 2,183, Receivables for securities sold 2,850, Unrealised net appreciation on interest rate and credit default swaps 44, Brokers receivable 123, Other assets 230, Liabilities 4,151, Interest payable 61, Payable for securities purchased 2,567, Investment management payable 82, Taxe d'abonnement payable 4, Unrealised loss on forward foreign exchange contracts 484, Unrealised net depreciation on financial futures 163, Brokers payable 145, Other liabilities 642, Net assets 201,514, Changes in number of shares outstanding from 01/04/14 to 31/03/15 Shares Shares outstanding as of outstanding as of 01/04/14 Shares issued Shares redeemed 31/03/15 Class I Acc GBP Hedged Capitalisation shares 4, , Class I Acc R EUR Capitalisation shares 155, , , , Class I Acc R SEK Hedged Capitalisation shares 144, , Class I Div EUR Distribution shares 1, , The accompanying notes form an integral part of these financial statements Page 22

23 - ECM Short Duration Credit Fund Key figures Year ended: 31/03/15 31/03/14 31/03/13 Total Net Assets EUR 201,514, ,048, ,712, Class I Acc GBP Hedged GBP GBP GBP Capitalisation shares Number of shares 4, , , Net asset value per share 1, , , Class I Acc R EUR EUR EUR EUR Capitalisation shares Number of shares 148, , , Net asset value per share 1, , , Class I Acc R SEK Hedged SEK SEK SEK Capitalisation shares Number of shares 144, , , Net asset value per share 1, , , Class I Div EUR EUR EUR EUR Distribution shares Number of shares 1, , Net asset value per share 1, , Dividend per share The accompanying notes form an integral part of these financial statements Page 23

24 - ECM Short Duration Credit Fund Securities portfolio as of 31 March 2015 Expressed in EUR Quantity Quotation % of net Fair value currency assets Transferable securities admitted to an official stock exchange listing and/or dealt in on another regulated market 193,908, % Bonds 127,888, % 1,000,000 AA BOND CO LTD EMTN REGS /07S GBP 1,493, % 800,000 AA BOND CO LTD REGS /07S GBP 1,230, % 1,150,000 ABN AMRO BANK NV REGS /02S USD 1,128, % 1,100,000 ACCOR SA REGS /03A EUR 1,175, % 2,000,000 ACHMEA BANK NV EMTN /01A EUR 2,082, % 800,000 ALLIANZ SE EMTN REGS XX 28/11S USD 791, % 550,000 ALLIED IRISH BANKS PLC EMTN REGS /11A EUR 567, % 750,000 ANGLIAN WATER OSPREY FINANCING PLC EMTN REGS /01S GBP 1,127, % 1,500,000 ARKEMA SA /10A EUR 1,639, % 2,575,000 BANK OF AMERICA CORP EMTN REGS /07A EUR 2,794, % 1,250,000 BANK OF IRELAND EMTN /06A EUR 1,277, % 1,000,000 BANK OF IRELAND REGS /01A EUR 1,075, % 1,500,000 BANKIA SA REGS /01A EUR 1,634, % 2,000,000 BANQUE FEDERATIVE DU CREDIT MUTUEL SA EMTN /09A EUR 2,127, % 1,633,000 BNP PARIBAS SA MTN /03S USD 1,555, % 2,600,000 BPCE SA EMTN REGS /01A EUR 2,610, % 525,000 CAMPOFRIO FOOD GROUP SA REGS /03S EUR 532, % 1,750,000 CITIGROUP INC EMTN REGS /08A EUR 2,078, % 774,000 CLEOPATRA FINANCE LTD REGS /02S EUR 782, % 500,000 CONTINENTAL AG EMTN REGS /07S EUR 541, % 500,000 CONTINENTAL AG EMTN REGS /09A EUR 562, % 1,860,000 COVENTRY BUILDING SOCIETY EMTN REGS /12A EUR 1,952, % 670,000 CPUK FINANCE LTD EMTN REGS /02S GBP 989, % 1,600,000 CPUK FINANCE LTD EMTN REGS /02S GBP 2,352, % 1,400,000 CREDIT SUISSE AG EMTN REGS /11A EUR 1,405, % 1,600,000 CRH FINANCE BV EMTN REGS /01A EUR 1,859, % 2,000,000 DEUTSCHE ANNINGTON FINANCE BV /07A EUR 2,200, % 2,000,000 DNB BANK ASA REGS /04S USD 1,929, % 350,000 EDP FINANCE BV EMTN REGS /04A EUR 370, % 500,000 ENEL SPA EMTN /06A EUR 566, % 1,800,000 EUROGRID GMBH EMTN REGS /10A EUR 2,111, % 2,500,000 EUTELSAT SA REGS /01A EUR 2,910, % 2,500,000 EXPERIAN FINANCE PLC EMTN REGS /02A EUR 2,978, % 3,250,000 FCA CAPITAL IRELAND PLC EMTN REGS /10A EUR 3,581, % 1,000,000 FCE BANK PLC EMTN REGS /09A EUR 1,017, % 550,000 FCE BANK PLC EMTN REGS /05A EUR 569, % 1,488,000 FCE BANK PLC EMTN REGS /04A EUR 1,553, % 450,000 FCE BANK PLC EMTN REGS /02A GBP 660, % 1,500,000 FIRSTGROUP PLC /01A GBP 2,333, % 2,000,000 G4S INTERNATIONAL FINANCE PLC EMTN REGS /05A EUR 2,103, % 1,000,000 GAS NATURAL CAPITAL MARKETS SA EMTN REGS /11A EUR 1,065, % 1,000,000 GAS NATURAL CAPITAL MARKETS SA EMTN REGS /01A EUR 1,252, % 400,000 GCS HOLDCO FINANCE I SA REGS /11S EUR 422, % 1,600,000 GENERAL MOTORS FINANCIAL INTERNATIONAL BV EMTN REGS /02A EUR 1,596, % 1,807,000 GENERAL MOTORS FINANCIAL INTERNATIONAL BV EMTN REGS /10A EUR 1,864, % 1,500,000 GLENCORE FINANCE EUROPE SA EMTN REGS /09A EUR 1,672, % 3,000,000 HAMMERSON PLC REGS /09A EUR 3,271, % 800,000 IMERYS SA EMTN REGS /11A EUR 867, % 800,000 IMERYS SA REGS /04A EUR 882, % 800,000 INFRA FOCH SAS REGS /10A EUR 816, % 1,506,000 ISS GLOBAL A/S EMTN REGS /01A EUR 1,526, % 1,000,000 JAGUAR LAND ROVER AUTOMOTIVE PLC 144A /03S USD 929, % 600,000 JPMORGAN CHASE & CO EMTN REGS /02S GBP 830, % 1,100,000 KBC IFIMA SA EMTN REGS /09A EUR 1,164, % 3,000,000 KERING EMTN REGS /07A EUR 3,273, % 1,800,000 LUXOTTICA GROUP SPA REGS /03A EUR 2,028, % 450,000 MEDIOBANCA SPA EMTN REGS /11A EUR 451, % 1,600,000 MEDIOBANCA SPA EMTN REGS /03A EUR 1,680, % XX: Perpetual bonds The accompanying notes form an integral part of these financial statements Page 24

25 - ECM Short Duration Credit Fund Securities portfolio as of 31 March 2015 (continued) Expressed in EUR Quantity Quotation % of net Fair value currency assets 400,000 MERLIN ENTERTAINMENTS PLC REGS /03S EUR 404, % 1,000,000 NATIONAL BANK OF ABU DHABI PJSC EMTN REGS /03S USD 966, % 2,150,000 NATIONAL EXPRESS GROUP PLC EMTN REGS /01A GBP 3,216, % 1,500,000 NN GROUP NV EMTN REGS /03A EUR 1,494, % 1,500,000 NORDEA BANK AB 144A /03S USD 1,448, % 1,200,000 ORANGE SA EMTN REGS /09A EUR 1,260, % 1,000,000 PERNOD RICARD SA REGS /06A EUR 1,061, % 1,281,000 PGE SWEDEN AB EMTN REGS /06A EUR 1,323, % 2,920,000 PROLOGIS INTERNATIONAL FUNDING II SA EMTN REGS /10A EUR 3,117, % 1,600,000 QNB FINANCE LTD EMTN REGS /02S USD 1,497, % 1,500,000 RCI BANQUE SA EMTN REGS /07A EUR 1,526, % 600,000 RENTOKIL INITIAL PLC EMTN /09A EUR 669, % 2,300,000 ROYAL BANK OF SCOTLAND GROUP PLC /09S USD 2,158, % 500,000 SAMVARDHANA MOTHERSON AUTOMOTIVE SYSTEMS GROUP BV EMTN REGS /07S EUR 512, % 800,000 SANTANDER INTERNATIONAL DEBT SAU EMTN REGS /03A EUR 816, % 1,000,000 SES SA EMTN REGS /03A EUR 1,193, % 1,380,000 SKANDINAVISKA ENSKILDA BANKEN AB EMTN REGS /03A EUR 1,467, % 500,000 SOCIETE DES AUTOROUTES PARIS-RHIN-RHONE EMTN REGS /01A EUR 508, % 1,900,000 SOCIETE DES AUTOROUTES PARIS-RHIN-RHONE EMTN REGS /01A EUR 2,041, % 675,000 SPAREBANK 1 SR-BANK ASA EMTN REGS /02A EUR 714, % 880,000 SPCM SA REGS /06S EUR 937, % 2,250,000 STAGECOACH GROUP PLC /12A GBP 3,334, % 1,500,000 TDC A/S EMTN REGS /02A EUR 1,667, % 750,000 TELECOM ITALIA SPA EMTN /06A GBP 1,159, % 1,200,000 TESCO CORPORATE TREASURY SERVICES PLC EMTN REGS /07A EUR 1,178, % 600,000 UNICREDIT SPA EMTN REGS /01A EUR 661, % 500,000 UPC HOLDING BV EMTN REGS /03S CHF 528, % 714,000 VERIZON COMMUNICATIONS INC /06S USD 680, % 600,000 VIRGIN MEDIA SECURED FINANCE PLC REGS /04S GBP 873, % 1,591,000 VODAFONE GROUP PLC EMTN REGS /09A EUR 1,613, % Floating rate bonds 46,334, % 1,000,000 BAYER AG EMTN REGS FL.R /07A EUR 1,046, % 1,000,000 BNP PARIBAS SA EMTN REGS FL.R 08-XX 29/06A EUR 1,168, % 160,416 BROADGATE FINANCING PLC /01Q GBP 218, % 1,000,000 CITIGROUP INC EMTN FL.R /11Q EUR 1,001, % 938,000 CLERICAL MEDICAL FINANCE PLC FL.R 05-XX 29/06A EUR 943, % 800,000 COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK BA EMTN REGS FL.R 11-XX 29/11S USD 826, % 755,000 COOPERATIEVE CENTRALE RAIFFEISEN-BOERENLEENBANK BA REGS FL.R 11-XX 29/07S USD 751, % 3,100,000 CREDIT AGRICOLE SA REGS FL.R /09S USD 3,290, % 800,000 CREDIT SUISSE GROUP FINANCE US INC FL.R /09A EUR 810, % 850,000 DANSKE BANK A/S REGS FL.R /10A EUR 923, % 1,000,000 DEUTSCHE ANNINGTON FINANCE BV REGS FL.R /04A EUR 1,076, % 1,300,000 DEUTSCHE ANNINGTON FINANCE BV REGS FL.R 14-XX 29/12A EUR 1,372, % 700,000 DNB BANK ASA EMTN REGS FL.R /09A EUR 742, % 400,000 GAS NATURAL FENOSA FINANCE BV REGS FL.R 14-XX 29/11A EUR 425, % 800,000 HSBC BANK PLC EMTN FL.R /09A GBP 1,120, % 2,000,000 ING BANK NV EMTN REGS FL.R /11S USD 1,929, % 1,250,000 INTESA SANPAOLO SPA EMTN REGS /04Q EUR 1,270, % 1,400,000 JPMORGAN CHASE BANK NA FL.R /05 EUR 1,401, % 1,500,000 LLOYDS BANK PLC EMTN REGS FL.R /12A EUR 1,775, % 1,000,000 MAPFRE SA FL.R /07A EUR 1,083, % 500,000 NGG FINANCE PLC REGS FL.R /06A EUR 549, % 1,000,000 NN GROUP NV FL.R /05A EUR 1,108, % 1,200,000 ORANGE SA REGS FL.R 14-XX 28/02A EUR 1,286, % 900,000 REPSOL INTERNATIONAL FINANCE BV REGS FL.R 15-XX 29/12A EUR 899, % 600,000 RWE AG REGS FL.R 10-XX 29/09A EUR 608, % 300,000 SIEMENS FINANCIERINGSMAATSCHAPPIJ NV FL.R /09A GBP 437, % 1,250,000 SKANDINAVISKA ENSKILDA BANKEN AB EMTN REGS FL.R 14-XX 29/11S USD 1,176, % 1,500,000 SKY PLC EMTN REGS /04Q EUR 1,506, % 500,000 SSE PLC REGS FL.R 12-XX 29/09A EUR 544, % XX: Perpetual bonds The accompanying notes form an integral part of these financial statements Page 25

26 - ECM Short Duration Credit Fund Securities portfolio as of 31 March 2015 (continued) Expressed in EUR Quantity Quotation % of net Fair value currency assets 1,000,000 SVENSKA HANDELSBANKEN AB REGS FL.R /01A EUR 1,053, % 1,700,000 SVENSKA HANDELSBANKEN AB REGS FL.R 15-XX 29/12A USD 1,592, % 1,050,000 SWEDBANK AB EMTN FL.R /02A EUR 1,091, % 1,200,000 SWEDBANK AB REGS FL.R 15-XX 29/12S USD 1,127, % 1,000,000 TDC A/S REGS FL.R /02A EUR 1,005, % 400,000 TELEFONICA EUROPE BV REGS FL.R 14-XX 29/12A EUR 422, % 600,000 TELEFONICA EUROPE BV REGS FL.R 14-XX 31/03A EUR 653, % 2,200,000 TOTAL SA EMTN REGS FL.R 15-XX 29/12A EUR 2,215, % 125,323 TRAFFORD CENTRE FINANCE LTD /04Q GBP 172, % 2,750,000 UBS AG EMTN REGS FL.R /05A USD 2,654, % 2,000,000 UBS PREFERRED FUNDING TRUST V FL.R 06-XX 29/05S USD 1,939, % 1,100,000 UNICREDIT SPA EMTN REGS /01Q EUR 1,110, % Mortgage and asset backed securities 19,685, % 608,465 ALBA PLC REGS /11Q GBP 779, % 1,948,280 ARENA 2011-II BV REGS /09Q EUR 1,991, % 1,000,000 BIPIELLE RESIDENTIAL SRL REGS /12Q EUR 974, % 1,609,272 DECO 14-PAN EUROPE 5BV REGS /10Q EUR 1,560, % 500,000 DIAMOND MORTGAGE FINANCE 2006 NV REGS /09Q EUR 476, % 1,000,000 FOSSE MASTER ISSUER PLC REGS /10Q GBP 1,393, % 288,128 GERMAN RESIDENTIAL FUNDING LTD REGS /08Q EUR 294, % 288,128 GERMAN RESIDENTIAL FUNDING LTD REGS /08Q EUR 296, % 288,128 GERMAN RESIDENTIAL FUNDING LTD REGS /08Q EUR 298, % 600,000 GRANITE MASTER ISSUER PLC REGS /12 EUR 596, % 813,947 GREAT HALL MORTGAGES PLC REGS /03Q EUR 779, % 2,100,000 HOLLAND MORTGAGE BACKED SERIES HERMES XVIII BV REGS /09Q EUR 2,158, % 400,000 LEEK FINANCE NUMBER EIGHTEEN PLC REGS /09Q EUR 397, % 609,321 LONDON & REGIONAL DEBT SECURITISATION NO 2 PLC REGS /10Q GBP 846, % 363,919 PARAGON MORTGAGES NO 7 PLC REGS /05Q EUR 352, % 717,021 PARAGON MORTGAGES NO 9 PLC REGS /05Q EUR 667, % 283,800 PARAGON SECURED FINANCE NO 1 PLC REGS /11Q GBP 389, % 31,924 RIVOLI PAN EUROPE PLC REGS /08Q EUR 31, % 2,000,000 STORM 2012-II BV REGS /04Q EUR 2,058, % 1,800,000 STORM 2012-IV BV REGS /08Q EUR 1,848, % 290,902 TAURUS 2013 GMF1 PLC REGS /05Q EUR 295, % 145,451 TAURUS 2013 GMF1 PLC REGS /05Q EUR 148, % 1,018,158 TAURUS 2013 GMF1 PLC REGS /05Q EUR 1,050, % Total securities portfolio 193,908, % XX: Perpetual bonds The accompanying notes form an integral part of these financial statements Page 26

27 - ECM Short Duration Credit Fund Statement of operations and changes in net assets for the year ended 31 March 2015 Expressed in EUR Income 7,092, Net interest on bonds 6,755, Bank interest on cash account 1, Bank interest on time deposit Interest received on interest rate and credit default swaps 293, Other income 42, Expenses 1,369, Amortisation of formation expenses 2, Investment management fees 528, Custodian fees 56, Taxe d'abonnement 20, Audit fees 12, Administrative expenses 114, Transfer agent fees Performance fees 86, Directors fees 23, Professional fees Legal fees 83, Transaction fees 31, Bank interest on overdrafts Interest paid on interest rate and credit default swaps 293, Other expenses 113, Net income from operations 5,723, Net realised loss on: - sale of investment securities 2,028, forward foreign exchange contracts -8,665, financial futures -37, interest rate and credit default swaps 210, foreign exchange 375, Net realised loss -363, Movement in net unrealised appreciation / (depreciation) on: - investment securities 8,570, forward foreign exchange contracts 22, financial futures -185, interest rate and credit default swaps -486, Increase in net asset as a result of operations 7,557, Dividends payments during the year -18, Subscription capitalisation shares 10,503, Redemption capitalisation shares -18,576, Decrease in net assets -534, Net assets at the beginning of the year 202,048, Net assets at the end of the year 201,514, The accompanying notes form an integral part of these financial statements Page 27